/// <summary>
/// Creates a new Sharpe Ratio indicator using the specified periods
/// </summary>
/// <param name="name">The name of this indicator</param>
/// <param name="period">Period of historical observation for sharpe ratio calculation</param>
/// <param name="riskFreeRate">Risk-free rate for sharpe ratio calculation</param>
public SharpeRatio(string name, int period, decimal riskFreeRate = 0.0m)
: base(name)
{
_period = period;
// calculate sharpe ratio using indicators
_roc = new RateOfChange(1);
var std = new StandardDeviation(period).Of(_roc);
var sma = _roc.SMA(period);
_sharpeRatio = sma.Minus(riskFreeRate).Over(std);
// define warmup value
WarmUpPeriod = _period + 2;
}
