tsa::metrics Class Reference

Strategy performance metrics. More...

#include <TSAMetrics.h>

Inheritance diagram for tsa::metrics:

Classes
struct	daily_record

Public Member Functions
	metrics (void)
	Constructor.
	metrics (const metrics &)
	Copy constructor. More...
	~metrics (void)
	Destructor.
std::vector< double >	_daily_cash_flow_history (void) const
std::vector< double >	_daily_equity_history () const
double	average_daily_cash_flow (const std::vector< double > &daily_cash_flows) const
double	average_trading_days_per_year (void) const
void	calculate_equity_metrics (void)
virtual void	daily_cash_flow (mem_table &mt) const
	Returns the daily cash flow as a mem_table. Intervals shorter than a day are aggregated into a daily cash flow value. Note such a daily value includes all intervals that 'started' on that date, but which can, for the last interval 'end' on the subsequent bar! More...
std::vector< daily_record >	daily_cash_flow_history (void) const
std::vector< daily_record >	daily_equity_history (void) const
template<typename T >
T	get (perf_metric_type metric_type, trade_grouping trade_aggr_type=all_trades) const
variant	get_metric (perf_metric_type metric_type, trade_grouping group=all_trades) const
	Returns a value for a given metric-type and trade-aggregation-type. More...
date_time	GetEndDateTime (void) const
	Returns the last strategy timestamp.
void	print_daily_cash_flow (std::ostream &, bool with_date=false) const
Public Member Functions inherited from tsa::object
	object (void)
	Constructor.
virtual	~object (void)
	Destructor.
const char *	class_name (void) const
	Returns the class name as returned by the 'Real Time Type Information' (RTTI) mechanism. More...
bool	has_same_class_as (const object &other) const
	Returns true if self has the same type as other object. More...

Detailed Description

Strategy performance metrics.

Strategy performance metrics can be aggregated with metrics from other strategies to arrive at the performance of a 'basket' of instruments. The performance of a 'basket' can in turn be part of a higher level aggregation to arrive at perhaps the performance of a 'baskets of baskets'.