PerformanceMetrics contains the names of the various performance metrics used for evaluation purposes. More...

Static Public Attributes
const string	Alpha = "Alpha"
	Algorithm "Alpha" statistic - abnormal returns over the risk free rate and the relationshio (beta) with the benchmark returns. More...

const string	AnnualStandardDeviation = "Annual Standard Deviation"
	Annualized standard deviation More...

const string	AnnualVariance = "Annual Variance"
	Annualized variance statistic calculation using the daily performance variance and trading days per year. More...

const string	AverageLoss = "Average Loss"
	The average rate of return for losing trades More...

const string	AverageWin = "Average Win"
	The average rate of return for winning trades More...

const string	Beta = "Beta"
	Algorithm "beta" statistic - the covariance between the algorithm and benchmark performance, divided by benchmark's variance More...

const string	CompoundingAnnualReturn = "Compounding Annual Return"
	Annual compounded returns statistic based on the final-starting capital and years. More...

const string	Drawdown = "Drawdown"
	Drawdown maximum percentage. More...

const string	EstimatedStrategyCapacity = "Estimated Strategy Capacity"
	Total capacity of the algorithm More...

const string	Expectancy = "Expectancy"
	The expected value of the rate of return More...

const string	StartEquity = "Start Equity"
	Initial Equity Total Value More...

const string	EndEquity = "End Equity"
	Final Equity Total Value More...

const string	InformationRatio = "Information Ratio"
	Information ratio - risk adjusted return More...

const string	LossRate = "Loss Rate"
	The ratio of the number of losing trades to the total number of trades More...

const string	NetProfit = "Net Profit"
	Total net profit percentage More...

const string	ProbabilisticSharpeRatio = "Probabilistic Sharpe Ratio"
	Probabilistic Sharpe Ratio is a probability measure associated with the Sharpe ratio. It informs us of the probability that the estimated Sharpe ratio is greater than a chosen benchmark More...

const string	ProfitLossRatio = "Profit-Loss Ratio"
	The ratio of the average win rate to the average loss rate More...

const string	SharpeRatio = "Sharpe Ratio"
	Sharpe ratio with respect to risk free rate: measures excess of return per unit of risk. More...

const string	SortinoRatio = "Sortino Ratio"
	Sortino ratio with respect to risk free rate: measures excess of return per unit of downside risk. More...

const string	TotalFees = "Total Fees"
	Total amount of fees in the account currency More...

const string	TotalOrders = "Total Orders"
	Total amount of orders in the algorithm More...

const string	TrackingError = "Tracking Error"
	Tracking error volatility (TEV) statistic - a measure of how closely a portfolio follows the index to which it is benchmarked More...

const string	TreynorRatio = "Treynor Ratio"
	Treynor ratio statistic is a measurement of the returns earned in excess of that which could have been earned on an investment that has no diversifiable risk More...

const string	WinRate = "Win Rate"
	The ratio of the number of winning trades to the total number of trades More...

const string	LowestCapacityAsset = "Lowest Capacity Asset"
	Provide a reference to the lowest capacity symbol used in scaling down the capacity for debugging. More...

const string	PortfolioTurnover = "Portfolio Turnover"
	The average Portfolio Turnover More...

Detailed Description

PerformanceMetrics contains the names of the various performance metrics used for evaluation purposes.

Definition at line 21 of file PerformanceMetrics.cs.

Member Data Documentation

◆ Alpha

const string QuantConnect.Statistics.PerformanceMetrics.Alpha = "Alpha"

static

Algorithm "Alpha" statistic - abnormal returns over the risk free rate and the relationshio (beta) with the benchmark returns.

Definition at line 26 of file PerformanceMetrics.cs.

◆ AnnualStandardDeviation

const string QuantConnect.Statistics.PerformanceMetrics.AnnualStandardDeviation = "Annual Standard Deviation"

static

Annualized standard deviation

Definition at line 31 of file PerformanceMetrics.cs.

◆ AnnualVariance

const string QuantConnect.Statistics.PerformanceMetrics.AnnualVariance = "Annual Variance"

static

Annualized variance statistic calculation using the daily performance variance and trading days per year.

Definition at line 36 of file PerformanceMetrics.cs.

◆ AverageLoss

const string QuantConnect.Statistics.PerformanceMetrics.AverageLoss = "Average Loss"

static

The average rate of return for losing trades

Definition at line 41 of file PerformanceMetrics.cs.

◆ AverageWin

const string QuantConnect.Statistics.PerformanceMetrics.AverageWin = "Average Win"

static

The average rate of return for winning trades

Definition at line 46 of file PerformanceMetrics.cs.

◆ Beta

const string QuantConnect.Statistics.PerformanceMetrics.Beta = "Beta"

static

Algorithm "beta" statistic - the covariance between the algorithm and benchmark performance, divided by benchmark's variance

Definition at line 51 of file PerformanceMetrics.cs.

◆ CompoundingAnnualReturn

const string QuantConnect.Statistics.PerformanceMetrics.CompoundingAnnualReturn = "Compounding Annual Return"

static

Annual compounded returns statistic based on the final-starting capital and years.

Definition at line 56 of file PerformanceMetrics.cs.

◆ Drawdown

const string QuantConnect.Statistics.PerformanceMetrics.Drawdown = "Drawdown"

static

Drawdown maximum percentage.

Definition at line 61 of file PerformanceMetrics.cs.

◆ EstimatedStrategyCapacity

const string QuantConnect.Statistics.PerformanceMetrics.EstimatedStrategyCapacity = "Estimated Strategy Capacity"

static

Total capacity of the algorithm

Definition at line 66 of file PerformanceMetrics.cs.

◆ Expectancy

const string QuantConnect.Statistics.PerformanceMetrics.Expectancy = "Expectancy"

static

The expected value of the rate of return

Definition at line 71 of file PerformanceMetrics.cs.

◆ StartEquity

const string QuantConnect.Statistics.PerformanceMetrics.StartEquity = "Start Equity"

static

Initial Equity Total Value

Definition at line 76 of file PerformanceMetrics.cs.

◆ EndEquity

const string QuantConnect.Statistics.PerformanceMetrics.EndEquity = "End Equity"

static

Final Equity Total Value

Definition at line 81 of file PerformanceMetrics.cs.

◆ InformationRatio

const string QuantConnect.Statistics.PerformanceMetrics.InformationRatio = "Information Ratio"

static

Information ratio - risk adjusted return

Definition at line 86 of file PerformanceMetrics.cs.

◆ LossRate

const string QuantConnect.Statistics.PerformanceMetrics.LossRate = "Loss Rate"

static

The ratio of the number of losing trades to the total number of trades

Definition at line 91 of file PerformanceMetrics.cs.

◆ NetProfit

const string QuantConnect.Statistics.PerformanceMetrics.NetProfit = "Net Profit"

static

Total net profit percentage

Definition at line 96 of file PerformanceMetrics.cs.

◆ ProbabilisticSharpeRatio

const string QuantConnect.Statistics.PerformanceMetrics.ProbabilisticSharpeRatio = "Probabilistic Sharpe Ratio"

static

Probabilistic Sharpe Ratio is a probability measure associated with the Sharpe ratio. It informs us of the probability that the estimated Sharpe ratio is greater than a chosen benchmark

See https://www.quantconnect.com/forum/discussion/6483/probabilistic-sharpe-ratio/p1

Definition at line 103 of file PerformanceMetrics.cs.

◆ ProfitLossRatio

const string QuantConnect.Statistics.PerformanceMetrics.ProfitLossRatio = "Profit-Loss Ratio"

static

The ratio of the average win rate to the average loss rate

If the average loss rate is zero, ProfitLossRatio is set to 0

Definition at line 109 of file PerformanceMetrics.cs.

◆ SharpeRatio

const string QuantConnect.Statistics.PerformanceMetrics.SharpeRatio = "Sharpe Ratio"

static

Sharpe ratio with respect to risk free rate: measures excess of return per unit of risk.

With risk defined as the algorithm's volatility

Definition at line 115 of file PerformanceMetrics.cs.

◆ SortinoRatio

const string QuantConnect.Statistics.PerformanceMetrics.SortinoRatio = "Sortino Ratio"

static

Sortino ratio with respect to risk free rate: measures excess of return per unit of downside risk.

With risk defined as the algorithm's volatility

Definition at line 121 of file PerformanceMetrics.cs.

◆ TotalFees

const string QuantConnect.Statistics.PerformanceMetrics.TotalFees = "Total Fees"

static

Total amount of fees in the account currency

Definition at line 126 of file PerformanceMetrics.cs.

◆ TotalOrders

const string QuantConnect.Statistics.PerformanceMetrics.TotalOrders = "Total Orders"

static

Total amount of orders in the algorithm

Definition at line 131 of file PerformanceMetrics.cs.

◆ TrackingError

const string QuantConnect.Statistics.PerformanceMetrics.TrackingError = "Tracking Error"

static

Tracking error volatility (TEV) statistic - a measure of how closely a portfolio follows the index to which it is benchmarked

If algo = benchmark, TEV = 0

Definition at line 137 of file PerformanceMetrics.cs.

◆ TreynorRatio

const string QuantConnect.Statistics.PerformanceMetrics.TreynorRatio = "Treynor Ratio"

static

Treynor ratio statistic is a measurement of the returns earned in excess of that which could have been earned on an investment that has no diversifiable risk

Definition at line 142 of file PerformanceMetrics.cs.

◆ WinRate

const string QuantConnect.Statistics.PerformanceMetrics.WinRate = "Win Rate"

static

The ratio of the number of winning trades to the total number of trades

If the total number of trades is zero, WinRate is set to zero

Definition at line 148 of file PerformanceMetrics.cs.

◆ LowestCapacityAsset

const string QuantConnect.Statistics.PerformanceMetrics.LowestCapacityAsset = "Lowest Capacity Asset"

static

Provide a reference to the lowest capacity symbol used in scaling down the capacity for debugging.

Definition at line 153 of file PerformanceMetrics.cs.

◆ PortfolioTurnover

const string QuantConnect.Statistics.PerformanceMetrics.PortfolioTurnover = "Portfolio Turnover"

static

The average Portfolio Turnover

Definition at line 158 of file PerformanceMetrics.cs.

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

Common/Statistics/PerformanceMetrics.cs

Static Public Attributes

Detailed Description

Member Data Documentation

◆ Alpha

◆ AnnualStandardDeviation

◆ AnnualVariance

◆ AverageLoss

◆ AverageWin

◆ Beta

◆ CompoundingAnnualReturn

◆ Drawdown

◆ EstimatedStrategyCapacity

◆ Expectancy

◆ StartEquity

◆ EndEquity

◆ InformationRatio

◆ LossRate

◆ NetProfit

◆ ProbabilisticSharpeRatio

◆ ProfitLossRatio

◆ SharpeRatio

◆ SortinoRatio

◆ TotalFees

◆ TotalOrders

◆ TrackingError

◆ TreynorRatio

◆ WinRate

◆ LowestCapacityAsset

◆ PortfolioTurnover