/// <summary>
/// Call this at the end to add any open drawdowns to the drawdown length
/// </summary>
public void CalcFinalValues(DateTime dt)
{
if (DrawdownPct.Last() < -0.0000001)
{
DrawdownLengths.Add(dt - _drawdownStart);
}
}
public void AddChange(double change, DateTime?dt = null)
{
if (Equity.Count == 0)
{
Returns.Add(0);
Equity.Add(change);
}
else
{
Returns.Add(Equity.Last() != 0 ? change / Equity.Last() : 0);
Equity.Add(Equity[Equity.Count - 1] + change);
}
Changes.Add(change);
_maxEquity = Math.Max(_maxEquity, Equity.Last());
DrawdownPct.Add(_maxEquity == 0 ? 0 : Equity.Last() / _maxEquity - 1);
DrawdownAmt.Add(Equity.Last() - _maxEquity);
if (dt != null)
{
AddDrawdownLengths(dt.Value);
}
Dates.Add(dt);
}
public void AddValue(double value, DateTime?dt = null)
{
if (Equity.Count == 0)
{
Returns.Add(0);
Changes.Add(0);
}
else
{
Returns.Add(Equity.Last() != 0 ? value / Equity.Last() - 1 : 0);
Changes.Add(value - Equity[Equity.Count - 1]);
}
Equity.Add(value);
_maxEquity = Math.Max(_maxEquity, value);
DrawdownPct.Add(_maxEquity == 0 ? 0 : value / _maxEquity - 1);
DrawdownAmt.Add(Equity.Last() - _maxEquity);
if (dt != null)
{
AddDrawdownLengths(dt.Value);
}
Dates.Add(dt);
}
/// <summary>
///
/// </summary>
/// <param name="ret">Net Return</param>
public void AddReturn(double ret, DateTime?dt = null)
{
if (Equity.Count == 0)
{
Equity.Add(1);
Changes.Add(0);
}
else
{
Equity.Add(Equity.Last() * (1 + ret));
Changes.Add(Equity[Equity.Count - 1] - Equity[Equity.Count - 2]);
}
_maxEquity = Math.Max(_maxEquity, Equity.Last());
Returns.Add(ret);
DrawdownPct.Add(_maxEquity == 0 ? 0 : Equity.Last() / _maxEquity - 1);
DrawdownAmt.Add(Equity.Last() - _maxEquity);
if (dt != null)
{
AddDrawdownLengths(dt.Value);
}
Dates.Add(dt);
}
private void AddDrawdownLengths(DateTime dt)
{
if (Returns.Count > 1 && DrawdownPct[DrawdownPct.Count - 2] < -0.0000001 && DrawdownPct.Last() > -0.0000001)
{
DrawdownLengths.Add(dt - _drawdownStart);
}
if (DrawdownPct.Last() < -0.000001 && (Returns.Count <= 1 || DrawdownPct[DrawdownPct.Count - 2] > -0.000001))
{
_drawdownStart = dt;
}
}
