void Draw(String key, SortedList<DateTime, double> pnl, DrawDown dd)
{
this.chart1.Series.Clear();
this.chart1.Series.Add(key);
this.chart1.Series[key].LegendText = key;
this.chart1.Series[key].ChartType = System.Windows.Forms.DataVisualization.Charting.SeriesChartType.Line;
foreach (KeyValuePair<DateTime, double> kv in pnl)
{
int index = this.chart1.Series[key].Points.AddXY(kv.Key, kv.Value);
if (dd.StartDate == kv.Key)
{
this.chart1.Series[key].Points[index].Label = String.Format("MDD start {0}", kv.Key.ToString("yyyy-MM-dd"));
}
if (dd.EndDate == kv.Key)
{
this.chart1.Series[key].Points[index].Label = String.Format("MDD end {0}", kv.Key.ToString("yyyy-MM-dd"));
}
}
}
static DrawDown GetDrawDown(
DateTime startDate, DateTime endDate, SortedList<DateTime, double> input)
{
DateTime curDate = startDate;
double startDateCumPnL = input[startDate];
DrawDown dd = new DrawDown();
dd.StartDate = startDate;
dd.EndDate = endDate;
while (curDate <= endDate)
{
if (input.ContainsKey(curDate))
{
double curDateCumPnL = input[curDate];
double diff = curDateCumPnL - startDateCumPnL;
if (diff <= dd.Value)
{
//update
dd.Value = diff;
dd.EndDate = curDate;
}
}
curDate = curDate.AddDays(1);
}
return dd;
}
public static DrawDown GetMaxDrawDown(SortedList<DateTime, double> input)
{
DrawDown mdd = new DrawDown();
DateTime end = input.Keys[input.Keys.Count - 1];
foreach (DateTime cur in input.Keys)
{
DrawDown dd = GetDrawDown(cur, end, input);
if (dd.Value < mdd.Value)
{
mdd = dd;
}
}
return mdd;
}
