Struct TailRatio 

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

Calculates the tail ratio of portfolio returns.

The tail ratio compares the magnitude of the right (gain) tail to the left (loss) tail of the return distribution. It is the absolute ratio of the 95th to the 5th percentile of returns:

TailRatio = | percentile(r, 95) / percentile(r, 5) |

Percentiles use linear interpolation between closest ranks, matching numpy.percentile and pandas.Series.quantile with the default linear method (the convention used by the quantstats tail-ratio definition).

A value greater than 1 indicates a heavier upside tail (gains larger in magnitude than losses); a value below 1 indicates a heavier downside tail. Returns NaN for fewer than two returns or when the 5th percentile is zero.

References

• empyrical tail_ratio (https://github.com/quantopian/empyrical).

Implementations

impl TailRatio

pub fn new() -> Self

Creates a new TailRatio instance.

Trait Implementations

impl Clone for TailRatio

fn clone(&self) -> TailRatio

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for TailRatio

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

Formats the value using the given formatter.

impl Default for TailRatio

fn default() -> TailRatio

Returns the “default value” for a type.

impl DerefToPyAny for TailRatio

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

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 TailRatio

type Target = TailRatio

The Python output type

type Output = Bound<'py, <TailRatio 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 TailRatio

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 TailRatio

const NAME: &str = "TailRatio"

Name of the class.

type Frozen = False

Whether the pyclass is frozen.

impl PyClassImpl for TailRatio

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 tail ratio of portfolio returns. /// /// The tail ratio compares the magnitude of the right (gain) tail to the left /// (loss) tail of the return distribution. It is the absolute ratio of the 95th /// to the 5th percentile of returns: /// /// `TailRatio = | percentile(r, 95) / percentile(r, 5) |` /// /// Percentiles use linear interpolation between closest ranks, matching /// `numpy.percentile` and `pandas.Series.quantile` with the default `linear` /// method (the convention used by the `quantstats` tail-ratio definition). /// /// A value greater than `1` indicates a heavier upside tail (gains larger in /// magnitude than losses); a value below `1` indicates a heavier downside tail. /// Returns `NaN` for fewer than two returns or when the 5th percentile is zero. /// /// # References /// /// - empyrical `tail_ratio` (<https://github.com/quantopian/empyrical>).

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

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 = Pyo3MethodsInventoryForTailRatio

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 TailRatio

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

impl PyStubType for TailRatio

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 TailRatio

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.