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
46 lines
1.7 KiB
C#
46 lines
1.7 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using NUnit.Framework;
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using QuantConnect.Report;
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namespace QuantConnect.Tests.Report
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{
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[TestFixture]
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public class DrawdownCollectionTests
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{
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[Test]
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public void MaxDrawdown()
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{
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var series = new Deedle.Series<DateTime, double>(new []
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{
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new KeyValuePair<DateTime, double>(new DateTime(2020, 1, 1), 100000),
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new KeyValuePair<DateTime, double>(new DateTime(2020, 1, 2), 90000),
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new KeyValuePair<DateTime, double>(new DateTime(2020, 1, 3), 100000),
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new KeyValuePair<DateTime, double>(new DateTime(2020, 1, 4), 100000),
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new KeyValuePair<DateTime, double>(new DateTime(2020, 1, 5), 80000)
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});
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var collection = DrawdownCollection.GetDrawdownPeriods(series, 1).ToList();
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Assert.AreEqual(1, collection.Count);
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Assert.AreEqual(0.2, collection.First().Drawdown, 0.0001);
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}
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}
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}
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