RiskAdjustedRatioParameter

RiskAdjustedRatioParameter(StatisticParameterTypes)

Initializes a new instance of the RiskAdjustedRatioParameter class.

type

Type

Period : TimeSpan

Return calculation period.

RiskFreeRate : decimal

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

Add(DateTime, decimal, decimal?)

To add new data to the parameter.

marketTime

The exchange time.

pnl

The profit-loss value.

commission

Commission.

AddRiskSample(decimal)

Adds a new sample to the risk accumulator.

ret

The return value.

GetRisk(int, decimal) : decimal

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

count

Count of samples.

sumReturn

Sum of all returns.

Returns: Risk value.

HasEnoughRiskSamples(int) : bool

Checks if enough risk samples accumulated for calculation.

count

Count of samples.

Returns: Check result.

Load(SettingsStorage)

Load settings.

storage

Settings storage.

Reset()

Reset state.

Save(SettingsStorage)

Save settings.

storage

Settings storage.