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Author SHA1 Message Date
JosueNina 7008d17714 Add MaxDrawdownRecovery metric (#8865)
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* 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

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Co-authored-by: Alain Schaerer <aschaerer@pcatg.com>
 2025-07-17 16:32:23 -03:00
JosueNina cad5f20a3d Refactor SetHoldings to return a List<OrderTicket> (#8550)
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* Refactor SetHoldings to return a List<OrderTicket>

* Add expectedQuantities to the testCases

* Update regression tests

* Update name of regressionAlgorithm

* Address review comments

* Update unit test
 2025-01-23 18:44:29 -04:00
JosueNina 9b35411f45 Refactor liquidation logic (#8544)
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* Create regression tests and refactor liquidation logic

- Implemented regression tests for order creation and liquidation
  scenarios
- Removed LiquidateExistingHoldings method
- Replaced LiquidateExistingHoldings with the general Liquidate method

* Addressed review comments

* Addressed new comments review

* Update default value for 'tag'

* Update ExpectedStatistics

* Identify and liquidate portfolio symbols not included in targets

* Create a new regression test

* Fix minor comments

* Move regression tests to the correct folder
 2025-01-22 12:53:48 -03:00