wehub-resource-sync
55 lines
2.4 KiB
C#
55 lines
2.4 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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using System;
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using System.Globalization;
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using QuantConnect.Packets;
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using System.Collections.Generic;
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namespace QuantConnect.Report.ReportElements
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{
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internal sealed class SortinoRatioReportElement : SharpeRatioReportElement
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{
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/// <summary>
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/// Sortino ratio from a backtest
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/// </summary>
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public override decimal? BacktestResultValue => BacktestResult?.TotalPerformance?.PortfolioStatistics?.SortinoRatio;
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/// <summary>
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/// Estimate the Sortino ratio of the strategy.
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/// </summary>
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/// <param name="name">Name of the widget</param>
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/// <param name="key">Location of injection</param>
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/// <param name="backtest">Backtest result object</param>
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/// <param name="live">Live result object</param>
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/// <param name="tradingDaysPerYear">The number of trading days per year to get better result of statistics</param>
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public SortinoRatioReportElement(string name, string key, BacktestResult backtest, LiveResult live, int tradingDaysPerYear)
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: base(name, key, backtest, live, tradingDaysPerYear)
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{
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}
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/// <summary>
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/// Get annual standard deviation
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/// </summary>
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/// <param name="trailingPerformance">The performance for the last period</param>
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/// <param name="tradingDaysPerYear">The number of trading days per year to get better result of statistics</param>
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/// <returns>Annual downside standard deviation.</returns>
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public override double GetAnnualStandardDeviation(List<double> trailingPerformance, double tradingDaysPerYear)
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{
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return Statistics.Statistics.AnnualDownsideStandardDeviation(trailingPerformance, tradingDaysPerYear);
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}
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}
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}
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