Class for render the Sharpe Ratio statistic for a report More...

Inheritance diagram for QuantConnect.Report.ReportElements.SharpeRatioReportElement:

Public Member Functions
	SharpeRatioReportElement (string name, string key, BacktestResult backtest, LiveResult live, int tradingDaysPerYear)
	Estimate the sharpe ratio of the strategy. More...

override string	Render ()
	The generated output string to be injected More...

virtual double	GetAnnualStandardDeviation (List< double > trailingPerformance, double tradingDaysPerYear)
	Get annual standard deviation More...

Public Attributes
virtual ? decimal	BacktestResultValue => BacktestResult?.TotalPerformance?.PortfolioStatistics?.SharpeRatio
	Sharpe Ratio from a backtest More...

Public Attributes inherited from QuantConnect.Report.ReportElements.ReportElement
string	JsonKey => Key.Replace("KPI-", "").Replace("$", "").Replace("{", "").Replace("}", "") .ToLowerInvariant()
	Normalizes the key into a JSON-friendly key More...

Properties
LiveResult	LiveResult `[get]`
	Live result object More...

BacktestResult	BacktestResult `[get]`
	Backtest result object More...

Properties inherited from QuantConnect.Report.ReportElements.ReportElement
virtual string	Name `[get, protected set]`
	Name of this report element More...

virtual string	Key `[get, protected set]`
	Template key code. More...

virtual object	Result `[get, protected set]`
	Result of the render as an object for serialization to JSON More...

Detailed Description

Class for render the Sharpe Ratio statistic for a report

Definition at line 28 of file SharpeRatioReportElement.cs.

Constructor & Destructor Documentation

◆ SharpeRatioReportElement()

QuantConnect.Report.ReportElements.SharpeRatioReportElement.SharpeRatioReportElement	(	string	name,
		string	key,
		BacktestResult	backtest,
		LiveResult	live,
		int	tradingDaysPerYear
	)

Estimate the sharpe ratio of the strategy.

Parameters

name	Name of the widget
key	Location of injection
backtest	Backtest result object
live	Live result object
tradingDaysPerYear	The number of trading days per year to get better result of statistics

Definition at line 58 of file SharpeRatioReportElement.cs.

Member Function Documentation

◆ Render()

override string QuantConnect.Report.ReportElements.SharpeRatioReportElement.Render ( )

virtual

The generated output string to be injected

Implements QuantConnect.Report.ReportElements.ReportElement.

Definition at line 70 of file SharpeRatioReportElement.cs.

Here is the call graph for this function:

◆ GetAnnualStandardDeviation()

virtual double QuantConnect.Report.ReportElements.SharpeRatioReportElement.GetAnnualStandardDeviation	(	List< double >	trailingPerformance,
		double	tradingDaysPerYear
	)

virtual

Get annual standard deviation

Parameters

trailingPerformance	The performance for the last period
tradingDaysPerYear	The number of trading days per year to get better result of statistics

Returns: Annual standard deviation.

Definition at line 108 of file SharpeRatioReportElement.cs.

Here is the caller graph for this function:

Member Data Documentation

◆ BacktestResultValue

virtual ? decimal QuantConnect.Report.ReportElements.SharpeRatioReportElement.BacktestResultValue => BacktestResult?.TotalPerformance?.PortfolioStatistics?.SharpeRatio

Sharpe Ratio from a backtest

Definition at line 48 of file SharpeRatioReportElement.cs.

Property Documentation

◆ LiveResult

LiveResult QuantConnect.Report.ReportElements.SharpeRatioReportElement.LiveResult

getprotected

Live result object

Definition at line 38 of file SharpeRatioReportElement.cs.

◆ BacktestResult

BacktestResult QuantConnect.Report.ReportElements.SharpeRatioReportElement.BacktestResult

getprotected

Backtest result object

Definition at line 43 of file SharpeRatioReportElement.cs.

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

Report/ReportElements/SharpeRatioReportElement.cs

Public Member Functions

Public Attributes

Properties