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 pyo3::prelude::*;
19
20use super::transform_returns;
21use crate::{statistic::PortfolioStatistic, statistics::sharpe_ratio::SharpeRatio};
22
23#[pymethods]
24#[pyo3_stub_gen::derive::gen_stub_pymethods]
25impl SharpeRatio {
26    /// Calculates the Sharpe ratio for portfolio returns.
27    ///
28    /// The Sharpe ratio measures risk-adjusted return and is calculated as:
29    /// `(Mean Return - Risk-free Rate) / Standard Deviation of Returns * sqrt(period)`
30    ///
31    /// This implementation assumes a risk-free rate of 0 and annualizes the ratio
32    /// using the square root of the specified period (default: 252 trading days).
33    ///
34    /// # References
35    ///
36    /// - Sharpe, W. F. (1966). "Mutual Fund Performance". *Journal of Business*, 39(1), 119-138.
37    /// - Sharpe, W. F. (1994). "The Sharpe Ratio". *Journal of Portfolio Management*, 21(1), 49-58.
38    /// - CFA Institute Investment Foundations, 3rd Edition
39    #[new]
40    #[pyo3(signature = (period=None))]
41    fn py_new(period: Option<usize>) -> Self {
42        Self::new(period)
43    }
44
45    fn __repr__(&self) -> String {
46        self.to_string()
47    }
48
49    #[getter]
50    #[pyo3(name = "name")]
51    fn py_name(&self) -> String {
52        self.name()
53    }
54
55    #[pyo3(name = "calculate_from_returns")]
56    #[expect(clippy::needless_pass_by_value)]
57    fn py_calculate_from_returns(&mut self, raw_returns: BTreeMap<u64, f64>) -> Option<f64> {
58        self.calculate_from_returns(&transform_returns(&raw_returns))
59    }
60
61    #[pyo3(name = "calculate_from_realized_pnls")]
62    fn py_calculate_from_realized_pnls(&mut self, _realized_pnls: Vec<f64>) -> Option<f64> {
63        None
64    }
65
66    #[pyo3(name = "calculate_from_positions")]
67    fn py_calculate_from_positions(&mut self, _positions: Vec<Py<PyAny>>) -> Option<f64> {
68        None
69    }
70}
nautilus_analysis/python/statistics/sharpe_ratio.rs

nautilus_analysis/python/statistics/
sharpe_ratio.rs
