QuantConnect.Statistics
Classes
| Class | Description |
|---|---|
| AlgorithmPerformance | The AlgorithmPerformance class is a wrapper for trade_statistics and portfolio_statistics |
| DrawdownMetrics | Represents the result of a drawdown analysis, including the maximum drawdown percentage... |
| IStatisticsService | This interface exposes methods for accessing algorithm statistics results at runtime. |
| PerformanceMetrics | PerformanceMetrics contains the names of the various performance metrics used for evaluation purposes. |
| PortfolioStatistics | The PortfolioStatistics class represents a set of statistics calculated from equity and benchmark samples |
| Statistics | Calculate all the statistics required from the backtest, based on the equity curve and the profit loss statement. |
| StatisticsBuilder | The StatisticsBuilder class creates summary and rolling statistics from trades, equity and benchmark points |
| StatisticsResults | The StatisticsResults class represents total and rolling statistics for an algorithm |
| Trade | Represents a closed trade |
| TradeBuilder | The TradeBuilder class generates trades from executions and market price updates |
| TradeStatistics | The TradeStatistics class represents a set of statistics calculated from a list of closed trades |
Enumerations
Bases: IntEnum
The method used to group order fills into trades
FILL_TO_FILL = 0
A Trade is defined by a fill that establishes or increases a position and an offsetting fill that reduces the position size (0)
FLAT_TO_FLAT = 1
A Trade is defined by a sequence of fills, from a flat position to a non-zero position which may increase or decrease in quantity, and back to a flat position (1)
FLAT_TO_REDUCED = 2
A Trade is defined by a sequence of fills, from a flat position to a non-zero position and an offsetting fill that reduces the position size (2)
Bases: IntEnum
The method used to match offsetting order fills
FIFO = 0
First In First Out fill matching method (0)
LIFO = 1
Last In Last Out fill matching method (1)
Bases: IntEnum
Direction of a trade
LONG = 0
Long direction (0)
SHORT = 1
Short direction (1)