Statistics Reference

The StatisticManager manages a collection of IStatisticParameter instances. Each parameter tracks a specific metric during strategy execution. All available parameters are created using the StatisticParameterRegistry.

For a general overview of working with strategy statistics, see the Statistics section.

Interfaces

The statistics system is built on a hierarchy of interfaces. Each interface defines the data source for calculating the parameter:

Interface	Description
IStatisticParameter	Base interface: properties `Name`, `Type`, `Value`, `DisplayName`, `Description`, `Category`, `Order`; method `Reset()`
IPnLStatisticParameter	Parameters based on profit/loss: method `Add(marketTime, pnl, commission)`
ITradeStatisticParameter	Parameters based on trades: method `Add(PnLInfo)`
IOrderStatisticParameter	Parameters based on orders: methods `New(order)`, `Changed(order)`, `RegisterFailed(fail)`, `CancelFailed(fail)`
IPositionStatisticParameter	Parameters based on positions: method `Add(marketTime, position)`
IRiskFreeRateStatisticParameter	Parameters with risk-free rate: property `RiskFreeRate`
IBeginValueStatisticParameter	Parameters with initial value: property `BeginValue`

Profit and Loss (P&L) Parameters

All parameters in this group implement the IPnLStatisticParameter interface and inherit from BasePnLStatisticParameter. They receive data on each update of the strategy's P&L value.

Class	Description	Value Type
NetProfitParameter	Net profit for the entire period. Set equal to the current P&L value	`decimal`
NetProfitPercentParameter	Net profit as a percentage. Requires setting `BeginValue` (initial capital). Formula: `pnl * 100 / BeginValue`	`decimal`
MaxProfitParameter	Maximum profit (highest P&L value over the entire period)	`decimal`
MaxProfitPercentParameter	Maximum profit as a percentage. Requires `BeginValue`. Formula: `MaxProfit * 100 / BeginValue`	`decimal`
MaxProfitDateParameter	Date when maximum profit was reached	`DateTime`
MaxDrawdownParameter	Maximum absolute drawdown. Difference between the peak and trough of the equity curve	`decimal`
MaxDrawdownPercentParameter	Maximum drawdown as a percentage. Formula: `MaxDrawdown * 100 / MaxEquity`	`decimal`
MaxDrawdownDateParameter	Date of maximum drawdown	`DateTime`
MaxRelativeDrawdownParameter	Maximum relative drawdown. Calculated as the ratio of drawdown to peak equity value	`decimal`
ReturnParameter	Relative return for the entire period. Maximum growth from trough to current value in relative terms	`decimal`
CommissionParameter	Total commission paid. Accumulates all commission values	`decimal`
AverageDrawdownParameter	Average drawdown. Arithmetic mean of all completed and current drawdowns	`decimal`
RecoveryFactorParameter	Recovery factor. Formula: `NetProfit / MaxDrawdown`	`decimal`
SharpeRatioParameter	Sharpe ratio. Formula: `(annualized return - risk-free rate) / annualized standard deviation`	`decimal`
SortinoRatioParameter	Sortino ratio. Similar to Sharpe, but only accounts for downside deviations	`decimal`
CalmarRatioParameter	Calmar ratio. Formula: `NetProfit / MaxDrawdown`	`decimal`
SterlingRatioParameter	Sterling ratio. Formula: `NetProfit / AverageDrawdown`	`decimal`

Risk Coefficients

The SharpeRatioParameter and SortinoRatioParameter inherit from the base class RiskAdjustedRatioParameter and implement the IRiskFreeRateStatisticParameter interface.

They support the following settings:

RiskFreeRate -- annual risk-free rate (e.g., 0.03m = 3%)
Period -- return calculation period (default TimeSpan.FromDays(1))

The CalmarRatioParameter and SterlingRatioParameter depend on other parameters (NetProfitParameter, MaxDrawdownParameter, AverageDrawdownParameter) and are automatically linked when created via StatisticParameterRegistry.

Trade Parameters

All parameters in this group implement the ITradeStatisticParameter interface. They receive data through the PnLInfo object for each trade executed.

Class	Description	Value Type
TradeCountParameter	Total number of trades (only trades with `ClosedVolume > 0` are counted)	`int`
WinningTradesParameter	Number of profitable trades (`ClosedVolume > 0` and `PnL > 0`)	`int`
LossingTradesParameter	Number of losing trades (`ClosedVolume > 0` and `PnL < 0`)	`int`
RoundtripCountParameter	Number of completed round-trips (closing trades with `ClosedVolume > 0`)	`int`
AverageTradeProfitParameter	Average profit per trade. Formula: `SumPnL / Count`	`decimal`
AverageWinTradeParameter	Average profit of profitable trades. Only trades with `PnL > 0` are considered	`decimal`
AverageLossTradeParameter	Average loss of losing trades. Only trades with `PnL < 0` are considered	`decimal`
ProfitFactorParameter	Profit factor. Formula: `GrossProfit / GrossLoss`	`decimal`
ExpectancyParameter	Mathematical expectancy. Formula: `P(win) * AvgWin + P(loss) * AvgLoss`	`decimal`
PerMonthTradeParameter	Average number of trades per month	`decimal`
PerDayTradeParameter	Average number of trades per day	`decimal`
GrossProfitParameter	Gross profit. Sum of P&L of all profitable trades (`PnL > 0`)	`decimal`
GrossLossParameter	Gross loss. Sum of P&L of all losing trades (`PnL < 0`, value is negative)	`decimal`

Position Parameters

Parameters in this group implement the IPositionStatisticParameter interface. They receive data on each position change.

Class	Description	Value Type
MaxLongPositionParameter	Maximum long position. Highest positive position value	`decimal`
MaxShortPositionParameter	Maximum short position. Highest absolute negative position value	`decimal`

Order Parameters

All parameters in this group implement the IOrderStatisticParameter interface and inherit from BaseOrderStatisticParameter. They receive data on order registration, changes, and errors.

Class	Description	Value Type
OrderCountParameter	Total number of registered orders	`int`
OrderRegisterErrorCountParameter	Number of order registration errors	`int`
OrderInsufficientFundErrorCountParameter	Number of "insufficient funds" errors (type `InsufficientFundException`)	`int`
OrderCancelErrorCountParameter	Number of order cancellation errors	`int`

Latency Parameters

Latency parameters also implement IOrderStatisticParameter, but track the time characteristics of order processing.

Class	Description	Value Type
MaxLatencyRegistrationParameter	Maximum order registration latency (`Order.LatencyRegistration` property)	`TimeSpan`
MinLatencyRegistrationParameter	Minimum order registration latency	`TimeSpan`
MaxLatencyCancellationParameter	Maximum order cancellation latency (`Order.LatencyCancellation` property)	`TimeSpan`
MinLatencyCancellationParameter	Minimum order cancellation latency	`TimeSpan`

Usage

Accessing Strategy Statistics

var strategy = new MyStrategy();

// Access statistics after execution
foreach (var param in strategy.StatisticManager.Parameters)
{
    Console.WriteLine($"{param.DisplayName}: {param.Value}");
}

Retrieving a Specific Parameter

// Get the net profit value
var netProfit = strategy.StatisticManager.Parameters
    .OfType<NetProfitParameter>()
    .First();

Console.WriteLine($"Net profit: {netProfit.Value}");

Configuring the Risk-Free Rate for Coefficients

The Sharpe and Sortino ratios require setting the risk-free rate for correct calculation:

// Set a 3% risk-free rate for all coefficients
foreach (var param in strategy.StatisticManager.Parameters
    .OfType<IRiskFreeRateStatisticParameter>())
{
    param.RiskFreeRate = 0.03m;
}

Configuring Initial Capital for Percentage Parameters

The NetProfitPercentParameter and MaxProfitPercentParameter parameters require setting the initial capital value:

// Set initial capital for percentage calculations
foreach (var param in strategy.StatisticManager.Parameters
    .OfType<IBeginValueStatisticParameter>())
{
    param.BeginValue = 1_000_000m; // 1,000,000
}

Resetting Statistics

// Reset all statistic parameters
strategy.StatisticManager.Reset();

Saving and Loading State

All parameters support serialization via the IPersistable interface:

// Saving
var storage = new SettingsStorage();
strategy.StatisticManager.Save(storage);

// Loading
strategy.StatisticManager.Load(storage);