stats.h File Reference

#include <algorithm>
#include <cmath>
#include <cstdint>
#include <numeric>
#include <vector>

Go to the source code of this file.

Classes
class	tzu::PortfolioStats

Namespaces
namespace	tzu

Functions
double	tzu::compute_max_drawdown (const std::vector< std::pair< int64_t, double > > &equity_curve)
double	tzu::compute_sharpe_ratio (const std::vector< double > &returns, double years)
std::vector< double >	tzu::compute_returns (const std::vector< std::pair< int64_t, double > > &equity_curve)
PerformanceMetrics	tzu::compute_performance_metrics (const std::vector< std::pair< int64_t, double > > &equity_curve)
BuyAndHoldMetrics	tzu::compute_buy_and_hold_metrics (double init_cash, double init_price, double final_price, double years)