finance_query/backtesting/result/
benchmark.rs

1use serde::{Deserialize, Serialize};
2
3/// Comparison of strategy performance against a benchmark.
4///
5/// Populated when a benchmark symbol is supplied to `backtest_with_benchmark`.
6#[non_exhaustive]
7#[derive(Debug, Clone, Serialize, Deserialize)]
8pub struct BenchmarkMetrics {
9    /// Benchmark symbol (e.g. `"SPY"`)
10    pub symbol: String,
11
12    /// Buy-and-hold return of the benchmark over the same period (percentage)
13    pub benchmark_return_pct: f64,
14
15    /// Buy-and-hold return of the backtested symbol over the same period (percentage)
16    pub buy_and_hold_return_pct: f64,
17
18    /// Jensen's Alpha: annualised strategy excess return over the benchmark (CAPM).
19    ///
20    /// Computed as `strategy_ann - rf - β × (benchmark_ann - rf)` on the
21    /// timestamp-aligned subset of strategy and benchmark returns.
22    ///
23    /// # Accuracy Caveat
24    ///
25    /// Annualisation uses `aligned_bars / bars_per_year` to estimate elapsed
26    /// years.  If the strategy and benchmark candles have **different sampling
27    /// frequencies** (e.g., daily strategy vs. weekly benchmark), the aligned
28    /// subset contains far fewer bars than the full backtest period and the
29    /// per-year estimate will be wrong — both `strategy_ann` and `benchmark_ann`
30    /// are inflated by the same factor, but the risk-free rate is always the
31    /// true annual rate, making alpha unreliable.
32    ///
33    /// For accurate alpha, supply benchmark candles with the **same interval**
34    /// as the strategy candles.
35    pub alpha: f64,
36
37    /// Beta: sensitivity of strategy returns to benchmark movements
38    pub beta: f64,
39
40    /// Information ratio: excess return per unit of tracking error (annualised)
41    pub information_ratio: f64,
42
43    /// Tracking error: annualised standard deviation of (strategy − benchmark)
44    /// periodic returns — the denominator of `information_ratio`.
45    pub tracking_error: f64,
46}
finance_query/backtesting/result/benchmark.rs

finance_query/backtesting/result/
benchmark.rs
