metrics.hpp File Reference

Performance metrics: maximum drawdown, Sharpe and Sortino ratios, annualization, turnover. More...

#include "./numeric.hpp"
#include <cmath>
#include <cstddef>
#include <stdexcept>

Include dependency graph for metrics.hpp:

Go to the source code of this file.

Classes
struct	algotradelib::analytics::MaxDrawdown
	The worst peak-to-trough decline of a level series, and where it happened. More...

Namespaces
namespace	algotradelib
	The library: broker-neutral types (core), and the modules below.
namespace	algotradelib::analytics
	Returns, rolling statistics, indicators and performance metrics over numeric series.

Enumerations
enum class	algotradelib::analytics::TurnoverStart { algotradelib::analytics::FROM_CASH , algotradelib::analytics::SKIP }
	How turnover treats the first period. More...

Functions
MaxDrawdown	algotradelib::analytics::max_drawdown (math::SeriesView levels)
	Finds the worst peak-to-trough decline of a level series.
Scalar	algotradelib::analytics::sharpe (math::SeriesView period_returns, Scalar risk_free=Scalar{0})
	Computes the per-period Sharpe ratio, (mean(returns) - risk_free) / stdev(returns).
Scalar	algotradelib::analytics::sortino (math::SeriesView period_returns, Scalar target=Scalar{0})
	Computes the per-period Sortino ratio, (mean(returns) - target) / downside_deviation.
Scalar	algotradelib::analytics::annualize_ratio (Scalar ratio, Scalar periods_per_year)
	Annualizes a per-period ratio by multiplying it by sqrt(periods_per_year).
math::Vector	algotradelib::analytics::one_way_turnover (math::MatrixView weights, TurnoverStart start=TurnoverStart::FROM_CASH)
	Computes the one-way turnover of each period, 0.5 * sum(|w[i] - w[i - 1]|).
math::Vector	algotradelib::analytics::two_way_turnover (math::MatrixView weights, TurnoverStart start=TurnoverStart::FROM_CASH)
	Computes the two-way turnover of each period, sum(|w[i] - w[i - 1]|).

Detailed Description

Performance metrics: maximum drawdown, Sharpe and Sortino ratios, annualization, turnover.

Each function states the convention it implements. Ratios are per period; annualize them explicitly with annualize_ratio.

Definition in file metrics.hpp.