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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
Ricardo Andrés Marino Rojas 980cdeaa75 Remove fill warnings from order tags (#8668) 
* Remove warnings from tags and tests

* Fix bugs

* fix bugs

* Revert wrong updates in some stats

* Fix bugs
 2025-04-03 17:49:21 -03:00
JosueNina 3b559a5f3f Fix bug in beta value computation (#8466) 
* Fix bug in beta calculation

- Beta is fill-forwarded
- A correct pair considered when they have different symbols and the
  same date
- Processing occurs when there are at least period+1 correct pairs

* Address review comments

* Add time zone handling and resolution-based truncation

* Fix regression test for Beta indicator

* Handle resolution for beta indicator

- Remove effectiveResolution and Beta constructor parameter for
  resolution.
- Streamlined resolution handling logic for Beta indicator.
- Fixed issues with regression test for Beta.

* Fix issue with period and WarmUpPeriod

* Update unit tests for Alpha indicator

* Fixing minor issues

* Add a variable to track if the previous symbol is the target

* Add regression test for Beta calculation between BTCUSD and SPY

* Add an extra period if the TZ are different
 2024-12-20 18:22:04 -03:00