SharpeRatioParameter

SharpeRatioParameter

public SharpeRatioParameter()

sharpeRatioParameter = SharpeRatioParameter()

Initialize a new instance of the SharpeRatioParameter class.

AddRiskSample

protected override void AddRiskSample(decimal ret)

sharpeRatioParameter.AddRiskSample(ret)

Adds a new sample to the risk accumulator.

ret

The return value.

GetRisk

protected override decimal GetRisk(int 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(int count)

result = sharpeRatioParameter.HasEnoughRiskSamples(count)

Checks if enough risk samples accumulated for calculation.

count

Count of samples.

Returns: Check result.

Load

public override void Load(SettingsStorage storage)

sharpeRatioParameter.Load(storage)

To load the state of statistic parameter.

storage

Storage.

Reset

public override void Reset()

sharpeRatioParameter.Reset()

To reset the parameter value.

Save

public override void Save(SettingsStorage storage)

sharpeRatioParameter.Save(storage)

To save the state of statistic parameter.

storage

Storage.