Statistics Reference

The StatisticManager manages a collection of IStatisticParameter instances. Each parameter tracks a specific metric during strategy execution. All available parameters are created using the StatisticParameterRegistry.

For a general overview of working with strategy statistics, see the Statistics section.

Interfaces

The statistics system is built on a hierarchy of interfaces. Each interface defines the data source for calculating the parameter:

Profit and Loss (P&L) Parameters

All parameters in this group implement the IPnLStatisticParameter interface and inherit from BasePnLStatisticParameter. They receive data on each update of the strategy's P&L value.

Risk Coefficients

The SharpeRatioParameter and SortinoRatioParameter inherit from the base class RiskAdjustedRatioParameter and implement the IRiskFreeRateStatisticParameter interface.

They support the following settings:

• RiskFreeRate -- annual risk-free rate (e.g., 0.03m = 3%)
• Period -- return calculation period (default TimeSpan.FromDays(1))

The CalmarRatioParameter and SterlingRatioParameter depend on other parameters (NetProfitParameter, MaxDrawdownParameter, AverageDrawdownParameter) and are automatically linked when created via StatisticParameterRegistry.

Trade Parameters

All parameters in this group implement the ITradeStatisticParameter interface. They receive data through the PnLInfo object for each trade executed.

Position Parameters

Parameters in this group implement the IPositionStatisticParameter interface. They receive data on each position change.

Order Parameters

All parameters in this group implement the IOrderStatisticParameter interface and inherit from BaseOrderStatisticParameter. They receive data on order registration, changes, and errors.

Latency Parameters

Latency parameters also implement IOrderStatisticParameter, but track the time characteristics of order processing.

Usage

Accessing Strategy Statistics

var strategy = new MyStrategy();

// Access statistics after execution
foreach (var param in strategy.StatisticManager.Parameters)
{
    Console.WriteLine($"{param.DisplayName}: {param.Value}");
}

Retrieving a Specific Parameter

// Get the net profit value
var netProfit = strategy.StatisticManager.Parameters
    .OfType<NetProfitParameter>()
    .First();

Console.WriteLine($"Net profit: {netProfit.Value}");

Configuring the Risk-Free Rate for Coefficients

The Sharpe and Sortino ratios require setting the risk-free rate for correct calculation:

// Set a 3% risk-free rate for all coefficients
foreach (var param in strategy.StatisticManager.Parameters
    .OfType<IRiskFreeRateStatisticParameter>())
{
    param.RiskFreeRate = 0.03m;
}

Configuring Initial Capital for Percentage Parameters

The NetProfitPercentParameter and MaxProfitPercentParameter parameters require setting the initial capital value:

// Set initial capital for percentage calculations
foreach (var param in strategy.StatisticManager.Parameters
    .OfType<IBeginValueStatisticParameter>())
{
    param.BeginValue = 1_000_000m; // 1,000,000
}

Resetting Statistics

// Reset all statistic parameters
strategy.StatisticManager.Reset();

Saving and Loading State

All parameters support serialization via the IPersistable interface:

// Saving
var storage = new SettingsStorage();
strategy.StatisticManager.Save(storage);

// Loading
strategy.StatisticManager.Load(storage);

See Also

• Strategy Statistics
• Statistics Graphical Component