/// <summary>
/// Generates the statistics and returns the results
/// </summary>
/// <param name="trades">The list of closed trades</param>
/// <param name="profitLoss">Trade record of profits and losses</param>
/// <param name="pointsEquity">The list of daily equity values</param>
/// <param name="pointsPerformance">The list of algorithm performance values</param>
/// <param name="pointsBenchmark">The list of benchmark values</param>
/// <param name="startingCapital">The algorithm starting capital</param>
/// <param name="totalFees">The total fees</param>
/// <param name="totalTransactions">The total number of transactions</param>
/// <param name="estimatedStrategyCapacity">The estimated capacity of this strategy</param>
/// <returns>Returns a <see cref="StatisticsResults"/> object</returns>
public static StatisticsResults Generate(
List <Trade> trades,
SortedDictionary <DateTime, decimal> profitLoss,
List <ChartPoint> pointsEquity,
List <ChartPoint> pointsPerformance,
List <ChartPoint> pointsBenchmark,
decimal startingCapital,
decimal totalFees,
int totalTransactions,
CapacityEstimate estimatedStrategyCapacity)
{
var equity = ChartPointToDictionary(pointsEquity);
var firstDate = equity.Keys.FirstOrDefault().Date;
var lastDate = equity.Keys.LastOrDefault().Date;
var totalPerformance = GetAlgorithmPerformance(firstDate, lastDate, trades, profitLoss, equity, pointsPerformance, pointsBenchmark, startingCapital);
var rollingPerformances = GetRollingPerformances(firstDate, lastDate, trades, profitLoss, equity, pointsPerformance, pointsBenchmark, startingCapital);
var summary = GetSummary(totalPerformance, estimatedStrategyCapacity, totalFees, totalTransactions);
return(new StatisticsResults(totalPerformance, rollingPerformances, summary));
}
/// <summary>
/// Returns a summary of the algorithm performance as a dictionary
/// </summary>
private static Dictionary <string, string> GetSummary(AlgorithmPerformance totalPerformance, CapacityEstimate estimatedStrategyCapacity, decimal totalFees, int totalTransactions)
{
var capacity = 0m;
var lowestCapacitySymbol = Symbol.Empty;
if (estimatedStrategyCapacity != null)
{
capacity = estimatedStrategyCapacity.Capacity;
lowestCapacitySymbol = estimatedStrategyCapacity.LowestCapacityAsset ?? Symbol.Empty;
}
return(new Dictionary <string, string>
{
{ "Total Trades", totalTransactions.ToStringInvariant() },
{ "Average Win", Math.Round(totalPerformance.PortfolioStatistics.AverageWinRate.SafeMultiply100(), 2).ToStringInvariant() + "%" },
{ "Average Loss", Math.Round(totalPerformance.PortfolioStatistics.AverageLossRate.SafeMultiply100(), 2).ToStringInvariant() + "%" },
{ "Compounding Annual Return", Math.Round(totalPerformance.PortfolioStatistics.CompoundingAnnualReturn.SafeMultiply100(), 3).ToStringInvariant() + "%" },
{ "Drawdown", Math.Round(totalPerformance.PortfolioStatistics.Drawdown.SafeMultiply100(), 3).ToStringInvariant() + "%" },
{ "Expectancy", Math.Round(totalPerformance.PortfolioStatistics.Expectancy, 3).ToStringInvariant() },
{ "Net Profit", Math.Round(totalPerformance.PortfolioStatistics.TotalNetProfit.SafeMultiply100(), 3).ToStringInvariant() + "%" },
{ "Sharpe Ratio", Math.Round((double)totalPerformance.PortfolioStatistics.SharpeRatio, 3).ToStringInvariant() },
{ "Probabilistic Sharpe Ratio", Math.Round(totalPerformance.PortfolioStatistics.ProbabilisticSharpeRatio.SafeMultiply100(), 3).ToStringInvariant() + "%" },
{ "Loss Rate", Math.Round(totalPerformance.PortfolioStatistics.LossRate.SafeMultiply100()).ToStringInvariant() + "%" },
{ "Win Rate", Math.Round(totalPerformance.PortfolioStatistics.WinRate.SafeMultiply100()).ToStringInvariant() + "%" },
{ "Profit-Loss Ratio", Math.Round(totalPerformance.PortfolioStatistics.ProfitLossRatio, 2).ToStringInvariant() },
{ "Alpha", Math.Round((double)totalPerformance.PortfolioStatistics.Alpha, 3).ToStringInvariant() },
{ "Beta", Math.Round((double)totalPerformance.PortfolioStatistics.Beta, 3).ToStringInvariant() },
{ "Annual Standard Deviation", Math.Round((double)totalPerformance.PortfolioStatistics.AnnualStandardDeviation, 3).ToStringInvariant() },
{ "Annual Variance", Math.Round((double)totalPerformance.PortfolioStatistics.AnnualVariance, 3).ToStringInvariant() },
{ "Information Ratio", Math.Round((double)totalPerformance.PortfolioStatistics.InformationRatio, 3).ToStringInvariant() },
{ "Tracking Error", Math.Round((double)totalPerformance.PortfolioStatistics.TrackingError, 3).ToStringInvariant() },
{ "Treynor Ratio", Math.Round((double)totalPerformance.PortfolioStatistics.TreynorRatio, 3).ToStringInvariant() },
{ "Total Fees", "$" + totalFees.ToStringInvariant("0.00") },
{ "Estimated Strategy Capacity", "$" + capacity.RoundToSignificantDigits(2).ToStringInvariant() },
{ "Lowest Capacity Asset", lowestCapacitySymbol != Symbol.Empty ? lowestCapacitySymbol.ID.ToString() : "" },
});
}
