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Metrics

Struct Metrics

pub struct Metrics {Show 17 fields
    pub bars: usize,
    pub initial_capital: f64,
    pub final_equity: f64,
    pub net_profit: f64,
    pub total_return: f64,
    pub annual_return: f64,
    pub max_drawdown: f64,
    pub sharpe: f64,
    pub sortino: f64,
    pub calmar: f64,
    pub trades: usize,
    pub wins: usize,
    pub losses: usize,
    pub win_rate: f64,
    pub profit_factor: f64,
    pub avg_trade: f64,
    pub exposure: f64,
}

Expand description

Standard summary metrics of a run, from Backtest::generate_metrics. Every figure is reported with the context that makes it comparable — returns beside drawdown, wins beside profit factor.

Fields§

§bars: usize

Bars the strategy ran over.

§initial_capital: f64§final_equity: f64§net_profit: f64§total_return: f64

Total return over the run, as a fraction of starting capital.

§annual_return: f64

Return annualised from the window’s length.

§max_drawdown: f64

Largest peak-to-trough fall in close equity, as a fraction of the peak.

§sharpe: f64

Annualised mean return over its standard deviation.

§sortino: f64

As Sharpe, but penalising only downside deviation.

§calmar: f64

Annual return over max drawdown: profit per unit of worst loss.

§trades: usize

Closed trades — winners, losers and breakevens.

§wins: usize§losses: usize§win_rate: f64§profit_factor: f64

Gross profit over gross loss. Below 1.0 loses money.

§avg_trade: f64

Average profit per closed trade.

§exposure: f64

Fraction of bars holding a position; can exceed 1.0 with pyramiding.

Trait Implementations§

impl Clone for Metrics

fn clone(&self) -> Metrics

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

impl Debug for Metrics

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

Formats the value using the given formatter. Read more

Auto Trait Implementations§

impl Freeze for Metrics

impl RefUnwindSafe for Metrics

impl Send for Metrics

impl Sync for Metrics

impl Unpin for Metrics

impl UnsafeUnpin for Metrics

impl UnwindSafe for Metrics

Blanket Implementations§

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

fn type_id(&self) -> TypeId

Gets the TypeId of self. Read more

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

fn borrow(&self) -> &T

Immutably borrows from an owned value. Read more

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

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

Mutably borrows from an owned value. Read more

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

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

impl<T> From<T> for T

fn from(t: T) -> T

Returns the argument unchanged.

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

fn into(self) -> U

Calls U::from(self).

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

impl<T> Same for T

type Output = T

Should always be Self

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

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

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

fn is_in_subset(&self) -> bool

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

fn to_subset_unchecked(&self) -> SS

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

fn from_subset(element: &SS) -> SP

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

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

type Owned = T

The resulting type after obtaining ownership.

fn to_owned(&self) -> T

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

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

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

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

type Error = Infallible

The type returned in the event of a conversion error.

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

Performs the conversion.

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

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

The type returned in the event of a conversion error.

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

Performs the conversion.