nautilus_analysis/python/statistics/
calmar_ratio.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::calmar_ratio::CalmarRatio};
23
24#[pymethods]
25#[pyo3_stub_gen::derive::gen_stub_pymethods]
26impl CalmarRatio {
27    /// Calculates the Calmar Ratio for returns.
28    ///
29    /// The Calmar Ratio is a function of the fund's average compounded annual rate
30    /// of return versus its maximum drawdown. The higher the Calmar ratio, the better
31    /// it performed on a risk-adjusted basis during the given time frame.
32    ///
33    /// Formula: Calmar Ratio = CAGR / |Max Drawdown|
34    ///
35    /// # References
36    ///
37    /// - Young, T. W. (1991). "Calmar Ratio: A Smoother Tool". *Futures*, 20(1).
38    /// - Bacon, C. R. (2008). *Practical Portfolio Performance Measurement and Attribution*
39    ///   (2nd ed.). Wiley.
40    #[new]
41    #[pyo3(signature = (period=None))]
42    fn py_new(period: Option<usize>) -> Self {
43        Self::new(period)
44    }
45
46    #[getter]
47    #[pyo3(name = "name")]
48    fn py_name(&self) -> String {
49        self.name()
50    }
51
52    #[pyo3(name = "calculate_from_returns")]
53    #[expect(clippy::needless_pass_by_value)]
54    fn py_calculate_from_returns(&self, raw_returns: BTreeMap<u64, f64>) -> Option<f64> {
55        self.calculate_from_returns(&transform_returns(&raw_returns))
56    }
57
58    #[pyo3(name = "calculate_from_realized_pnls")]
59    fn py_calculate_from_realized_pnls(&self, _realized_pnls: Vec<f64>) -> Option<f64> {
60        None
61    }
62
63    #[pyo3(name = "calculate_from_positions")]
64    fn py_calculate_from_positions(&self, _positions: Vec<Position>) -> Option<f64> {
65        None
66    }
67
68    fn __repr__(&self) -> String {
69        format!("CalmarRatio({})", self.name())
70    }
71}
nautilus_analysis/python/statistics/calmar_ratio.rs

nautilus_analysis/python/statistics/
calmar_ratio.rs
