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ReferencesStrategy

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

PropertyDescription
AverageEtdA double value representing avg end trade draw down
AverageMaeA double value representing avg maximum adverse excursion
AverageMfeA double value representing avg maximum favorable excursion
AverageProfitA double value representing avg profit
CumProfitA double value representing cumulative profit (percent is compounded)
DrawdownA double value representing draw down
LargestLoserA double value representing largest loss
LargestWinnerA double value representing largest gain
ProfitPerMonthA double value representing profit per month always as a percent
StdDevA double value representing standard deviation on a per unit basis
TurnaroundA double value representing the turnaround
UlcerA 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;
}