Class SortinoRatioParameter
- Namespace
- StockSharp.Algo.Statistics
- Assembly
- StockSharp.Algo.dll
Sortino ratio (annualized return - risk-free rate / annualized downside deviation).
[Display(ResourceType = typeof(LocalizedStrings), Name = "SortinoRatio", Description = "SortinoRatioDesc", GroupName = "PnL", Order = 12)]
public class SortinoRatioParameter : RiskAdjustedRatioParameter, INotifyPropertyChangedEx, INotifyPropertyChanging, IStatisticParameter<decimal>, IPnLStatisticParameter, IStatisticParameter, IPersistable, INotifyPropertyChanged, IRiskFreeRateStatisticParameter- Inheritance
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SortinoRatioParameter
- Implements
- Inherited Members
- Extension Methods
Constructors
SortinoRatioParameter()
Initialize a new instance of the SortinoRatioParameter class.
public SortinoRatioParameter()Methods
AddRiskSample(decimal)
Adds a new sample to the risk accumulator.
protected override void AddRiskSample(decimal ret)Parameters
retdecimalThe return value.
GetRisk(int, decimal)
Gets the risk value (e.g., stddev or downside deviation).
protected override decimal GetRisk(int count, decimal sumReturn)Parameters
Returns
- decimal
Risk value.
HasEnoughRiskSamples(int)
Checks if enough risk samples accumulated for calculation.
protected override bool HasEnoughRiskSamples(int count)Parameters
countintCount of samples.
Returns
- bool
Check result.
Load(SettingsStorage)
To load the state of statistic parameter.
public override void Load(SettingsStorage storage)Parameters
storageSettingsStorageStorage.
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
storageSettingsStorageStorage.