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Open Feature request MC-2418

Expand the performance variables

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Description

Hi guys

I'm trying to work with some performance metrics using the custom criteria or even using a CustomFitnessValue set from within the .NET code. Unfortunately not all the performance values are readily available within the custom criteria script or even the SignalObject class. It would be nice if these values are computed and exposed so a trader could compute more complex performance metrics, some of these values are exposed on the performance report already they are just not available within the coding environment:

Account Size Required
Annualized Rate of Return
Average Trade Drawdown per Trade
Largest Losing Trade
Largest Winning Trade
Long Trade Count
Open Position P/L
Percent of Time in the Market (can be exposed potentially as the count of bars in trades and count of bars in back test - that would be bar count on Data0)
Return on Account
Return on Initial Capital
Return Retracement Ratio
Select Total Net Profit
Select Gross Profit
Select Gross Loss
Select Profit factor
Short Trade Count
Total Commission
Total Slippage

Kind regards

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