Skip to main content

OptionsSpecificMetrics

optionstratlib::backtesting::metrics

Struct OptionsSpecificMetrics 

Source 
pub struct OptionsSpecificMetrics {
Show 16 fields
    pub return_on_margin: Option<Decimal>,
    pub return_on_premium: Option<Decimal>,
    pub premium_capture: Option<Decimal>,
    pub avg_delta_exposure: Option<Decimal>,
    pub avg_gamma_exposure: Option<Decimal>,
    pub avg_theta_exposure: Option<Decimal>,
    pub avg_vega_exposure: Option<Decimal>,
    pub avg_vanna_exposure: Option<Decimal>,
    pub avg_vomma_exposure: Option<Decimal>,
    pub avg_veta_exposure: Option<Decimal>,
    pub avg_charm_exposure: Option<Decimal>,
    pub avg_color_exposure: Option<Decimal>,
    pub calls_percentage: Option<Decimal>,
    pub puts_percentage: Option<Decimal>,
    pub long_percentage: Option<Decimal>,
    pub short_percentage: Option<Decimal>,

}
Expand description

Represents metrics specifically tailored for evaluating options trading strategies.

This struct encapsulates various performance and risk exposure metrics that are particularly relevant when analyzing strategies involving options contracts.

Fields§

§return_on_margin: Option<Decimal>

The return generated based on the margin required to maintain the positions. Calculated as Total PnL / Maximum Margin Used.

§return_on_premium: Option<Decimal>

The return generated based on the net premium received or paid for the options. Calculated as Total PnL / Net Premium.

§premium_capture: Option<Decimal>

The percentage of the initial potential profit (net premium for short strategies) that was actually realized. Calculated as Actual PnL / Initial Potential Profit. Relevant primarily for premium selling strategies.

§avg_delta_exposure: Option<Decimal>

The average sensitivity of the portfolio’s value to changes in the underlying asset’s price (Delta).

§avg_gamma_exposure: Option<Decimal>

The average rate of change of the portfolio’s Delta with respect to the underlying asset’s price (Gamma).

§avg_theta_exposure: Option<Decimal>

The average sensitivity of the portfolio’s value to the passage of time (Theta). Represents the daily time decay.

§avg_vega_exposure: Option<Decimal>

The average sensitivity of the portfolio’s value to changes in the implied volatility of the underlying asset (Vega).

§avg_vanna_exposure: Option<Decimal>

The average sensitivity of the portfolio’s Delta to changes in the implied volatility of the underlying asset (Vanna).

§avg_vomma_exposure: Option<Decimal>

The average sensitivity of the portfolio’s Vega to changes in the implied volatility of the underlying asset (Vomma).

§avg_veta_exposure: Option<Decimal>

The average sensitivity of the portfolio’s Vega to the passage of time (Veta).

§avg_charm_exposure: Option<Decimal>

The average sensitivity of the portfolio’s Delta to the passage of time (Charm).

§avg_color_exposure: Option<Decimal>

The average sensitivity of the portfolio’s Gamma to the passage of time (Color).

§calls_percentage: Option<Decimal>

The percentage of trades or positions involving call options.

§puts_percentage: Option<Decimal>

The percentage of trades or positions involving put options.

§long_percentage: Option<Decimal>

The percentage of trades or positions that are long options (bought).

§short_percentage: Option<Decimal>

The percentage of trades or positions that are short options (sold/written).

Trait Implementations§

Source§

impl Clone for OptionsSpecificMetrics

Source§

fn clone(&self) -> OptionsSpecificMetrics

Returns a duplicate of the value. Read more
1.0.0 (const: unstable) · Source§

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

Performs copy-assignment from source. Read more
Source§

impl Debug for OptionsSpecificMetrics

Source§

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

Formats the value using the given formatter. Read more
Source§

impl Default for OptionsSpecificMetrics

Source§

fn default() -> OptionsSpecificMetrics

Returns the “default value” for a type. Read more
Source§

impl<'de> Deserialize<'de> for OptionsSpecificMetrics

Source§

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

Deserialize this value from the given Serde deserializer. Read more
Source§

impl Serialize for OptionsSpecificMetrics

Source§

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

Serialize this value into the given Serde serializer. Read more

Auto Trait Implementations§

Blanket Implementations§

Source§

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

Source§

fn type_id(&self) -> TypeId

Gets the TypeId of self. Read more
Source§

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

Source§

fn borrow(&self) -> &T

Immutably borrows from an owned value. Read more
Source§

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

Source§

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

Mutably borrows from an owned value. Read more
Source§

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

Source§

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

🔬This is a nightly-only experimental API. (clone_to_uninit)
Performs copy-assignment from self to dest. Read more
Source§

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

Source§

impl<T> From<T> for T

Source§

fn from(t: T) -> T

Returns the argument unchanged.

Source§

impl<T> Instrument for T

Source§

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

Instruments this type with the provided Span, returning an Instrumented wrapper. Read more
Source§

fn in_current_span(self) -> Instrumented<Self>

Instruments this type with the current Span, returning an Instrumented wrapper. Read more
Source§

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

Source§

fn into(self) -> U

Calls U::from(self).

That is, this conversion is whatever the implementation of From<T> for U chooses to do.

Source§

impl<T> IntoEither for T

Source§

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

Converts self into a Left variant of Either<Self, Self> if into_left is true. Converts self into a Right variant of Either<Self, Self> otherwise. Read more
Source§

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

Converts self into a Left variant of Either<Self, Self> if into_left(&self) returns true. Converts self into a Right variant of Either<Self, Self> otherwise. Read more
Source§

impl<T> Pointable for T

Source§

const ALIGN: usize

The alignment of pointer.
Source§

type Init = T

The type for initializers.
Source§

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

Initializes a with the given initializer. Read more
Source§

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

Dereferences the given pointer. Read more
Source§

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

Mutably dereferences the given pointer. Read more
Source§

unsafe fn drop(ptr: usize)

Drops the object pointed to by the given pointer. Read more
Source§

impl<T> Same for T

Source§

type Output = T

Should always be Self
Source§

impl<SS, SP> SupersetOf<SS> for SP
where SS: SubsetOf<SP>,

Source§

fn to_subset(&self) -> Option<SS>

The inverse inclusion map: attempts to construct self from the equivalent element of its superset. Read more
Source§

fn is_in_subset(&self) -> bool

Checks if self is actually part of its subset T (and can be converted to it).
Source§

fn to_subset_unchecked(&self) -> SS

Use with care! Same as self.to_subset but without any property checks. Always succeeds.
Source§

fn from_subset(element: &SS) -> SP

The inclusion map: converts self to the equivalent element of its superset.
Source§

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

Source§

type Owned = T

The resulting type after obtaining ownership.
Source§

fn to_owned(&self) -> T

Creates owned data from borrowed data, usually by cloning. Read more
Source§

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

Uses borrowed data to replace owned data, usually by cloning. Read more
Source§

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

Source§

type Error = Infallible

The type returned in the event of a conversion error.
Source§

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

Performs the conversion.
Source§

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

Source§

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

The type returned in the event of a conversion error.
Source§

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

Performs the conversion.
Source§

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

Source§

fn vzip(self) -> V

Source§

impl<T> WithSubscriber for T

Source§

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

Attaches the provided Subscriber to this type, returning a WithDispatch wrapper. Read more
Source§

fn with_current_subscriber(self) -> WithDispatch<Self>

Attaches the current default Subscriber to this type, returning a WithDispatch wrapper. Read more