/// <summary>
/// The generated output string to be injected
/// </summary>
public override string Render()
{
var backtestPoints = ResultsUtil.EquityPoints(_backtest);
var backtestBenchmarkPoints = ResultsUtil.BenchmarkPoints(_backtest);
var backtestSeries = new Series <DateTime, double>(backtestPoints.Keys, backtestPoints.Values);
var backtestBenchmarkSeries = new Series <DateTime, double>(backtestBenchmarkPoints.Keys, backtestBenchmarkPoints.Values);
var html = new List <string>();
foreach (var crisisEvent in Crisis.Events)
{
using (Py.GIL())
{
var crisis = crisisEvent.Value;
var data = new PyList();
var frame = Frame.CreateEmpty <DateTime, string>();
// The two following operations are equivalent to Pandas' `df.resample("D").sum()`
frame["Backtest"] = backtestSeries.ResampleEquivalence(date => date.Date, s => s.LastValue());
frame["Benchmark"] = backtestBenchmarkSeries.ResampleEquivalence(date => date.Date, s => s.LastValue());
var crisisFrame = frame.Where(kvp => kvp.Key >= crisis.Start && kvp.Key <= crisis.End);
crisisFrame = crisisFrame.Join("BacktestPercent", crisisFrame["Backtest"].CumulativeReturns());
crisisFrame = crisisFrame.Join("BenchmarkPercent", crisisFrame["Benchmark"].CumulativeReturns());
// Pad out all missing values to start from 0 for nice plots
crisisFrame = crisisFrame.FillMissing(Direction.Forward).FillMissing(0.0);
data.Append(crisisFrame.RowKeys.ToList().ToPython());
data.Append(crisisFrame["BacktestPercent"].Values.ToList().ToPython());
data.Append(crisisFrame["BenchmarkPercent"].Values.ToList().ToPython());
var base64 = (string)Charting.GetCrisisEventsPlots(data, crisis.Name.Replace("/", "").Replace(".", "").Replace(" ", ""));
if (base64 == _emptyChart)
{
continue;
}
if (!crisisFrame.IsEmpty)
{
var contents = _template.Replace(ReportKey.CrisisTitle, crisis.ToString(crisisFrame.GetRowKeyAt(0), crisisFrame.GetRowKeyAt(crisisFrame.RowCount - 1)));
contents = contents.Replace(ReportKey.CrisisContents, base64);
html.Add(contents);
}
}
}
if (Key == ReportKey.CrisisPageStyle)
{
if (html.Count == 0)
{
return("display: none;");
}
return(string.Empty);
}
return(string.Join("\n", html));
}