TradesPerformanceValues

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TradesPerformanceValues

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Definition

Performance values of a collection of Trade objects.

 

Currency and Point based calculations are per trade
Percent based calculations are per traded unit

 

Methods and Properties

AverageEtd

A double value representing avg end trade draw down

AverageMae

A double value representing avg maximum adverse excursion

AverageMfe

A double value representing avg maximum favorable excursion

AverageProfit

A double value representing avg profit

CumProfit

A double value representing cumulative profit (percent is compounded)

Drawdown

A double value representing draw down

LargestLoser

A double value representing largest loss

LargestWinner

A double value representing largest gain

ProfitPerMonth

A double value representing profit per month always as a percent

StdDev

A double value representing standard deviation on a per unit basis

Turnaround

A double value representing the turnaround

Ulcer

A double value representing the Ulcer value

 

 

Examples

protected override void OnBarUpdate()
{
    // If the profit on real-time trades is > $1000 stop trading
    if (SystemPerformance.RealTimeTrades.TradesPerformance.Currency.CumProfit > 1000)
         return;
}