This indicator computes 1-day VaR for a specified confidence level and lookback period More...
Public Member Functions | |
| ValueAtRisk (string name, int period, double confidenceLevel) | |
| Creates a new ValueAtRisk indicator with a specified period and confidence level More... | |
| ValueAtRisk (int period, double confidenceLevel) | |
| Creates a new ValueAtRisk indicator with a specified period and confidence level More... | |
| override void | Reset () |
| Resets this indicator to its initial state More... | |
 Public Member Functions inherited from QuantConnect.Indicators.WindowIndicator< IndicatorDataPoint > | |
| override void | Reset () |
| Resets this indicator to its initial state More... | |
Public Attributes | |
| override bool | IsReady => Samples >= WarmUpPeriod |
| Gets a flag indicating when the indicator is ready and fully initialized More... | |
| 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... | |
Protected Member Functions | |
| override decimal | ComputeNextValue (IReadOnlyWindow< IndicatorDataPoint > window, IndicatorDataPoint input) |
| Computes the next value for 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... | |
Properties | |
| override int | WarmUpPeriod [get] |
| Required period, in data points, for 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... | |
Detailed Description
This indicator computes 1-day VaR for a specified confidence level and lookback period
Definition at line 25 of file ValueAtRisk.cs.
Constructor & Destructor Documentation
◆ ValueAtRisk() [1/2]
| QuantConnect.Indicators.ValueAtRisk.ValueAtRisk | ( | string | name, |
| int | period, | ||
| double | confidenceLevel | ||
| ) |
Creates a new ValueAtRisk indicator with a specified period and confidence level
- Parameters
-
name The name of this indicator period Historical lookback period in days confidenceLevel Confidence level for VaR calculation
Definition at line 58 of file ValueAtRisk.cs.
◆ ValueAtRisk() [2/2]
| QuantConnect.Indicators.ValueAtRisk.ValueAtRisk | ( | int | period, |
| double | confidenceLevel | ||
| ) |
Creates a new ValueAtRisk indicator with a specified period and confidence level
- Parameters
-
period Historical lookback period in days confidenceLevel Confidence level for VaR calculation
Definition at line 78 of file ValueAtRisk.cs.
Member Function Documentation
◆ ComputeNextValue()
|
protected |
Computes the next value for this indicator from the given state.
- Parameters
-
window The window of data held in this indicator input The input value to this indicator on this time step
- Returns
- A new value for this indicator
Definition at line 89 of file ValueAtRisk.cs.
◆ Reset()
| override void QuantConnect.Indicators.ValueAtRisk.Reset | ( | ) |
Resets this indicator to its initial state
Definition at line 107 of file ValueAtRisk.cs.
Member Data Documentation
◆ IsReady
| override bool QuantConnect.Indicators.ValueAtRisk.IsReady => Samples >= WarmUpPeriod |
Gets a flag indicating when the indicator is ready and fully initialized
Definition at line 50 of file ValueAtRisk.cs.
Property Documentation
◆ WarmUpPeriod
|
get |
Required period, in data points, for the indicator to be ready and fully initialized.
Definition at line 45 of file ValueAtRisk.cs.
The documentation for this class was generated from the following file:
- Indicators/ValueAtRisk.cs
