Rolling window functions More...

Static Public Member Functions
static Series< DateTime, double >	Beta (SortedList< DateTime, double > performancePoints, SortedList< DateTime, double > benchmarkPoints, int windowSize=132)
	Calculate the rolling beta with the given window size (in days) More...

static Series< DateTime, double >	Sharpe (Series< DateTime, double > equityCurve, int months, int tradingDayPerYear)
	Get the rolling sharpe of the given series with a lookback of months . The risk free rate is adjustable More...

Detailed Description

Rolling window functions

Definition at line 29 of file Rolling.cs.

Member Function Documentation

static Series<DateTime, double> QuantConnect.Report.Rolling.Beta	(	SortedList< DateTime, double >	performancePoints,
		SortedList< DateTime, double >	benchmarkPoints,
		int	windowSize = `132`
	)

static

Calculate the rolling beta with the given window size (in days)

Parameters

performancePoints	The performance points you want to measure beta for
benchmarkPoints	The benchmark/points you want to calculate beta with
windowSize	Days/window to lookback

Definition at line 40 of file Rolling.cs.

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static Series<DateTime, double> QuantConnect.Report.Rolling.Sharpe	(	Series< DateTime, double >	equityCurve,
		int	months,
		int	tradingDayPerYear
	)

static

Get the rolling sharpe of the given series with a lookback of months . The risk free rate is adjustable

Parameters

equityCurve	Equity curve to calculate rolling sharpe for
months	Number of months to calculate the rolling period for
tradingDayPerYear	The number of trading days per year to increase result of Annual statistics

Definition at line 81 of file Rolling.cs.

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