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algotradelib 0.0.0.9000
C++ header-only library for algorithmic trading
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algotradelib 0.0.0.9000
C++ header-only library for algorithmic trading
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The summary of a replay; read halted_ and caveats_ before the figures. More...
#include <algotradelib/src/backtest/report.hpp>
Public Attributes | |
| std::size_t | bars_ {0} |
| The bars replayed. | |
| std::size_t | executions_ {0} |
| The executions. | |
| Decimal64 | opening_equity_ |
| Equity at the first recorded point. | |
| Decimal64 | closing_equity_ |
| Equity at the last recorded point. | |
| math::Scalar | total_return_ {0} |
| The total return over the replay, as a fraction; math::undefined() when the opening equity is zero or negative (a replay may start with negative cash), math::missing() when every execution was in another currency than the curve's (ReportCaveats::other_currency_executions_). | |
| math::Scalar | sharpe_ {0} |
| The per-period Sharpe ratio; see analytics::sharpe. | |
| math::Scalar | annualized_sharpe_ {0} |
| The annualized Sharpe ratio; missing() unless a period count was given to summarize. | |
| math::Scalar | sortino_ {0} |
| The per-period Sortino ratio; see analytics::sortino. | |
| math::Scalar | max_drawdown_ {0} |
| The worst peak-to-trough decline of equity, as a non-negative fraction. | |
| math::Scalar | total_turnover_ {0} |
| One-way turnover summed over the replay, as a fraction of equity. | |
| std::optional< Decimal64 > | commission_paid_ |
| Commission paid. | |
| std::vector< Money > | commission_by_currency_ |
| Commission paid per currency. | |
| std::optional< Decimal64 > | institution_fees_paid_ |
| Institution fees (유관기관제비용) paid. | |
| std::vector< Money > | institution_by_currency_ |
| Institution fees per currency. | |
| std::optional< Decimal64 > | slippage_paid_ |
| Slippage given up, in money. | |
| std::vector< Money > | slippage_by_currency_ |
| Slippage given up per currency. | |
| std::size_t | rejected_ {0} |
| Instructions not placed: reconciliation could not build them, or the replay cannot model them (BINDING_REFUSED). | |
| std::size_t | refused_ {0} |
| Instructions a risk guard refused. | |
| std::optional< BrokerError > | halted_ |
| Why the replay stopped early, if it did; read this before any figure. | |
| std::size_t | aborted_ {0} |
| Orders cleared from the queue by a halt (unlike ReportCaveats::unfilled_). | |
| ReportCaveats | caveats_ |
| What this run assumed and did not model. | |
| std::optional< Decimal64 > | tax_paid_ |
| Sale tax paid. | |
| std::vector< Money > | tax_by_currency_ |
| Sale tax paid per currency, over executions in the taxed market. | |
The summary of a replay; read halted_ and caveats_ before the figures.
Unobserved figures follow the analytics conventions (missing(), math::undefined()).
Definition at line 203 of file report.hpp.
| std::size_t algotradelib::backtest::Report::aborted_ {0} |
Orders cleared from the queue by a halt (unlike ReportCaveats::unfilled_).
Definition at line 298 of file report.hpp.
| math::Scalar algotradelib::backtest::Report::annualized_sharpe_ {0} |
The annualized Sharpe ratio; missing() unless a period count was given to summarize.
With a period count, undefined whenever sharpe_ is.
Definition at line 232 of file report.hpp.
| std::size_t algotradelib::backtest::Report::bars_ {0} |
The bars replayed.
Definition at line 205 of file report.hpp.
| ReportCaveats algotradelib::backtest::Report::caveats_ |
What this run assumed and did not model.
Definition at line 301 of file report.hpp.
| Decimal64 algotradelib::backtest::Report::closing_equity_ |
Equity at the last recorded point.
Definition at line 212 of file report.hpp.
| std::vector<Money> algotradelib::backtest::Report::commission_by_currency_ |
Commission paid per currency.
Definition at line 258 of file report.hpp.
| std::optional<Decimal64> algotradelib::backtest::Report::commission_paid_ |
Commission paid.
Includes the institution fee for executions charged a combined rate (ReportCaveats::inclusive_commission_executions_). Absent when nothing executed, when the executions span currencies (see commission_by_currency_), or when a sum did not fit.
Definition at line 256 of file report.hpp.
| std::size_t algotradelib::backtest::Report::executions_ {0} |
The executions.
Definition at line 207 of file report.hpp.
| std::optional<BrokerError> algotradelib::backtest::Report::halted_ |
Why the replay stopped early, if it did; read this before any figure.
Set when an execution could not be costed, the ledger could not record one, or positions could not be marked at a bar's close (mark_not_representable). The figures cover the bars up to that point; the halting bar is counted in bars_, and fills settled on it before the refusal are included. Nothing ran after the refusal, and on_stop was not called.
Definition at line 296 of file report.hpp.
| std::vector<Money> algotradelib::backtest::Report::institution_by_currency_ |
Institution fees per currency.
Partial when ReportCaveats::inclusive_commission_executions_ is nonzero: it covers only the executions whose rate split the fee.
Definition at line 272 of file report.hpp.
| std::optional<Decimal64> algotradelib::backtest::Report::institution_fees_paid_ |
Institution fees (유관기관제비용) paid.
Absent unless every execution's rate split the fee out; also under the same currency rule as commission_paid_.
Definition at line 265 of file report.hpp.
| math::Scalar algotradelib::backtest::Report::max_drawdown_ {0} |
The worst peak-to-trough decline of equity, as a non-negative fraction.
Definition at line 240 of file report.hpp.
| Decimal64 algotradelib::backtest::Report::opening_equity_ |
Equity at the first recorded point.
Definition at line 210 of file report.hpp.
| std::size_t algotradelib::backtest::Report::refused_ {0} |
Instructions a risk guard refused.
Definition at line 286 of file report.hpp.
| std::size_t algotradelib::backtest::Report::rejected_ {0} |
Instructions not placed: reconciliation could not build them, or the replay cannot model them (BINDING_REFUSED).
Definition at line 284 of file report.hpp.
| math::Scalar algotradelib::backtest::Report::sharpe_ {0} |
The per-period Sharpe ratio; see analytics::sharpe.
math::undefined() when equity was zero or negative at any point but the last: the periods that follow have no return, and a ratio over the rest would describe a run that did not happen.
Definition at line 226 of file report.hpp.
| std::vector<Money> algotradelib::backtest::Report::slippage_by_currency_ |
Slippage given up per currency.
Definition at line 281 of file report.hpp.
| std::optional<Decimal64> algotradelib::backtest::Report::slippage_paid_ |
Slippage given up, in money.
Absent when nothing executed, the executions span currencies, or a sum did not fit; see slippage_by_currency_.
Definition at line 279 of file report.hpp.
| math::Scalar algotradelib::backtest::Report::sortino_ {0} |
The per-period Sortino ratio; see analytics::sortino.
math::undefined() when equity was zero or negative at any point but the last, as sharpe_.
Definition at line 238 of file report.hpp.
| std::vector<Money> algotradelib::backtest::Report::tax_by_currency_ |
Sale tax paid per currency, over executions in the taxed market.
Definition at line 311 of file report.hpp.
| std::optional<Decimal64> algotradelib::backtest::Report::tax_paid_ |
Sale tax paid.
Absent when no tax was modelled (which is not a tax of zero), nothing executed in the taxed market, the executions in the taxed market span currencies, or a sum did not fit. Untaxed executions in other currencies do not affect it.
Definition at line 309 of file report.hpp.
| math::Scalar algotradelib::backtest::Report::total_return_ {0} |
The total return over the replay, as a fraction; math::undefined() when the opening equity is zero or negative (a replay may start with negative cash), math::missing() when every execution was in another currency than the curve's (ReportCaveats::other_currency_executions_).
Definition at line 218 of file report.hpp.
| math::Scalar algotradelib::backtest::Report::total_turnover_ {0} |
One-way turnover summed over the replay, as a fraction of equity.
missing() when any execution was in a currency other than the equity curve's (whatever the opening equity), and otherwise math::undefined() when the opening equity is zero or negative.
Definition at line 247 of file report.hpp.
1.18.0