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 NUnit.Framework;
+using QuantConnect.Packets;
+using QuantConnect.Report;
+
+namespace QuantConnect.Tests.Report
+{
+    [TestFixture]
+    public class DrawdownCollectionTests
+    {
+        [Test]
+        public void MaxDrawdown()
+        {
+            var series = new Deedle.Series<DateTime, double>(new []
+            {
+                new KeyValuePair<DateTime, double>(new DateTime(2020, 1, 1), 100000),
+                new KeyValuePair<DateTime, double>(new DateTime(2020, 1, 2), 90000),
+                new KeyValuePair<DateTime, double>(new DateTime(2020, 1, 3), 100000),
+                new KeyValuePair<DateTime, double>(new DateTime(2020, 1, 4), 100000),
+                new KeyValuePair<DateTime, double>(new DateTime(2020, 1, 5), 80000)
+            });
+
+            var collection = DrawdownCollection.GetDrawdownPeriods(series, 1).ToList();
+
+            Assert.AreEqual(1, collection.Count);
+            Assert.AreEqual(0.2, collection.First().Drawdown, 0.0001);
+        }
+
+        [TestCase(false)]
+        [TestCase(true)]
+        public void NoDrawdown(bool hasEquityPoint)
+        {
+            var strategyEquityChart = new Chart("Strategy Equity");
+            var equitySeries = new Series("Equity");
+            strategyEquityChart.AddSeries(equitySeries);
+
+            if (hasEquityPoint)
+            {
+                equitySeries.AddPoint(new DateTime(2020, 1, 1), 100000);
+            }
+
+            var backtest = new BacktestResult
+            {
+                Charts = new Dictionary<string, Chart> {[strategyEquityChart.Name] = strategyEquityChart}
+            };
+
+            var normalizedResults = DrawdownCollection.NormalizeResults(backtest, null);
+
+            Assert.AreEqual(0, normalizedResults.KeyCount);
+            Assert.AreEqual(0, normalizedResults.ValueCount);
+        }
+    }
+}