/TradingAtomics

Basic Timeseries and performance metrics objects to use in trading systems

Primary LanguageC#MIT LicenseMIT

TradingAtomics

Basic Timeseries and performance metrics objects to use in trading systems Currently supported metrics:

  • MaxDrawdown
  • Sharpe ratio
  • WinningTrades
  • LoosingTrades
  • TotalPnL

Usage

TimePriceSeries priceSeries = new TimePriceSeries(new Dictionary<DateTime, decimal>
{
  {startTime.AddDays(1),5},
  {startTime.AddDays(2),6},
  {startTime.AddDays(3),7},
  {startTime.AddDays(4),6.5m},
  {startTime.AddDays(5),4},
});

var performanceMetrics = priceSeries.CalculatePerformanceMetrics();