Lean  $LEAN_TAG$
PerformanceMetrics.cs
1 /*
2  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
3  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
4  *
5  * Licensed under the Apache License, Version 2.0 (the "License");
6  * you may not use this file except in compliance with the License.
7  * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
8  *
9  * Unless required by applicable law or agreed to in writing, software
10  * distributed under the License is distributed on an "AS IS" BASIS,
11  * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
12  * See the License for the specific language governing permissions and
13  * limitations under the License.
14 */
15 
16 namespace QuantConnect.Statistics
17 {
18  /// <summary>
19  /// PerformanceMetrics contains the names of the various performance metrics used for evaluation purposes.
20  /// </summary>
21  public static class PerformanceMetrics
22  {
23  public const string Alpha = "Alpha";
24  public const string AnnualStandardDeviation = "Annual Standard Deviation";
25  public const string AnnualVariance = "Annual Variance";
26  public const string AverageLoss = "Average Loss";
27  public const string AverageWin = "Average Win";
28  public const string Beta = "Beta";
29  public const string CompoundingAnnualReturn = "Compounding Annual Return";
30  public const string Drawdown = "Drawdown";
31  public const string EstimatedStrategyCapacity = "Estimated Strategy Capacity";
32  public const string Expectancy = "Expectancy";
33  public const string StartEquity = "Start Equity";
34  public const string EndEquity = "End Equity";
35  public const string InformationRatio = "Information Ratio";
36  public const string LossRate = "Loss Rate";
37  public const string NetProfit = "Net Profit";
38  public const string ProbabilisticSharpeRatio = "Probabilistic Sharpe Ratio";
39  public const string ProfitLossRatio = "Profit-Loss Ratio";
40  public const string SharpeRatio = "Sharpe Ratio";
41  public const string SortinoRatio = "Sortino Ratio";
42  public const string TotalFees = "Total Fees";
43  public const string TotalOrders = "Total Orders";
44  public const string TrackingError = "Tracking Error";
45  public const string TreynorRatio = "Treynor Ratio";
46  public const string WinRate = "Win Rate";
47  public const string LowestCapacityAsset = "Lowest Capacity Asset";
48  public const string PortfolioTurnover = "Portfolio Turnover";
49  }
50 }