Crate quant_metrics 

Pure performance statistics library for trading.

All functions are pure math - no I/O, no async, WASM-compatible.

Example

use quant_metrics::{total_return, sharpe_ratio, max_drawdown};
use rust_decimal_macros::dec;

let equity = vec![dec!(10000), dec!(10150), dec!(10230), dec!(10080), dec!(10350)];
let rf_rate = dec!(0.02); // 2% annual risk-free rate

let ret = total_return(&equity);
let sharpe = sharpe_ratio(&equity, rf_rate, 252); // 252 trading days
let max_dd = max_drawdown(&equity);

Modules

analytics

Portfolio analytics: attribution, correlation, diversification, tail risk.

cointegration

Engle-Granger cointegration test and pair-trading statistics.

composition

Portfolio composition — weighted return aggregation.

risk_metrics

Value at Risk and Conditional Value at Risk calculations.

Structs

KellyFraction

A validated Kelly fraction in the range [0.0, 1.0].

RollingWindow

Rolling window calculator for time-series metrics.

Enums

KellyMode

Kelly sizing mode — controls what fraction of the theoretical optimum to use.

MetricsError

Errors that can occur during metrics calculations.

Functions

annualized_return

Calculate annualized return from period return.

avg_loss

Calculate average losing trade.

avg_win

Calculate average winning trade.

cagr

Calculate Compound Annual Growth Rate (CAGR).

calmar_ratio

Calculate Calmar ratio.

compute_kelly_fraction

Compute the Kelly fraction for given trade statistics.

compute_kelly_inputs

Compute Kelly inputs (win rate as fraction, reward ratio, trade count) from PnL values.

drawdown_series

Calculate drawdown at each point in the equity curve.

expectancy

Calculate expectancy (expected value per trade).

information_ratio

Calculate Information Ratio.

max_drawdown

Calculate maximum drawdown as a percentage.

max_drawdown_duration

Calculate maximum drawdown duration in periods.

profit_factor

Calculate profit factor.

recovery_time

Calculate time to recover from maximum drawdown in periods.

sharpe_ratio

Calculate Sharpe ratio.

sortino_ratio

Calculate Sortino ratio.

total_return

Calculate total return as a percentage.

win_rate

Calculate win rate as a percentage.