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ThisPerformance #473626
07/28/18 07:39
07/28/18 07:39
Joined: Jan 2017
Posts: 64
J
Jeff1228 Offline OP
Junior Member
Jeff1228  Offline OP
Junior Member
J

Joined: Jan 2017
Posts: 64
How to know the structure of struct ThisPerformance?

Thank you

Re: ThisPerformance [Re: Jeff1228] #473629
07/29/18 05:48
07/29/18 05:48
Joined: Feb 2017
Posts: 369
D
Dalla Offline
Senior Member
Dalla  Offline
Senior Member
D

Joined: Feb 2017
Posts: 369
This is from the variables.h file

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

Re: ThisPerformance [Re: Dalla] #473653
08/02/18 02:03
08/02/18 02:03
Joined: Jan 2017
Posts: 64
J
Jeff1228 Offline OP
Junior Member
Jeff1228  Offline OP
Junior Member
J

Joined: Jan 2017
Posts: 64
Thank you so much.

How about CAGR and Sharpe Ratio? You would have to calculate them by yourself?

Last edited by Jeff1228; 08/02/18 02:04.
Re: ThisPerformance [Re: Jeff1228] #473656
08/02/18 07:01
08/02/18 07:01
Joined: Jul 2000
Posts: 27,986
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,986
Frankfurt
Yes. The PERFORMANCE struct is defined in trading.h, but it contains only the basic performance figures from which all others are derived.


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