QuantConnect.Report.Metrics Class Reference

Strategy metrics collection such as usage of funds and asset allocations More...

Static Public Member Functions
static Series< DateTime, double >	LeverageUtilization (Series< DateTime, double > equityCurve, List< Order > orders)
	Calculates the leverage used from trades. The series used to call this extension function should be the equity curve with the associated Order objects that go along with it. More...
static Series< DateTime, double >	LeverageUtilization (List< PointInTimePortfolio > portfolios)
	Gets the leverage utilization from a list of PointInTimePortfolio More...
static Series< Symbol, double >	AssetAllocations (Series< DateTime, double > equityCurve, List< Order > orders)
	Calculates the portfolio's asset allocation percentage over time. The series used to call this extension function should be the equity curve with the associated Order objects that go along with it. More...
static Series< Symbol, double >	AssetAllocations (List< PointInTimePortfolio > portfolios)
	Calculates the asset allocation percentage over time. More...
static Frame< DateTime, Tuple< SecurityType, OrderDirection > >	Exposure (Series< DateTime, double > equityCurve, List< Order > orders, OrderDirection direction)
	Strategy long/short exposure by asset class More...
static Frame< DateTime, Tuple< SecurityType, OrderDirection > >	Exposure (List< PointInTimePortfolio > portfolios, OrderDirection direction)
	Strategy long/short exposure by asset class More...

Detailed Description

Strategy metrics collection such as usage of funds and asset allocations

Definition at line 27 of file Metrics.cs.

Member Function Documentation

LeverageUtilization() [1/2]

static Series<DateTime, double> QuantConnect.Report.Metrics.LeverageUtilization ( Series< DateTime, double >  equityCurve, List< Order >  orders  )

static

Calculates the leverage used from trades. The series used to call this extension function should be the equity curve with the associated Order objects that go along with it.

Parameters

equityCurve	Equity curve series
orders	Orders associated with the equity curve

Returns

Leverage utilization over time

Definition at line 36 of file Metrics.cs.

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LeverageUtilization() [2/2]

static Series<DateTime, double> QuantConnect.Report.Metrics.LeverageUtilization ( List< PointInTimePortfolio >  portfolios )

static

Gets the leverage utilization from a list of PointInTimePortfolio

Parameters

portfolios

Point in time portfolios

Returns

Series of leverage utilization

Definition at line 54 of file Metrics.cs.

AssetAllocations() [1/2]

static Series<Symbol, double> QuantConnect.Report.Metrics.AssetAllocations ( Series< DateTime, double >  equityCurve, List< Order >  orders  )

static

Calculates the portfolio's asset allocation percentage over time. The series used to call this extension function should be the equity curve with the associated Order objects that go along with it.

Parameters

equityCurve	Equity curve series
orders	Orders associated with the equity curve

Returns

Definition at line 71 of file Metrics.cs.

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AssetAllocations() [2/2]

static Series<Symbol, double> QuantConnect.Report.Metrics.AssetAllocations ( List< PointInTimePortfolio >  portfolios )

static

Calculates the asset allocation percentage over time.

Parameters

portfolios

Point in time portfolios

Returns

Series keyed by Symbol containing the percentage allocated to that asset over time

Definition at line 87 of file Metrics.cs.

Exposure() [1/2]

static Frame<DateTime, Tuple<SecurityType, OrderDirection> > QuantConnect.Report.Metrics.Exposure ( Series< DateTime, double >  equityCurve, List< Order >  orders, OrderDirection  direction  )

static

Strategy long/short exposure by asset class

Parameters

equityCurve	Equity curve
orders	Orders of the strategy
direction	Long or short

Returns

Frame keyed by SecurityType and OrderDirection. Returns a Frame of exposure per asset per direction over time

Definition at line 126 of file Metrics.cs.

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Exposure() [2/2]

static Frame<DateTime, Tuple<SecurityType, OrderDirection> > QuantConnect.Report.Metrics.Exposure ( List< PointInTimePortfolio >  portfolios, OrderDirection  direction  )

static

Strategy long/short exposure by asset class

Parameters

portfolios	Point in time portfolios
direction	Long or short

Returns

Frame keyed by SecurityType and OrderDirection. Returns a Frame of exposure per asset per direction over time

Definition at line 145 of file Metrics.cs.

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The documentation for this class was generated from the following file:

• Report/Metrics.cs