Basic Timeseries and performance metrics objects to use in trading systems Currently supported metrics:
- MaxDrawdown
- Sharpe ratio
- WinningTrades
- LoosingTrades
- TotalPnL
TimePriceSeries priceSeries = new TimePriceSeries(new Dictionary<DateTime, decimal>
{
{startTime.AddDays(1),5},
{startTime.AddDays(2),6},
{startTime.AddDays(3),7},
{startTime.AddDays(4),6.5m},
{startTime.AddDays(5),4},
});
var performanceMetrics = priceSeries.CalculatePerformanceMetrics();