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This indicator computes the nperiod target downside deviation. The target downside deviation is defined as the rootmeansquare, or RMS, of the deviations of the realized return’s underperformance from the target return where all returns above the target return are treated as underperformance of 0. More...
Public Member Functions  
TargetDownsideDeviation (int period, double minimumAcceptableReturn=0)  
Initializes a new instance of the TargetDownsideDeviation class with the specified period and minimum acceptable return. More...  
TargetDownsideDeviation (string name, int period, double minimumAcceptableReturn=0)  
Initializes a new instance of the TargetDownsideDeviation class with the specified period and minimum acceptable return. More...  
Public Member Functions inherited from QuantConnect.Indicators.WindowIndicator< IndicatorDataPoint >  
override void  Reset () 
Resets this indicator to its initial state More...  
Protected Member Functions  
override decimal  ComputeNextValue (IReadOnlyWindow< IndicatorDataPoint > window, IndicatorDataPoint input) 
Computes the next value of this indicator from the given state More...  
Protected Member Functions inherited from QuantConnect.Indicators.WindowIndicator< IndicatorDataPoint >  
WindowIndicator (string name, int period)  
Initializes a new instance of the WindowIndicator class More...  
override decimal  ComputeNextValue (T input) 
Computes the next value of this indicator from the given state More...  
abstract decimal  ComputeNextValue (IReadOnlyWindow< T > window, T input) 
Computes the next value for this indicator from the given state. More...  
Additional Inherited Members  
Public Attributes inherited from QuantConnect.Indicators.WindowIndicator< IndicatorDataPoint >  
int  Period 
Gets the period of this window indicator More...  
override bool  IsReady 
Gets a flag indicating when this indicator is ready and fully initialized More...  
virtual int  WarmUpPeriod 
Required period, in data points, to the indicator to be ready and fully initialized More...  
Properties inherited from QuantConnect.Indicators.IIndicatorWarmUpPeriodProvider  
int  WarmUpPeriod [get] 
Required period, in data points, for the indicator to be ready and fully initialized. More...  
This indicator computes the nperiod target downside deviation. The target downside deviation is defined as the rootmeansquare, or RMS, of the deviations of the realized return’s underperformance from the target return where all returns above the target return are treated as underperformance of 0.
Reference: https://www.cmegroup.com/education/files/rrsortinoasharperratio.pdf
Definition at line 28 of file TargetDownsideDeviation.cs.
QuantConnect.Indicators.TargetDownsideDeviation.TargetDownsideDeviation  (  int  period, 
double  minimumAcceptableReturn = 0 

) 
Initializes a new instance of the TargetDownsideDeviation class with the specified period and minimum acceptable return.
The target downside deviation is defined as the rootmeansquare, or RMS, of the deviations of the realized return’s underperformance from the target return where all returns above the target return are treated as underperformance of 0.
period  The sample size of the target downside deviation 
minimumAcceptableReturn  Minimum acceptable return (MAR) for target downside deviation calculation 
Definition at line 45 of file TargetDownsideDeviation.cs.
QuantConnect.Indicators.TargetDownsideDeviation.TargetDownsideDeviation  (  string  name, 
int  period,  
double  minimumAcceptableReturn = 0 

) 
Initializes a new instance of the TargetDownsideDeviation class with the specified period and minimum acceptable return.
The target downside deviation is defined as the rootmeansquare, or RMS, of the deviations of the realized return’s underperformance from the target return where all returns above the target return are treated as underperformance of 0.
name  The name of this indicator 
period  The sample size of the target downside deviation 
minimumAcceptableReturn  Minimum acceptable return (MAR) for target downside deviation calculation 
Definition at line 62 of file TargetDownsideDeviation.cs.

protected 
Computes the next value of this indicator from the given state
window  The window for the input history 
input  The input given to the indicator 
Definition at line 73 of file TargetDownsideDeviation.cs.