Struct RollingMetrics 

pub struct RollingMetrics {
    pub window_size: Positive,
    pub timestamps: Vec<NaiveDateTime>,
    pub rolling_returns: Vec<Decimal>,
    pub rolling_volatility: Vec<Decimal>,
    pub rolling_sharpe: Vec<Decimal>,
    pub rolling_sortino: Vec<Decimal>,
    pub rolling_win_rate: Vec<Decimal>,
}

Represents rolling window metrics calculated over a specific period.

This struct holds various performance metrics calculated using a sliding window approach, allowing for the analysis of how a strategy’s performance characteristics change over time.

Fields

window_size: Positive

The size of the rolling window used for calculations. This indicates the number of data points included in each rolling calculation. It must be a positive value.

timestamps: Vec<NaiveDateTime>

A vector of timestamps corresponding to the end of each rolling window period.

rolling_returns: Vec<Decimal>

A vector of rolling returns calculated for each window.

rolling_volatility: Vec<Decimal>

A vector of rolling volatility (standard deviation of returns) calculated for each window.

rolling_sharpe: Vec<Decimal>

A vector of rolling Sharpe ratios calculated for each window. The Sharpe ratio measures risk-adjusted return, typically using volatility as the risk measure.

rolling_sortino: Vec<Decimal>

A vector of rolling Sortino ratios calculated for each window. The Sortino ratio is similar to the Sharpe ratio but only considers downside volatility.

rolling_win_rate: Vec<Decimal>

A vector of rolling win rates calculated for each window. The win rate represents the percentage of winning trades or periods within the window.

Trait Implementations

impl Clone for RollingMetrics

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 RollingMetrics

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

Formats the value using the given formatter.

impl Default for RollingMetrics

fn default() -> Self

Returns the “default value” for a type.

impl<'de> Deserialize<'de> for RollingMetrics

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

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Serialize for RollingMetrics

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

where __S: Serializer,

Serialize this value into the given Serde serializer.