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 pyo3::prelude::*;
19
20use super::transform_returns;
21use crate::{statistic::PortfolioStatistic, statistics::cagr::CAGR};
22
23#[pymethods]
24#[pyo3_stub_gen::derive::gen_stub_pymethods]
25impl CAGR {
26    /// Calculates the Compound Annual Growth Rate (CAGR) for returns.
27    ///
28    /// CAGR represents the mean annual growth rate of an investment over a specified period,
29    /// assuming the profits were reinvested at the end of each period.
30    ///
31    /// Formula: CAGR = (Ending Value / Beginning Value)^(Period/Days) - 1
32    ///
33    /// For returns: CAGR = ((1 + Total Return)^(Period/Days)) - 1
34    #[new]
35    #[pyo3(signature = (period=None))]
36    fn py_new(period: Option<usize>) -> Self {
37        Self::new(period)
38    }
39
40    #[getter]
41    #[pyo3(name = "name")]
42    fn py_name(&self) -> String {
43        self.name()
44    }
45
46    #[pyo3(name = "calculate_from_returns")]
47    #[expect(clippy::needless_pass_by_value)]
48    fn py_calculate_from_returns(&self, raw_returns: BTreeMap<u64, f64>) -> Option<f64> {
49        self.calculate_from_returns(&transform_returns(&raw_returns))
50    }
51
52    #[pyo3(name = "calculate_from_realized_pnls")]
53    fn py_calculate_from_realized_pnls(&self, _realized_pnls: Vec<f64>) -> Option<f64> {
54        None
55    }
56
57    #[pyo3(name = "calculate_from_positions")]
58    fn py_calculate_from_positions(&self, _positions: Vec<Py<PyAny>>) -> Option<f64> {
59        None
60    }
61
62    fn __repr__(&self) -> String {
63        format!("CAGR({})", self.name())
64    }
65}
nautilus_analysis/python/statistics/cagr.rs

nautilus_analysis/python/statistics/
cagr.rs
