TradesPerformance
Definition
Performance profile of a collection of Trade objects.
Methods and Properties
| Parameter | Description |
|---|---|
| AverageBarsInTrade | A double value representing the average number of bars per trade |
| AverageEntryEfficiency | A double value representing the average entry efficiency |
| AverageExitEfficiency | A double value representing the average exit efficiency |
| AverageTimeInMarket | A TimeSpan value representing quantity-weighted average duration of a trade |
| AverageTotalEfficiency | A double value representing the average total efficiency |
| TotalCommission | A double value representing the total commission |
| Currency | Gets a TradesPerformanceValues object in currency |
| GrossLoss | A double value representing the gross loss |
| GrossProfit | A double value representing the gross profit |
| LongestFlatPeriod | A TimeSpan value representing longest duration of being flat |
| MaxConsecutiveLoser | An int value representing the maximum number of consecutive losses seen |
| MaxConsecutiveWinner | An int value representing the maximum number of consecutive winners seen |
| MaxTime2Recover | A TimeSpan value representing maximum time to recover from a draw down |
| MonthlyStdDev | A double value representing the monthly standard deviation |
| MonthlyUlcer | A double value representing the monthly Ulcer index |
| NetProfit | A double value representing the net profit |
| Percent | Gets a TradesPerformanceValues object in percent |
| PerformanceMetrics | An array of custom NinjaScript performance metrics |
| Pips | Gets a TradesPerformanceValues object in pips |
| Points | Gets a TradesPerformanceValues object in points |
| ProfitFactor | A double value representing the profit factor |
| R2 | A double value representing the R-squared value |
| RiskFreeReturn | A double value representing the risk free return rate |
| SharpeRatio | A double value representing the Sharpe Ratio |
| SortinoRatio | A double value representing the Sortino Ratio |
| Ticks | Gets a TradesPerformanceValues object in ticks |
| TotalQuantity | An int value representing the total quantity |
| TotalSlippage | A double value representing the total slippage. This is presented in points, I.E. 0.25 for 1 execution on E-mini S&P 500 Futures. |
| TradesCount | An int value representing the trades count |
| TradesPerDay | An int value representing the avg trades per day |
Examples
protected override void OnBarUpdate(){// Only trade if you have less than 5 consecutive losers in a rowif (SystemPerformance.RealTimeTrades.TradesPerformance.MaxConsecutiveLoser < 5){// Trade logic here}}