stats.h File Reference

#include <time.h>
#include "indicators.h"

Go to the source code of this file.

Data Structures
struct	WU_SharpeRatio
	Sharpe ratio is the relation between the risk-free rate discounted retuns and the volatility of an investment. More...
struct	WU_SortinoRatio
struct	WU_CalmarRatio
struct	WU_PortfolioStats
	WU_PortfolioStats tracks portfolio state, positions, and trading statistics. More...

Macros
#define	wu_portfolio_stats_update(stats, cash, value, timestamp)
	Updates portfolio state in stats.
#define	wu_portfolio_stats_record_trade(stats, pnl, reason)
	Records a trade in the stats.
#define	wu_portfolio_stats_update_position(stats, idx, sym, qty, val, price)
	Updates position info for a specific asset.
#define	wu_portfolio_stats_to_keyvalue(stats)
	Converts stats to key=value format string.
#define	wu_portfolio_stats_to_json(stats, pretty)
	Converts stats to JSON format string.
#define	wu_portfolio_stats_reset(stats)
#define	wu_portfolio_stats_delete(stats)

Functions
WU_SharpeRatio	wu_sharpe_ratio_new (double initial_value, double risk_free_rate)
	Creates a new Sharpe Ratio calculator.
WU_SortinoRatio	wu_sortino_ratio_new (double initial_value, double risk_free_rate)
	Creates a new Sortino Ratio calculator.
WU_CalmarRatio	wu_calmar_ratio_new (double initial_value)
WU_PortfolioStats	wu_portfolio_stats_new (double initial_cash, double risk_free_rate)
	Creates a new WU_PortfolioStats instance.

Macro Definition Documentation

wu_portfolio_stats_delete

#define wu_portfolio_stats_delete

(

stats

)

Value:

    do { \
    if ((stats) && (stats)->delete) \
        (stats)->delete((stats)); \
} while(0)

Definition at line 170 of file stats.h.

wu_portfolio_stats_record_trade

#define wu_portfolio_stats_record_trade	(		stats,
			pnl,
			reason )

Value:

    do { \
    if ((stats)->record_trade) \
        (stats)->record_trade((stats), (pnl), (reason)); \
} while(0)

Records a trade in the stats.

Definition at line 138 of file stats.h.

wu_portfolio_stats_reset

#define wu_portfolio_stats_reset

(

stats

)

Value:

    do { \
    if ((stats)->reset) \
        (stats)->reset((stats)); \
} while(0)

Definition at line 165 of file stats.h.

wu_portfolio_stats_to_json

#define wu_portfolio_stats_to_json	(		stats,
			pretty )

Value:

((stats)->to_json ? (stats)->to_json((stats), (pretty)) : NULL)

Converts stats to JSON format string.

Caller must free the returned string.

Definition at line 162 of file stats.h.

wu_portfolio_stats_to_keyvalue

#define wu_portfolio_stats_to_keyvalue

(

stats

)

Value:

((stats)->to_keyvalue ? (stats)->to_keyvalue((stats)) : NULL)

Converts stats to key=value format string.

Caller must free the returned string.

Definition at line 155 of file stats.h.

wu_portfolio_stats_update

#define wu_portfolio_stats_update	(		stats,
			cash,
			value,
			timestamp )

Value:

    do { \
    if ((stats)->update) \
        (stats)->update((stats), (cash), (value), (timestamp)); \
} while(0)

Updates portfolio state in stats.

Definition at line 130 of file stats.h.

wu_portfolio_stats_update_position

#define wu_portfolio_stats_update_position	(		stats,
			idx,
			sym,
			qty,
			val,
			price )

Value:

    do { \
    if ((stats)->update_position) \
        (stats)->update_position((stats), (idx), (sym), (qty), (val), (price)); \
} while(0)

Updates position info for a specific asset.

Definition at line 146 of file stats.h.

Function Documentation

wu_calmar_ratio_new()

WU_CalmarRatio wu_calmar_ratio_new

(

double

initial_value

)

Definition at line 112 of file calmar.c.

wu_portfolio_stats_new()

WU_PortfolioStats wu_portfolio_stats_new	(	double	initial_cash,
		double	risk_free_rate )

Creates a new WU_PortfolioStats instance.

Parameters

initial_cash	Initial cash amount
risk_free_rate	Annual risk-free rate for Sharpe/Sortino calculations (e.g., 0.03 for 3%)

Definition at line 295 of file stats.c.

wu_sharpe_ratio_new()

WU_SharpeRatio wu_sharpe_ratio_new	(	double	initial_value,
		double	risk_free_rate )

Creates a new Sharpe Ratio calculator.

Definition at line 106 of file sharpe.c.

wu_sortino_ratio_new()

WU_SortinoRatio wu_sortino_ratio_new	(	double	initial_value,
		double	risk_free_rate )

Creates a new Sortino Ratio calculator.

Definition at line 105 of file sortino.c.