Struct DrawdownAnalysis 

pub struct DrawdownAnalysis {
    pub max_drawdown: Decimal,
    pub max_drawdown_duration: Positive,
    pub recovery_duration: Option<Positive>,
    pub time_to_max_drawdown: Positive,
    pub drawdowns: Vec<DrawdownEvent>,
    pub avg_drawdown: Decimal,
    pub avg_recovery_time: Option<Positive>,
    pub total_underwater_days: Positive,
    pub underwater_percentage: Decimal,
}

Represents a comprehensive analysis of drawdown periods within a financial time series.

Drawdown refers to the decline from a historical peak in some variable, typically the cumulative profit or total value of a financial portfolio or instrument. This struct aggregates various metrics related to drawdowns observed over the analyzed period.

Fields

max_drawdown: Decimal

The magnitude of the largest single drawdown observed during the analysis period. This is typically expressed as a positive decimal representing the percentage loss from the peak to the subsequent trough (e.g., 0.1 for a 10% loss).

max_drawdown_duration: Positive

The duration from the peak to the trough of the maximum drawdown event. Represented as a positive value (e.g., number of days).

recovery_duration: Option<Positive>

The time it took for the value to recover from the trough of the maximum drawdown back to the level of its preceding peak. This is None if recovery did not occur by the end of the analysis period.

time_to_max_drawdown: Positive

The duration from the beginning of the analysis period until the peak that preceded the maximum drawdown event.

drawdowns: Vec<DrawdownEvent>

A vector containing details of every individual drawdown event identified during the analysis period. See DrawdownEvent for details.

avg_drawdown: Decimal

The average magnitude of all drawdown events recorded in drawdowns.

avg_recovery_time: Option<Positive>

The average time it took to recover from the trough back to the preceding peak across all drawdown events that achieved recovery within the analysis period. This is None if no drawdowns recovered.

total_underwater_days: Positive

The total duration (e.g., number of days) the analyzed value spent below a previously established peak (“underwater”).

underwater_percentage: Decimal

The percentage of the total analysis duration that the value spent underwater. Calculated as total_underwater_days divided by the total duration of the analysis period.

Trait Implementations

impl Clone for DrawdownAnalysis

fn clone(&self) -> DrawdownAnalysis

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for DrawdownAnalysis

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

Formats the value using the given formatter.

impl Default for DrawdownAnalysis

fn default() -> DrawdownAnalysis

Returns the “default value” for a type.

impl<'de> Deserialize<'de> for DrawdownAnalysis

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

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Serialize for DrawdownAnalysis

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

where __S: Serializer,

Serialize this value into the given Serde serializer.