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.
- 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.