Stefano Raggi
fac6f46a9a
Added Trade and TradeBuilder classes Added UtcTime and OrderFee property to OrderEvent class Added AlgorithmPerformance class with a few metrics + tests Added portfolio statistics + rolling statistics Closes #30 via PR #164 Thanks @SteffanoRaggi!
64 lines
2.6 KiB
C#
64 lines
2.6 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.Collections.Generic;
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namespace QuantConnect.Statistics
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{
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/// <summary>
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/// The <see cref="StatisticsResults"/> class represents total and rolling statistics for an algorithm
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/// </summary>
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public class StatisticsResults
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{
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/// <summary>
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/// The performance of the algorithm over the whole period
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/// </summary>
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public AlgorithmPerformance TotalPerformance { get; private set; }
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/// <summary>
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/// The rolling performance of the algorithm over 1, 3, 6, 12 month periods
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/// </summary>
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public Dictionary<string, AlgorithmPerformance> RollingPerformances { get; private set; }
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/// <summary>
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/// Returns a summary of the algorithm performance as a dictionary
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/// </summary>
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public Dictionary<string, string> Summary { get; private set; }
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/// <summary>
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/// Initializes a new instance of the <see cref="StatisticsResults"/> class
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/// </summary>
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/// <param name="totalPerformance">The algorithm total performance</param>
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/// <param name="rollingPerformances">The algorithm rolling performances</param>
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/// <param name="summary">The summary performance dictionary</param>
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public StatisticsResults(AlgorithmPerformance totalPerformance, Dictionary<string, AlgorithmPerformance> rollingPerformances, Dictionary<string, string> summary)
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{
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TotalPerformance = totalPerformance;
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RollingPerformances = rollingPerformances;
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Summary = summary;
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="StatisticsResults"/> class
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/// </summary>
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public StatisticsResults()
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{
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TotalPerformance = new AlgorithmPerformance();
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RollingPerformances = new Dictionary<string, AlgorithmPerformance>();
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Summary = new Dictionary<string, string>();
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}
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}
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}
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