wehub-resource-sync
50 lines
1.5 KiB
C#
50 lines
1.5 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*
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*/
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namespace QuantConnect.Optimizer
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{
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/// <summary>
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/// Sharpe ratio statistics across all used backtests in an optimization.
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/// </summary>
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public class SharpeSummary
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{
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/// <summary>
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/// Arithmetic mean of Sharpe ratios.
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/// </summary>
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public decimal Mean { get; set; }
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/// <summary>
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/// Sample standard deviation of Sharpe ratios.
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/// </summary>
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public decimal StdDev { get; set; }
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/// <summary>
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/// Minimum Sharpe ratio observed.
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/// </summary>
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public decimal Min { get; set; }
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/// <summary>
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/// Maximum Sharpe ratio observed.
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/// </summary>
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public decimal Max { get; set; }
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/// <summary>
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/// Median Sharpe ratio.
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/// </summary>
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public decimal Median { get; set; }
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}
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}
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