wehub-resource-sync
59 lines
2.0 KiB
C#
59 lines
2.0 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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namespace QuantConnect.Report
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{
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/// <summary>
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/// Represents a period of time where the drawdown ranks amongst the top N drawdowns.
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/// </summary>
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public class DrawdownPeriod
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{
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/// <summary>
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/// Start of the drawdown period
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/// </summary>
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public DateTime Start { get; }
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/// <summary>
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/// End of the drawdown period
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/// </summary>
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public DateTime End { get; }
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/// <summary>
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/// Loss in percent from peak to trough
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/// </summary>
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public double PeakToTrough { get; }
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/// <summary>
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/// Loss in percent from peak to trough - Alias for <see cref="PeakToTrough"/>
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/// </summary>
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public double Drawdown => PeakToTrough;
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/// <summary>
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/// Creates an instance with the given start, end, and drawdown
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/// </summary>
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/// <param name="start">Start of the drawdown period</param>
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/// <param name="end">End of the drawdown period</param>
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/// <param name="drawdown">Max drawdown of the period</param>
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public DrawdownPeriod(DateTime start, DateTime end, double drawdown)
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{
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Start = start;
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End = end;
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PeakToTrough = drawdown;
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}
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}
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}
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