Struct BenchmarkMetrics 

#[non_exhaustive]
pub struct BenchmarkMetrics {
    pub symbol: String,
    pub benchmark_return_pct: f64,
    pub buy_and_hold_return_pct: f64,
    pub alpha: f64,
    pub beta: f64,
    pub information_ratio: f64,
}

Comparison of strategy performance against a benchmark.

Populated when a benchmark symbol is supplied to backtest_with_benchmark.

Fields (Non-exhaustive)

Non-exhaustive structs could have additional fields added in future. Therefore, non-exhaustive structs cannot be constructed in external crates using the traditional Struct { .. } syntax; cannot be matched against without a wildcard ..; and struct update syntax will not work.

symbol: String

Benchmark symbol (e.g. "SPY")

benchmark_return_pct: f64

Buy-and-hold return of the benchmark over the same period (percentage)

buy_and_hold_return_pct: f64

Buy-and-hold return of the backtested symbol over the same period (percentage)

alpha: f64

Jensen’s Alpha: annualised strategy excess return over the benchmark (CAPM).

Computed as strategy_ann - rf - β × (benchmark_ann - rf) on the timestamp-aligned subset of strategy and benchmark returns.

Accuracy Caveat

Annualisation uses aligned_bars / bars_per_year to estimate elapsed years. If the strategy and benchmark candles have different sampling frequencies (e.g., daily strategy vs. weekly benchmark), the aligned subset contains far fewer bars than the full backtest period and the per-year estimate will be wrong — both strategy_ann and benchmark_ann are inflated by the same factor, but the risk-free rate is always the true annual rate, making alpha unreliable.

For accurate alpha, supply benchmark candles with the same interval as the strategy candles.

beta: f64

Beta: sensitivity of strategy returns to benchmark movements

information_ratio: f64

Information ratio: excess return per unit of tracking error (annualised)

Trait Implementations

impl Clone for BenchmarkMetrics

fn clone(&self) -> BenchmarkMetrics

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for BenchmarkMetrics

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for BenchmarkMetrics

fn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error>

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Serialize for BenchmarkMetrics

fn serialize<__S>(&self, __serializer: __S) -> Result<__S::Ok, __S::Error>

where __S: Serializer,

Serialize this value into the given Serde serializer.