Package com.wualabs.qtsurfer.engine.indicators.statistics.pro.ratios

package com.wualabs.qtsurfer.engine.indicators.statistics.pro.ratios

Risk-adjusted performance ratios.

Portfolio analytics: Sharpe, Sortino, Calmar, Treynor, Information, Omega, Tail ratios, plus Max Drawdown and Ulcer Index.

Related Packages

Package	Description
com.wualabs.qtsurfer.engine.indicators.statistics.pro	Pro statistical indicators.
com.wualabs.qtsurfer.engine.indicators.statistics.pro.volatility	Volatility estimators.

Classes

Class	Description
CalmarRatioRTIndicator	Rolling Calmar Ratio with O(1) per-tick updates.
InformationRatioRTIndicator	Rolling Information Ratio with O(1) per-tick updates.
MaxDrawdownRTIndicator	Rolling Maximum Drawdown with O(1) per-tick updates.
OmegaRatioRTIndicator	Rolling Omega Ratio with O(1) per-tick updates.
SharpeRatioRTIndicator	Rolling Sharpe Ratio with O(1) per-tick updates.
SortinoRatioRTIndicator	Rolling Sortino Ratio with O(1) per-tick updates.
TailRatioRTIndicator	Rolling Tail Ratio with O(n) per-tick updates via sorted insertion.
TreynorRatioRTIndicator	Rolling Treynor Ratio with O(1) per-tick updates.
UlcerIndexRTIndicator	Rolling Ulcer Index with O(n) per-tick updates.