algotradelib::backtest::EquityPoint Struct Reference

One point on a replay's equity curve, recorded per bar. More...

#include <algotradelib/src/backtest/engine.hpp>

Collaboration diagram for algotradelib::backtest::EquityPoint:

Public Attributes
std::chrono::system_clock::time_point	at_ {}
	The bar's period end.
Decimal64	equity_
	Cash plus positions marked at the bar's close, in the replay's currency.
math::Scalar	period_return_ {0}
	The return since the previous point; missing() on the first point, after an unvalued bar, and after a point whose equity was zero or negative (a return on no capital is not defined).

Detailed Description

One point on a replay's equity curve, recorded per bar.

Definition at line 291 of file engine.hpp.

Member Data Documentation

at_

std::chrono::system_clock::time_point algotradelib::backtest::EquityPoint::at_ {}

The bar's period end.

Definition at line 293 of file engine.hpp.

equity_

Decimal64 algotradelib::backtest::EquityPoint::equity_

Cash plus positions marked at the bar's close, in the replay's currency.

Definition at line 295 of file engine.hpp.

period_return_

math::Scalar algotradelib::backtest::EquityPoint::period_return_ {0}

The return since the previous point; missing() on the first point, after an unvalued bar, and after a point whose equity was zero or negative (a return on no capital is not defined).

A statistic over these returns skips the missing ones. summarize refuses its ratios for a run that reached non-positive equity before its last point; reducing a slice yourself, apply the same check to the equity each return is measured from.

Definition at line 304 of file engine.hpp.

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

• algotradelib/src/backtest/engine.hpp