Table of Contents

Class TradeStatFields

Namespace
Balsam
Assembly
Balsam.Backtester.dll

Provides string constants mapping to TradeStats, EquityCurveStats, and PerformanceStats properties.

public static class TradeStatFields
Inheritance
TradeStatFields
Inherited Members

Fields

AnnualTurnover

Annual turnover.

public static readonly string AnnualTurnover

Field Value

string

ArithmeticSharpeRatio

Arithmetic Sharpe Ratio

public static readonly string ArithmeticSharpeRatio

Field Value

string

AvgAccountValue

Avg account value.

public static readonly string AvgAccountValue

Field Value

string

AvgBarsInLosers

Average bars in losers.

public static readonly string AvgBarsInLosers

Field Value

string

AvgBarsInUnchanged

Average bars in unchanged.

public static readonly string AvgBarsInUnchanged

Field Value

string

AvgBarsInWinners

Average bars in winners.

public static readonly string AvgBarsInWinners

Field Value

string

AvgBarsPerTrade

Average bars per trade.

public static readonly string AvgBarsPerTrade

Field Value

string

AvgDrawdown

Avg drawdown.

public static readonly string AvgDrawdown

Field Value

string

AvgExposure

Average exposure.

public static readonly string AvgExposure

Field Value

string

AvgGrossExposure

Average gross exposure.

public static readonly string AvgGrossExposure

Field Value

string

AvgLosingTrade

Average losing trade.

public static readonly string AvgLosingTrade

Field Value

string

AvgLosingTradePercent

Average losing trade %.

public static readonly string AvgLosingTradePercent

Field Value

string

AvgMarginToEquity

Average margin to equity.

public static readonly string AvgMarginToEquity

Field Value

string

AvgMaxRetracement

Avg maximum retracement.

public static readonly string AvgMaxRetracement

Field Value

string

AvgNetExposure

Average net exposure.

public static readonly string AvgNetExposure

Field Value

string

AvgOfTop5Drawdowns

Avg of top five drawdowns.

public static readonly string AvgOfTop5Drawdowns

Field Value

string

AvgReturn

Avg return.

public static readonly string AvgReturn

Field Value

string

AvgRiskToEquity

Average risk to equity.

public static readonly string AvgRiskToEquity

Field Value

string

AvgTrade

Average trade.

public static readonly string AvgTrade

Field Value

string

AvgTradePerContract

Average trade per contract.

public static readonly string AvgTradePerContract

Field Value

string

AvgTradePercent

Average trade %.

public static readonly string AvgTradePercent

Field Value

string

AvgWinToAvgLoss

Average win to average loss.

public static readonly string AvgWinToAvgLoss

Field Value

string

AvgWinToAvgLossPercent

Average percent win to average percent loss.

public static readonly string AvgWinToAvgLossPercent

Field Value

string

AvgWinningTrade

Average winning trade.

public static readonly string AvgWinningTrade

Field Value

string

AvgWinningTradePercent

Average winning trade %.

public static readonly string AvgWinningTradePercent

Field Value

string

AvgYearlyDrawdown

Avg yearly drawdown.

public static readonly string AvgYearlyDrawdown

Field Value

string

BuyAndHoldCAGR

Buy & hold compound rate of return.

public static readonly string BuyAndHoldCAGR

Field Value

string

CAGR

Compound annual growth rate.

public static readonly string CAGR

Field Value

string

CapitalRequirement

Capital requirement.

public static readonly string CapitalRequirement

Field Value

string

CapitalRequirementDate

Date of capital requirement.

public static readonly string CapitalRequirementDate

Field Value

string

CashAdjustments

Cash adjustments.

public static readonly string CashAdjustments

Field Value

string

ClosedPnL

Closed P&L.

public static readonly string ClosedPnL

Field Value

string

Commissions

Commissions.

public static readonly string Commissions

Field Value

string

ConditionalSharpe

Conditional Sharpe (conditional VaR in denominator).

public static readonly string ConditionalSharpe

Field Value

string

ConditionalVaR

Conditional VaR (expected tail loss).

public static readonly string ConditionalVaR

Field Value

string

ConfidenceLevel

Confidence level.

public static readonly string ConfidenceLevel

Field Value

string

CreditInterest

Credit interest.

public static readonly string CreditInterest

Field Value

string

DebitInterest

Debit interest.

public static readonly string DebitInterest

Field Value

string

Dividends

Dividends.

public static readonly string Dividends

Field Value

string

DownsideDeviation

Downside deviation.

public static readonly string DownsideDeviation

Field Value

string

EndDate

End date.

public static readonly string EndDate

Field Value

string

EndingAccountValue

Ending account value.

public static readonly string EndingAccountValue

Field Value

string

Expectation

Expectation

public static readonly string Expectation

Field Value

string

ExpectationPercent

Expectation calculated using Avg Percent Win to Avg Percent Loss.

public static readonly string ExpectationPercent

Field Value

string

ForeignCurrencyTranslationAdjustment

Foreign currency translation adjustment.

public static readonly string ForeignCurrencyTranslationAdjustment

Field Value

string

GainToPainRatio

Gain to pain ratio.

public static readonly string GainToPainRatio

Field Value

string

GeometricAvgTrade

Geometric average trade.

public static readonly string GeometricAvgTrade

Field Value

string

GrossPnL

Gross P&L (adds back in commissions and slippage).

public static readonly string GrossPnL

Field Value

string

HistoricalVaR

Historical VaR.

public static readonly string HistoricalVaR

Field Value

string

KRatio

K-Ratio.

public static readonly string KRatio

Field Value

string

Kelly

Kelly criterion.

public static readonly string Kelly

Field Value

string

LargestLosingTrade

Largest losing trade.

public static readonly string LargestLosingTrade

Field Value

string

LargestLosingTradePercent

Largest losing trade %.

public static readonly string LargestLosingTradePercent

Field Value

string

LargestWinningTrade

Largest winning trade.

public static readonly string LargestWinningTrade

Field Value

string

LargestWinningTradePercent

Largest winning trade %.

public static readonly string LargestWinningTradePercent

Field Value

string

LongLosses

The number of losing trades on the long side.

public static readonly string LongLosses

Field Value

string

LongLossesPnL

Total P&L from long losing trades.

public static readonly string LongLossesPnL

Field Value

string

LongPercentProfitable

Long percent profitable trades.

public static readonly string LongPercentProfitable

Field Value

string

LongPnL

Long P&L.

public static readonly string LongPnL

Field Value

string

LongTrades

The number of long trades.

public static readonly string LongTrades

Field Value

string

LongWins

The number of winning trades on the long side.

public static readonly string LongWins

Field Value

string

LongWinsPnL

The P&L from winning trades on the long side.

public static readonly string LongWinsPnL

Field Value

string

LongestDrawdownEndDate

Longest drawdown end date.

public static readonly string LongestDrawdownEndDate

Field Value

string

LongestDrawdownPeriods

Longest drawdown periods.

public static readonly string LongestDrawdownPeriods

Field Value

string

LongestDrawdownStartDate

Longest drawdown start date.

public static readonly string LongestDrawdownStartDate

Field Value

string

LongestFlatEndDate

Longest flat date.

public static readonly string LongestFlatEndDate

Field Value

string

LongestFlatPeriods

Longest flat periods.

public static readonly string LongestFlatPeriods

Field Value

string

LongestFlatStartDate

Longest flat start date.

public static readonly string LongestFlatStartDate

Field Value

string

LosingPnL

The P&L from losing trades.

public static readonly string LosingPnL

Field Value

string

LosingTrades

The number of losing trades.

public static readonly string LosingTrades

Field Value

string

MARRatio

MAR Ratio.

public static readonly string MARRatio

Field Value

string

MarginCalls

The number of margin calls.

public static readonly string MarginCalls

Field Value

string

MaxAccountValue

Max account value.

public static readonly string MaxAccountValue

Field Value

string

MaxConsecutiveLosses

The maximum number of consecutive losing trades.

public static readonly string MaxConsecutiveLosses

Field Value

string

MaxConsecutiveLossesPnL

The P&L from the largest run of consecutive losing trades.

public static readonly string MaxConsecutiveLossesPnL

Field Value

string

MaxConsecutiveWins

The maximum number of consecutive winning trades.

public static readonly string MaxConsecutiveWins

Field Value

string

MaxConsecutiveWinsPnL

The P&L from the largest run of consecutive winning trades.

public static readonly string MaxConsecutiveWinsPnL

Field Value

string

MaxContractsHeld

The maximum number of contracts held.

public static readonly string MaxContractsHeld

Field Value

string

MaxContractsHeldDate

The date of the maximum number of contracts held.

public static readonly string MaxContractsHeldDate

Field Value

string

MaxDrawdown

Max drawdown.

public static readonly string MaxDrawdown

Field Value

string

MaxDrawdownPercent

Max drawdown percent.

public static readonly string MaxDrawdownPercent

Field Value

string

MaxDrawdownPercentDate

Max dradown percent date.

public static readonly string MaxDrawdownPercentDate

Field Value

string

MaxExposure

Maximum exposure.

public static readonly string MaxExposure

Field Value

string

MaxExposureDate

The date of the maximum exposure.

public static readonly string MaxExposureDate

Field Value

string

MaxMarginCall

Maximum margin call.

public static readonly string MaxMarginCall

Field Value

string

MaxMarginCallDate

Date of maximum margin call.

public static readonly string MaxMarginCallDate

Field Value

string

MaxOpenPositions

The maximum number of open positions.

public static readonly string MaxOpenPositions

Field Value

string

MaxOpenPositionsDate

The date of the maximum number of open positions.

public static readonly string MaxOpenPositionsDate

Field Value

string

MedianTradePercent

Median trade %.

public static readonly string MedianTradePercent

Field Value

string

MinAccountValue

Min account value.

public static readonly string MinAccountValue

Field Value

string

MinExposure

Minimum exposure.

public static readonly string MinExposure

Field Value

string

MinExposureDate

The date of the minimum exposure.

public static readonly string MinExposureDate

Field Value

string

MoneyManagerCommissions

Comissions paid by the money manager.

public static readonly string MoneyManagerCommissions

Field Value

string

MoneyManagerContractsTraded

The number of contracts/shares traded by the money manager.

public static readonly string MoneyManagerContractsTraded

Field Value

string

MoneyManagerName

The name of the money manager.

public static readonly string MoneyManagerName

Field Value

string

MoneyManagerRolls

The number of rolls for positions opened by the money manager.

public static readonly string MoneyManagerRolls

Field Value

string

MoneyManagerSlippage

The amount of slippage incurred by money manager trades.

public static readonly string MoneyManagerSlippage

Field Value

string

MoneyManagerTrades

The number of trades generated by the money manager.

public static readonly string MoneyManagerTrades

Field Value

string

MonthlySharpe

Monthly Sharpe.

public static readonly string MonthlySharpe

Field Value

string

MultiplierTrades

The number of multiplier trades.

public static readonly string MultiplierTrades

Field Value

string

NetInterest

Net interest.

public static readonly string NetInterest

Field Value

string

NetPnL

P&L net of transaction costs.

public static readonly string NetPnL

Field Value

string

NewHighs

New highs.

public static readonly string NewHighs

Field Value

string

NewHighsPercent

New highs %.

public static readonly string NewHighsPercent

Field Value

string

OmegaRatio

Omega Ratio.

public static readonly string OmegaRatio

Field Value

string

OpenPnL

Open P&L.

public static readonly string OpenPnL

Field Value

string

OpenTrades

The number of open trades.

public static readonly string OpenTrades

Field Value

string

Optimalf

Optimal f.

public static readonly string Optimalf

Field Value

string

OptimizationProperties

Optimization properties as set by the optimizer.

public static readonly string OptimizationProperties

Field Value

string

PeakRatio

Peak Ratio.

public static readonly string PeakRatio

Field Value

string

PercentInMarket

The percent of time in the market.

public static readonly string PercentInMarket

Field Value

string

PercentProfitable

Percent profitable trades.

public static readonly string PercentProfitable

Field Value

string

Periodicity

Periodicity.

public static readonly string Periodicity

Field Value

string

PeriodsInDrawdown

Periods in drawdown.

public static readonly string PeriodsInDrawdown

Field Value

string

PeriodsInDrawdownPercent

Periods in drawdown percent.

public static readonly string PeriodsInDrawdownPercent

Field Value

string

PeriodsLosing

Periods losing.

public static readonly string PeriodsLosing

Field Value

string

PeriodsLosingPercent

Periods losing %.

public static readonly string PeriodsLosingPercent

Field Value

string

PeriodsPerYear

Periods per year.

public static readonly string PeriodsPerYear

Field Value

string

PeriodsWinning

Periods winning.

public static readonly string PeriodsWinning

Field Value

string

PeriodsWinningPercent

Periods winning %.

public static readonly string PeriodsWinningPercent

Field Value

string

ProfitFactor

Profit factor (winning P&L / losing P&L).

public static readonly string ProfitFactor

Field Value

string

ROI

Return on investment.

public static readonly string ROI

Field Value

string

RSquared

R-squared.

public static readonly string RSquared

Field Value

string

ReturnRetracementRatio

Return retracement ratio.

public static readonly string ReturnRetracementRatio

Field Value

string

RiskFreeRate

Risk free rate.

public static readonly string RiskFreeRate

Field Value

string

RollCommissions

Roll commissions.

public static readonly string RollCommissions

Field Value

string

RollContractsTraded

Roll contracts traded.

public static readonly string RollContractsTraded

Field Value

string

RollSlippage

Roll slippage.

public static readonly string RollSlippage

Field Value

string

Rolls

Number of rolls.

public static readonly string Rolls

Field Value

string

RoundTurnsPerMillion

The number of round turns per million.

public static readonly string RoundTurnsPerMillion

Field Value

string

Runtime

Timestamp of when the simulation was run.

public static readonly string Runtime

Field Value

string

SharpeRatio

Sharpe Ratio.

public static readonly string SharpeRatio

Field Value

string

ShortLosses

The number of losing trades on the short side.

public static readonly string ShortLosses

Field Value

string

ShortLossesPnL

The P&L from losing trades on the short side.

public static readonly string ShortLossesPnL

Field Value

string

ShortPercentProfitable

Short percent profitable trades.

public static readonly string ShortPercentProfitable

Field Value

string

ShortPnL

The P&L from short trades.

public static readonly string ShortPnL

Field Value

string

ShortRebate

Short rebate.

public static readonly string ShortRebate

Field Value

string

ShortTrades

The number of trades on the short side.

public static readonly string ShortTrades

Field Value

string

ShortWins

The number of winning trades on the short side.

public static readonly string ShortWins

Field Value

string

ShortWinsPnL

The number of winning trades on the short side.

public static readonly string ShortWinsPnL

Field Value

string

Skew

Skew.

public static readonly string Skew

Field Value

string

Slippage

Slippage.

public static readonly string Slippage

Field Value

string

SortinoRatio

Sortino Ratio.

public static readonly string SortinoRatio

Field Value

string

StandardDeviation

Standard deviation.

public static readonly string StandardDeviation

Field Value

string

StartDate

Start date.

public static readonly string StartDate

Field Value

string

StartupCash

Startup cash.

public static readonly string StartupCash

Field Value

string

StdDevTradePercent

The standard deviation of trade percentage wins/losses.

public static readonly string StdDevTradePercent

Field Value

string

StopsHit

The number of trades exited on a stop.

public static readonly string StopsHit

Field Value

string

StopsHitPct

The number of trade exited on a stop as a percent of total trades.

public static readonly string StopsHitPct

Field Value

string

StrategyNames

The name of the strategy or strategies.

public static readonly string StrategyNames

Field Value

string

Symbols

The symbol or symbols tested.

public static readonly string Symbols

Field Value

string

TStat

The t-stat of percent wins/losses.

public static readonly string TStat

Field Value

string

TWR

Terminal wealth relative or geometric linking of all trade's percentage returns.

public static readonly string TWR

Field Value

string

Tag

An arbitrary object assigned to the TradeStat results.

public static readonly string Tag

Field Value

string

TargetReturn

Target return.

public static readonly string TargetReturn

Field Value

string

TargetsHit

The number of trades exited on a limit.

public static readonly string TargetsHit

Field Value

string

TargetsHitPct

The number of trades exited on a limit as a percent of total trades.

public static readonly string TargetsHitPct

Field Value

string

TotalContractsTraded

The total number of contracts/shares traded.

public static readonly string TotalContractsTraded

Field Value

string

TotalPeriods

Total periods.

public static readonly string TotalPeriods

Field Value

string

Trades

The number of trades.

public static readonly string Trades

Field Value

string

TradesCanceled

The number of trades canceled.

public static readonly string TradesCanceled

Field Value

string

TradesRejected

The number of trades rejected.

public static readonly string TradesRejected

Field Value

string

TradingSharpe

The arithmetic Sharpe Ratio calculated over periods for which there was trading activity or open positions.

public static readonly string TradingSharpe

Field Value

string

Turnover

The turnover in currency terms.

public static readonly string Turnover

Field Value

string

UlcerIndex

Ulcer Index.

public static readonly string UlcerIndex

Field Value

string

UlcerPerformanceIndex

Ulcer Performance Index.

public static readonly string UlcerPerformanceIndex

Field Value

string

UnchangedTrades

The number of unchanged trades.

public static readonly string UnchangedTrades

Field Value

string

VaR

Value-at-risk.

public static readonly string VaR

Field Value

string

Volatility

Volatility

public static readonly string Volatility

Field Value

string

WinningPnL

The P&L of winning trades.

public static readonly string WinningPnL

Field Value

string

WinningTrades

The number of winning trades.

public static readonly string WinningTrades

Field Value

string

Properties

KeyEquityCurveFields

Gets an array of key equity curve statistics.

public static string[] KeyEquityCurveFields { get; }

Property Value

string[]

KeyStrategyFields

Gets an array of key strategy statistics.

public static string[] KeyStrategyFields { get; }

Property Value

string[]