nautilus_analysis/python/statistics/
alpha.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2026 Nautech Systems Pty Ltd. All rights reserved.
3//  https://nautechsystems.io
4//
5//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
6//  You may not use this file except in compliance with the License.
7//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
8//
9//  Unless required by applicable law or agreed to in writing, software
10//  distributed under the License is distributed on an "AS IS" BASIS,
11//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
12//  See the License for the specific language governing permissions and
13//  limitations under the License.
14// -------------------------------------------------------------------------------------------------
15
16use std::collections::BTreeMap;
17
18use nautilus_model::position::Position;
19use pyo3::prelude::*;
20
21use super::transform_returns;
22use crate::{statistic::PortfolioStatistic, statistics::alpha::Alpha};
23
24#[pymethods]
25#[pyo3_stub_gen::derive::gen_stub_pymethods]
26impl Alpha {
27    /// Calculates Jensen's alpha of portfolio returns relative to a benchmark.
28    ///
29    /// Alpha measures the excess return of a portfolio over the return predicted by its
30    /// beta exposure to the benchmark (CAPM). The per-period alpha is:
31    ///
32    /// `alpha = (mean_portfolio - rf) - beta * (mean_benchmark - rf)`
33    ///
34    /// where `beta` is the sample (`ddof = 1`) beta of the portfolio against the benchmark.
35    /// The per-period alpha is then annualized geometrically over `period` (default 252):
36    ///
37    /// `alpha_annual = (1 + alpha)^period - 1`
38    ///
39    /// The risk-free rate `rf` is specified per period (default 0.0).
40    ///
41    /// # References
42    ///
43    /// - Jensen, M. C. (1968). "The Performance of Mutual Funds in the Period 1945-1964".
44    ///   *Journal of Finance*, 23(2), 389-416.
45    /// - CFA Institute Investment Foundations, 3rd Edition
46    #[new]
47    #[pyo3(signature = (period=None, risk_free_rate=None))]
48    fn py_new(period: Option<usize>, risk_free_rate: Option<f64>) -> Self {
49        Self::new(period, risk_free_rate)
50    }
51
52    fn __repr__(&self) -> String {
53        self.to_string()
54    }
55
56    #[getter]
57    #[pyo3(name = "name")]
58    fn py_name(&self) -> String {
59        self.name()
60    }
61
62    #[pyo3(name = "calculate_from_returns")]
63    fn py_calculate_from_returns(&self, _returns: BTreeMap<u64, f64>) -> Option<f64> {
64        None
65    }
66
67    #[pyo3(name = "calculate_from_realized_pnls")]
68    fn py_calculate_from_realized_pnls(&self, _realized_pnls: Vec<f64>) -> Option<f64> {
69        None
70    }
71
72    #[pyo3(name = "calculate_from_positions")]
73    fn py_calculate_from_positions(&self, _positions: Vec<Position>) -> Option<f64> {
74        None
75    }
76
77    #[pyo3(name = "calculate_from_returns_with_benchmark")]
78    #[expect(clippy::needless_pass_by_value)]
79    fn py_calculate_from_returns_with_benchmark(
80        &self,
81        returns: BTreeMap<u64, f64>,
82        benchmark: BTreeMap<u64, f64>,
83    ) -> Option<f64> {
84        self.calculate_from_returns_with_benchmark(
85            &transform_returns(&returns),
86            &transform_returns(&benchmark),
87        )
88    }
89}
nautilus_analysis/python/statistics/alpha.rs

nautilus_analysis/python/statistics/
alpha.rs
