SharpeRatioParameter

SharpeRatioParameter

public SharpeRatioParameter()

sharpeRatioParameter = SharpeRatioParameter()

Initialize a new instance of the SharpeRatioParameter class.

AddRiskSample

protected override void AddRiskSample(decimal ret, long count)

sharpeRatioParameter.AddRiskSample(ret, count)

Adds consecutive periods of the same return to the risk accumulator.

ret

The return value.

count

How many periods earned it.

GetRisk

protected override decimal GetRisk(long count, decimal sumReturn)

result = sharpeRatioParameter.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 override bool HasEnoughRiskSamples(long count)

result = sharpeRatioParameter.HasEnoughRiskSamples(count)

Checks if enough risk samples accumulated for calculation.

count

Count of samples.

Returns: Check result.

LoadAsync

public override Task LoadAsync(SettingsStorage storage, CancellationToken cancellationToken)

result = sharpeRatioParameter.LoadAsync(storage, cancellationToken)

To load the state of statistic parameter.

storage

Storage.

cancellationToken

CancellationToken

Returns: Task

Reset

public override void Reset()

sharpeRatioParameter.Reset()

To reset the parameter value.

SaveAsync

public override Task SaveAsync(SettingsStorage storage, CancellationToken cancellationToken)

result = sharpeRatioParameter.SaveAsync(storage, cancellationToken)

To save the state of statistic parameter.

storage

Storage.

cancellationToken

CancellationToken

Returns: Task