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>
359 lines
17 KiB
HTML
359 lines
17 KiB
HTML
<!DOCTYPE html>
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<html xmlns="http://www.w3.org/1999/xhtml">
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<head>
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<meta charset="utf-8"/>
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<meta http-equiv="Content-Type" content="text/html; charset=utf-8"/>
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<meta property="og:title" content="QuantConnect Backtest Report: "/>
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<meta property="og:type" content="website"/>
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<meta property="og:site_name" content="QuantConnect.com"/>
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<meta property="og:description" content=""/>
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<meta property="og:url" content="https://www.quantconnect.com/terminal/reports/"/>
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<meta property="og:image" content="{{$PLOT-CUMULATIVE-RETURNS}}"/>
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<meta property="og:image" content="{{$PLOT-ANNUAL-RETURNS}}"/>
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<meta property="og:image" content="{{$PNG-AUTHOR-PHOTO}}"/>
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<link rel="stylesheet" href="https://cdnjs.cloudflare.com/ajax/libs/twitter-bootstrap/3.3.7/css/bootstrap.min.css">
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<link rel="stylesheet" href="https://cdnjs.cloudflare.com/ajax/libs/font-awesome/4.7.0/css/font-awesome.min.css">
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<link href="https://fonts.googleapis.com/css2?family=Inter&family=Roboto&display=swap" rel="stylesheet">
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<style>
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{{$REPORT-STYLESHEET}}
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</style>
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</head>
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<body>
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<div class="page">
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<div class="header">
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<div class="header-left">
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<img src="https://cdn.quantconnect.com/web/i/logo.png">
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</div>
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<div class="header-right">Strategy Report: {{$TEXT-STRATEGY-NAME}} {{$TEXT-STRATEGY-VERSION}}</div>
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</div>
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<div class="content">
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<div class="container-row">
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<div class="col-xs-12">
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<table id="description-box" class="table compact no-margin align-top">
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<thead>
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<tr>
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<th>
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<p>
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<span>|</span> Strategy Description
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</p>
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</th>
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</tr>
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</thead>
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<tbody>
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<tr>
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<td>
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<p id="strategy-description" class="text-justify">
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{{$TEXT-STRATEGY-DESCRIPTION}}
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</p>
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</td>
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</tr>
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</tbody>
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</table>
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</div>
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</div>
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<div class="container-row first-row">
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<div class="col-xs-8">
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<table id="key-characteristics" class="table compact">
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<thead>
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<tr>
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<th class="title">Key Statistics</th><th class="kpi-live">Backtest</th><th class="kpi-live">Live</th><th class="title"></th><th class="kpi-live">Backtest</th><th class="kpi-live">Live</th>
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</tr>
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</thead>
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<tbody>
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<tr>
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<td class="title">Runtime Days</td><td>{{$KPI-BACKTEST-DAYS}}</td><td class="kpi-live">{{$KPI-DAYS-LIVE}}</td>
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<td class="title">Drawdown</td><td>{{$KPI-DRAWDOWN}}</td><td class="kpi-live">{{$KPI-LIVE-DRAWDOWN}}</td>
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</tr>
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<tr>
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<td class="title">Turnover</td><td>{{$KPI-TURNOVER}}</td><td class="kpi-live">{{$KPI-LIVE-TURNOVER}}</td>
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<td class="title">Probabilistic SR</td><td>{{$KPI-PSR}}</td><td class="kpi-live">{{$KPI-LIVE-PSR}}</td>
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</tr>
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<tr>
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<td class="title">CAGR</td><td>{{$KPI-CAGR}}</td><td class="kpi-live">{{$KPI-LIVE-CAGR}}</td>
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<td class="title">{{$LIVE-MARKER}}Sharpe Ratio</td><td>{{$KPI-SHARPE}}</td><td class="kpi-live">{{$KPI-LIVE-SHARPE}}</td>
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</tr>
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<tr>
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<td class="title">Capacity (USD)</td><td>{{$KPI-STRATEGY-CAPACITY}}</td>
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<td class="title">Sortino Ratio</td><td>{{$KPI-SORTINO}}</td><td class="kpi-live">{{$KPI-LIVE-SORTINO}}</td>
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</tr>
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<tr>
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<td class="title">Trades per Day</td><td>{{$KPI-TRADES-PER-DAY}}</td><td class="kpi-live">{{$KPI-LIVE-TRADES-PER-DAY}}</td>
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<td class="title">Information Ratio</td><td>{{$KPI-INFORMATION-RATIO}}</td><td class="kpi-live">{{$KPI-LIVE-INFORMATION-RATIO}}</td>
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</tr>
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<tr>
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<td class="title">Drawdown Recovery</td><td>{{$KPI-DRAWDOWN-RECOVERY}}</td><td class="kpi-live">{{$KPI-LIVE-DRAWDOWN-RECOVERY}}</td>
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</tr>
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</tbody>
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</table>
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</div>
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<div class="col-xs-4">
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<table class="table compact">
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<thead>
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<tr>
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<th>Monthly Returns</th>
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</tr>
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</thead>
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<tbody>
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<tr>
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<td style="padding: 0;">
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<img id="monthly-returns-plot" src="{{$PLOT-MONTHLY-RETURNS}}">
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</td>
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</tr>
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</tbody>
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</table>
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</div>
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</div>
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<div class="container-row">
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<div class="col-xs-12">
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<table class="table compact">
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<thead>
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<tr>
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<th>Cumulative Returns</th>
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</tr>
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</thead>
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<tbody>
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<tr>
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<td style="padding: 0;">
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<img src="{{$PLOT-CUMULATIVE-RETURNS}}">
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</td>
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</tr>
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</tbody>
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</table>
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</div>
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</div>
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<div class="container-row">
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<div class="col-xs-4">
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<table class="table compact">
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<thead>
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<tr>
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<th>Annual Returns</th>
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</tr>
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</thead>
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<tbody>
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<tr>
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<td style="padding:0;">
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<img src="{{$PLOT-ANNUAL-RETURNS}}">
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</td>
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</tr>
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</tbody>
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</table>
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</div>
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<div class="col-xs-4">
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<table class="table compact">
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<thead>
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<tr>
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<th>Returns Per Trade</th>
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</tr>
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</thead>
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<tbody>
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<tr>
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<td style="padding:0;">
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<img src="{{$PLOT-RETURNS-PER-TRADE}}">
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</td>
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</tr>
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</tbody>
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</table>
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</div>
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<div class="col-xs-4">
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<table class="table compact">
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<thead>
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<tr>
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<th>Asset Allocation</th>
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</tr>
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</thead>
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<tbody>
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<tr>
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<td style="padding:0;">
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<img src="{{$PLOT-ASSET-ALLOCATION}}">
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</td>
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</tr>
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</tbody>
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</table>
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</div>
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</div>
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<div class="container-row">
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<div class="col-xs-12">
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<table class="table compact">
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<thead>
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<tr>
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<th>Drawdown</th>
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</tr>
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</thead>
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<tbody>
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<tr>
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<td style="padding: 0;">
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<img src="{{$PLOT-DRAWDOWN}}">
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</td>
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</tr>
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</tbody>
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</table>
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</div>
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</div>
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</div>
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</div>
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<div class="page">
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<div class="header">
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<div class="header-left">
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<img src="https://cdn.quantconnect.com/web/i/logo.png">
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</div>
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<div class="header-right">Strategy Report Summary: {{$TEXT-STRATEGY-NAME}} {{$TEXT-STRATEGY-VERSION}}</div>
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</div>
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<div class="content">
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<div class="container-row">
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<div class="col-xs-12">
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<table class="table compact">
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<thead>
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<tr>
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<th>Daily Returns</th>
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</tr>
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</thead>
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<tbody>
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<tr>
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<td style="padding: 0;">
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<img src="{{$PLOT-DAILY-RETURNS}}">
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</td>
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</tr>
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</tbody>
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</table>
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</div>
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</div>
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<div class="container-row">
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<div class="col-xs-12">
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<table class="table compact">
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<thead>
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<tr>
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<th>Rolling Portfolio Beta</th>
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</tr>
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</thead>
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<tbody>
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<tr>
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<td style="padding: 0;">
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<img src="{{$PLOT-BETA}}">
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</td>
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</tr>
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</tbody>
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</table>
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</div>
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</div>
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<div class="container-row">
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<div class="col-xs-12">
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<table class="table compact">
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<thead>
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<tr>
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<th>Rolling Sharpe Ratio</th>
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</tr>
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</thead>
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<tbody>
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<tr>
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<td style="padding: 0;">
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<img src="{{$PLOT-SHARPE}}">
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</td>
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</tr>
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</tbody>
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</table>
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</div>
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</div>
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<div class="container-row">
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<div class="col-xs-12">
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<table class="table compact">
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<thead>
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<tr>
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<th>Leverage</th>
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</tr>
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</thead>
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<tbody>
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<tr>
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<td style="padding: 0;">
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<img src="{{$PLOT-LEVERAGE}}">
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</td>
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</tr>
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</tbody>
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</table>
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</div>
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</div>
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<div class="container-row">
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<div class="col-xs-12">
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<table class="table compact">
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<thead>
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<tr>
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<th>Long-Short Exposure</th>
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</tr>
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</thead>
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<tbody>
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<tr>
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<td style="padding: 0;">
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<img src="{{$PLOT-EXPOSURE}}">
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</td>
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</tr>
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</tbody>
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</table>
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</div>
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</div>
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</div>
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</div>
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<div class="page" style="{{$CSS-CRISIS-PAGE-STYLE}}">
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<div class="header">
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<div class="header-left">
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<img src="https://cdn.quantconnect.com/web/i/logo.png">
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</div>
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<div class="header-right">Strategy Report Summary: {{$TEXT-STRATEGY-NAME}} {{$TEXT-STRATEGY-VERSION}}</div>
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</div>
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<div class="content">
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<div class="container-row">
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{{$HTML-CRISIS-PLOTS}}
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</div>
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</div>
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</div>
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<div class="page" id="parameters" style="{{$CSS-PARAMETERS-PAGE-STYLE}}">
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<div class="header">
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<div class="header-left">
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<img src="https://cdn.quantconnect.com/web/i/logo.png">
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</div>
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<div class="header-right">Strategy Report Summary: {{$TEXT-STRATEGY-NAME}} {{$TEXT-STRATEGY-VERSION}}</div>
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</div>
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<div class="content">
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<div class="container-row">
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<div class="col-xs-12">
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<table id="key-characteristics" class="table compact">
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<thead>
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<tr>
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<th class="title">Parameters</th>
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</tr>
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</thead>
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<tbody>
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{{$PARAMETERS}}
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</tbody>
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</table>
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</div>
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</div>
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</div>
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</div>
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</body>
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</html>
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<!--crisis
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<div class="col-xs-4">
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<table class="crisis-chart table compact">
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<thead>
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<tr>
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<th style="display: block; height: 75px;">{{$TEXT-CRISIS-TITLE}}</th>
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</tr>
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</thead>
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<tbody>
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<tr>
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<td style="padding:0;">
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<img src="{{$PLOT-CRISIS-CONTENT}}">
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</td>
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</tr>
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</tbody>
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</table>
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</div>
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crisis-->
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<!--parameters
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<tr>
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<td class = "title"> {{$KEY0}} </td><td> {{$VALUE0}} </td>
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<td class = "title"> {{$KEY1}} </td><td> {{$VALUE1}} </td>
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</tr>
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parameters-->
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