Interface  Description 

BenchmarkLookup  
PerformanceMeasure 
Represents a static performance measure which is computed from a list of
executions.

PerformanceMeasure.TickVisitor  
PerformanceMeasureFactory 
A factory that constructs instances of the same
PerformanceMeasure class.

PerformanceMeasures 
Gets a list of performance measures.

Class  Description 

Alpha 
Alpha coefficient in capital asset pricing model (CAPM).

AverageAnnualRateOfReturn 
Average (compound) annual rate of return (ROR).

Beta 
Beta coefficient in capital asset pricing model (CAPM).

CalmarRatio 
Calmar ratio (or drawdown ratio).

Commission 
This measure computes the commission for the executions.

CommissionProfitRatio 
This measure computes the commissionprofit ratio.

DividendAdjustedProfitLoss 
Computes the profit adjusted with dividend payout.

DividendAdjustedRollingProfitLoss 
Computes the rolling profit adjusted with dividend payout.

ExecutionCount 
Gets the number of executions generated by a strategy.

LinearlyCombinedPerformanceMeasure 
This is a linear combination of measures, usually used in portfolio
optimization and comparison.

MaxDrawdown 
Computes the maximum drawdown in absolute amount.

MaxDrawdownDuration 
Computes the maximum drawdown duration.

MaxDrawdownPercentage 
This class computes the maximum drawdown in terms of percentage relative to
the high water mark of the running pnl.

MaxExposure 
Computes the maximum amount of capital spent.

MeasureUtils  
ProfitAfterTransactionFee 
Profit after deducting transaction fee.

ProfitLoss 
Computes profit/loss (including the unrealized) up to the last
OrderBook update. 
ProfitLossAfterCommission 
Computes profit/loss minus commission.

ProfitLossRealized 
Computes the realized profit/loss.

ProfitOverMaxExposure 
Measures profit over maximum exposure.

SortinoRatio 
Sortino ratio.

TransactionFeeByContract 
Some products like futures charge transaction fee per contract.

TransactionFeeByPercentage 
Some products charge transaction fee as a percentage of the total transacted
amount.

WinLossRatio 
Computes the winloss ratio of trades.

WinLossSizeRatio 
Computes the winloss ratio of trades.

Enum  Description 

PerformanceMeasureFactories 
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