#include <stdlib.h>
#include <math.h>
#include <stdio.h>
#include "wu.h"

Macros
#define	CALMAR_MIN_OBSERVATIONS 30
	The Calmar Ratio measures risk-adjusted return by comparing annualized returns to the maximum drawdown.

Functions
static double	wu_calmar_ratio_update (WU_CalmarRatio self, WU_PerformanceUpdate perf)
	Updates the Calmar Ratio calculation with a new portfolio value.
static void	wu_calmar_ratio_free (WU_CalmarRatio self)
	Frees resources allocated by the Calmar Ratio object.
WU_CalmarRatio	wu_calmar_ratio_new (double initial_value)

Macro Definition Documentation

◆ CALMAR_MIN_OBSERVATIONS

#define CALMAR_MIN_OBSERVATIONS 30

The Calmar Ratio measures risk-adjusted return by comparing annualized returns to the maximum drawdown.

Unlike Sharpe/Sortino, it uses maximum drawdown as the risk measure instead of volatility.

Formula: Calmar = Annualized_Return / |Maximum_Drawdown| where:

Annualized_Return = (Total_Return)^(1/years) - 1 [compound] or Total_Return * periods_per_year [simple]

This implementation uses simple annualization for consistency with other risk metrics in this library. Minimum observations required before calculating Calmar ratio. This ensures we have enough data for a meaningful drawdown measurement.

Definition at line 25 of file calmar.c.

Function Documentation

◆ wu_calmar_ratio_free()

void wu_calmar_ratio_free ( WU_CalmarRatio self )

static

Frees resources allocated by the Calmar Ratio object.

Definition at line 104 of file calmar.c.

◆ wu_calmar_ratio_new()

WU_CalmarRatio wu_calmar_ratio_new ( double initial_value )

Definition at line 112 of file calmar.c.

◆ wu_calmar_ratio_update()

double wu_calmar_ratio_update	(	WU_CalmarRatio	self,
		WU_PerformanceUpdate	perf )

static

Updates the Calmar Ratio calculation with a new portfolio value.

Parameters

self	The Calmar Ratio object
perf	Performance update containing portfolio value and timestamp

Returns: The updated Calmar Ratio value, or NAN if insufficient data

Definition at line 34 of file calmar.c.