Add MaxDrawdownRecovery metric (#8865) · 7008d17714 - quantconnect--lean

github-featured/quantconnect--lean

Fork 0

Add MaxDrawdownRecovery metric (#8865)

API Tests / build (push) Has been cancelled

Benchmarks / build (push) Has been cancelled

Build & Test Lean / build (push) Has been cancelled

Regression Tests / build (push) Has been cancelled

Report Generator Tests / build (push) Has been cancelled

Research Regression Tests / build (push) Has been cancelled

Syntax Tests / build (push) Has been cancelled

Python Virtual Environments / build (push) Has been cancelled

Browse Source

* Implement a prototype of the maximum recovery time function.

* Add unit test skeletons.

* Add failing test

* Issue #4581: Implement MaxDrawdownRecoveryTime.

* Issue 4581: Add DTO for Drawdown Percentage, Drawdown Enddate, and High Value

* Issue 4581: Fix bgu for when lDrawdowns list is empty.

* Issue 4581: Change names of tests. Change name of file.

* Issue 4581: Make adjustements to flow of adding drawdowns to lDrawdowns.

* Issue 4581: Add multiple unit tests.

* Issue #4581: Change name of unit test

* Issue #4581: Add to PerformanceMetrics

* Issue #4581: Add Maximum Drawdown Recovery to PortolioStatistics class.

* Issue #4581: Add to portolfio statistics class.

* Issue #4581: Add to statistics builder.

* Issue #4581: Add report key.

* Case #4581: Convert to decimal.

* Issue #4581: Correct comment.

* Issue #4581: Correct performance metrics view model string.

* Case #4581: Correct statistics builder view model string..again.

* Issue #4581: Placed DradownDradownDateHighValueDTO at the end of the file for simpler diff.

* Issue #4581: Add 2 new tests.

* Issue #4581: Change algorithm so that when multiple maximum drawdowns occur, the longest of all recoveries is reported.

* Issue #4581: Add unit test.

* Issue #4581: Remove reportkey. Change dto name.

* Issue #4581: Change summary.

* Issue #4581: Change comment.

* Add max drawdown recovery calculation with unit tests

* Update regression algorithms with the new metric

* Solve review comments

* Update regression algorithms

* Add TryGet to safely get the key: MaximumDrawdownRecovery

* Ignore MaximumDrawdownRecovery metric in OptimizationBacktest Json

* Revert changes in Messaging

* Update regression algorithms

* Add test case: TakesLongestRecoveryAmongMultipleDrawdowns

* Use integer days for MaximumDrawdownRecovery

* Add MaximumDrawdownRecoveryReportElement

* Use more explicit names

* Rename files and variables for consistency

* Update regression algorithms

---------

Co-authored-by: Alain Schaerer <aschaerer@pcatg.com>

This commit is contained in:

JosueNina

2025-07-17 14:32:23 -05:00

committed by

GitHub

parent 734a99392e

commit 7008d17714

613 changed files with 874 additions and 73 deletions

									
										Algorithm.CSharp/CustomDataUsingMapFileRegressionAlgorithm.cs
									
		+1
		
												View File
												
				@@ -162,6 +162,7 @@ namespace QuantConnect.Algorithm.CSharp

				            {"Estimated Strategy Capacity", "$0"},

				            {"Lowest Capacity Asset", "NWSA.CustomDataUsingMapping T3MO1488O0H0"},

				            {"Portfolio Turnover", "16.62%"},

				            {"Drawdown Recovery", "0"},

				            {"OrderListHash", "fe95edf1a3eabc0ac044b85eb833da5a"}

				        };