/**
* Calculates the Maximum drawdown from a cash flow over a series.
* @param series the time series
* @param cashFlow the cash flow
* @return the Maximum drawdown from a cash flow over a series
*/
private decimal CalculateMaximumDrawdown(ITimeSeries series, CashFlow cashFlow)
{
decimal MaximumDrawdown = Decimals.Zero;
decimal MaxPeak = Decimals.Zero;
if (!series.IsEmpty())
{
// The series is not empty
for (int i = series.GetBeginIndex(); i <= series.GetEndIndex(); i++)
{
decimal value = cashFlow.GetValue(i);
if (value.IsGreaterThan(MaxPeak))
{
MaxPeak = value;
}
decimal drawdown = MaxPeak.Minus(value).DividedBy(MaxPeak);
if (drawdown.IsGreaterThan(MaximumDrawdown))
{
MaximumDrawdown = drawdown;
}
}
}
return(MaximumDrawdown);
}
public void getEndGetBeginGetBarCountIsEmpty()
{
// series
Assert.AreEqual(0, defaultSeries.GetBeginIndex());
Assert.AreEqual(bars.Count - 1, defaultSeries.GetEndIndex());
Assert.AreEqual(bars.Count, defaultSeries.GetBarCount());
Assert.IsFalse(defaultSeries.IsEmpty());
// Constrained series
Assert.AreEqual(2, constrainedSeries.GetBeginIndex());
Assert.AreEqual(4, constrainedSeries.GetEndIndex());
Assert.AreEqual(3, constrainedSeries.GetBarCount());
Assert.IsFalse(constrainedSeries.IsEmpty());
// Empty series
Assert.AreEqual(-1, emptySeries.GetBeginIndex());
Assert.AreEqual(-1, emptySeries.GetEndIndex());
Assert.AreEqual(0, emptySeries.GetBarCount());
Assert.IsTrue(emptySeries.IsEmpty());
}
