RiskAdjustedRatioParameter

RiskAdjustedRatioParameter

protected RiskAdjustedRatioParameter(StatisticParameterTypes type)

riskAdjustedRatioParameter = RiskAdjustedRatioParameter(type)

Initializes a new instance of the RiskAdjustedRatioParameter class.

type

Type

Period

public TimeSpan Period { get; set; }

value = riskAdjustedRatioParameter.Period
riskAdjustedRatioParameter.Period = value

Return calculation period.

RiskFreeRate

public decimal RiskFreeRate { get; set; }

value = riskAdjustedRatioParameter.RiskFreeRate
riskAdjustedRatioParameter.RiskFreeRate = value

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

Add

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

riskAdjustedRatioParameter.Add(marketTime, pnl, commission)

To add new data to the parameter.

marketTime

The exchange time.

pnl

The profit-loss value.

commission

Commission.

AddRiskSample

protected abstract void AddRiskSample(decimal ret)

riskAdjustedRatioParameter.AddRiskSample(ret)

Adds a new sample to the risk accumulator.

ret

The return value.

GetRisk

protected abstract decimal GetRisk(int count, decimal sumReturn)

result = riskAdjustedRatioParameter.GetRisk(count, sumReturn)

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

count

Count of samples.

sumReturn

Sum of all returns.

Returns: Risk value.

HasEnoughRiskSamples

protected abstract bool HasEnoughRiskSamples(int count)

result = riskAdjustedRatioParameter.HasEnoughRiskSamples(count)

Checks if enough risk samples accumulated for calculation.

count

Count of samples.

Returns: Check result.

Load

public override void Load(SettingsStorage storage)

riskAdjustedRatioParameter.Load(storage)

To load the state of statistic parameter.

storage

Storage.

Reset

public override void Reset()

riskAdjustedRatioParameter.Reset()

To reset the parameter value.

Save

public override void Save(SettingsStorage storage)

riskAdjustedRatioParameter.Save(storage)

To save the state of statistic parameter.

storage

Storage.