Metrics

QuantConnect.Report.Metrics

Bases: Object

Strategy metrics collection such as usage of funds and asset allocations

asset_allocations(
    equity_curve: Any, orders: List[Order]
) -> Any

asset_allocations(
    portfolios: List[PointInTimePortfolio],
) -> Any

Signature descriptions:

Calculates the portfolio's asset allocation percentage over time. The series used to call this extension function should be the equity curve with the associated Order objects that go along with it.
Calculates the asset allocation percentage over time.

Parameters:

Name	Type	Description	Default
`equity_curve`	`Optional[Any]`	Equity curve series	`None`
`orders`	`Optional[List[Order]]`	Orders associated with the equity curve	`None`
`portfolios`	`Optional[List[PointInTimePortfolio]]`	Point in time portfolios	`None`

Returns:

Type	Description
`Any`	Series keyed by Symbol containing the percentage allocated to that asset over time.

exposure(
    equity_curve: Any,
    orders: List[Order],
    direction: OrderDirection,
) -> Any

exposure(
    portfolios: List[PointInTimePortfolio],
    direction: OrderDirection,
) -> Any

Strategy long/short exposure by asset class

Parameters:

Name	Type	Description	Default
`equity_curve`	`Optional[Any]`	Equity curve	`None`
`orders`	`Optional[List[Order]]`	Orders of the strategy	`None`
`direction`	`OrderDirection`	Long or short	required
`portfolios`	`Optional[List[PointInTimePortfolio]]`	Point in time portfolios	`None`

Returns:

Type	Description
`Any`	Frame keyed by SecurityType and OrderDirection.

leverage_utilization(
    equity_curve: Any, orders: List[Order]
) -> Any

leverage_utilization(
    portfolios: List[PointInTimePortfolio],
) -> Any

Signature descriptions:

Calculates the leverage used from trades. The series used to call this extension function should be the equity curve with the associated Order objects that go along with it.
Gets the leverage utilization from a list of PointInTimePortfolio

Parameters:

Name	Type	Description	Default
`equity_curve`	`Optional[Any]`	Equity curve series	`None`
`orders`	`Optional[List[Order]]`	Orders associated with the equity curve	`None`
`portfolios`	`Optional[List[PointInTimePortfolio]]`	Point in time portfolios	`None`

Returns:

Type	Description
`Any`	Depends on the signature used. Case 1: [Leverage utilization over time.]; Case 2: [Series of leverage utilization.]