Ricardo Andrés Marino Rojas
b64169fd20
* Fix bug in Beta statistics - Beta in Report was calculated using equity points and not daily performance points, as it's done in Backtest - Performance points were not being divided by 100, as it's done in StatisticsBuilder - Benchmark points were not being converted into a percentage daily performance of the benchmark, as it's done in StatisticsBuilder * Improve implementation and add unit tests * Enhance implementation and add more unit tests * Enhance implementation * Nit change * Nit changes
87 lines
3.3 KiB
C#
87 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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using System;
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using System.Collections.Generic;
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namespace QuantConnect.Report
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{
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/// <summary>
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/// Utility methods for dealing with the <see cref="Result"/> objects
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/// </summary>
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public static class ResultsUtil
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{
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/// <summary>
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/// Get the points, from the Series name given, in Strategy Equity chart
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/// </summary>
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/// <param name="result">Result object to extract the chart points</param>
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/// <param name="seriesName">Series name from which the points will be extracted. By default is "Equity"</param>
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/// <returns></returns>
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public static SortedList<DateTime, double> EquityPoints(Result result, string seriesName = "Equity")
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{
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var points = new SortedList<DateTime, double>();
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if (result == null || result.Charts == null ||
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!result.Charts.ContainsKey("Strategy Equity") ||
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result.Charts["Strategy Equity"].Series == null ||
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!result.Charts["Strategy Equity"].Series.ContainsKey(seriesName))
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{
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return points;
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}
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foreach (var point in result.Charts["Strategy Equity"].Series[seriesName].Values)
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{
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points[Time.UnixTimeStampToDateTime(point.x)] = Convert.ToDouble(point.y);
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}
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return points;
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}
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/// <summary>
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/// Gets the points of the benchmark
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/// </summary>
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/// <param name="result">Backtesting or live results</param>
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/// <returns>Sorted list keyed by date and value</returns>
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public static SortedList<DateTime, double> BenchmarkPoints(Result result)
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{
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var points = new SortedList<DateTime, double>();
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if (result == null || result.Charts == null ||
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!result.Charts.ContainsKey("Benchmark") ||
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result.Charts["Benchmark"].Series == null ||
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!result.Charts["Benchmark"].Series.ContainsKey("Benchmark"))
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{
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return points;
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}
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if (!result.Charts.ContainsKey("Benchmark"))
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{
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return new SortedList<DateTime, double>();
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}
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if (!result.Charts["Benchmark"].Series.ContainsKey("Benchmark"))
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{
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return new SortedList<DateTime, double>();
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}
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foreach (var point in result.Charts["Benchmark"].Series["Benchmark"].Values)
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{
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points[Time.UnixTimeStampToDateTime(point.x)] = Convert.ToDouble(point.y);
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}
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return points;
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}
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}
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}
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