SortinoRatioParameter

StockSharp.Algo.Statistics

Razão de ordenação (retorno anual - taxa sem risco / desvio de desvantagem anualizado).

Construtores

public SortinoRatioParameter()

sortinoRatioParameter = SortinoRatioParameter()

Inicialize uma nova instância da classe SortinoRatioParameter.

AddRiskSample

protected override void AddRiskSample(decimal ret, long count)

sortinoRatioParameter.AddRiskSample(ret, count)

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

GetRisk

protected override decimal GetRisk(long count, decimal sumReturn)

result = sortinoRatioParameter.GetRisk(count, sumReturn)

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

Retorna: Risk value.

protected override bool HasEnoughRiskSamples(long count)

result = sortinoRatioParameter.HasEnoughRiskSamples(count)

Checks if enough risk samples accumulated for calculation.

Retorna: Check result.

LoadAsync

public override Task LoadAsync(SettingsStorage storage, CancellationToken cancellationToken)

result = sortinoRatioParameter.LoadAsync(storage, cancellationToken)

To load the state of statistic parameter.

Retorna: Task

Reset

public override void Reset()

sortinoRatioParameter.Reset()

Reiniciar estado.

SaveAsync

public override Task SaveAsync(SettingsStorage storage, CancellationToken cancellationToken)

result = sortinoRatioParameter.SaveAsync(storage, cancellationToken)

To save the state of statistic parameter.

Retorna: Task