/// <summary>
/// Calculate return over maximum drawdown.
/// </summary>
/// <param name="series">input time series</param>
/// <param name="n">length of observation window</param>
/// <param name="parentId">caller cache id, optional</param>
/// <param name="memberName">caller's member name, optional</param>
/// <param name="lineNumber">caller line number, optional</param>
/// <returns>RoMaD</returns>
public static ITimeSeries <double> ReturnOnMaxDrawdown(this ITimeSeries <double> series, int n,
CacheId parentId = null, [CallerMemberName] string memberName = "", [CallerLineNumber] int lineNumber = 0)
{
var cacheId = new CacheId(parentId, memberName, lineNumber,
series.GetHashCode(), n);
return(IndicatorsBasic.BufferedLambda(
(p) =>
{
double ret = series[0] / series[n] - 1.0;
double dd = series.MaxDrawdown(n)[0];
return ret / Math.Max(1e-3, dd);
},
0.0,
cacheId));
}
