RiskPerformance

Library "RiskPerformance"

calculateDynamicPositionSize(accountSize, riskPercent, stopDistance, currentATR, historicalATR)
  Parameters:
    accountSize (float)
    riskPercent (float)
    stopDistance (float)
    currentATR (float)
    historicalATR (float)

calculatePerformanceMetrics(results, riskFreeRate)
  Parameters:
    results (array<SignalResult>)
    riskFreeRate (float)

detectMarketRegime(adx, atr, atrSMA, lookback)
  Parameters:
    adx (float)
    atr (float)
    atrSMA (float)
    lookback (int)

checkSignalCorrelation(activeSignals, newSignal)
  Parameters:
    activeSignals (array<Signal>)
    newSignal (Signal)

estimateTransactionCosts(market, orderSize, avgVolume)
  Parameters:
    market (string)
    orderSize (float)
    avgVolume (float)

runMonteCarloSimulation(historicalResults, simulations)
  Parameters:
    historicalResults (array<SignalResult>)
    simulations (int)

checkDailyLimits(maxSignals)
  Parameters:
    maxSignals (int)

updateDailyLimits(limits)
  Parameters:
    limits (DailyLimits)

Signal
  Fields:
    barIndex (series int)
    entryPrice (series float)
    targetPrice (series float)
    stopPrice (series float)
    isLong (series bool)
    atrAtEntry (series float)
    confidenceScore (series float)
    hasTimeConfluence (series bool)
    signalType (series string)

SignalResult
  Fields:
    signal (Signal)
    exitPrice (series float)
    exitBar (series int)
    pnl (series float)
    pnlPercent (series float)
    maxFavorableExcursion (series float)
    maxAdverseExcursion (series float)
    hitTarget (series bool)
    hitStop (series bool)
    barsHeld (series int)

PerformanceMetrics
  Fields:
    totalReturn (series float)
    avgWin (series float)
    avgLoss (series float)
    winRate (series float)
    profitFactor (series float)
    sharpeRatio (series float)
    sortinoRatio (series float)
    maxDrawdown (series float)
    calmarRatio (series float)
    kellyPercent (series float)

MarketRegime
  Fields:
    regime (series string)
    strength (series float)
    avgVolatility (series float)
    trendStrength (series float)

TransactionCosts
  Fields:
    spread (series float)
    commission (series float)
    slippage (series float)
    totalCostPercent (series float)

DailyLimits
  Fields:
    maxSignalsPerDay (series int)
    signalsToday (series int)
    canTrade (series bool)