public static double CalcMaxDrawdownPercent(DataSeries <Value> accountValue)
{
bool inDrawdown = false;
var last = (double)accountValue.First();
var lastHigh = last;
double worstInDrawdown = double.PositiveInfinity;
double maxDrawdownPercent = 0;
foreach (var v in accountValue.Skip(1))
{
inDrawdown = inDrawdown || v < last;
if (!inDrawdown)
{
lastHigh = Math.Max(lastHigh, v);
}
else
{
worstInDrawdown = Math.Min(worstInDrawdown, v);
if (v >= lastHigh)
{
inDrawdown = false;
maxDrawdownPercent = Math.Max(maxDrawdownPercent, (lastHigh - worstInDrawdown) / lastHigh);
lastHigh = v;
worstInDrawdown = double.PositiveInfinity;
}
}
last = v;
}
return(maxDrawdownPercent);
}
public static DataSeries <Bar> TrimToWindow(DataSeries <Bar> bars, Tuple2 <int> window)
{
return(new DataSeries <Bar>(bars.Symbol, bars.Skip(window.Item1).Take(window.Item2 - window.Item1 + 1)));
}
