Class RiskAdjustedRatioParameter

Namespace

StockSharp.Algo.Statistics

Assembly

StockSharp.Algo.dll

Base class for risk-adjusted ratios (Sharpe/Sortino).

public abstract class RiskAdjustedRatioParameter : BasePnLStatisticParameter<decimal>, INotifyPropertyChangedEx, INotifyPropertyChanging, IStatisticParameter<decimal>, IPnLStatisticParameter, IStatisticParameter, IPersistable, INotifyPropertyChanged, IRiskFreeRateStatisticParameter

Inheritance

object

NotifiableObject

BaseStatisticParameter<decimal>

BasePnLStatisticParameter<decimal>

RiskAdjustedRatioParameter

Implements

INotifyPropertyChangedEx

INotifyPropertyChanging

IStatisticParameter<decimal>

IPnLStatisticParameter

IStatisticParameter

IPersistable

INotifyPropertyChanged

IRiskFreeRateStatisticParameter

Derived

SharpeRatioParameter

SortinoRatioParameter

Inherited Members

BaseStatisticParameter<decimal>.Name

BaseStatisticParameter<decimal>.Type

BaseStatisticParameter<decimal>.DisplayName

BaseStatisticParameter<decimal>.Description

BaseStatisticParameter<decimal>.Category

BaseStatisticParameter<decimal>.Order

BaseStatisticParameter<decimal>.Value

BaseStatisticParameter<decimal>.ValueType

NotifiableObject.NotifyPropertyChanged(string)

NotifiableObject.NotifyChanged(string)

NotifiableObject.NotifyChanging(string)

NotifiableObject.PropertyChanged

NotifiableObject.PropertyChanging

object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Extension Methods

AsyncHelper.FromResult<TValue>(TValue)

AsyncHelper.ToCompleteSource<TValue>(TValue)

CompareHelper.IsDefault<T>(T)

CompareHelper.IsRuntimeDefault<T>(T)

Converter.TypedTo<TFrom, TTo>(TFrom)

DelegateHelper.AddDelegate<TDelegate>(TDelegate, TDelegate)

DelegateHelper.GetInvocationList<TDelegate>(TDelegate)

DelegateHelper.RemoveAllDelegates<TDelegate>(TDelegate)

DelegateHelper.RemoveDelegate<TDelegate>(TDelegate, TDelegate)

DisposableHelper.MakeDisposable<T>(T, Action<T>)

Enumerator.IsDefined<T>(T)

Enumerator.SplitMask<T>(T)

NullableHelper.Convert<T, TResult>(T, Func<T, TResult>, Func<TResult>)

NullableHelper.IsNull<T>(T)

NullableHelper.IsNull<T>(T, bool)

TupleHelper.ToValues<T>(T)

TypeHelper.CheckOnNull<T>(T, string)

TypeHelper.DoDispose<TSource>(TSource)

TypeHelper.ToScope<T>(T, bool)

NetworkHelper.Format<T>(T, bool)

PersistableHelper.TrySerialize<T>(T, out SettingsStorage)

XamlHelper.CopyToClipboard<T>(T)

Paths.SerializeToString<T>(T, bool)

Paths.Serialize<T>(T, bool)

Paths.Serialize<T>(T, string, bool)

CompareHelper.Compare(object, object)

Converter.To(object, Type)

Converter.To<T>(object)

Enumerator.GetAttributeOfType<TAttribute>(object)

Enumerator.IsEnumBrowsable(object)

Enumerator.SplitMask2(object)

TypeHelper.HasProperty(object, string)

EntityPropertyHelper.GetPropValue(object, string, Func<object, string, object>, IDictionary<string, object>)

Extensions.GetBasicProperties(object, int)

Extensions.GetDisplayName(object)

Extensions.GetFieldDescription(object)

Extensions.GetFieldDisplayName(object)

Extensions.GetFieldIcon(object)

JsonHelper.ToJson(object, bool)

JsonHelper.ToJson(object, bool, JsonSerializerSettings)

PersistableHelper.ToStorage(object, bool)

EditorExtensions.ToItemsSource(object, Type, bool?, ListSortDirection?, Func<IItemsSourceItem, bool>, Func<object, string>, Func<object, string>)

XamlHelper.EnsureUIThread(object)

XamlHelper.ShowModel<TWindow>(object, DependencyObject)

XamlHelper.WpfCast<T>(object)

VirtualPropertyRegistry.TryGetVirtualValue(object, string, out object)

Constructors

RiskAdjustedRatioParameter(StatisticParameterTypes)

Initializes a new instance of the RiskAdjustedRatioParameter class.

protected RiskAdjustedRatioParameter(StatisticParameterTypes type)

Parameters

type StatisticParameterTypes

Type

Properties

Period

Return calculation period.

public TimeSpan Period { get; set; }

Property Value

TimeSpan

RiskFreeRate

Annual risk-free rate (e.g., 0.03 = 3%).

public decimal RiskFreeRate { get; set; }

Property Value

decimal

Methods

Add(DateTimeOffset, decimal, decimal?)

To add new data to the parameter.

public override void Add(DateTimeOffset marketTime, decimal pnl, decimal? commission)

Parameters

marketTime DateTimeOffset

The exchange time.

pnl decimal

The profit-loss value.

commission decimal?

Commission.

AddRiskSample(decimal)

Adds a new sample to the risk accumulator.

protected abstract void AddRiskSample(decimal ret)

Parameters

ret decimal

The return value.

GetRisk(int, decimal)

Gets the risk value (e.g., stddev or downside deviation).

protected abstract decimal GetRisk(int count, decimal sumReturn)

Parameters

count int

Count of samples.

sumReturn decimal

Sum of all returns.

Returns

decimal

Risk value.

HasEnoughRiskSamples(int)

Checks if enough risk samples accumulated for calculation.

protected abstract bool HasEnoughRiskSamples(int count)

Parameters

count int

Count of samples.

Returns

bool

Check result.

Load(SettingsStorage)

To load the state of statistic parameter.

public override void Load(SettingsStorage storage)

Parameters

storage SettingsStorage

Storage.

Reset()

To reset the parameter value.

public override void Reset()

Save(SettingsStorage)

To save the state of statistic parameter.

public override void Save(SettingsStorage storage)

Parameters

storage SettingsStorage

Storage.