nautilus_analysis/python/statistics/
ulcer_index.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::ulcer_index::UlcerIndex};
23
24#[pymethods]
25#[pyo3_stub_gen::derive::gen_stub_pymethods]
26impl UlcerIndex {
27    /// Calculates the Ulcer Index of portfolio returns.
28    ///
29    /// The Ulcer Index measures downside risk as the root-mean-square of the
30    /// percentage drawdowns of the cumulative-return equity curve. Unlike volatility
31    /// it only penalizes downside deviations, and unlike maximum drawdown it accounts
32    /// for both the depth and the duration of drawdowns.
33    ///
34    /// The equity curve compounds returns from a starting value of `1.0`, and each
35    /// drawdown is measured against the running peak (matching the convention used by
36    /// `MaxDrawdown`):
37    ///
38    /// `UI = sqrt( mean( D_i^2 ) )`, where `D_i = (peak_i - equity_i) / peak_i`
39    ///
40    /// Drawdowns are expressed as fractions (`0.05` = 5%), so the result is on the
41    /// same scale as `MaxDrawdown` (the original definition uses percentage points).
42    /// Returns `0.0` for an empty series.
43    ///
44    /// # References
45    ///
46    /// - Martin, P. G., & McCann, B. B. (1989). *The Investor's Guide to Fidelity Funds*. Wiley.
47    /// - Peter Martin's Ulcer Index page (<https://www.tangotools.com/ui/ui.htm>).
48    #[expect(
49        clippy::doc_markdown,
50        reason = "citation contains proper nouns with intra-word capitals"
51    )]
52    #[new]
53    fn py_new() -> Self {
54        Self::new()
55    }
56
57    fn __repr__(&self) -> String {
58        self.name()
59    }
60
61    #[getter]
62    #[pyo3(name = "name")]
63    fn py_name(&self) -> String {
64        self.name()
65    }
66
67    #[pyo3(name = "calculate_from_returns")]
68    #[expect(clippy::needless_pass_by_value)]
69    fn py_calculate_from_returns(&mut self, raw_returns: BTreeMap<u64, f64>) -> Option<f64> {
70        self.calculate_from_returns(&transform_returns(&raw_returns))
71    }
72
73    #[pyo3(name = "calculate_from_realized_pnls")]
74    fn py_calculate_from_realized_pnls(&mut self, _realized_pnls: Vec<f64>) -> Option<f64> {
75        None
76    }
77
78    #[pyo3(name = "calculate_from_positions")]
79    fn py_calculate_from_positions(&mut self, _positions: Vec<Position>) -> Option<f64> {
80        None
81    }
82}
nautilus_analysis/python/statistics/ulcer_index.rs

nautilus_analysis/python/statistics/
ulcer_index.rs
