Struct RiskSummary

Source

#[non_exhaustive]pub struct RiskSummary {
    pub var_95: f64,
    pub var_99: f64,
    pub parametric_var_95: f64,
    pub sharpe: Option<f64>,
    pub sortino: Option<f64>,
    pub calmar: Option<f64>,
    pub beta: Option<f64>,
    pub max_drawdown: f64,
    pub max_drawdown_recovery_periods: Option<u64>,
}

Expand description

Comprehensive risk summary for a symbol.

Obtain via Ticker::risk.

Fields (Non-exhaustive)§

This struct is marked as 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.

§var_95: f64

1-day historical Value at Risk at 95% confidence (expressed as positive loss fraction)

§var_99: f64

1-day historical Value at Risk at 99% confidence

§parametric_var_95: f64

1-day parametric VaR at 95% confidence (assumes normally distributed returns)

§sharpe: Option<f64>

Annualised Sharpe Ratio (risk-free rate = 0, 252 trading days/year). None when fewer than 2 periods or zero volatility.

§sortino: Option<f64>

Annualised Sortino Ratio (penalises only downside volatility). None when fewer than 2 periods or zero downside deviation.

§calmar: Option<f64>

Calmar Ratio (annualised return / max drawdown). None when max drawdown is zero.

§beta: Option<f64>

Beta vs benchmark. None when no benchmark is provided or data is insufficient.

§max_drawdown: f64

Maximum drawdown as a positive fraction (e.g., 0.30 = 30%)

§max_drawdown_recovery_periods: Option<u64>

Number of trading periods to recover from the maximum drawdown. None when no recovery occurred within the data window.

RiskSummary

Struct RiskSummary Copy item path

Fields (Non-exhaustive)§

Trait Implementations§

impl Clone for RiskSummary

fn clone(&self) -> RiskSummary

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

impl Debug for RiskSummary

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

impl<'de> Deserialize<'de> for RiskSummary

fn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error>where __D: Deserializer<'de>,

impl Serialize for RiskSummary

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

Auto Trait Implementations§

impl Freeze for RiskSummary

impl RefUnwindSafe for RiskSummary

impl Send for RiskSummary

impl Sync for RiskSummary

impl Unpin for RiskSummary

impl UnsafeUnpin for RiskSummary

impl UnwindSafe for RiskSummary

Blanket Implementations§

impl<T> Any for Twhere T: 'static + ?Sized,

fn type_id(&self) -> TypeId

impl<T> Borrow<T> for Twhere T: ?Sized,

fn borrow(&self) -> &T

impl<T> BorrowMut<T> for Twhere T: ?Sized,

fn borrow_mut(&mut self) -> &mut T

impl<T> CloneToUninit for Twhere T: Clone,

unsafe fn clone_to_uninit(&self, dest: *mut u8)

impl<T> DynClone for Twhere T: Clone,

fn __clone_box(&self, _: Private) -> *mut ()

impl<T> From<T> for T

fn from(t: T) -> T

impl<T> Instrument for T

fn instrument(self, span: Span) -> Instrumented<Self>

fn in_current_span(self) -> Instrumented<Self>

impl<T, U> Into<U> for Twhere U: From<T>,

fn into(self) -> U

impl<T> IntoEither for T

fn into_either(self, into_left: bool) -> Either<Self, Self> ⓘ

fn into_either_with<F>(self, into_left: F) -> Either<Self, Self> ⓘwhere F: FnOnce(&Self) -> bool,

impl<T> Key for Twhere T: Clone,

fn align() -> usize

fn size(&self) -> usize

unsafe fn init(&self, ptr: *mut u8)

unsafe fn get<'a>(ptr: *const u8) -> &'a T

unsafe fn drop_in_place(ptr: *mut u8)

impl<T> Pointable for T

const ALIGN: usize

type Init = T

unsafe fn init(init: <T as Pointable>::Init) -> usize

unsafe fn deref<'a>(ptr: usize) -> &'a T

unsafe fn deref_mut<'a>(ptr: usize) -> &'a mut T

unsafe fn drop(ptr: usize)

impl<T> PolicyExt for Twhere T: ?Sized,

fn and<P, B, E>(self, other: P) -> And<T, P>where T: Policy<B, E>, P: Policy<B, E>,

fn or<P, B, E>(self, other: P) -> Or<T, P>where T: Policy<B, E>, P: Policy<B, E>,

impl<T> Same for T

type Output = T

impl<T> ToOwned for Twhere T: Clone,

type Owned = T

fn to_owned(&self) -> T

fn clone_into(&self, target: &mut T)

impl<T, U> TryFrom<U> for Twhere U: Into<T>,

type Error = Infallible

fn try_from(value: U) -> Result<T, <T as TryFrom<U>>::Error>

impl<T, U> TryInto<U> for Twhere U: TryFrom<T>,

type Error = <U as TryFrom<T>>::Error

fn try_into(self) -> Result<U, <U as TryFrom<T>>::Error>

impl<V, T> VZip<V> for Twhere V: MultiLane<T>,

fn vzip(self) -> V

impl<T> WithSubscriber for T

fn with_subscriber<S>(self, subscriber: S) -> WithDispatch<Self>where S: Into<Dispatch>,

fn with_current_subscriber(self) -> WithDispatch<Self>

impl<T> DeserializeOwned for Twhere T: for<'de> Deserialize<'de>,

impl<T> PlanCallbackArgs for T

impl<T> PlanCallbackOut for T

Struct RiskSummary

fn deserialize<D>(deserializer: D) -> Result<Self, D::Error>
where __D: Deserializer<'de>,

fn serialize<S>(&self, serializer: S) -> Result<S::Ok, S::Error>
where S: Serializer,

impl<T> Any for T
where T: 'static + ?Sized,

impl<T> Borrow<T> for T
where T: ?Sized,

impl<T> BorrowMut<T> for T
where T: ?Sized,

impl<T> CloneToUninit for T
where T: Clone,

impl<T> DynClone for T
where T: Clone,

impl<T, U> Into<U> for T
where U: From<T>,

fn into_either_with<F>(self, into_left: F) -> Either<Self, Self> ⓘ
where F: FnOnce(&Self) -> bool,

impl<T> Key for T
where T: Clone,

impl<T> PolicyExt for T
where T: ?Sized,

fn and<P, B, E>(self, other: P) -> And<T, P>
where T: Policy<B, E>, P: Policy<B, E>,

fn or<P, B, E>(self, other: P) -> Or<T, P>
where T: Policy<B, E>, P: Policy<B, E>,

impl<T> ToOwned for T
where T: Clone,

impl<T, U> TryFrom<U> for T
where U: Into<T>,

impl<T, U> TryInto<U> for T
where U: TryFrom<T>,

impl<V, T> VZip<V> for T
where V: MultiLane<T>,

fn with_subscriber<S>(self, subscriber: S) -> WithDispatch<Self>
where S: Into<Dispatch>,

impl<T> DeserializeOwned for T
where T: for<'de> Deserialize<'de>,