nautilus_analysis/python/statistics/
cagr.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::cagr::CAGR};
23
24#[pymethods]
25#[pyo3_stub_gen::derive::gen_stub_pymethods]
26impl CAGR {
27    /// Calculates the Compound Annual Growth Rate (CAGR) for returns.
28    ///
29    /// CAGR represents the mean annual growth rate of an investment over a specified period,
30    /// assuming the profits were reinvested at the end of each period.
31    ///
32    /// Formula: CAGR = (Ending Value / Beginning Value)^(Period/Days) - 1
33    ///
34    /// For returns: CAGR = ((1 + Total Return)^(Period/Days)) - 1
35    ///
36    /// # References
37    ///
38    /// - Bacon, C. R. (2008). *Practical Portfolio Performance Measurement and Attribution*
39    ///   (2nd ed.). Wiley.
40    /// - CFA Institute Level I Curriculum: Quantitative Methods
41    #[new]
42    #[pyo3(signature = (period=None))]
43    fn py_new(period: Option<usize>) -> Self {
44        Self::new(period)
45    }
46
47    #[getter]
48    #[pyo3(name = "name")]
49    fn py_name(&self) -> String {
50        self.name()
51    }
52
53    #[pyo3(name = "calculate_from_returns")]
54    #[expect(clippy::needless_pass_by_value)]
55    fn py_calculate_from_returns(&self, raw_returns: BTreeMap<u64, f64>) -> Option<f64> {
56        self.calculate_from_returns(&transform_returns(&raw_returns))
57    }
58
59    #[pyo3(name = "calculate_from_realized_pnls")]
60    fn py_calculate_from_realized_pnls(&self, _realized_pnls: Vec<f64>) -> Option<f64> {
61        None
62    }
63
64    #[pyo3(name = "calculate_from_positions")]
65    fn py_calculate_from_positions(&self, _positions: Vec<Position>) -> Option<f64> {
66        None
67    }
68
69    fn __repr__(&self) -> String {
70        format!("CAGR({})", self.name())
71    }
72}
nautilus_analysis/python/statistics/cagr.rs

nautilus_analysis/python/statistics/
cagr.rs
