Module metrics 

GeneralPerformanceMetrics

Purpose: Stores key performance and risk metrics for any trading strategy.

Fields: total_return: Total return over the entire period. annualized_return: Yearly compounded return. volatility: Standard deviation of returns (optional). downside_deviation: Standard deviation of negative returns (optional). sharpe_ratio: Risk-adjusted return vs volatility (optional). sortino_ratio: Risk-adjusted return vs downside risk (optional). calmar_ratio: Annualized return over max drawdown (optional). win_rate: % of winning trades (optional). profit_factor: Gross profits / Gross losses (optional). avg_gain: Average winning trade (optional). avg_loss: Average losing trade (optional). gain_loss_ratio: Avg gain divided by avg loss (optional).

Structs

AdvancedRiskMetrics

Represents a collection of advanced risk metrics for assessing investment performance, focusing on downside risk and tail events beyond simple standard deviation.

BenchmarkComparison

Represents the results of comparing a portfolio’s performance against a specified benchmark.

GeneralPerformanceMetrics

Represents core performance metrics applicable to various trading strategies.

MarketConditionMetrics

Represents metrics related to market conditions observed during a specific period, typically a backtest.

OptionsSpecificMetrics

Represents metrics specifically tailored for evaluating options trading strategies.

RollingMetrics

Represents rolling window metrics calculated over a specific period.