Function bets_concentration

crates/openquant/src/backtest_statistics.rs:76–89

(returns: &[f64])

}

pub fn bets_concentration(returns: &[f64]) -> Option<f64> {
    if returns.len() <= 2 {
        return None;
    }
    let sum: f64 = returns.iter().sum();
    if sum == 0.0 {
        return None;
    }
    let weights: Vec<f64> = returns.iter().map(|r| r / sum).collect();
    let hhi: f64 = weights.iter().map(|w| w * w).sum();
    let n = returns.len() as f64;
    let adj = (hhi - 1.0 / n) / (1.0 - 1.0 / n);
    Some(adj)
}

pub fn all_bets_concentration(
    returns: &[(NaiveDateTime, f64)],