/// <summary>
/// Generate the top N drawdown plot using the python libraries.
/// </summary>
public override string Render()
{
var backtestPoints = ResultsUtil.EquityPoints(_backtest);
var livePoints = ResultsUtil.EquityPoints(_live);
var liveSeries = new Series <DateTime, double>(livePoints.Keys, livePoints.Values);
var strategySeries = DrawdownCollection.NormalizeResults(_backtest, _live);
var seriesUnderwaterPlot = DrawdownCollection.GetUnderwater(strategySeries).DropMissing();
var liveUnderwaterPlot = backtestPoints.Count == 0 ? seriesUnderwaterPlot : seriesUnderwaterPlot.After(backtestPoints.Last().Key);
var drawdownCollection = DrawdownCollection.FromResult(_backtest, _live, periods: 5);
var base64 = "";
using (Py.GIL())
{
var backtestList = new PyList();
if (liveUnderwaterPlot.IsEmpty)
{
backtestList.Append(seriesUnderwaterPlot.Keys.ToList().ToPython());
backtestList.Append(seriesUnderwaterPlot.Values.ToList().ToPython());
}
else
{
backtestList.Append(seriesUnderwaterPlot.Before(liveUnderwaterPlot.FirstKey()).Keys.ToList().ToPython());
backtestList.Append(seriesUnderwaterPlot.Before(liveUnderwaterPlot.FirstKey()).Values.ToList().ToPython());
}
var liveList = new PyList();
liveList.Append(liveUnderwaterPlot.Keys.ToList().ToPython());
liveList.Append(liveUnderwaterPlot.Values.ToList().ToPython());
var worstList = new PyList();
var previousDrawdownPeriods = new List <KeyValuePair <DateTime, DateTime> >();
foreach (var group in drawdownCollection.Drawdowns)
{
// Skip drawdown periods that are overlapping
if (previousDrawdownPeriods.Where(kvp => (group.Start >= kvp.Key && group.Start <= kvp.Value) || (group.End >= kvp.Key && group.End <= kvp.Value)).Any())
{
continue;
}
var worst = new PyDict();
worst.SetItem("Begin", group.Start.ToPython());
worst.SetItem("End", group.End.ToPython());
worst.SetItem("Total", group.PeakToTrough.ToPython());
worstList.Append(worst);
previousDrawdownPeriods.Add(new KeyValuePair <DateTime, DateTime>(group.Start, group.End));
}
base64 = Charting.GetDrawdown(backtestList, liveList, worstList);
}
return(base64);
}
