PerformanceMetrics contains the names of the various performance metrics used for evaluation purposes. More...

Static Public Attributes
const string	Alpha = "Alpha"

const string	AnnualStandardDeviation = "Annual Standard Deviation"

const string	AnnualVariance = "Annual Variance"

const string	AverageLoss = "Average Loss"

const string	AverageWin = "Average Win"

const string	Beta = "Beta"

const string	CompoundingAnnualReturn = "Compounding Annual Return"

const string	Drawdown = "Drawdown"

const string	EstimatedStrategyCapacity = "Estimated Strategy Capacity"

const string	Expectancy = "Expectancy"

const string	StartEquity = "Start Equity"

const string	EndEquity = "End Equity"

const string	InformationRatio = "Information Ratio"

const string	LossRate = "Loss Rate"

const string	NetProfit = "Net Profit"

const string	ProbabilisticSharpeRatio = "Probabilistic Sharpe Ratio"

const string	ProfitLossRatio = "Profit-Loss Ratio"

const string	SharpeRatio = "Sharpe Ratio"

const string	SortinoRatio = "Sortino Ratio"

const string	TotalFees = "Total Fees"

const string	TotalOrders = "Total Orders"

const string	TrackingError = "Tracking Error"

const string	TreynorRatio = "Treynor Ratio"

const string	WinRate = "Win Rate"

const string	LowestCapacityAsset = "Lowest Capacity Asset"

const string	PortfolioTurnover = "Portfolio Turnover"

Detailed Description

PerformanceMetrics contains the names of the various performance metrics used for evaluation purposes.

Definition at line 21 of file PerformanceMetrics.cs.

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

Static Public Attributes