Struct GeneralPerformanceMetrics 

pub struct GeneralPerformanceMetrics {
    pub total_return: Decimal,
    pub annualized_return: Decimal,
    pub volatility: Option<Positive>,
    pub downside_deviation: Option<Positive>,
    pub sharpe_ratio: Option<Decimal>,
    pub sortino_ratio: Option<Decimal>,
    pub calmar_ratio: Option<Decimal>,
    pub win_rate: Option<Decimal>,
    pub profit_factor: Option<Decimal>,
    pub avg_gain: Option<Decimal>,
    pub avg_loss: Option<Decimal>,
    pub gain_loss_ratio: Option<Decimal>,
}

Represents core performance metrics applicable to various trading strategies.

This struct aggregates common financial metrics used to evaluate the effectiveness and risk profile of a trading strategy based on its historical or simulated performance.

Fields

total_return: Decimal

The total percentage return generated by the strategy over the entire period.

annualized_return: Decimal

The geometric average amount of money earned by an investment each year over a given time period.

volatility: Option<Positive>

A statistical measure of the dispersion of returns for a given security or market index. It represents the degree of variation of a trading price series over time. Expressed as a positive decimal value. None if calculation is not possible (e.g., insufficient data).

downside_deviation: Option<Positive>

A measure of downside risk, focusing only on returns that fall below a minimum acceptable return (MAR), typically the risk-free rate or zero. It quantifies the volatility of negative returns. Expressed as a positive decimal value. None if calculation is not possible.

sharpe_ratio: Option<Decimal>

Measures the performance of an investment compared to a risk-free asset, after adjusting for its risk. It is defined as the difference between the returns of the investment and the risk-free return, divided by the standard deviation of the investment (volatility). None if calculation is not possible (e.g., zero volatility or insufficient data).

sortino_ratio: Option<Decimal>

Similar to the Sharpe ratio, but it only penalizes returns falling below a user-specified target or required rate of return (using downside deviation instead of total volatility). None if calculation is not possible (e.g., zero downside deviation or insufficient data).

calmar_ratio: Option<Decimal>

A risk-adjusted return metric based on maximum drawdown. It is calculated as the annualized return divided by the absolute value of the maximum drawdown. None if calculation is not possible (e.g., zero or positive maximum drawdown, insufficient data).

win_rate: Option<Decimal>

The percentage of trades that resulted in a profit. Calculated as (Number of Winning Trades / Total Number of Trades). None if there are no trades.

profit_factor: Option<Decimal>

The ratio of the total profit from winning trades to the total loss from losing trades. Calculated as (Gross Profits / Gross Losses). None if there are no losses.

avg_gain: Option<Decimal>

The average profit amount for all winning trades. None if there are no winning trades.

avg_loss: Option<Decimal>

The average loss amount for all losing trades. None if there are no losing trades.

gain_loss_ratio: Option<Decimal>

The ratio of the average gain per trade to the average loss per trade. Calculated as (Average Gain / Average Loss). None if there are no losses or no gains.

Trait Implementations

impl Clone for GeneralPerformanceMetrics

fn clone(&self) -> Self

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for GeneralPerformanceMetrics

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

Formats the value using the given formatter.

impl Default for GeneralPerformanceMetrics

fn default() -> Self

Returns the “default value” for a type.

impl<'de> Deserialize<'de> for GeneralPerformanceMetrics

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

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Serialize for GeneralPerformanceMetrics

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

where __S: Serializer,

Serialize this value into the given Serde serializer.