nautilus_analysis/statistics/
calmar_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
16//! Calmar Ratio statistic.
17
18use std::collections::BTreeMap;
19
20use nautilus_core::UnixNanos;
21
22use crate::{
23    statistic::PortfolioStatistic,
24    statistics::{cagr::CAGR, max_drawdown::MaxDrawdown},
25};
26
27/// Calculates the Calmar Ratio for returns.
28///
29/// The Calmar Ratio is a function of the fund's average compounded annual rate
30/// of return versus its maximum drawdown. The higher the Calmar ratio, the better
31/// it performed on a risk-adjusted basis during the given time frame.
32///
33/// Formula: Calmar Ratio = CAGR / |Max Drawdown|
34///
35/// Reference: Young, T. W. (1991). "Calmar Ratio: A Smoother Tool". Futures, 20(1).
36#[repr(C)]
37#[derive(Debug, Clone)]
38#[cfg_attr(
39    feature = "python",
40    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.analysis", from_py_object)
41)]
42#[cfg_attr(
43    feature = "python",
44    pyo3_stub_gen::derive::gen_stub_pyclass(module = "nautilus_trader.analysis")
45)]
46pub struct CalmarRatio {
47    /// The number of periods per year for CAGR calculation (e.g., 252 for trading days).
48    pub period: usize,
49}
50
51impl CalmarRatio {
52    /// Creates a new [`CalmarRatio`] instance.
53    #[must_use]
54    pub fn new(period: Option<usize>) -> Self {
55        Self {
56            period: period.unwrap_or(252),
57        }
58    }
59}
60
61impl PortfolioStatistic for CalmarRatio {
62    type Item = f64;
63
64    fn name(&self) -> String {
65        format!("Calmar Ratio ({} days)", self.period)
66    }
67
68    fn calculate_from_returns(&self, returns: &BTreeMap<UnixNanos, f64>) -> Option<Self::Item> {
69        if returns.is_empty() {
70            return Some(f64::NAN);
71        }
72
73        // Calculate CAGR
74        let cagr_stat = CAGR::new(Some(self.period));
75        let cagr = cagr_stat.calculate_from_returns(returns)?;
76
77        // Calculate Max Drawdown
78        let max_dd_stat = MaxDrawdown::new();
79        let max_dd = max_dd_stat.calculate_from_returns(returns)?;
80
81        // Calmar = CAGR / |Max Drawdown|
82        // Max Drawdown is already negative, so we use abs
83        // When no drawdown exists, the ratio is undefined
84        if max_dd.abs() < f64::EPSILON {
85            return Some(f64::NAN);
86        }
87
88        let calmar = cagr / max_dd.abs();
89
90        if calmar.is_finite() {
91            Some(calmar)
92        } else {
93            Some(f64::NAN)
94        }
95    }
96}
97
98#[cfg(test)]
99mod tests {
100    use rstest::rstest;
101
102    use super::*;
103
104    fn create_returns(values: &[f64]) -> BTreeMap<UnixNanos, f64> {
105        let mut returns = BTreeMap::new();
106        let nanos_per_day = 86_400_000_000_000;
107        let start_time = 1_600_000_000_000_000_000;
108
109        for (i, &value) in values.iter().enumerate() {
110            let timestamp = start_time + i as u64 * nanos_per_day;
111            returns.insert(UnixNanos::from(timestamp), value);
112        }
113
114        returns
115    }
116
117    #[rstest]
118    fn test_name() {
119        let ratio = CalmarRatio::new(Some(252));
120        assert_eq!(ratio.name(), "Calmar Ratio (252 days)");
121    }
122
123    #[rstest]
124    fn test_empty_returns() {
125        let ratio = CalmarRatio::new(Some(252));
126        let returns = BTreeMap::new();
127        let result = ratio.calculate_from_returns(&returns);
128        assert!(result.is_some());
129        assert!(result.unwrap().is_nan());
130    }
131
132    #[rstest]
133    fn test_no_drawdown() {
134        let ratio = CalmarRatio::new(Some(252));
135        // Only positive returns, no drawdown
136        let returns = create_returns(&vec![0.01; 252]);
137        let result = ratio.calculate_from_returns(&returns);
138
139        // Should be NaN when no drawdown (undefined ratio)
140        assert!(result.is_some());
141        assert!(result.unwrap().is_nan());
142    }
143
144    #[rstest]
145    fn test_positive_ratio() {
146        let ratio = CalmarRatio::new(Some(252));
147        // Simulate a year with 20% CAGR and 10% max drawdown
148        // Daily return for 20% annual: (1.20)^(1/252) - 1
149        let mut returns_vec = vec![0.001; 200]; // Small positive returns
150        // Add a drawdown period
151        returns_vec.extend(vec![-0.002; 52]); // Small negative returns
152
153        let returns = create_returns(&returns_vec);
154        let result = ratio.calculate_from_returns(&returns).unwrap();
155
156        // Calmar should be positive (CAGR / |Max DD|)
157        assert!(result > 0.0);
158    }
159
160    #[rstest]
161    fn test_high_calmar_better() {
162        let ratio = CalmarRatio::new(Some(252));
163
164        // Strategy A: Higher return, same drawdown
165        let returns_a = create_returns(&vec![0.002; 252]);
166        let calmar_a = ratio.calculate_from_returns(&returns_a);
167
168        // Strategy B: Lower return
169        let returns_b = create_returns(&vec![0.001; 252]);
170        let calmar_b = ratio.calculate_from_returns(&returns_b);
171
172        // Higher CAGR should give higher Calmar (assuming same drawdown pattern)
173        // This test just verifies both calculate successfully
174        assert!(calmar_a.is_some());
175        assert!(calmar_b.is_some());
176    }
177}
nautilus_analysis/statistics/calmar_ratio.rs

nautilus_analysis/statistics/
calmar_ratio.rs
