The StatisticsBuilder class creates summary and rolling statistics from trades, equity and benchmark points More...

Static Public Member Functions
static StatisticsResults	Generate (List< Trade > trades, SortedDictionary< DateTime, decimal > profitLoss, List< ISeriesPoint > pointsEquity, List< ISeriesPoint > pointsPerformance, List< ISeriesPoint > pointsBenchmark, List< ISeriesPoint > pointsPortfolioTurnover, decimal startingCapital, decimal totalFees, int totalOrders, CapacityEstimate estimatedStrategyCapacity, string accountCurrencySymbol, SecurityTransactionManager transactions, IRiskFreeInterestRateModel riskFreeInterestRateModel, int tradingDaysPerYear)
	Generates the statistics and returns the results More...

static IEnumerable< KeyValuePair< DateTime, double > >	CreateBenchmarkDifferences (IEnumerable< KeyValuePair< DateTime, decimal >> points, DateTime fromDate, DateTime toDate)
	Yields pairs of date and percentage change for the period More...

static IEnumerable< KeyValuePair< DateTime, double > >	PreprocessPerformanceValues (IEnumerable< KeyValuePair< DateTime, decimal >> points)
	Skips the first two entries from the given points and divides each entry by 100 More...

Detailed Description

The StatisticsBuilder class creates summary and rolling statistics from trades, equity and benchmark points

Definition at line 29 of file StatisticsBuilder.cs.

Member Function Documentation

◆ Generate()

static StatisticsResults QuantConnect.Statistics.StatisticsBuilder.Generate	(	List< Trade >	trades,
		SortedDictionary< DateTime, decimal >	profitLoss,
		List< ISeriesPoint >	pointsEquity,
		List< ISeriesPoint >	pointsPerformance,
		List< ISeriesPoint >	pointsBenchmark,
		List< ISeriesPoint >	pointsPortfolioTurnover,
		decimal	startingCapital,
		decimal	totalFees,
		int	totalOrders,
		CapacityEstimate	estimatedStrategyCapacity,
		string	accountCurrencySymbol,
		SecurityTransactionManager	transactions,
		IRiskFreeInterestRateModel	riskFreeInterestRateModel,
		int	tradingDaysPerYear
	)

static

Generates the statistics and returns the results

Parameters

trades	The list of closed trades
profitLoss	Trade record of profits and losses
pointsEquity	The list of daily equity values
pointsPerformance	The list of algorithm performance values
pointsBenchmark	The list of benchmark values
pointsPortfolioTurnover	The list of portfolio turnover daily samples
startingCapital	The algorithm starting capital
totalFees	The total fees
totalOrders	The total number of transactions
estimatedStrategyCapacity	The estimated capacity of this strategy
accountCurrencySymbol	The account currency symbol
transactions	The transaction manager to get number of winning and losing transactions
riskFreeInterestRateModel	The risk free interest rate model to use
tradingDaysPerYear	The number of trading days per year

Returns: Returns a StatisticsResults object

Definition at line 51 of file StatisticsBuilder.cs.

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◆ CreateBenchmarkDifferences()

static IEnumerable<KeyValuePair<DateTime, double> > QuantConnect.Statistics.StatisticsBuilder.CreateBenchmarkDifferences	(	IEnumerable< KeyValuePair< DateTime, decimal >>	points,
		DateTime	fromDate,
		DateTime	toDate
	)

static

Yields pairs of date and percentage change for the period

Parameters

points	The values to calculate percentage change for
fromDate	Starting date (inclusive)
toDate	Ending date (inclusive)

Returns: Pairs of date and percentage change

Definition at line 336 of file StatisticsBuilder.cs.

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◆ PreprocessPerformanceValues()

static IEnumerable<KeyValuePair<DateTime, double> > QuantConnect.Statistics.StatisticsBuilder.PreprocessPerformanceValues ( IEnumerable< KeyValuePair< DateTime, decimal >> points )

static

Skips the first two entries from the given points and divides each entry by 100

Parameters

points The values to divide by 100

Returns: Pairs of date and performance value divided by 100

Definition at line 379 of file StatisticsBuilder.cs.

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

Common/Statistics/StatisticsBuilder.cs

Static Public Member Functions

Detailed Description

Member Function Documentation

◆ Generate()

◆ CreateBenchmarkDifferences()

◆ PreprocessPerformanceValues()