Saxo Bank Developer Portal

PerformanceKeyFigures

OpenApi time weighted data contract

Name	Type	Description
ClosedTradesCount	Integer	The number of closed trades for the period.
DrawdownReport	DrawdownReport	The drawdown report for a time weighted time series.
LosingDaysFraction	Number	The losing days fraction is the fraction of days with negative returns where both realized and unrealized profits are taken into account.
MaxDrawDownFraction	Number	The maximum draw down as fraction is the largest drop in the time series as a fraction.
ReturnFraction	Number	The return fraction.
SampledStandardDeviation	Number	The unbiased sampled standard deviation which means that the standard deviation estimator has been corrected by applying the Bessel's correction.
SharpeRatio	Number	The sharpe ratio.
SortinoRatio	Number	The sortino ratio.
WinningFraction	Number	The fraction of closed positions that has been won.

Example

{ "ClosedTradesCount": 0, "DrawdownReport": { "Drawdowns": [ { "DaysCount": 3, "DepthInPercent": 1, "FromDate": "2016-08-05T00:00:00+00:00", "ThruDate": "2016-08-08T00:00:00+00:00" } ], "MaxDaysInDrawdownFromTop10Drawdowns": 3 }, "LosingDaysFraction": 0.03, "MaxDrawDownFraction": 1, "ReturnFraction": -1, "SampledStandardDeviation": 0.0618018874919214, "SharpeRatio": -0.952069751000777, "SortinoRatio": -0.0591710418985739 }