PerformanceMetrics
Bases: Object
PerformanceMetrics contains the names of the various performance metrics used for evaluation purposes.
ALPHA: str = 'Alpha'
Algorithm "Alpha" statistic - abnormal returns over the risk free rate and the relationshio (beta) with the benchmark returns.
ANNUAL_STANDARD_DEVIATION: str = "Annual Standard Deviation"
Annualized standard deviation
ANNUAL_VARIANCE: str = 'Annual Variance'
Annualized variance statistic calculation using the daily performance variance and trading days per year.
AVERAGE_LOSS: str = 'Average Loss'
The average rate of return for losing trades
AVERAGE_WIN: str = 'Average Win'
The average rate of return for winning trades
BETA: str = 'Beta'
Algorithm "beta" statistic - the covariance between the algorithm and benchmark performance, divided by benchmark's variance
COMPOUNDING_ANNUAL_RETURN: str = "Compounding Annual Return"
Annual compounded returns statistic based on the final-starting capital and years.
DRAWDOWN: str = 'Drawdown'
Drawdown maximum percentage.
ESTIMATED_STRATEGY_CAPACITY: str = (
"Estimated Strategy Capacity"
)
Total capacity of the algorithm
EXPECTANCY: str = 'Expectancy'
The expected value of the rate of return
START_EQUITY: str = 'Start Equity'
Initial Equity Total Value
END_EQUITY: str = 'End Equity'
Final Equity Total Value
INFORMATION_RATIO: str = 'Information Ratio'
Information ratio - risk adjusted return
LOSS_RATE: str = 'Loss Rate'
The ratio of the number of losing trades to the total number of trades
NET_PROFIT: str = 'Net Profit'
Total net profit percentage
PROBABILISTIC_SHARPE_RATIO: str = (
"Probabilistic Sharpe Ratio"
)
Probabilistic Sharpe Ratio is a probability measure associated with the Sharpe ratio. It informs us of the probability that the estimated Sharpe ratio is greater than a chosen benchmark
PROFIT_LOSS_RATIO: str = 'Profit-Loss Ratio'
The ratio of the average win rate to the average loss rate
SHARPE_RATIO: str = 'Sharpe Ratio'
Sharpe ratio with respect to risk free rate: measures excess of return per unit of risk.
SORTINO_RATIO: str = 'Sortino Ratio'
Sortino ratio with respect to risk free rate: measures excess of return per unit of downside risk.
TOTAL_FEES: str = 'Total Fees'
Total amount of fees in the account currency
TOTAL_ORDERS: str = 'Total Orders'
Total amount of orders in the algorithm
TRACKING_ERROR: str = 'Tracking Error'
Tracking error volatility (TEV) statistic - a measure of how closely a portfolio follows the index to which it is benchmarked
TREYNOR_RATIO: str = 'Treynor Ratio'
Treynor ratio statistic is a measurement of the returns earned in excess of that which could have been earned on an investment that has no diversifiable risk
WIN_RATE: str = 'Win Rate'
The ratio of the number of winning trades to the total number of trades
LOWEST_CAPACITY_ASSET: str = 'Lowest Capacity Asset'
Provide a reference to the lowest capacity symbol used in scaling down the capacity for debugging.
PORTFOLIO_TURNOVER: str = 'Portfolio Turnover'
The average Portfolio Turnover
DRAWDOWN_RECOVERY: str = 'Drawdown Recovery'
The recovery time of the maximum drawdown.