PerformanceMetrics contains the names of the various performance metrics used for evaluation purposes.
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const string | Alpha = "Alpha" |
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const string | AnnualStandardDeviation = "Annual Standard Deviation" |
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const string | AnnualVariance = "Annual Variance" |
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const string | AverageLoss = "Average Loss" |
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const string | AverageWin = "Average Win" |
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const string | Beta = "Beta" |
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const string | CompoundingAnnualReturn = "Compounding Annual Return" |
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const string | Drawdown = "Drawdown" |
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const string | EstimatedStrategyCapacity = "Estimated Strategy Capacity" |
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const string | Expectancy = "Expectancy" |
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const string | StartEquity = "Start Equity" |
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const string | EndEquity = "End Equity" |
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const string | InformationRatio = "Information Ratio" |
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const string | LossRate = "Loss Rate" |
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const string | NetProfit = "Net Profit" |
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const string | ProbabilisticSharpeRatio = "Probabilistic Sharpe Ratio" |
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const string | ProfitLossRatio = "Profit-Loss Ratio" |
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const string | SharpeRatio = "Sharpe Ratio" |
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const string | SortinoRatio = "Sortino Ratio" |
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const string | TotalFees = "Total Fees" |
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const string | TotalOrders = "Total Orders" |
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const string | TrackingError = "Tracking Error" |
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const string | TreynorRatio = "Treynor Ratio" |
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const string | WinRate = "Win Rate" |
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const string | LowestCapacityAsset = "Lowest Capacity Asset" |
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const string | PortfolioTurnover = "Portfolio Turnover" |
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PerformanceMetrics contains the names of the various performance metrics used for evaluation purposes.
Definition at line 21 of file PerformanceMetrics.cs.
The documentation for this class was generated from the following file: