Cumulative returns

cumulativeReturn compounds each trade’s return — its P&L divided by open price × size — in the order the trades close (see Trade order): (1 + r₁) × (1 + r₂) × … − 1, reported in percent to 2 decimals. gross uses the raw return; net subtracts the commission first. Every trade in the stream counts, open ones at their close price:

$gross = $analytics->cumulativeReturn->gross->global->total;
$net = $analytics->cumulativeReturn->net->global->total;

$gross->total;        // '2.97' — compounded return over the stream, in percent
$gross->average;      // '0.98' — geometric mean return per trade, in percent
$gross->highest;      // '5.00' — peak of the running cumulative return
$gross->highestPair;  // 'BTC/USD' — the pair whose trade set that peak
$gross->lowest;       // '-0.25' — trough of the running cumulative return (lowestPair 'ETH/USD')
$net->total;          // '2.71' — the same, with commissions subtracted

$analytics->cumulativeReturn->net->forPair('BTC/USD')->buy->total;

• total — the compounded return at the end of the stream.
• average — the geometric mean return per trade, computed entirely in bcmath.
• highest / lowest — the peak and the trough the running cumulative return reached, each with the pair of the trade that set it. Zero is a value like any other, so the highest can be below 0.

Like every aggregate metric, gross and net both break down per pair, base and quote currency, and into buys and sells.