补齐权威下行风险指标

crates/fidc-core/src/metrics.rs

@@ -50,6 +50,7 @@ pub struct BacktestMetrics {
     pub max_drawdown_duration_days: usize,
     pub total_trade_days: usize,
     pub sortino: f64,
+    pub downside_risk: f64,
     pub information_ratio: f64,
     pub tracking_error: f64,
     pub volatility: f64,
@@ -174,6 +175,8 @@ pub fn compute_backtest_metrics(
         effective_annual_risk_free_rate(&daily_risk_free_rates, TRADING_DAYS_PER_YEAR);
     let sharpe = annualized_sharpe(&returns, &daily_risk_free_rates, TRADING_DAYS_PER_YEAR);
     let sortino = annualized_sortino(&returns, &daily_risk_free_rates, TRADING_DAYS_PER_YEAR);
+    let downside_risk =
+        annualized_downside_risk(&returns, &daily_risk_free_rates, TRADING_DAYS_PER_YEAR);
     let information_ratio = annualized_sharpe(
         &excess_returns,
         &zero_risk_free_rates,
@@ -296,6 +299,7 @@ pub fn compute_backtest_metrics(
         max_drawdown_duration_days,
         total_trade_days,
         sortino,
+        downside_risk,
         information_ratio,
         tracking_error,
         volatility,
@@ -498,6 +502,23 @@ fn annualized_sortino(
     }
 }
 
+fn annualized_downside_risk(
+    returns: &[f64],
+    daily_risk_free_rates: &[f64],
+    periods_per_year: f64,
+) -> f64 {
+    if returns.is_empty() || returns.len() != daily_risk_free_rates.len() {
+        return 0.0;
+    }
+    let downside_mean_square = returns
+        .iter()
+        .zip(daily_risk_free_rates)
+        .map(|(value, risk_free)| (value - risk_free).min(0.0).powi(2))
+        .sum::<f64>()
+        / returns.len() as f64;
+    downside_mean_square.sqrt() * periods_per_year.sqrt()
+}
+
 fn annualized_std(values: &[f64], periods_per_year: f64) -> f64 {
     std_dev(values) * periods_per_year.sqrt()
 }
@@ -863,6 +884,7 @@ mod tests {
         let expected_sortino = mean(&adjusted) / downside * TRADING_DAYS_PER_YEAR.sqrt();
         assert!((metrics.sharpe - expected_sharpe).abs() < 1e-12);
         assert!((metrics.sortino - expected_sortino).abs() < 1e-12);
+        assert!((metrics.downside_risk - downside * TRADING_DAYS_PER_YEAR.sqrt()).abs() < 1e-12);
         assert_eq!(metrics.risk_free_rate_source, "test");
         assert_eq!(metrics.risk_free_rate_tenor, "3M");
         assert_eq!(metrics.risk_free_rate_observation_count, 4);