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
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+/*
+ * 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 QuantConnect.Packets;
+
+namespace QuantConnect.Report.ReportElements
+{
+    internal sealed class MaxDrawdownReportElement : ReportElement
+    {
+        private LiveResult _live;
+        private BacktestResult _backtest;
+
+        /// <summary>
+        /// Estimate the max drawdown of the strategy.
+        /// </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 MaxDrawdownReportElement(string name, string key, BacktestResult backtest, LiveResult live)
+        {
+            _live = live;
+            _backtest = backtest;
+            Name = name;
+            Key = key;
+        }
+
+        /// <summary>
+        /// The generated output string to be injected
+        /// </summary>
+        public override string Render()
+        {
+            if (_live == null)
+            {
+                var backtestDrawdown = _backtest?.TotalPerformance?.PortfolioStatistics?.Drawdown;
+                Result = backtestDrawdown;
+                return backtestDrawdown?.ToString("P1") ?? "-";
+            }
+
+            var equityCurve = new SortedDictionary<DateTime, decimal>(DrawdownCollection.NormalizeResults(_backtest, _live)
+                .Observations
+                .ToDictionary(kvp => kvp.Key, kvp => (decimal)kvp.Value));
+
+            var maxDrawdown = Statistics.Statistics.CalculateDrawdownMetrics(equityCurve).Drawdown;
+            Result = maxDrawdown;
+
+            return $"{maxDrawdown:P1}";
+        }
+    }
+}