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BacktestResult

engine::backtest

Struct BacktestResult 

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pub struct BacktestResult {
Show 21 fields
    pub total_return: f64,
    pub annualized_return: f64,
    pub volatility: f64,
    pub sharpe_ratio: f64,
    pub sortino_ratio: f64,
    pub max_drawdown: f64,
    pub total_trades: usize,
    pub final_equity: f64,
    pub mean_inventory: f64,
    pub max_inventory: f64,
    pub min_inventory: f64,
    pub adverse_selection_bps: f64,
    pub realized_edge_bps: f64,
    pub volatility_path: Option<Vec<f64>>,
    pub inventory_variance: f64,
    pub pnl_spread: f64,
    pub pnl_dir: f64,
    pub fill_buy_count: usize,
    pub fill_sell_count: usize,
    pub mean_hold_time: f64,
    pub terminal_liquidation_cost: f64,

}

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§total_return: f64§annualized_return: f64§volatility: f64§sharpe_ratio: f64§sortino_ratio: f64§max_drawdown: f64§total_trades: usize§final_equity: f64§mean_inventory: f64§max_inventory: f64§min_inventory: f64§adverse_selection_bps: f64§realized_edge_bps: f64§volatility_path: Option<Vec<f64>>§inventory_variance: f64

Var(q) = (1/T) sum (q_t - q_bar)^2

§pnl_spread: f64

PnL_spread = sum |P_i - S_{t_i}| in price units

§pnl_dir: f64

PnL_dir = sum q_{t-1} * (S_t - S_{t-1}) in price units

§fill_buy_count: usize

Number of buy fills

§fill_sell_count: usize

Number of sell fills

§mean_hold_time: f64

Mean steps with non-zero inventory per hold episode

§terminal_liquidation_cost: f64

Terminal liquidation cost: |final_q| * half_spread (0 if not applied)

Trait Implementations§

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impl Clone for BacktestResult

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fn clone(&self) -> BacktestResult

Returns a duplicate of the value. Read more
1.0.0 (const: unstable) · Source§

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source. Read more
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impl Debug for BacktestResult

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fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter. Read more
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impl Display for BacktestResult

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fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter. Read more

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🔬This is a nightly-only experimental API. (clone_to_uninit)
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fn vzip(self) -> V