nautilus_analysis/python/statistics/
sharpe_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::sharpe_ratio::SharpeRatio};
23
24#[pymethods]
25#[pyo3_stub_gen::derive::gen_stub_pymethods]
26impl SharpeRatio {
27    /// Calculates the Sharpe ratio for portfolio returns.
28    ///
29    /// The Sharpe ratio measures risk-adjusted return and is calculated as:
30    /// `(Mean Return - Risk-free Rate) / Standard Deviation of Returns * sqrt(period)`
31    ///
32    /// This implementation assumes a risk-free rate of 0 and annualizes the ratio
33    /// using the square root of the specified period (default: 252 trading days).
34    ///
35    /// # References
36    ///
37    /// - Sharpe, W. F. (1966). "Mutual Fund Performance". *Journal of Business*, 39(1), 119-138.
38    /// - Sharpe, W. F. (1994). "The Sharpe Ratio". *Journal of Portfolio Management*, 21(1), 49-58.
39    /// - CFA Institute Investment Foundations, 3rd Edition
40    #[new]
41    #[pyo3(signature = (period=None))]
42    fn py_new(period: Option<usize>) -> Self {
43        Self::new(period)
44    }
45
46    fn __repr__(&self) -> String {
47        self.to_string()
48    }
49
50    #[getter]
51    #[pyo3(name = "name")]
52    fn py_name(&self) -> String {
53        self.name()
54    }
55
56    #[pyo3(name = "calculate_from_returns")]
57    #[expect(clippy::needless_pass_by_value)]
58    fn py_calculate_from_returns(&mut self, raw_returns: BTreeMap<u64, f64>) -> Option<f64> {
59        self.calculate_from_returns(&transform_returns(&raw_returns))
60    }
61
62    #[pyo3(name = "calculate_from_realized_pnls")]
63    fn py_calculate_from_realized_pnls(&mut self, _realized_pnls: Vec<f64>) -> Option<f64> {
64        None
65    }
66
67    #[pyo3(name = "calculate_from_positions")]
68    fn py_calculate_from_positions(&mut self, _positions: Vec<Position>) -> Option<f64> {
69        None
70    }
71}
nautilus_analysis/python/statistics/sharpe_ratio.rs

nautilus_analysis/python/statistics/
sharpe_ratio.rs
