This interface represents a static performance measure which is computed from a list of executions.
A factory that constructs instances of the same PerformanceMeasure class.
Gets a list of performance measures.
This measure computes the commission for the executions.
This measure computes the commission-profit ratio.
Gets the number of executions generated by a strategy.
This is a linear combination of measures, usually used in portfolio optimization and comparison.
This class computes the maximum drawdown in absolute amount.
This measure computes the maximum drawdown duration.
This class computes the maximum drawdown in terms of percentage relative to the high water mark of the running pnl.
This measure dynamically computes the maximum amount of capital spent.
This measure computes profit/loss (including the unrealized) up to the last Depth update.
This measure computes profit/loss minus commission.
This measure computes the realized profit/loss.
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