Interface LiveStatisticsModel

Statistical data calculated from live trading results.

All numeric values are null if calculation is unsafe (NaN, Infinity, etc). Provides comprehensive metrics for live trading performance analysis.

Example

const stats = await Live.getData("my-strategy");

console.log(`Total events: ${stats.totalEvents}`);
console.log(`Closed signals: ${stats.totalClosed}`);
console.log(`Win rate: ${stats.winRate}%`);
console.log(`Sharpe Ratio: ${stats.sharpeRatio}`);

// Access raw event data (includes idle, opened, active, closed)
stats.eventList.forEach(event => {
  if (event.action === "closed") {
    console.log(`Closed signal: ${event.pnl}%`);
  }
});
interface LiveStatisticsModel {
    annualizedSharpeRatio: number;
    avgConsecutiveLossPnl: number;
    avgConsecutiveWinPnl: number;
    avgDuration: number;
    avgFallPnl: number;
    avgLossDuration: number;
    avgPeakPnl: number;
    avgPnl: number;
    avgWinDuration: number;
    buyerPressure: number;
    buyerStrength: number;
    calmarRatio: number;
    certaintyRatio: number;
    eventList: TickEvent[];
    expectancy: number;
    expectedYearlyReturns: number;
    lossCount: number;
    medianPnl: number;
    medianStepSize: number;
    pressureImbalance: number;
    recoveryFactor: number;
    sellerPressure: number;
    sellerStrength: number;
    sharpeRatio: number;
    sortinoRatio: number;
    stdDev: number;
    totalClosed: number;
    totalEvents: number;
    totalPnl: number;
    trend: "bullish" | "bearish" | "sideways" | "neutral";
    trendConfidence: number;
    trendStrength: number;
    winCount: number;
    winRate: number;
}

Properties

annualizedSharpeRatio avgConsecutiveLossPnl avgConsecutiveWinPnl avgDuration avgFallPnl avgLossDuration avgPeakPnl avgPnl avgWinDuration buyerPressure buyerStrength calmarRatio certaintyRatio eventList expectancy expectedYearlyReturns lossCount medianPnl medianStepSize pressureImbalance recoveryFactor sellerPressure sellerStrength sharpeRatio sortinoRatio stdDev totalClosed totalEvents totalPnl trend trendConfidence trendStrength winCount winRate

Properties

annualizedSharpeRatio

annualizedSharpeRatio: number

Annualized Sharpe Ratio (sharpeRatio × √tradesPerYear), null if unsafe. Higher is better.

avgConsecutiveLossPnl

avgConsecutiveLossPnl: number

Average sum of pnl across consecutive losing streaks. Null if no loss streak. Closer to 0 is better.

avgConsecutiveWinPnl

avgConsecutiveWinPnl: number

Average sum of pnl across consecutive winning streaks. Null if no win streak.

avgDuration

avgDuration: number

Average trade duration in minutes ((timestamp - pendingAt) / 60_000), null if unsafe.

avgFallPnl

avgFallPnl: number

Average fall PNL percentage across all closed signals (_fall.pnlPercentage), null if unsafe. Closer to 0 is better.

avgLossDuration

avgLossDuration: number

Average duration in minutes of losing trades.

avgPeakPnl

avgPeakPnl: number

Average peak PNL percentage across all closed signals (_peak.pnlPercentage), null if unsafe. Higher is better.

avgPnl

avgPnl: number

Average PNL per closed signal as percentage, null if unsafe. Higher is better.

avgWinDuration

avgWinDuration: number

Average duration in minutes of winning trades.

buyerPressure

buyerPressure: number

Fraction of up-moves among decisive close-to-close moves. 0..1. Higher = buyers more frequent.

buyerStrength

buyerStrength: number

Share of upward absolute movement in total close-to-close movement. 0..1.

calmarRatio

calmarRatio: number

Calmar Ratio (annualized expected return / max drawdown), null if unsafe. Higher is better.

certaintyRatio

certaintyRatio: number

Certainty Ratio (avgWin / |avgLoss|), null if unsafe. Higher is better.

eventList

eventList: TickEvent[]

Array of all events (idle, opened, active, closed) with full details

expectancy

expectancy: number

Per-trade Expectancy (winProbavgWin + lossProbavgLoss), null if unsafe. Higher is better.

expectedYearlyReturns

expectedYearlyReturns: number

Expected yearly returns based on average trade duration and PNL, null if unsafe. Higher is better.

lossCount

lossCount: number

Number of losing closed signals (PNL < 0)

medianPnl

medianPnl: number

Median pnl — robust to outliers; reveals distribution skew when paired with avgPnl.

medianStepSize

medianStepSize: number

Median |close[i] - close[i-1]| / close[i-1] across trade closes, in %. Robust to outliers.

pressureImbalance

pressureImbalance: number

buyerStrength - sellerStrength ∈ [-1, 1]. Positive = bullish bias on magnitude.

recoveryFactor

recoveryFactor: number

Recovery Factor (totalPnl / max drawdown), null if unsafe. Higher is better.

sellerPressure

sellerPressure: number

Fraction of down-moves among decisive moves. 0..1. Equals 1 - buyerPressure.

sellerStrength

sellerStrength: number

Share of downward absolute movement in total close-to-close movement. 0..1.

sharpeRatio

sharpeRatio: number

Sharpe Ratio (risk-adjusted return = avgPnl / stdDev), null if unsafe. Higher is better.

sortinoRatio

sortinoRatio: number

Sortino Ratio (avgPnl / downside deviation — RMS of losing trades only), null if unsafe. Higher is better.

stdDev

stdDev: number

Standard deviation of returns (volatility metric), null if unsafe. Lower is better.

totalClosed

totalClosed: number

Total number of closed signals only

totalEvents

totalEvents: number

Total number of all events (includes idle, opened, active, closed)

totalPnl

totalPnl: number

Cumulative PNL across all closed signals as percentage, null if unsafe. Higher is better.

trend

trend: "bullish" | "bearish" | "sideways" | "neutral"

Bivariate trend classification (slope × R²).

trendConfidence

trendConfidence: number

R² of the log-price regression, in [0, 1].

trendStrength

trendStrength: number

Log-price regression slope, in %/day.

winCount

winCount: number

Number of winning closed signals (PNL > 0)

winRate

winRate: number

Win rate as percentage (0-100) based on closed signals, null if unsafe. Higher is better.

Settings

Member Visibility

On This Page

Properties