wehub-resource-sync
64 lines
2.5 KiB
C#
64 lines
2.5 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 QuantConnect.Packets;
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namespace QuantConnect.Report.ReportElements
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{
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internal sealed class MaxDrawdownRecoveryReportElement : ReportElement
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{
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private LiveResult _liveResult;
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private BacktestResult _backtestResult;
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/// <summary>
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/// Estimate the max drawdown of the strategy.
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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="backtestResult">Backtest result object</param>
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/// <param name="liveResult">Live result object</param>
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public MaxDrawdownRecoveryReportElement(string name, string key, BacktestResult backtestResult, LiveResult liveResult)
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{
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_liveResult = liveResult;
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_backtestResult = backtestResult;
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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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/// The generated output string to be injected
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/// </summary>
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public override string Render()
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{
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if (_liveResult == null)
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{
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var backtestDrawdownRecovery = _backtestResult?.TotalPerformance?.PortfolioStatistics?.DrawdownRecovery;
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Result = backtestDrawdownRecovery;
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return backtestDrawdownRecovery?.ToStringInvariant() ?? "-";
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}
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var equityCurve = new SortedDictionary<DateTime, decimal>(DrawdownCollection.NormalizeResults(_backtestResult, _liveResult)
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.Observations
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.ToDictionary(kvp => kvp.Key, kvp => (decimal)kvp.Value));
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var maxDrawdownRecovery = Statistics.Statistics.CalculateDrawdownMetrics(equityCurve).DrawdownRecovery;
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Result = maxDrawdownRecovery;
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return $"{maxDrawdownRecovery}";
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}
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}
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} |