JosueNina
7008d17714
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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 --------- Co-authored-by: Alain Schaerer <aschaerer@pcatg.com>
63 lines
3.3 KiB
C#
63 lines
3.3 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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namespace QuantConnect.Report
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{
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/// <summary>
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/// Helper shortcuts for report injection points.
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/// </summary>
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internal static class ReportKey
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{
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public const string Stylesheet = @"{{$REPORT-STYLESHEET}}";
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public const string StrategyName = @"{{$TEXT-STRATEGY-NAME}}";
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public const string StrategyDescription = @"{{$TEXT-STRATEGY-DESCRIPTION}}";
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public const string StrategyVersion = @"{{$TEXT-STRATEGY-VERSION}}";
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public const string LiveMarker = @"{{$LIVE-MARKER}}";
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public const string ParametersPageStyle = @"{{$CSS-PARAMETERS-PAGE-STYLE}}";
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public const string Parameters = @"{{$PARAMETERS}}";
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public const string CAGR = @"{{$KPI-CAGR}}";
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public const string Turnover = @"{{$KPI-TURNOVER}}";
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public const string MaxDrawdown = @"{{$KPI-DRAWDOWN}}";
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public const string MaxDrawdownRecovery = @"{{$KPI-DRAWDOWN-RECOVERY}}";
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public const string KellyEstimate = @"{{$KPI-KELLY-ESTIMATE}}";
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public const string SharpeRatio = @"{{$KPI-SHARPE}}";
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public const string SortinoRatio = @"{{$KPI-SORTINO}}";
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public const string BacktestDays = @"{{$KPI-BACKTEST-DAYS}}";
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public const string DaysLive = @"{{$KPI-DAYS-LIVE}}";
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public const string InformationRatio = @"{{$KPI-INFORMATION-RATIO}}";
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public const string TradesPerDay = @"{{$KPI-TRADES-PER-DAY}}";
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public const string Markets = @"{{$KPI-MARKETS}}";
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public const string PSR = @"{{$KPI-PSR}}";
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public const string StrategyCapacity = @"{{$KPI-STRATEGY-CAPACITY}}";
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public const string MonthlyReturns = @"{{$PLOT-MONTHLY-RETURNS}}";
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public const string CumulativeReturns = @"{{$PLOT-CUMULATIVE-RETURNS}}";
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public const string AnnualReturns = @"{{$PLOT-ANNUAL-RETURNS}}";
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public const string ReturnsPerTrade = @"{{$PLOT-RETURNS-PER-TRADE}}";
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public const string AssetAllocation = @"{{$PLOT-ASSET-ALLOCATION}}";
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public const string Drawdown = @"{{$PLOT-DRAWDOWN}}";
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public const string DailyReturns = @"{{$PLOT-DAILY-RETURNS}}";
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public const string RollingBeta = @"{{$PLOT-BETA}}";
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public const string RollingSharpe = @"{{$PLOT-SHARPE}}";
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public const string LeverageUtilization = @"{{$PLOT-LEVERAGE}}";
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public const string Exposure = @"{{$PLOT-EXPOSURE}}";
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public const string CrisisPageStyle = @"{{$CSS-CRISIS-PAGE-STYLE}}";
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public const string CrisisPlots = @"{{$HTML-CRISIS-PLOTS}}";
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public const string CrisisTitle = @"{{$TEXT-CRISIS-TITLE}}";
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public const string CrisisContents = @"{{$PLOT-CRISIS-CONTENT}}";
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}
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}
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