Struct RollingWindow 

pub struct RollingWindow { /* private fields */ }

Rolling window calculator for time-series metrics.

Example

use quant_metrics::RollingWindow;
use rust_decimal_macros::dec;

let equity = vec![dec!(100), dec!(101), dec!(102), dec!(101), dec!(103), dec!(105)];
let rolling = RollingWindow::new(3);

let returns = rolling.returns(&equity).unwrap();
let volatility = rolling.volatility(&equity).unwrap();

Implementations

impl RollingWindow

pub fn new(window_size: usize) -> Self

Create a new rolling window calculator.

Arguments

• window_size - Number of periods in the window

pub fn returns(&self, equity: &[Decimal]) -> Result<Vec<Decimal>, MetricsError>

Calculate rolling returns.

Returns the period return for each window.

pub fn volatility( &self, equity: &[Decimal], ) -> Result<Vec<Decimal>, MetricsError>

Calculate rolling volatility (standard deviation of returns).

pub fn sharpe( &self, equity: &[Decimal], risk_free_rate: Decimal, periods_per_year: u32, ) -> Result<Vec<Decimal>, MetricsError>

Calculate rolling Sharpe ratio.

Arguments

• equity - Equity curve
• risk_free_rate - Annual risk-free rate
• periods_per_year - Trading periods per year

pub fn max_drawdown( &self, equity: &[Decimal], ) -> Result<Vec<Decimal>, MetricsError>

Calculate rolling maximum drawdown.