Class IndicatorsPerformance

Collection of performance indicators

Inheritance

object

IndicatorsPerformance

Inherited Members

object.Equals(object)

object.Equals(object, object)

object.GetHashCode()

object.GetType()

object.MemberwiseClone()

object.ReferenceEquals(object, object)

object.ToString()

Namespace: TuringTrader.Indicators

Assembly: TuringTrader.Simulator.dll

Syntax

public static class IndicatorsPerformance

Methods

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Drawdown(ITimeSeries<double>, int, CacheId, string, int)

Return current drawdown in percent, as value between 0 and 1.

Declaration

public static ITimeSeries<double> Drawdown(this ITimeSeries<double> series, int n, CacheId parentId = null, string memberName = "", int lineNumber = 0)

Parameters

Type	Name	Description
ITimeSeries<double>	series	input time series
int	n	length of observation window
CacheId	parentId	caller cache id, optional
string	memberName	caller's member name, optional
int	lineNumber	caller line number, optional

Returns

Type	Description
ITimeSeries<double>	drawdown as time series

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MaxDrawdown(ITimeSeries<double>, int, CacheId, string, int)

Return maximum drawdown.

Declaration

public static ITimeSeries<double> MaxDrawdown(this ITimeSeries<double> series, int n, CacheId parentId = null, string memberName = "", int lineNumber = 0)

Parameters

Type	Name	Description
ITimeSeries<double>	series	input time series
int	n	length of observation window
CacheId	parentId	caller cache id, optional
string	memberName	caller's member name, optional
int	lineNumber	caller line number, optional

Returns

Type	Description
ITimeSeries<double>	maximum drawdown as time series

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ReturnOnMaxDrawdown(ITimeSeries<double>, int, CacheId, string, int)

Calculate return over maximum drawdown.

Declaration

public static ITimeSeries<double> ReturnOnMaxDrawdown(this ITimeSeries<double> series, int n, CacheId parentId = null, string memberName = "", int lineNumber = 0)

Parameters

Type	Name	Description
ITimeSeries<double>	series	input time series
int	n	length of observation window
CacheId	parentId	caller cache id, optional
string	memberName	caller's member name, optional
int	lineNumber	caller line number, optional

Returns

Type	Description
ITimeSeries<double>	RoMaD

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Runup(ITimeSeries<double>, int, CacheId, string, int)

Return current n-day runup as a value between 0 and 1.

Declaration

public static ITimeSeries<double> Runup(this ITimeSeries<double> series, int n, CacheId parentId = null, string memberName = "", int lineNumber = 0)

Parameters

Type	Name	Description
ITimeSeries<double>	series	input time series
int	n	observation window
CacheId	parentId	caller cache id, optional
string	memberName	caller's member name, optional
int	lineNumber	caller line number, optional

Returns

Type	Description
ITimeSeries<double>	runup as time series

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SharpeRatio(ITimeSeries<double>, ITimeSeries<double>, int, CacheId, string, int)

Calculate Sharpe Ratio, as described here: https://en.wikipedia.org/wiki/Sharpe_ratio

Declaration

public static ITimeSeries<double> SharpeRatio(this ITimeSeries<double> series, ITimeSeries<double> riskFreeRate, int n, CacheId parentId = null, string memberName = "", int lineNumber = 0)

Parameters

Type	Name	Description
ITimeSeries<double>	series
ITimeSeries<double>	riskFreeRate
int	n
CacheId	parentId	caller cache id, optional
string	memberName	caller's member name, optional
int	lineNumber	caller line number, optional

Returns

Type	Description
ITimeSeries<double>