Struct RiskMetrics 

pub struct RiskMetrics {
    pub sharpe_ratio: Option<f64>,
    pub sortino_ratio: Option<f64>,
    pub calmar_ratio: Option<f64>,
    pub return_on_max_drawdown: Option<f64>,
    pub max_drawdown: f64,
    pub max_drawdown_pct: f64,
    pub max_drawdown_duration_secs: Option<i64>,
}

Risk-adjusted return metrics.

Fields

sharpe_ratio: Option<f64>

Annualized Sharpe ratio. None if fewer than 2 trades.

sortino_ratio: Option<f64>

Annualized Sortino ratio (penalizes only downside). None if fewer than 2 trades or no downside.

calmar_ratio: Option<f64>

Calmar ratio: annualized_return / max_drawdown_pct. None if max_drawdown is zero or duration < 1 day.

return_on_max_drawdown: Option<f64>

total_pnl / max_drawdown. None if max_drawdown is zero.

max_drawdown: f64

Largest peak-to-trough drawdown in absolute terms.

max_drawdown_pct: f64

Largest peak-to-trough drawdown as percentage of peak.

max_drawdown_duration_secs: Option<i64>

Duration of the longest drawdown period (seconds).

Trait Implementations

impl Clone for RiskMetrics

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 RiskMetrics

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

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for RiskMetrics

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

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Serialize for RiskMetrics

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

where __S: Serializer,

Serialize this value into the given Serde serializer.