RiskAdjustedRatioParameter

RiskAdjustedRatioParameter

protected RiskAdjustedRatioParameter(StatisticParameterTypes type)

riskAdjustedRatioParameter = RiskAdjustedRatioParameter(type)

RiskAdjustedRatioParameterクラスの新しいインスタンスを初期化します。

type

仕様

BeginValue

public decimal BeginValue { get; set; }

value = riskAdjustedRatioParameter.BeginValue
riskAdjustedRatioParameter.BeginValue = value

The initial value of the parameter.

Period

public TimeSpan Period { get; set; }

value = riskAdjustedRatioParameter.Period
riskAdjustedRatioParameter.Period = value

計算期間を返還する。

RiskFreeRate

public decimal RiskFreeRate { get; set; }

value = riskAdjustedRatioParameter.RiskFreeRate
riskAdjustedRatioParameter.RiskFreeRate = value

年間リスクフリーレート(e.g., 0.03 = 3%)。

Add

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

riskAdjustedRatioParameter.Add(marketTime, pnl, commission)

パラメータに新しいデータを追加する。

marketTime

交換時間。

pnl

利益損失の価値。

commission

委員会。

AddRiskSample

protected abstract void AddRiskSample(decimal ret, long count)

riskAdjustedRatioParameter.AddRiskSample(ret, count)

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

ret

The return value.

count

How many periods earned it.

AddSample

private bool AddSample(decimal start, decimal level, long count)

result = riskAdjustedRatioParameter.AddSample(start, level, count)

Records periods that opened on and closed on .

start

The PnL level the periods opened on.

level

The PnL level they closed on.

count

How many periods earned that return.

戻り値: if the return was recorded; if there was no capital to measure it against.

ClosePeriods

private bool ClosePeriods(long target, decimal level)

result = riskAdjustedRatioParameter.ClosePeriods(target, level)

Closes every grid boundary up to on the given PnL level.

target

The number of boundaries the grid is to have closed.

level

The PnL level those boundaries close on.

戻り値: if every closed period produced a return; if any of them had no capital to measure a return against.

GetRisk

protected abstract decimal GetRisk(long 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.

戻り値: Risk value.

HasEnoughRiskSamples

protected abstract bool HasEnoughRiskSamples(long count)

result = riskAdjustedRatioParameter.HasEnoughRiskSamples(count)

Checks if enough risk samples accumulated for calculation.

count

Count of samples.

戻り値: Check result.

LoadAsync

public override Task LoadAsync(SettingsStorage storage, CancellationToken cancellationToken)

result = riskAdjustedRatioParameter.LoadAsync(storage, cancellationToken)

To load the state of statistic parameter.

storage

Storage.

cancellationToken

CancellationToken

戻り値: Task

Reset

public override void Reset()

riskAdjustedRatioParameter.Reset()

リセット状態。

SaveAsync

public override Task SaveAsync(SettingsStorage storage, CancellationToken cancellationToken)

result = riskAdjustedRatioParameter.SaveAsync(storage, cancellationToken)

To save the state of statistic parameter.

storage

Storage.

cancellationToken

CancellationToken

戻り値: Task

SetPeriod

private void SetPeriod(TimeSpan value)

riskAdjustedRatioParameter.SetPeriod(value)

Sets Period without the open-grid check, for restoring a state that was saved with it.

value

Return calculation period.