/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
using QuantConnect.Packets;
namespace QuantConnect.Report.ReportElements
{
internal sealed class PSRReportElement : ReportElement
{
private LiveResult _live;
private BacktestResult _backtest;
///
/// Estimate the PSR of the strategy.
///
/// Name of the widget
/// Location of injection
/// Backtest result object
/// Live result object
public PSRReportElement(string name, string key, BacktestResult backtest, LiveResult live)
{
_live = live;
_backtest = backtest;
Name = name;
Key = key;
}
///
/// The generated output string to be injected
///
public override string Render()
{
var psr = _backtest?.TotalPerformance?.PortfolioStatistics?.ProbabilisticSharpeRatio;
if (psr == null)
{
return "-";
}
if (psr > 0)
{
return $"{psr:P0}";
}
return "-";
}
}
}