internal static List <Drawdown> allDrawdowns(StatisticsCollector collector)
{
var equities = cumulativeSum(collector.pnl());
var highWaterMarks = cumulativeMax(equities);
Drawdown current = null;
var drawdowns = new List <Drawdown>();
each(equities, highWaterMarks, (equity, highWaterMark) => {
if (equity == highWaterMark)
{
if (current != null)
{
current.closed();
}
current = null;
return;
}
if (current == null)
{
current = new Drawdown();
drawdowns.Add(current);
}
current.add(equity, highWaterMark);
});
return(drawdowns);
}
private void ParseResult(Result result)
{
var windows = result.RollingWindow.GroupBy(v => v.Key.Split('_')[1])
.Select(g => new
{
Date = DateTime.ParseExact(g.Key, "yyyyMMdd", CultureInfo.InvariantCulture),
M1 = g.First(x => x.Key.StartsWith("M1")).Value,
M3 = g.First(x => x.Key.StartsWith("M3")).Value,
M6 = g.First(x => x.Key.StartsWith("M6")).Value,
M12 = g.First(x => x.Key.StartsWith("M12")).Value
});
foreach (var window in windows)
{
if (!Drawdown.ContainsKey(window.Date))
{
Drawdown[window.Date] = new RollingStatisticsItemViewModel();
}
var drawdown = Drawdown[window.Date];
drawdown.M1 = window.M1.PortfolioStatistics.Drawdown;
drawdown.M3 = window.M3.PortfolioStatistics.Drawdown;
drawdown.M6 = window.M6.PortfolioStatistics.Drawdown;
drawdown.M12 = window.M12.PortfolioStatistics.Drawdown;
if (!AvgWinRate.ContainsKey(window.Date))
{
AvgWinRate[window.Date] = new RollingStatisticsItemViewModel();
}
var avgWinRate = AvgWinRate[window.Date];
avgWinRate.M1 = window.M1.PortfolioStatistics.AverageWinRate;
avgWinRate.M3 = window.M3.PortfolioStatistics.AverageWinRate;
avgWinRate.M6 = window.M6.PortfolioStatistics.AverageWinRate;
avgWinRate.M12 = window.M12.PortfolioStatistics.AverageWinRate;
}
}
