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 pyo3::prelude::*;
19
20use super::transform_returns;
21use crate::{statistic::PortfolioStatistic, statistics::calmar_ratio::CalmarRatio};
22
23#[pymethods]
24#[pyo3_stub_gen::derive::gen_stub_pymethods]
25impl CalmarRatio {
26    /// Calculates the Calmar Ratio for returns.
27    ///
28    /// The Calmar Ratio is a function of the fund's average compounded annual rate
29    /// of return versus its maximum drawdown. The higher the Calmar ratio, the better
30    /// it performed on a risk-adjusted basis during the given time frame.
31    ///
32    /// Formula: Calmar Ratio = CAGR / |Max Drawdown|
33    ///
34    /// Reference: Young, T. W. (1991). "Calmar Ratio: A Smoother Tool". Futures, 20(1).
35    #[new]
36    #[pyo3(signature = (period=None))]
37    fn py_new(period: Option<usize>) -> Self {
38        Self::new(period)
39    }
40
41    #[getter]
42    #[pyo3(name = "name")]
43    fn py_name(&self) -> String {
44        self.name()
45    }
46
47    #[pyo3(name = "calculate_from_returns")]
48    #[expect(clippy::needless_pass_by_value)]
49    fn py_calculate_from_returns(&self, raw_returns: BTreeMap<u64, f64>) -> Option<f64> {
50        self.calculate_from_returns(&transform_returns(&raw_returns))
51    }
52
53    #[pyo3(name = "calculate_from_realized_pnls")]
54    fn py_calculate_from_realized_pnls(&self, _realized_pnls: Vec<f64>) -> Option<f64> {
55        None
56    }
57
58    #[pyo3(name = "calculate_from_positions")]
59    fn py_calculate_from_positions(&self, _positions: Vec<Py<PyAny>>) -> Option<f64> {
60        None
61    }
62
63    fn __repr__(&self) -> String {
64        format!("CalmarRatio({})", self.name())
65    }
66}
nautilus_analysis/python/statistics/calmar_ratio.rs

nautilus_analysis/python/statistics/
calmar_ratio.rs
