Posted By: Jeff1228
ThisPerformance - 07/28/18 07:39
How to know the structure of struct ThisPerformance?
Thank you
Thank you
ThisPerformance
Posted By: Dalla
Re: ThisPerformance - 07/29/18 05:48
This is from the variables.h file
My understanding is that you use for example ThisPerformance.vR2 to get the R2
Code:
#define ThisPerformance (g->w) #define DrawDownMax g->w.vDrawDown #define MAE g->w.vEquityDown #define MarginMax g->w.vMarginMax #define RiskMax g->w.vRiskMax #define SpreadCost g->w.vSpreadCost #define SlippageCost (g->w.vSlippageWin+g->w.vSlippageLoss) #define RollCost g->w.vRollCost #define CommissionCost g->w.vCommissionCost #define ReturnMean g->w.vMean #define ReturnStdDev g->w.vStdDev #define Ulcer g->w.vUlcer #define R2 g->w.vR2 #define DrawDownBars g->w.numDrawDownBars #define DrawDownBarsMax g->w.numDrawDownMax #define LossStreakMax g->w.numLossStreakMax #define NumOpenMax g->w.numTradesMax #define InMarketBars g->w.numMarketBars #define InMarketSum g->w.numMarketTotal
My understanding is that you use for example ThisPerformance.vR2 to get the R2
Posted By: Jeff1228
Re: ThisPerformance - 08/02/18 02:03
Thank you so much.
How about CAGR and Sharpe Ratio? You would have to calculate them by yourself?
How about CAGR and Sharpe Ratio? You would have to calculate them by yourself?
Posted By: jcl
Re: ThisPerformance - 08/02/18 07:01
Yes. The PERFORMANCE struct is defined in trading.h, but it contains only the basic performance figures from which all others are derived.