algotradelib::analytics::MaxDrawdown Struct Reference

The worst peak-to-trough decline of a level series, and where it happened. More...

#include <algotradelib/src/analytics/metrics.hpp>

Public Attributes
Scalar	magnitude_ {0}
	The decline as a non-negative fraction of the peak (0.2 is 20% below it).
math::Index	peak_row_ {-1}
	The row of the peak the decline fell from, or -1 if there is none.
math::Index	trough_row_ {-1}
	The row of the low the decline reached, or -1 if there is none.

Detailed Description

The worst peak-to-trough decline of a level series, and where it happened.

Definition at line 62 of file metrics.hpp.

Member Data Documentation

magnitude_

Scalar algotradelib::analytics::MaxDrawdown::magnitude_ {0}

The decline as a non-negative fraction of the peak (0.2 is 20% below it).

Definition at line 64 of file metrics.hpp.

Referenced by algotradelib::analytics::max_drawdown().

peak_row_

math::Index algotradelib::analytics::MaxDrawdown::peak_row_ {-1}

The row of the peak the decline fell from, or -1 if there is none.

Definition at line 66 of file metrics.hpp.

Referenced by algotradelib::analytics::max_drawdown().

trough_row_

math::Index algotradelib::analytics::MaxDrawdown::trough_row_ {-1}

The row of the low the decline reached, or -1 if there is none.

Definition at line 68 of file metrics.hpp.

Referenced by algotradelib::analytics::max_drawdown().

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The documentation for this struct was generated from the following file:

• algotradelib/src/analytics/metrics.hpp