Gerardo Salazar
40c3062348
* Improves stability and fixes various bugs * Adds unit tests covering changes * Adds COVID-19 crisis plots * Adjusts styling of crisis plots for more pleasant viewing * Fixes bug where null BacktestResult caused application to crash * Order JSON bug fixes and stability improvements * MaxDrawdownReportElement now produces results for Live * Replaced Estimated Capacity w/ Days Live * Added Live marker to sharpe ratio * Added support for MOO and MOC orders in PortfolioLooper * Address review: adds new unit tests and cleans up code * Bug fix: use LastFillTime instead of Order.Time for MOO and MOC * Address review: Fixes tests and cleans up code
69 lines
2.5 KiB
C#
69 lines
2.5 KiB
C#
/*
|
|
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
*
|
|
* Licensed under the Apache License, Version 2.0 (the "License");
|
|
* you may not use this file except in compliance with the License.
|
|
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
*
|
|
* Unless required by applicable law or agreed to in writing, software
|
|
* distributed under the License is distributed on an "AS IS" BASIS,
|
|
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
* See the License for the specific language governing permissions and
|
|
* limitations under the License.
|
|
*/
|
|
|
|
using System;
|
|
using System.Linq;
|
|
using Deedle;
|
|
using QuantConnect.Packets;
|
|
|
|
namespace QuantConnect.Report.ReportElements
|
|
{
|
|
internal sealed class MaxDrawdownReportElement : ReportElement
|
|
{
|
|
private LiveResult _live;
|
|
private BacktestResult _backtest;
|
|
|
|
/// <summary>
|
|
/// Estimate the max drawdown of the strategy.
|
|
/// </summary>
|
|
/// <param name="name">Name of the widget</param>
|
|
/// <param name="key">Location of injection</param>
|
|
/// <param name="backtest">Backtest result object</param>
|
|
/// <param name="live">Live result object</param>
|
|
public MaxDrawdownReportElement(string name, string key, BacktestResult backtest, LiveResult live)
|
|
{
|
|
_live = live;
|
|
_backtest = backtest;
|
|
Name = name;
|
|
Key = key;
|
|
}
|
|
|
|
/// <summary>
|
|
/// The generated output string to be injected
|
|
/// </summary>
|
|
public override string Render()
|
|
{
|
|
if (_live == null)
|
|
{
|
|
return _backtest?.TotalPerformance?.PortfolioStatistics?.Drawdown.ToString("P1") ?? "-";
|
|
}
|
|
|
|
var backtestEquityPoints = new Series<DateTime, double>(ResultsUtil.EquityPoints(_backtest));
|
|
var liveEquityPoints = new Series<DateTime, double>(ResultsUtil.EquityPoints(_live));
|
|
|
|
var backtestDrawdownGroups = new DrawdownCollection(backtestEquityPoints, 1);
|
|
var liveDrawdownGroups = new DrawdownCollection(liveEquityPoints, 1);
|
|
|
|
var separateResultsMaxDrawdown = backtestDrawdownGroups.Drawdowns
|
|
.Concat(liveDrawdownGroups.Drawdowns)
|
|
.Select(x => x.PeakToTrough)
|
|
.OrderByDescending(x => x)
|
|
.FirstOrDefault();
|
|
|
|
return $"{separateResultsMaxDrawdown:P1}";
|
|
}
|
|
}
|
|
}
|