RiskAdjustedRatioParameter

StockSharp.Algo.Statistics

风险调整比率基准类别(夏尔普/索蒂诺)。

实现: IRiskFreeRateStatisticParameter, IBeginValueStatisticParameter

构造函数

protected RiskAdjustedRatioParameter(StatisticParameterTypes type)

riskAdjustedRatioParameter = RiskAdjustedRatioParameter(type)

初始化了 & ##RiskAdjustedRatioParameter+# 类的新实例。

type: 类型

属性

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

返回计算期。

RiskFreeRate

public decimal RiskFreeRate { get; set; }

value = riskAdjustedRatioParameter.RiskFreeRate
riskAdjustedRatioParameter.RiskFreeRate = value

Annual risk-free rate (e.g., 0.03 = 3%).

方法

Add

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

riskAdjustedRatioParameter.Add(marketTime, pnl, commission)

要添加新数据到参数中。

marketTime: 交换时间。
pnl: 损益之相.
commission: 执会.

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.

返回值: 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.

返回值: 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.

返回值: 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.

返回值: 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

返回值: Task

Reset

public override void Reset()

riskAdjustedRatioParameter.Reset()

复置set州.

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

返回值: 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.