nautilus_analysis/python/statistics/
treynor_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::treynor_ratio::TreynorRatio};
22
23#[pymethods]
24#[pyo3_stub_gen::derive::gen_stub_pymethods]
25impl TreynorRatio {
26    /// Calculates the Treynor ratio of portfolio returns relative to a benchmark.
27    ///
28    /// The Treynor ratio measures excess return per unit of systematic risk (beta):
29    ///
30    /// `Treynor = (annualized_return - rf_annual) / beta`
31    ///
32    /// The portfolio's annualized return is computed geometrically (CAGR-style) from the
33    /// aligned returns: `annualized_return = (prod(1 + r_i))^(period / n) - 1`. The
34    /// per-period risk-free rate is annualized geometrically as
35    /// `rf_annual = (1 + rf)^period - 1`. Beta is the sample (`ddof = 1`) beta of the
36    /// portfolio against the benchmark. The period defaults to 252 trading days and `rf`
37    /// defaults to 0.0.
38    ///
39    /// # References
40    ///
41    /// - Treynor, J. L. (1965). "How to Rate Management of Investment Funds".
42    ///   *Harvard Business Review*, 43(1), 63-75.
43    /// - CFA Institute Investment Foundations, 3rd Edition
44    #[new]
45    #[pyo3(signature = (period=None, risk_free_rate=None))]
46    fn py_new(period: Option<usize>, risk_free_rate: Option<f64>) -> Self {
47        Self::new(period, risk_free_rate)
48    }
49
50    fn __repr__(&self) -> String {
51        self.to_string()
52    }
53
54    #[getter]
55    #[pyo3(name = "name")]
56    fn py_name(&self) -> String {
57        self.name()
58    }
59
60    #[pyo3(name = "calculate_from_returns")]
61    fn py_calculate_from_returns(&self, _returns: BTreeMap<u64, f64>) -> Option<f64> {
62        None
63    }
64
65    #[pyo3(name = "calculate_from_realized_pnls")]
66    fn py_calculate_from_realized_pnls(&self, _realized_pnls: Vec<f64>) -> Option<f64> {
67        None
68    }
69
70    #[pyo3(name = "calculate_from_positions")]
71    fn py_calculate_from_positions(&self, _positions: Vec<Py<PyAny>>) -> Option<f64> {
72        None
73    }
74
75    #[pyo3(name = "calculate_from_returns_with_benchmark")]
76    #[expect(clippy::needless_pass_by_value)]
77    fn py_calculate_from_returns_with_benchmark(
78        &self,
79        returns: BTreeMap<u64, f64>,
80        benchmark: BTreeMap<u64, f64>,
81    ) -> Option<f64> {
82        self.calculate_from_returns_with_benchmark(
83            &transform_returns(&returns),
84            &transform_returns(&benchmark),
85        )
86    }
87}
nautilus_analysis/python/statistics/treynor_ratio.rs

nautilus_analysis/python/statistics/
treynor_ratio.rs
