Struct UlcerIndex 

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

Calculates the Ulcer Index of portfolio returns.

The Ulcer Index measures downside risk as the root-mean-square of the percentage drawdowns of the cumulative-return equity curve. Unlike volatility it only penalizes downside deviations, and unlike maximum drawdown it accounts for both the depth and the duration of drawdowns.

The equity curve compounds returns from a starting value of 1.0, and each drawdown is measured against the running peak (matching the convention used by MaxDrawdown):

UI = sqrt( mean( D_i^2 ) ), where D_i = (peak_i - equity_i) / peak_i

Drawdowns are expressed as fractions (0.05 = 5%), so the result is on the same scale as MaxDrawdown (the original definition uses percentage points). Returns 0.0 for an empty series.

References

• Martin, P. G., & McCann, B. B. (1989). The Investor’s Guide to Fidelity Funds. Wiley.
• Peter Martin’s Ulcer Index page (https://www.tangotools.com/ui/ui.htm).

Implementations

impl UlcerIndex

pub fn new() -> Self

Creates a new UlcerIndex instance.

Trait Implementations

impl Clone for UlcerIndex

fn clone(&self) -> UlcerIndex

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for UlcerIndex

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

Formats the value using the given formatter.

impl Default for UlcerIndex

fn default() -> UlcerIndex

Returns the “default value” for a type.

impl DerefToPyAny for UlcerIndex

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

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 UlcerIndex

type Target = UlcerIndex

The Python output type

type Output = Bound<'py, <UlcerIndex 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 UlcerIndex

type Item = f64

fn name(&self) -> String

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

fn calculate_from_returns( &self, returns: &BTreeMap<UnixNanos, f64>, ) -> 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 UlcerIndex

const NAME: &str = "UlcerIndex"

Name of the class.

type Frozen = False

Whether the pyclass is frozen.

impl PyClassImpl for UlcerIndex

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 Ulcer Index of portfolio returns. /// /// The Ulcer Index measures downside risk as the root-mean-square of the /// percentage drawdowns of the cumulative-return equity curve. Unlike volatility /// it only penalizes downside deviations, and unlike maximum drawdown it accounts /// for both the depth and the duration of drawdowns. /// /// The equity curve compounds returns from a starting value of `1.0`, and each /// drawdown is measured against the running peak (matching the convention used by /// [`MaxDrawdown`](super::max_drawdown::MaxDrawdown)): /// /// `UI = sqrt( mean( D_i^2 ) )`, where `D_i = (peak_i - equity_i) / peak_i` /// /// Drawdowns are expressed as fractions (`0.05` = 5%), so the result is on the /// same scale as `MaxDrawdown` (the original definition uses percentage points). /// Returns `0.0` for an empty series. /// /// # References /// /// - Martin, P. G., & McCann, B. B. (1989). *The Investor's Guide to Fidelity Funds*. Wiley. /// - Peter Martin's Ulcer Index page (<https://www.tangotools.com/ui/ui.htm>).

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

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 = Pyo3MethodsInventoryForUlcerIndex

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 UlcerIndex

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

impl PyStubType for UlcerIndex

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 UlcerIndex

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.