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BacktestSummary

engine::backtest

Struct BacktestSummary 

Source 
pub struct BacktestSummary {
Show 32 fields
    pub mean_total_return: f64,
    pub std_dev_total_return: f64,
    pub mean_sharpe_ratio: f64,
    pub std_dev_sharpe_ratio: f64,
    pub mean_sortino_ratio: f64,
    pub mean_max_drawdown: f64,
    pub mean_inventory: f64,
    pub mean_max_inventory: f64,
    pub mean_min_inventory: f64,
    pub mean_total_trades: f64,
    pub abs_max_inventory: f64,
    pub abs_min_inventory: f64,
    pub mean_adverse_selection_bps: f64,
    pub mean_realized_edge_bps: f64,
    pub total_trajectories: usize,
    pub mean_inventory_variance: f64,
    pub mean_pnl_spread: f64,
    pub mean_pnl_dir: f64,
    pub mean_fill_asymmetry: f64,
    pub mean_hold_time: f64,
    pub std_sortino_ratio: f64,
    pub std_max_drawdown: f64,
    pub std_inventory_variance: f64,
    pub std_pnl_spread: f64,
    pub std_pnl_dir: f64,
    pub std_fill_asymmetry: f64,
    pub std_hold_time: f64,
    pub std_adverse_selection_bps: f64,
    pub std_realized_edge_bps: f64,
    pub std_total_trades: f64,
    pub mean_abs_peak_inventory: f64,
    pub std_abs_peak_inventory: f64,

}

Fields§

§mean_total_return: f64§std_dev_total_return: f64§mean_sharpe_ratio: f64§std_dev_sharpe_ratio: f64§mean_sortino_ratio: f64§mean_max_drawdown: f64§mean_inventory: f64§mean_max_inventory: f64§mean_min_inventory: f64§mean_total_trades: f64§abs_max_inventory: f64§abs_min_inventory: f64§mean_adverse_selection_bps: f64§mean_realized_edge_bps: f64§total_trajectories: usize§mean_inventory_variance: f64

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

§mean_pnl_spread: f64

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

§mean_pnl_dir: f64

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

§mean_fill_asymmetry: f64

Mean fill rate asymmetry N_buy / N_sell (0 if no sells)

§mean_hold_time: f64

Mean hold time (steps per non-zero inventory episode)

§std_sortino_ratio: f64§std_max_drawdown: f64§std_inventory_variance: f64§std_pnl_spread: f64§std_pnl_dir: f64§std_fill_asymmetry: f64§std_hold_time: f64§std_adverse_selection_bps: f64§std_realized_edge_bps: f64§std_total_trades: f64§mean_abs_peak_inventory: f64

Mean of max(|q_max|, |q_min|) per path (distributional peak inventory)

§std_abs_peak_inventory: f64

Std of abs peak inventory across paths

Implementations§

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impl BacktestSummary

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pub fn new(results: &[BacktestResult]) -> Self

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pub fn print(&self, description: &str)

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