This indicator computes the n-period target downside deviation. The target downside deviation is defined as the root-mean-square, 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... | |
Detailed Description
This indicator computes the n-period target downside deviation. The target downside deviation is defined as the root-mean-square, 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/rr-sortino-a-sharper-ratio.pdf
Definition at line 28 of file TargetDownsideDeviation.cs.
Constructor & Destructor Documentation
◆ TargetDownsideDeviation() [1/2]
| 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 root-mean-square, 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.
- Parameters
-
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.
◆ TargetDownsideDeviation() [2/2]
| 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 root-mean-square, 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.
- Parameters
-
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.
Member Function Documentation
◆ ComputeNextValue()
|
protected |
Computes the next value of this indicator from the given state
- Parameters
-
window The window for the input history input The input given to the indicator
- Returns
- A new value for this indicator
Definition at line 73 of file TargetDownsideDeviation.cs.
The documentation for this class was generated from the following file:
- Indicators/TargetDownsideDeviation.cs
