Struct EtfTrick 

pub struct EtfTrick { /* private fields */ }

The ETF trick (AFML §2.4.1): the value of one dollar invested in a basket.

Build from in-memory Tables with EtfTrick::from_tables or from CSV paths with EtfTrick::from_csv, then call EtfTrick::get_etf_series.

Implementations

impl EtfTrick

pub fn from_tables( open: Table, close: Table, alloc: Table, costs: Table, rates: Option<Table>, ) -> Result<Self, EtfTrickError>

Creates an ETF trick from in-memory tables.

open and close are prices, alloc the target weights (any leverage; they are de-levered), costs the carry or dividends per bar in price units (added to the price change), and rates the FX rate of each instrument to the account currency (1 when None). All tables must share the row index and column count.

Errors

• EtfTrickError::IndexMismatch if a table’s index or row count differs from open’s.
• EtfTrickError::ColumnMismatch if a table’s column count differs from open’s.

pub fn from_csv( open_path: &str, close_path: &str, alloc_path: &str, costs_path: &str, rates_path: Option<&str>, ) -> Result<Self, EtfTrickError>

Creates an ETF trick that reads its tables from CSV files (see Table::from_csv) when EtfTrick::get_etf_series is called.

Errors

Never; the files are not opened until EtfTrick::get_etf_series. The Result is kept for API stability.

pub fn get_etf_series( &self, batch_size: usize, ) -> Result<Vec<(String, f64)>, EtfTrickError>

Computes the value series (index, K_t), starting from K = 1.

Implements AFML §2.4.1: at a rebalance on bar t the holdings become h_t = w_t K_t / (o_{t+1} fx_t sum|w_t|), and bar t + 1 adds sum h_t fx_{t+1} (delta_{t+1} + costs_{t+1}), with delta the open-to-close change on the bar after a rebalance and the close-to-close change otherwise. Between rebalances the holdings are carried unchanged.

The series starts on the second row with K = 1, and that row counts as a rebalance. The first row is not used, and the last row is dropped (sizing there needs a next open), so n rows give n - 2 values; fewer than three rows give none. The row index matches mlfinlab’s output; the values do not, because mlfinlab sizes the holdings one bar late (see the module page).

batch_size exists for mlfinlab compatibility: it is checked for CSV sources and otherwise ignored. CSV files are read in full.

Errors

• EtfTrickError::BatchTooSmall if the source is CSV and batch_size < 3.
• Any Table::from_csv error for a CSV source.
• EtfTrickError::IndexMismatch or EtfTrickError::ColumnMismatch if the tables disagree in shape.
• EtfTrickError::MissingColumn if a table lacks an instrument named in alloc.

pub fn reset(&mut self)

Does nothing; kept for mlfinlab API compatibility (the computation holds no state between calls).

Trait Implementations

impl Clone for EtfTrick

fn clone(&self) -> EtfTrick

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for EtfTrick

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

Formats the value using the given formatter.