private static SystemDrawDown ProcessSystemValue(SystemValue currValue, ref SystemValue lastValue, ref SystemDrawDown lastDD)
{
SystemDrawDown currDD = UpdateDD(CreateNewDDIfRequired(CloseDDIfRequired(lastDD, currValue), currValue, lastValue), currValue);
lastValue = currValue;
if ((currDD == null) || (currDD == lastDD))
{
return(null);
}
lastDD = currDD;
return(currDD);
}
private static SystemDrawDown UpdateDD(SystemDrawDown currDD, SystemValue currValue)
{
if (currDD == null)
{
return(null);
}
if (currDD.BottomValue.Value > currValue.Value)
{
currDD.BottomValue = currValue;
}
currDD.LastTS = currValue.TS;
currDD.Ticks++;
return(currDD);
}
public static List <SystemDrawDown> Calculate(List <SystemValue> equity)
{
if (equity.Count <= 1)
{
return(new List <SystemDrawDown>());
}
SystemValue lastValue = equity[0];
SystemDrawDown lastDD = null;
return(equity
.Skip(1)
.Select(currValue => ProcessSystemValue(currValue, ref lastValue, ref lastDD))
.Where(o => o != null)
.ToList());
}
private static SystemDrawDown CreateNewDDIfRequired(SystemDrawDown currDD, SystemValue currValue, SystemValue lastValue) => (currDD == null) && (currValue.Value < lastValue.Value) ? CreateNewDD(lastValue, currValue) : currDD;
private static SystemDrawDown CloseDDIfRequired(SystemDrawDown currDD, SystemValue currValue) => (currDD?.TopValue.Value < currValue.Value) ? null : currDD;
private static PointChartData CreateNewDataObject(SystemDrawDown dd) => new SystemDrawDownPointChartData(dd);
public SystemDrawDownPointChartData(SystemDrawDown dd)
{
_x = 100f * dd.DD();
_y = dd.Ticks;
DDObject = dd;
}
public static float DD(this SystemDrawDown dd) => (dd.TopValue.Value - dd.BottomValue.Value) / Math.Abs(dd.TopValue.Value);
