Table of Contents

Namespace StockSharp.Algo.Statistics

Classes

AverageDrawdownParameter

Average drawdown during the whole period.

AverageLossTradeParameter

Average losing trade.

AverageTradeProfitParameter

Average trade profit.

AverageWinTradeParameter

Average winning trade.

BaseOrderStatisticParameter<TValue>

The base statistic parameter, calculated based on orders.

BasePnLStatisticParameter<TValue>

The base profit-loss statistics parameter.

BaseStatisticParameter<TValue>

The base statistics parameter.

CalmarRatioParameter

Calmar ratio (annualized net profit / max drawdown).

CommissionParameter

Total commission.

ExpectancyParameter

The average profit of winning trades minus the average loss of losing trades.

LossingTradesParameter

Number of trades lost with zero profit (whose profit is less than or equal to 0).

MaxDrawdownDateParameter

Date of maximum absolute drawdown during the whole period.

MaxDrawdownParameter

Maximum absolute drawdown during the whole period.

MaxDrawdownPercentParameter

Maximum absolute drawdown during the whole period in percent.

MaxLatencyCancellationParameter

The maximal value of the order cancelling delay.

MaxLatencyRegistrationParameter

The maximal value of the order registration delay.

MaxLongPositionParameter

Maximum long position size.

MaxProfitDateParameter

Date of maximum profit value for the entire period.

MaxProfitParameter

The maximal profit value for the entire period.

MaxRelativeDrawdownParameter

Maximum relative equity drawdown during the whole period.

MaxShortPositionParameter

Maximum short position size.

MinLatencyCancellationParameter

The minimal value of order cancelling delay.

MinLatencyRegistrationParameter

The minimal value of order registration delay.

NetProfitParameter

Net profit for whole time period.

NetProfitPercentParameter

Net profit for whole time period in percent.

OrderCountParameter

Total number of orders.

OrderErrorCountParameter

Total number of error orders.

OrderInsufficientFundErrorCountParameter

Total number of insufficient fund error orders.

PerDayTradeParameter

Average trades count per one day.

PerMonthTradeParameter

Average trades count per one month.

PerPeriodBaseTradeParameter

Base class for calculating trade statistic parameters by aggregating trades over aligned time periods.

ProfitFactorParameter

The ratio of the average profit of winning trades to the average loss of losing trades.

RecoveryFactorParameter

Recovery factor (net profit / maximum drawdown).

ReturnParameter

Relative income for the whole time period.

RiskAdjustedRatioParameter

Base class for risk-adjusted ratios (Sharpe/Sortino).

RoundtripCountParameter

Total number of closing trades.

SharpeRatioParameter

Sharpe ratio (annualized return - risk-free rate / annualized standard deviation).

SortinoRatioParameter

Sortino ratio (annualized return - risk-free rate / annualized downside deviation).

StatisticManager

The statistics manager.

StatisticParameterRegistry

IStatisticParameter registry.

SterlingRatioParameter

Sterling ratio (annualized net profit / average drawdown).

TradeCountParameter

Total number of trades.

WinningTradesParameter

Number of trades won (whose profit is greater than 0).

Interfaces

IBeginValueStatisticParameter

The interface, describing statistic parameter with initial value.

IOrderStatisticParameter

The interface, describing statistic parameter, calculated based on orders.

IPnLStatisticParameter

The interface, describing statistic parameter, calculated based on the profit-loss value (maximal contraction, Sharp coefficient etc.).

IPositionStatisticParameter

The interface, describing statistic parameter, calculated based on position.

IRiskFreeRateStatisticParameter

The interface, describing statistic parameter with risk-free rate.

IStatisticManager

The statistics manager.

IStatisticParameter

The interface, describing statistic parameter.

IStatisticParameter<TValue>

The interface, describing statistic parameter.

ITradeStatisticParameter

The interface, describing statistic parameter, calculated based on trade.