Struct ReturnsKurtosis 

#[repr(C)]
pub struct ReturnsKurtosis {}

Calculates the excess kurtosis of portfolio returns.

Kurtosis measures the heaviness of the tails of the return distribution relative to a normal distribution. A positive value indicates fatter tails (more outliers); a negative value indicates thinner tails.

Uses the bias-corrected sample excess kurtosis (adjusted Fisher-Pearson), matching pandas.Series.kurt and Excel KURT. A normal distribution yields 0:

G2 = n(n + 1) / ((n - 1)(n - 2)(n - 3)) * sum(((x - mean) / s)^4) - 3(n - 1)^2 / ((n - 2)(n - 3))

where s is the sample standard deviation (Bessel’s correction, ddof=1). Returns NaN for fewer than four returns or zero dispersion.

References

• Joanes, D. N., & Gill, C. A. (1998). Comparing measures of sample skewness and kurtosis. Journal of the Royal Statistical Society: Series D, 47(1), 183-189.

Implementations

impl ReturnsKurtosis

pub fn new() -> Self

Creates a new ReturnsKurtosis instance.

Trait Implementations

impl Clone for ReturnsKurtosis

fn clone(&self) -> ReturnsKurtosis

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for ReturnsKurtosis

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

Formats the value using the given formatter.

impl Default for ReturnsKurtosis

fn default() -> ReturnsKurtosis

Returns the “default value” for a type.

impl DerefToPyAny for ReturnsKurtosis

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

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 ReturnsKurtosis

type Target = ReturnsKurtosis

The Python output type

type Output = Bound<'py, <ReturnsKurtosis 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 ReturnsKurtosis

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 ReturnsKurtosis

const NAME: &str = "ReturnsKurtosis"

Name of the class.

type Frozen = False

Whether the pyclass is frozen.

impl PyClassImpl for ReturnsKurtosis

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 excess kurtosis of portfolio returns. /// /// Kurtosis measures the heaviness of the tails of the return distribution /// relative to a normal distribution. A positive value indicates fatter tails /// (more outliers); a negative value indicates thinner tails. /// /// Uses the bias-corrected sample excess kurtosis (adjusted Fisher-Pearson), /// matching `pandas.Series.kurt` and Excel `KURT`. A normal distribution yields 0: /// /// `G2 = n(n + 1) / ((n - 1)(n - 2)(n - 3)) * sum(((x - mean) / s)^4) /// - 3(n - 1)^2 / ((n - 2)(n - 3))` /// /// where `s` is the sample standard deviation (Bessel's correction, ddof=1). /// Returns `NaN` for fewer than four returns or zero dispersion. /// /// # References /// /// - Joanes, D. N., & Gill, C. A. (1998). Comparing measures of sample skewness /// and kurtosis. *Journal of the Royal Statistical Society: Series D*, 47(1), 183-189.

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 = <<ReturnsKurtosis as PyClassImpl>::BaseNativeType as PyClassBaseType>::Layout<ReturnsKurtosis>

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 = Pyo3MethodsInventoryForReturnsKurtosis

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 ReturnsKurtosis

const TEXT_SIGNATURE: &'static str = "()"

impl PyStubType for ReturnsKurtosis

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 ReturnsKurtosis

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.