/// <summary>
/// Initializes a new instance of the <see cref="AlgorithmPerformance"/> class
/// </summary>
/// <param name="trades">The list of closed trades</param>
/// <param name="profitLoss">Trade record of profits and losses</param>
/// <param name="equity">The list of daily equity values</param>
/// <param name="listPerformance">The list of algorithm performance values</param>
/// <param name="listBenchmark">The list of benchmark values</param>
/// <param name="startingCapital">The algorithm starting capital</param>
public AlgorithmPerformance(
List<Trade> trades,
SortedDictionary<DateTime, decimal> profitLoss,
SortedDictionary<DateTime, decimal> equity,
List<double> listPerformance,
List<double> listBenchmark,
decimal startingCapital)
{
TradeStatistics = new TradeStatistics(trades);
PortfolioStatistics = new PortfolioStatistics(profitLoss, equity, listPerformance, listBenchmark, startingCapital);
ClosedTrades = trades;
}
/// <summary>
/// Initializes a new instance of the <see cref="AlgorithmPerformance"/> class
/// </summary>
/// <param name="trades">The list of closed trades</param>
/// <param name="profitLoss">Trade record of profits and losses</param>
/// <param name="equity">The list of daily equity values</param>
/// <param name="listPerformance">The list of algorithm performance values</param>
/// <param name="listBenchmark">The list of benchmark values</param>
/// <param name="startingCapital">The algorithm starting capital</param>
public AlgorithmPerformance(
List <Trade> trades,
SortedDictionary <DateTime, decimal> profitLoss,
SortedDictionary <DateTime, decimal> equity,
List <double> listPerformance,
List <double> listBenchmark,
decimal startingCapital)
{
TradeStatistics = new TradeStatistics(trades);
PortfolioStatistics = new PortfolioStatistics(profitLoss, equity, listPerformance, listBenchmark, startingCapital);
ClosedTrades = trades;
}
/// <summary>
/// Initializes the fitness score instance and sets the initial portfolio value
/// </summary>
public void Initialize(IAlgorithm algorithm)
{
_algorithm = algorithm;
_maxPortfolioValue = _previousPortfolioValue = _startingPortfolioValue = algorithm.Portfolio.TotalPortfolioValue;
_startUtcTime = _algorithm.UtcTime;
// just in case...
if (_startingPortfolioValue == 0)
{
_disabled = true;
Log.Error("FitnessScore.Initialize(): fitness score will not be calculated because the" +
" algorithms starting portfolio value is 0.");
}
_negativeDailyDeltaPortfolioValue = new List <double>();
_dailyPortfolioTurnovers = new List <decimal>();
_riskFreeRate = PortfolioStatistics.GetRiskFreeRate();
}
/// <summary>
/// Initializes a new instance of the <see cref="AlgorithmPerformance"/> class
/// </summary>
public AlgorithmPerformance()
{
TradeStatistics = new TradeStatistics();
PortfolioStatistics = new PortfolioStatistics();
ClosedTrades = new List<Trade>();
}
/// <summary>
/// Initializes a new instance of the <see cref="AlgorithmPerformance"/> class
/// </summary>
public AlgorithmPerformance()
{
TradeStatistics = new TradeStatistics();
PortfolioStatistics = new PortfolioStatistics();
ClosedTrades = new List <Trade>();
}
