Class Performance

Collection of volatility-related indictors.

Inheritance
object
Performance
Inherited Members
object.Equals(object)
object.Equals(object, object)
object.GetHashCode()
object.GetType()
object.MemberwiseClone()
object.ReferenceEquals(object, object)
object.ToString()
Namespace: TuringTrader.SimulatorV2.Indicators
Assembly: TuringTrader.Simulator.dll
Syntax
public static class Performance

Methods

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AverageTrueRange(TimeSeriesAsset, int)

Calculate Averaged True Range, as described here: https://en.wikipedia.org/wiki/Average_true_range.

Declaration
public static TimeSeriesFloat AverageTrueRange(this TimeSeriesAsset series, int n)
Parameters
Type Name Description
TimeSeriesAsset series
int n
Returns
Type Description
TimeSeriesFloat

average true range time series
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Beta(TimeSeriesFloat, TimeSeriesFloat, int)

Calculate beta of time series to benchmark.

Declaration
public static TimeSeriesFloat Beta(this TimeSeriesFloat asset, TimeSeriesFloat market, int n)
Parameters
Type Name Description
TimeSeriesFloat asset

primary time series
TimeSeriesFloat market

benchmark time series
int n

period
Returns
Type Description
TimeSeriesFloat

beta time series
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BollingerBands(TimeSeriesFloat, int, double)

Calculate Bollinger Bands, as described here: https://en.wikipedia.org/wiki/Bollinger_Bands.

Declaration
public static Performance.BollingerT BollingerBands(this TimeSeriesFloat series, int n = 20, double stdev = 2)
Parameters
Type Name Description
TimeSeriesFloat series

input series
int n

calculation period
double stdev

width in standard deviations
Returns
Type Description
Performance.BollingerT

Bollinger Band container of time series
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Drawdown(TimeSeriesFloat, int)

Calculate current drawdown from highest high in period.

Declaration
public static TimeSeriesFloat Drawdown(this TimeSeriesFloat series, int period)
Parameters
Type Name Description
TimeSeriesFloat series

input series
int period

period for highest high
Returns
Type Description
TimeSeriesFloat

drawdown time series
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TrueRange(TimeSeriesAsset)

Calculate True Range, non averaged, as described here: https://en.wikipedia.org/wiki/Average_true_range.

Declaration
public static TimeSeriesFloat TrueRange(this TimeSeriesAsset series)
Parameters
Type Name Description
TimeSeriesAsset series
Returns
Type Description
TimeSeriesFloat
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UlcerIndex(TimeSeriesFloat, int)

Calculate Ulcer Index over period.

Declaration
public static TimeSeriesFloat UlcerIndex(this TimeSeriesFloat series, int period)
Parameters
Type Name Description
TimeSeriesFloat series

input series
int period

period for highest high
Returns
Type Description
TimeSeriesFloat

ulcer index time series
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ValueAtRisk(TimeSeriesAsset, int, double)

Calculate Value-at-Risk at given percentile. The result is expressed as a fraction of the asset's value. A value of 0.1 equates to 10% risk.

Declaration
public static TimeSeriesFloat ValueAtRisk(this TimeSeriesAsset series, int days = 21, double percentile = 0.95)
Parameters
Type Name Description
TimeSeriesAsset series

input time series
int days

of days to sample
double percentile

percentile of value at risk. A value of 0.99 represents the 99-th percentile
Returns
Type Description
TimeSeriesFloat

value at risk, expresed as a fraction of the asset value. A value of 0.1 equates to 10% risk
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Volatility(TimeSeriesFloat, int)

Calculate historical volatility, based on log-returns.

Declaration
public static TimeSeriesFloat Volatility(this TimeSeriesFloat series, int n = 10)
Parameters
Type Name Description
TimeSeriesFloat series
int n
Returns
Type Description
TimeSeriesFloat

volatility time series