SharpeRatioParameter

StockSharp.Algo.Statistics

シャープレシオ(非正規リターン - リスクフリーレート/年間標準偏差)。

コンストラクター

public SharpeRatioParameter()

sharpeRatioParameter = SharpeRatioParameter()

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

AddRiskSample

protected override void AddRiskSample(decimal ret, long count)

sharpeRatioParameter.AddRiskSample(ret, count)

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

GetRisk

protected override decimal GetRisk(long count, decimal sumReturn)

result = sharpeRatioParameter.GetRisk(count, sumReturn)

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

戻り値: Risk value.

protected override bool HasEnoughRiskSamples(long count)

result = sharpeRatioParameter.HasEnoughRiskSamples(count)

Checks if enough risk samples accumulated for calculation.

戻り値: Check result.

LoadAsync

public override Task LoadAsync(SettingsStorage storage, CancellationToken cancellationToken)

result = sharpeRatioParameter.LoadAsync(storage, cancellationToken)

To load the state of statistic parameter.

戻り値: Task

Reset

public override void Reset()

sharpeRatioParameter.Reset()

リセット状態。

SaveAsync

public override Task SaveAsync(SettingsStorage storage, CancellationToken cancellationToken)

result = sharpeRatioParameter.SaveAsync(storage, cancellationToken)

To save the state of statistic parameter.

戻り値: Task