Uses of Record Class
com.quantfinlib.backtest.PerformanceMetrics

Packages that use PerformanceMetrics

Package	Description
com.quantfinlib.alpha	Cross-sectional alpha research: signal generation, evaluation, validation, execution-aware backtesting, portfolio construction and reporting, each a separate step.
com.quantfinlib.backtest	Bar-based backtesting engines, execution models and performance analytics.
com.quantfinlib.backtest.portfolio	Multi-asset portfolio backtesting with point-in-time universes and financing.
com.quantfinlib.backtest.validation	Validation tools that test a backtest for overfitting.

Uses of PerformanceMetrics in com.quantfinlib.alpha

Methods in com.quantfinlib.alpha that return PerformanceMetrics

Modifier and Type	Method	Description
PerformanceMetrics	AlphaBacktester.Result.grossMetrics()	grossMetrics.
PerformanceMetrics	AlphaBacktester.Result.netMetrics()	netMetrics.
static PerformanceMetrics	AlphaReport.summarize(double[] equity, int periodsPerYear)	The full ratio set on an equity curve (Sharpe, Sortino, Calmar, CAGR, max drawdown), computed by the same engine the backtesters use, so definitions never fork between research and backtest reports.

Constructors in com.quantfinlib.alpha with parameters of type PerformanceMetrics

Modifier	Constructor	Description
	Result(double[] netEquity, double[] grossEquity, PerformanceMetrics netMetrics, PerformanceMetrics grossMetrics, double commissionDrag, double spreadDrag, double slippageDrag, double impactDrag, double financingDrag, double meanTurnover, double meanTrackingGap, FillPolicy fillPolicy)	Creates the value; array and collection arguments are copied.

Uses of PerformanceMetrics in com.quantfinlib.backtest

Methods in com.quantfinlib.backtest that return PerformanceMetrics

Modifier and Type	Method	Description
static PerformanceMetrics	PerformanceAnalytics.compute(double[] equity, List<Trade> trades, int periodsPerYear)
PerformanceMetrics	BacktestResult.metrics()

Uses of PerformanceMetrics in com.quantfinlib.backtest.portfolio

Methods in com.quantfinlib.backtest.portfolio that return PerformanceMetrics

Modifier and Type	Method	Description
PerformanceMetrics	PortfolioBacktester.Result.metrics()	metrics.

Constructors in com.quantfinlib.backtest.portfolio with parameters of type PerformanceMetrics

Modifier	Constructor	Description
	Result(double[] equityCurve, PerformanceMetrics metrics, double totalCosts, double totalTurnoverNotional, Map<String,Double> finalPositions, double dividendCashCredited, int lifecycleEventsApplied, double financingCost)	Creates the value; array and collection arguments are copied.

Uses of PerformanceMetrics in com.quantfinlib.backtest.validation

Methods in com.quantfinlib.backtest.validation that return PerformanceMetrics

Modifier and Type	Method	Description
PerformanceMetrics	WalkForwardAnalyzer.WalkForwardResult.inSampleMetrics()	inSampleMetrics.
PerformanceMetrics	GridSearchOptimizer.Candidate.metrics()	metrics.
PerformanceMetrics	WalkForwardAnalyzer.WalkForwardResult.outOfSampleMetrics()	outOfSampleMetrics.

Method parameters in com.quantfinlib.backtest.validation with type arguments of type PerformanceMetrics

Modifier and Type	Method	Description
static WalkForwardAnalyzer.WalkForwardResult	WalkForwardAnalyzer.analyze(BarSeries series, ParameterGrid grid, StrategyFactory factory, BacktestConfig config, int trainBars, int testBars, ToDoubleFunction<PerformanceMetrics> objective)	Runs a walk-forward optimisation over the parameter grid.
static GridSearchOptimizer.Candidate	GridSearchOptimizer.best(ParameterGrid grid, StrategyFactory factory, BarSeries series, BacktestConfig config, ToDoubleFunction<PerformanceMetrics> objective)	The winning parameter set only.
static List<GridSearchOptimizer.Candidate>	GridSearchOptimizer.search(ParameterGrid grid, StrategyFactory factory, BarSeries series, BacktestConfig config, ToDoubleFunction<PerformanceMetrics> objective)

Constructors in com.quantfinlib.backtest.validation with parameters of type PerformanceMetrics

Modifier	Constructor	Description
	Candidate(Map<String,Double> params, PerformanceMetrics metrics, double objective, double[] equityCurve)	Creates the value; array and collection arguments are copied.
	WalkForwardResult(List<WalkForwardAnalyzer.Fold> folds, double[] outOfSampleEquity, PerformanceMetrics outOfSampleMetrics, List<Trade> outOfSampleTrades, double efficiency, double[] inSampleEquity, PerformanceMetrics inSampleMetrics, int inSampleTradeCount)	Creates the value; array and collection arguments are copied.