Struct RobustnessEvaluator 

pub struct RobustnessEvaluator { /* private fields */ }

Robustness Score

Based on John Ehlers’ “A Procedure to Evaluate Trading Strategy Robustness”. Robustness is determined by the slope of the net profit as a function of the number of tests run. Score = (NetProfit at midpoint of ranked tests) / (Maximum NetProfit). A score >= 0.75 (75%) indicates a reasonable expectation that out-of-sample performance will be at least 75% of optimized in-sample net profit.

Implementations

impl RobustnessEvaluator

pub fn new() -> Self

pub fn add_test_result(&mut self, net_profit: f64)

pub fn calculate_score(&self) -> f64

Trait Implementations

impl Clone for RobustnessEvaluator

fn clone(&self) -> RobustnessEvaluator

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for RobustnessEvaluator

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

Formats the value using the given formatter.

impl Default for RobustnessEvaluator

fn default() -> RobustnessEvaluator

Returns the “default value” for a type.