nautilus_analysis/python/statistics/
tracking_error.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::tracking_error::TrackingError};
23
24#[pymethods]
25#[pyo3_stub_gen::derive::gen_stub_pymethods]
26impl TrackingError {
27    /// Calculates the tracking error of portfolio returns relative to a benchmark.
28    ///
29    /// Tracking error is the volatility of the active return (portfolio minus benchmark):
30    ///
31    /// `TE = std(active) * sqrt(period)`
32    ///
33    /// where `active_i = portfolio_i - benchmark_i`, `std` uses Bessel's correction
34    /// (`ddof = 1`), and the result is annualized by the square root of the specified period
35    /// (default: 252 trading days).
36    ///
37    /// # References
38    ///
39    /// - Roll, R. (1992). "A Mean/Variance Analysis of Tracking Error".
40    ///   *Journal of Portfolio Management*, 18(4), 13-22.
41    /// - CFA Institute Investment Foundations, 3rd Edition
42    #[new]
43    #[pyo3(signature = (period=None))]
44    fn py_new(period: Option<usize>) -> Self {
45        Self::new(period)
46    }
47
48    fn __repr__(&self) -> String {
49        self.to_string()
50    }
51
52    #[getter]
53    #[pyo3(name = "name")]
54    fn py_name(&self) -> String {
55        self.name()
56    }
57
58    #[pyo3(name = "calculate_from_returns")]
59    fn py_calculate_from_returns(&self, _returns: BTreeMap<u64, f64>) -> Option<f64> {
60        None
61    }
62
63    #[pyo3(name = "calculate_from_realized_pnls")]
64    fn py_calculate_from_realized_pnls(&self, _realized_pnls: Vec<f64>) -> Option<f64> {
65        None
66    }
67
68    #[pyo3(name = "calculate_from_positions")]
69    fn py_calculate_from_positions(&self, _positions: Vec<Position>) -> Option<f64> {
70        None
71    }
72
73    #[pyo3(name = "calculate_from_returns_with_benchmark")]
74    #[expect(clippy::needless_pass_by_value)]
75    fn py_calculate_from_returns_with_benchmark(
76        &self,
77        returns: BTreeMap<u64, f64>,
78        benchmark: BTreeMap<u64, f64>,
79    ) -> Option<f64> {
80        self.calculate_from_returns_with_benchmark(
81            &transform_returns(&returns),
82            &transform_returns(&benchmark),
83        )
84    }
85}
nautilus_analysis/python/statistics/tracking_error.rs

nautilus_analysis/python/statistics/
tracking_error.rs
