/// <summary>
/// Returns a summary of the algorithm performance as a dictionary
/// </summary>
private static Dictionary <string, string> GetSummary(AlgorithmPerformance totalPerformance, decimal totalFees, int totalTransactions)
{
return(new Dictionary <string, string>
{
{ "Total Trades", totalTransactions.ToString(CultureInfo.InvariantCulture) },
{ "Average Win", Math.Round(totalPerformance.PortfolioStatistics.AverageWinRate.SafeMultiply100(), 2) + "%" },
{ "Average Loss", Math.Round(totalPerformance.PortfolioStatistics.AverageLossRate.SafeMultiply100(), 2) + "%" },
{ "Compounding Annual Return", Math.Round(totalPerformance.PortfolioStatistics.CompoundingAnnualReturn.SafeMultiply100(), 3) + "%" },
{ "Drawdown", (Math.Round(totalPerformance.PortfolioStatistics.Drawdown.SafeMultiply100(), 3)) + "%" },
{ "Expectancy", Math.Round(totalPerformance.PortfolioStatistics.Expectancy, 3).ToString(CultureInfo.InvariantCulture) },
{ "Net Profit", Math.Round(totalPerformance.PortfolioStatistics.TotalNetProfit.SafeMultiply100(), 3) + "%" },
{ "Sharpe Ratio", Math.Round((double)totalPerformance.PortfolioStatistics.SharpeRatio, 3).ToString(CultureInfo.InvariantCulture) },
{ "Loss Rate", Math.Round(totalPerformance.PortfolioStatistics.LossRate.SafeMultiply100()) + "%" },
{ "Win Rate", Math.Round(totalPerformance.PortfolioStatistics.WinRate.SafeMultiply100()) + "%" },
{ "Profit-Loss Ratio", Math.Round(totalPerformance.PortfolioStatistics.ProfitLossRatio, 2).ToString(CultureInfo.InvariantCulture) },
{ "Alpha", Math.Round((double)totalPerformance.PortfolioStatistics.Alpha, 3).ToString(CultureInfo.InvariantCulture) },
{ "Beta", Math.Round((double)totalPerformance.PortfolioStatistics.Beta, 3).ToString(CultureInfo.InvariantCulture) },
{ "Annual Standard Deviation", Math.Round((double)totalPerformance.PortfolioStatistics.AnnualStandardDeviation, 3).ToString(CultureInfo.InvariantCulture) },
{ "Annual Variance", Math.Round((double)totalPerformance.PortfolioStatistics.AnnualVariance, 3).ToString(CultureInfo.InvariantCulture) },
{ "Information Ratio", Math.Round((double)totalPerformance.PortfolioStatistics.InformationRatio, 3).ToString(CultureInfo.InvariantCulture) },
{ "Tracking Error", Math.Round((double)totalPerformance.PortfolioStatistics.TrackingError, 3).ToString(CultureInfo.InvariantCulture) },
{ "Treynor Ratio", Math.Round((double)totalPerformance.PortfolioStatistics.TreynorRatio, 3).ToString(CultureInfo.InvariantCulture) },
{ "Total Fees", "$" + totalFees.ToString("0.00") }
});
}
/// <summary>
/// Initializes a new instance of the <see cref="StatisticsResults"/> class
/// </summary>
public StatisticsResults()
{
TotalPerformance = new AlgorithmPerformance();
RollingPerformances = new Dictionary <string, AlgorithmPerformance>();
Summary = new Dictionary <string, string>();
}
/// <summary>
/// Initializes a new instance of the <see cref="StatisticsResults"/> class
/// </summary>
/// <param name="totalPerformance">The algorithm total performance</param>
/// <param name="rollingPerformances">The algorithm rolling performances</param>
/// <param name="summary">The summary performance dictionary</param>
public StatisticsResults(AlgorithmPerformance totalPerformance, Dictionary <string, AlgorithmPerformance> rollingPerformances, Dictionary <string, string> summary)
{
TotalPerformance = totalPerformance;
RollingPerformances = rollingPerformances;
Summary = summary;
}
