chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
@@ -0,0 +1,107 @@
+/*
+ * 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.Collections.Generic;
+using System.Linq;
+using Deedle;
+using Python.Runtime;
+using QuantConnect.Packets;
+using QuantConnect.Util;
+
+namespace QuantConnect.Report.ReportElements
+{
+    internal sealed class DrawdownReportElement : ChartReportElement
+    {
+        private LiveResult _live;
+        private BacktestResult _backtest;
+
+        /// <summary>
+        /// Create a new plot of the top N worst drawdown durations
+        /// </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 DrawdownReportElement(string name, string key, BacktestResult backtest, LiveResult live)
+        {
+            _live = live;
+            _backtest = backtest;
+            Name = name;
+            Key = key;
+        }
+
+        /// <summary>
+        /// Generate the top N drawdown plot using the python libraries.
+        /// </summary>
+        public override string Render()
+        {
+            var backtestPoints = ResultsUtil.EquityPoints(_backtest);
+            var livePoints = ResultsUtil.EquityPoints(_live);
+
+            var liveSeries = new Series<DateTime, double>(livePoints.Keys, livePoints.Values);
+            var strategySeries = DrawdownCollection.NormalizeResults(_backtest, _live);
+
+            var seriesUnderwaterPlot = DrawdownCollection.GetUnderwater(strategySeries).DropMissing();
+            var liveUnderwaterPlot = backtestPoints.Count == 0 ? seriesUnderwaterPlot : seriesUnderwaterPlot.After(backtestPoints.Last().Key);
+            var drawdownCollection = DrawdownCollection.FromResult(_backtest, _live, periods: 5);
+
+            var base64 = "";
+            using (Py.GIL())
+            {
+                var backtestList = new PyList();
+
+                if (liveUnderwaterPlot.IsEmpty)
+                {
+                    backtestList.Append(seriesUnderwaterPlot.Keys.ToList().ToPython());
+                    backtestList.Append(seriesUnderwaterPlot.Values.ToList().ToPython());
+                }
+                else
+                {
+                    backtestList.Append(seriesUnderwaterPlot.Before(liveUnderwaterPlot.FirstKey()).Keys.ToList().ToPython());
+                    backtestList.Append(seriesUnderwaterPlot.Before(liveUnderwaterPlot.FirstKey()).Values.ToList().ToPython());
+                }
+
+                var liveList = new PyList();
+                liveList.Append(liveUnderwaterPlot.Keys.ToList().ToPython());
+                liveList.Append(liveUnderwaterPlot.Values.ToList().ToPython());
+
+                var worstList = new PyList();
+                var previousDrawdownPeriods = new List<KeyValuePair<DateTime, DateTime>>();
+
+                foreach (var group in drawdownCollection.Drawdowns)
+                {
+                    // Skip drawdown periods that are overlapping
+                    if (previousDrawdownPeriods.Where(kvp => (group.Start >= kvp.Key && group.Start <= kvp.Value) || (group.End >= kvp.Key && group.End <= kvp.Value)).Any())
+                    {
+                        continue;
+                    }
+
+                    var worst = new PyDict();
+                    worst.SetItem("Begin", group.Start.ToPython());
+                    worst.SetItem("End", group.End.ToPython());
+                    worst.SetItem("Total", group.PeakToTrough.ToPython());
+
+                    worstList.Append(worst);
+                    previousDrawdownPeriods.Add(new KeyValuePair<DateTime, DateTime>(group.Start, group.End));
+                }
+
+                base64 = Charting.GetDrawdown(backtestList, liveList, worstList);
+            }
+
+            return base64;
+        }
+    }
+}