public static DataSeries <Value> Trim(this DataSeries <Value> values, double value)
{
var first = values.First(x => x.Val != value).Timestamp;
var last = values.Reverse().First(x => x.Val != value).Timestamp;
return(values.From(first).To(last));
}
public static double CalcMaxDrawdownPercent(DataSeries <Value> accountValue)
{
bool inDrawdown = false;
var last = (double)accountValue.First();
var lastHigh = last;
double worstInDrawdown = double.PositiveInfinity;
double maxDrawdownPercent = 0;
foreach (var v in accountValue.Skip(1))
{
inDrawdown = inDrawdown || v < last;
if (!inDrawdown)
{
lastHigh = Math.Max(lastHigh, v);
}
else
{
worstInDrawdown = Math.Min(worstInDrawdown, v);
if (v >= lastHigh)
{
inDrawdown = false;
maxDrawdownPercent = Math.Max(maxDrawdownPercent, (lastHigh - worstInDrawdown) / lastHigh);
lastHigh = v;
worstInDrawdown = double.PositiveInfinity;
}
}
last = v;
}
return(maxDrawdownPercent);
}
public static DataSeries <Value> SignalAccuracy(this DataSeries <Bar> bars, DataSeries <Value> signal)
{
var bs = bars.From(signal.First().Timestamp);
return(bs.ZipElements <Value, Value>(signal, (b, s, v) =>
s[0] == 0 ? 0 :
b[0].IsGreen == (s[0] > 0) ? 1 :
-1));
}
