Struct OmegaRatio 

pub struct OmegaRatio { /* private fields */ }

Calculates the Omega ratio of portfolio returns.

The Omega ratio is the ratio of probability-weighted gains to losses relative to a return threshold θ. It captures the entire return distribution (all moments), unlike the Sharpe ratio which only uses the first two:

Omega(θ) = sum(max(r - θ, 0)) / sum(max(θ - r, 0))

The threshold θ defaults to 0 (gains vs losses about zero). A value above 1 means gains above the threshold outweigh losses below it. Returns NaN for an empty series, or when there are no returns below the threshold (the ratio is undefined).

References

• Keating, C., & Shadwick, W. F. (2002). “A Universal Performance Measure”. Journal of Performance Measurement, 6(3), 59-84.

Implementations

impl OmegaRatio

pub fn new_checked(threshold: Option<f64>) -> Result<Self>

Creates a new checked OmegaRatio instance.

Errors

Returns an error if threshold is not finite.

pub fn new(threshold: Option<f64>) -> Self

Creates a new OmegaRatio instance.

Panics

Panics if threshold is not finite.

Trait Implementations

impl Clone for OmegaRatio

fn clone(&self) -> OmegaRatio

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for OmegaRatio

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

Formats the value using the given formatter.

impl DerefToPyAny for OmegaRatio

impl Display for OmegaRatio

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

Formats the value using the given formatter.

impl<'a, 'py> FromPyObject<'a, 'py> for OmegaRatio

where Self: Clone,

type Error = PyClassGuardError<'a, 'py>

The type returned in the event of a conversion error.

fn extract( obj: Borrowed<'a, 'py, PyAny>, ) -> Result<Self, <Self as FromPyObject<'a, 'py>>::Error>

Extracts Self from the bound smart pointer obj.

impl<'py> IntoPyObject<'py> for OmegaRatio

type Target = OmegaRatio

The Python output type

type Output = Bound<'py, <OmegaRatio as IntoPyObject<'py>>::Target>

The smart pointer type to use.

type Error = PyErr

The type returned in the event of a conversion error.

fn into_pyobject( self, py: Python<'py>, ) -> Result<<Self as IntoPyObject<'_>>::Output, <Self as IntoPyObject<'_>>::Error>

Performs the conversion.

impl PortfolioStatistic for OmegaRatio

type Item = f64

fn name(&self) -> String

Returns the name of this statistic for display and identification purposes.

fn calculate_from_returns(&self, raw_returns: &Returns) -> Option<Self::Item>

Calculates the statistic from time-indexed returns data.

fn calculate_from_realized_pnls( &self, _realized_pnls: &[f64], ) -> Option<Self::Item>

Calculates the statistic from realized profit and loss values.

fn calculate_from_positions( &self, _positions: &[Position], ) -> Option<Self::Item>

Calculates the statistic from position data.

fn calculate_from_orders( &self, orders: Vec<Box<dyn Order>>, ) -> Option<Self::Item>

Calculates the statistic from order data.

fn calculate_from_returns_with_benchmark( &self, returns: &Returns, benchmark: &Returns, ) -> Option<Self::Item>

Calculates the statistic from time-indexed strategy returns relative to a benchmark.

fn align_returns(&self, a: &Returns, b: &Returns) -> (Vec<f64>, Vec<f64>)

Aligns two returns series onto a common daily grid.

fn check_valid_returns(&self, returns: &Returns) -> bool

Validates that returns data is not empty.

fn downsample_to_daily_bins(&self, returns: &Returns) -> Returns

Downsamples high-frequency returns to daily bins by geometric compounding.

fn calculate_std(&self, returns: &Returns) -> f64

Calculates the standard deviation of returns with Bessel’s correction.

impl PyClass for OmegaRatio

const NAME: &str = "OmegaRatio"

Name of the class.

type Frozen = False

Whether the pyclass is frozen.

impl PyClassImpl for OmegaRatio

const MODULE: Option<&str>

Module which the class will be associated with.

const IS_BASETYPE: bool = false

#[pyclass(subclass)]

const IS_SUBCLASS: bool = false

#[pyclass(extends=…)]

const IS_MAPPING: bool = false

#[pyclass(mapping)]

const IS_SEQUENCE: bool = false

#[pyclass(sequence)]

const IS_IMMUTABLE_TYPE: bool = false

#[pyclass(immutable_type)]

const RAW_DOC: &'static CStr = /// Calculates the Omega ratio of portfolio returns. /// /// The Omega ratio is the ratio of probability-weighted gains to losses relative /// to a return threshold `θ`. It captures the entire return distribution (all /// moments), unlike the Sharpe ratio which only uses the first two: /// /// `Omega(θ) = sum(max(r - θ, 0)) / sum(max(θ - r, 0))` /// /// The threshold `θ` defaults to `0` (gains vs losses about zero). A value above /// `1` means gains above the threshold outweigh losses below it. Returns `NaN` /// for an empty series, or when there are no returns below the threshold (the /// ratio is undefined). /// /// # References /// /// - Keating, C., & Shadwick, W. F. (2002). "A Universal Performance Measure". /// *Journal of Performance Measurement*, 6(3), 59-84.

Docstring for the class provided on the struct or enum.

const DOC: &'static CStr

Fully rendered class doc, including the text_signature if a constructor is defined.

type Layout = <<OmegaRatio as PyClassImpl>::BaseNativeType as PyClassBaseType>::Layout<OmegaRatio>

Description of how this class is laid out in memory

type BaseType = PyAny

Base class

type ThreadChecker = NoopThreadChecker

This handles following two situations:

type Inventory = Pyo3MethodsInventoryForOmegaRatio

type PyClassMutability = <<PyAny as PyClassBaseType>::PyClassMutability as PyClassMutability>::MutableChild

Immutable or mutable

type Dict = PyClassDummySlot

Specify this class has #[pyclass(dict)] or not.

type WeakRef = PyClassDummySlot

Specify this class has #[pyclass(weakref)] or not.

type BaseNativeType = PyAny

The closest native ancestor. This is PyAny by default, and when you declare #[pyclass(extends=PyDict)], it’s PyDict.

fn items_iter() -> PyClassItemsIter

fn lazy_type_object() -> &'static LazyTypeObject<Self>

fn dict_offset() -> Option<PyObjectOffset>

Used to provide the dictoffset slot (equivalent to tp_dictoffset)

fn weaklist_offset() -> Option<PyObjectOffset>

Used to provide the weaklistoffset slot (equivalent to tp_weaklistoffset

impl PyClassNewTextSignature for OmegaRatio

const TEXT_SIGNATURE: &'static str = "(threshold=None)"

impl PyStubType for OmegaRatio

fn type_output() -> TypeInfo

The type to be used in the output signature, i.e. return type of the Python function or methods.

fn type_input() -> TypeInfo

The type to be used in the input signature, i.e. the arguments of the Python function or methods.

impl PyTypeInfo for OmegaRatio

const NAME: &str = <Self as ::pyo3::PyClass>::NAME

👎Deprecated since 0.28.0:

prefer using ::type_object(py).name() to get the correct runtime value

Class name.

const MODULE: Option<&str> = <Self as ::pyo3::impl_::pyclass::PyClassImpl>::MODULE

👎Deprecated since 0.28.0:

prefer using ::type_object(py).module() to get the correct runtime value

Module name, if any.

fn type_object_raw(py: Python<'_>) -> *mut PyTypeObject

Returns the PyTypeObject instance for this type.

fn type_object(py: Python<'_>) -> Bound<'_, PyType>

Returns the safe abstraction over the type object.

fn is_type_of(object: &Bound<'_, PyAny>) -> bool

Checks if object is an instance of this type or a subclass of this type.

fn is_exact_type_of(object: &Bound<'_, PyAny>) -> bool

Checks if object is an instance of this type.