wehub-resource-sync
107 lines
4.4 KiB
C#
107 lines
4.4 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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using System.Linq;
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using Deedle;
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using Python.Runtime;
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using QuantConnect.Packets;
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using QuantConnect.Util;
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namespace QuantConnect.Report.ReportElements
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{
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internal sealed class DrawdownReportElement : ChartReportElement
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{
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private LiveResult _live;
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private BacktestResult _backtest;
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/// <summary>
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/// Create a new plot of the top N worst drawdown durations
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/// </summary>
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/// <param name="name">Name of the widget</param>
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/// <param name="key">Location of injection</param>
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/// <param name="backtest">Backtest result object</param>
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/// <param name="live">Live result object</param>
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public DrawdownReportElement(string name, string key, BacktestResult backtest, LiveResult live)
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{
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_live = live;
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_backtest = backtest;
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Name = name;
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Key = key;
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}
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/// <summary>
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/// Generate the top N drawdown plot using the python libraries.
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/// </summary>
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public override string Render()
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{
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var backtestPoints = ResultsUtil.EquityPoints(_backtest);
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var livePoints = ResultsUtil.EquityPoints(_live);
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var liveSeries = new Series<DateTime, double>(livePoints.Keys, livePoints.Values);
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var strategySeries = DrawdownCollection.NormalizeResults(_backtest, _live);
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var seriesUnderwaterPlot = DrawdownCollection.GetUnderwater(strategySeries).DropMissing();
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var liveUnderwaterPlot = backtestPoints.Count == 0 ? seriesUnderwaterPlot : seriesUnderwaterPlot.After(backtestPoints.Last().Key);
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var drawdownCollection = DrawdownCollection.FromResult(_backtest, _live, periods: 5);
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var base64 = "";
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using (Py.GIL())
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{
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var backtestList = new PyList();
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if (liveUnderwaterPlot.IsEmpty)
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{
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backtestList.Append(seriesUnderwaterPlot.Keys.ToList().ToPython());
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backtestList.Append(seriesUnderwaterPlot.Values.ToList().ToPython());
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}
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else
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{
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backtestList.Append(seriesUnderwaterPlot.Before(liveUnderwaterPlot.FirstKey()).Keys.ToList().ToPython());
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backtestList.Append(seriesUnderwaterPlot.Before(liveUnderwaterPlot.FirstKey()).Values.ToList().ToPython());
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}
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var liveList = new PyList();
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liveList.Append(liveUnderwaterPlot.Keys.ToList().ToPython());
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liveList.Append(liveUnderwaterPlot.Values.ToList().ToPython());
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var worstList = new PyList();
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var previousDrawdownPeriods = new List<KeyValuePair<DateTime, DateTime>>();
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foreach (var group in drawdownCollection.Drawdowns)
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{
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// Skip drawdown periods that are overlapping
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if (previousDrawdownPeriods.Where(kvp => (group.Start >= kvp.Key && group.Start <= kvp.Value) || (group.End >= kvp.Key && group.End <= kvp.Value)).Any())
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{
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continue;
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}
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var worst = new PyDict();
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worst.SetItem("Begin", group.Start.ToPython());
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worst.SetItem("End", group.End.ToPython());
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worst.SetItem("Total", group.PeakToTrough.ToPython());
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worstList.Append(worst);
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previousDrawdownPeriods.Add(new KeyValuePair<DateTime, DateTime>(group.Start, group.End));
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}
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base64 = Charting.GetDrawdown(backtestList, liveList, worstList);
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}
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return base64;
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}
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}
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} |