/// <summary>
/// maximum drawdown as a percentage
/// </summary>
/// <param name="fills"></param>
/// <returns></returns>
public static decimal MaxDDPct(List <Trade> fills)
{
Portfolio portfolio = new Portfolio();
List <decimal> ret = new List <decimal>();
decimal mmiu = 0;
for (int i = 0; i < fills.Count; i++)
{
portfolio.Adjust(fills[i]);
decimal miu = Calc.Sum(Calc.MoneyInUse(portfolio.Positions));
if (miu > mmiu)
{
mmiu = miu;
}
ret.Add(Calc.Sum(Calc.AbsoluteReturn(portfolio.Positions, new Dictionary <string, decimal>(), true)));
}
decimal maxddval = MaxDDVal(ret.ToArray());
decimal pct = mmiu == 0 ? 0 : maxddval / mmiu;
return(pct);
}
/// <summary>
/// Generate reports
/// call after InitializePosition
/// </summary>
public void GenerateReports(List <Trade> trades)
{
try
{
_fills.Clear();
_fills.AddRange(trades);
List <decimal> moneyinuse = new List <decimal>(); // money in use
List <decimal> tradepnl = new List <decimal>();
List <int> days = new List <int>(); // hostorical trading days when the trades happened
Dictionary <string, int> tradecount = new Dictionary <string, int>(); // symbol --> trade count
List <decimal> negret = new List <decimal>(_fills.Count);
int consecWinners = 0;
int consecLosers = 0;
List <long> exitscounted = new List <long>();
decimal winpl = 0;
decimal losepl = 0;
foreach (Trade trade in _fills)
{
if (tradecount.ContainsKey(trade.FullSymbol))
{
tradecount[trade.FullSymbol]++;
}
else
{
tradecount.Add(trade.FullSymbol, 1);
}
if (!days.Contains(trade.TradeDate))
{
days.Add(trade.TradeDate);
}
int usizebefore = 0;
decimal closedpnlfromthistrade = 0;
if (_positions.ContainsKey(trade.FullSymbol))
{
usizebefore = _positions[trade.FullSymbol].UnsignedSize;
closedpnlfromthistrade = _positions[trade.FullSymbol].Adjust(trade); // closed pnl
}
else
{
// add the trade to position
_positions.Add(trade.FullSymbol, new Position(trade));
usizebefore = 0;
closedpnlfromthistrade = 0;
}
bool isroundturn = (usizebefore != 0) && (_positions[trade.FullSymbol].UnsignedSize == 0); // end at exact 0
bool isclosing = _positions[trade.FullSymbol].UnsignedSize < usizebefore;
// calculate MIU and store on array
decimal miu = Calc.Sum(Calc.MoneyInUse(_positions));
if (miu != 0)
{
moneyinuse.Add(miu);
}
// if we closed something, update return
if (isclosing)
{
// get p&l for portfolio
decimal pl = Calc.Sum(Calc.AbsoluteReturn(_positions)); // with one param, AbsoluteReturn returns closed pnl
// count return
tradepnl.Add(pl);
// get pct return for portfolio
decimal pctret = moneyinuse[moneyinuse.Count - 1] == 0 ? 0 : pl / moneyinuse[moneyinuse.Count - 1];
// if it is below our zero, count it as negative return
if (pctret < 0)
{
negret.Add(pl);
}
}
if (isroundturn) // # of RoundTurns = RoundWinners + RoundLosers
{
RoundTurns++;
if (closedpnlfromthistrade >= 0)
{
RoundWinners++;
}
else if (closedpnlfromthistrade < 0)
{
RoundLosers++;
}
}
Trades++;
SharesTraded += Math.Abs(trade.TradeSize);
Commissions += CalculateIBCommissions(trade);
GrossPL += closedpnlfromthistrade;
if ((closedpnlfromthistrade > 0) && !exitscounted.Contains(trade.Id))
{
if (trade.Side)
{
SellWins++;
SellPL += closedpnlfromthistrade;
}
else
{
BuyWins++;
BuyPL += closedpnlfromthistrade;
}
if (trade.Id != 0)
{
exitscounted.Add(trade.Id);
}
Winners++;
consecWinners++;
consecLosers = 0;
}
else if ((closedpnlfromthistrade < 0) && !exitscounted.Contains(trade.Id))
{
if (trade.Side)
{
SellLosers++;
SellPL += closedpnlfromthistrade;
}
else
{
BuyLosers++;
BuyPL += closedpnlfromthistrade;
}
if (trade.Id != 0)
{
exitscounted.Add(trade.Id);
}
Losers++;
consecLosers++;
consecWinners = 0;
}
if (closedpnlfromthistrade > 0)
{
winpl += closedpnlfromthistrade;
}
else if (closedpnlfromthistrade < 0)
{
losepl += closedpnlfromthistrade;
}
if (consecWinners > ConsecWin)
{
ConsecWin = consecWinners;
}
if (consecLosers > ConsecLose)
{
ConsecLose = consecLosers;
}
if ((_positions[trade.FullSymbol].Size == 0) && (closedpnlfromthistrade == 0))
{
Flats++;
}
if (closedpnlfromthistrade > MaxWin)
{
MaxWin = closedpnlfromthistrade;
}
if (closedpnlfromthistrade < MaxLoss)
{
MaxLoss = closedpnlfromthistrade;
}
if (_positions[trade.FullSymbol].OpenPL > MaxOpenWin)
{
MaxOpenWin = _positions[trade.FullSymbol].OpenPL;
}
if (_positions[trade.FullSymbol].OpenPL < MaxOpenLoss)
{
MaxOpenLoss = _positions[trade.FullSymbol].OpenPL;
}
} // end of loop over trades
if (Trades != 0)
{
AvgPerTrade = Math.Round((losepl + winpl) / Trades, 2);
AvgLoser = Losers == 0 ? 0 : Math.Round(losepl / Losers, 2);
AvgWin = Winners == 0 ? 0 : Math.Round(winpl / Winners, 2);
MoneyInUse = Math.Round(Calc.Max(moneyinuse.ToArray()), 2);
MaxPL = Math.Round(Calc.Max(tradepnl.ToArray()), 2);
MinPL = Math.Round(Calc.Min(tradepnl.ToArray()), 2);
MaxDD = Calc.MaxDDPct(_fills);
SymbolCount = _positions.Count;
DaysTraded = days.Count;
GrossPerDay = Math.Round(GrossPL / days.Count, 2);
GrossPerSymbol = Math.Round(GrossPL / _positions.Count, 2);
if (PerSymbol)
{
foreach (KeyValuePair <string, Position> item in _positions)
{
PerSymbolStats.Add(item.Value.FullSymbol, tradecount[item.Value.FullSymbol] + " for " + item.Value.ClosedPL.ToString("C2"));
}
}
}
else
{
MoneyInUse = 0;
MaxPL = 0;
MinPL = 0;
MaxDD = 0;
GrossPerDay = 0;
GrossPerSymbol = 0;
}
// ratio measures
try
{
SharpeRatio = tradepnl.Count < 2 ? 0 : Math.Round(Calc.SharpeRatio(tradepnl[tradepnl.Count - 1], Calc.StdDev(tradepnl.ToArray()), (RiskFreeRate * MoneyInUse * DaysTraded / 252)), 3);
}
catch (Exception ex)
{
Debug("sharpe error: " + ex.Message);
}
try
{
if (tradepnl.Count == 0)
{
SortinoRatio = 0;
}
else if (negret.Count == 1)
{
SortinoRatio = 0;
}
else if ((negret.Count == 0) && (tradepnl[tradepnl.Count - 1] == 0))
{
SortinoRatio = 0;
}
else if ((negret.Count == 0) && (tradepnl[tradepnl.Count - 1] > 0))
{
SortinoRatio = 0;
}
//SortinoRatio = decimal.MaxValue;
else if ((negret.Count == 0) && (tradepnl[tradepnl.Count - 1] < 0))
{
SortinoRatio = 0;
}
//SortinoRatio = decimal.MinValue;
else
{
SortinoRatio = Math.Round(Calc.SortinoRatio(tradepnl[tradepnl.Count - 1], Calc.StdDev(negret.ToArray()), (RiskFreeRate * MoneyInUse)), 3);
}
}
catch (Exception ex)
{
Debug("sortino error: " + ex.Message);
}
}
catch (Exception ex)
{
Debug("error in generating performance report" + ex.Message);
}
}