/// <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);
}
public void MaxDrawdown()
{
var series = new Deedle.Series <DateTime, double>(new []
{
new KeyValuePair <DateTime, double>(new DateTime(2020, 1, 1), 100000),
new KeyValuePair <DateTime, double>(new DateTime(2020, 1, 2), 90000),
new KeyValuePair <DateTime, double>(new DateTime(2020, 1, 3), 100000),
new KeyValuePair <DateTime, double>(new DateTime(2020, 1, 4), 100000),
new KeyValuePair <DateTime, double>(new DateTime(2020, 1, 5), 80000)
});
var collection = DrawdownCollection.GetDrawdownPeriods(series, 1).ToList();
Assert.AreEqual(1, collection.Count);
Assert.AreEqual(0.2, collection.First().Drawdown, 0.0001);
}
/// <summary>
/// The generated output string to be injected
/// </summary>
public override string Render()
{
if (_live == null)
{
var backtestDrawdown = _backtest?.TotalPerformance?.PortfolioStatistics?.Drawdown;
Result = backtestDrawdown;
return(backtestDrawdown?.ToString("P1") ?? "-");
}
var equityCurve = new SortedDictionary <DateTime, decimal>(DrawdownCollection.NormalizeResults(_backtest, _live)
.Observations
.ToDictionary(kvp => kvp.Key, kvp => (decimal)kvp.Value));
var maxDrawdown = Statistics.Statistics.DrawdownPercent(equityCurve);
Result = maxDrawdown;
return($"{maxDrawdown:P1}");
}
/// <summary>
/// The generated output string to be injected
/// </summary>
public override string Render()
{
var equityCurve = _live == null
? new Series <DateTime, double>(ResultsUtil.EquityPoints(_backtest))
: DrawdownCollection.NormalizeResults(_backtest, _live);
if (equityCurve.IsEmpty)
{
return("-");
}
var years = (decimal)(equityCurve.LastKey() - equityCurve.FirstKey()).TotalDays / 365m;
Result = Statistics.Statistics.CompoundingAnnualPerformance(
equityCurve.FirstValue().SafeDecimalCast(),
equityCurve.LastValue().SafeDecimalCast(),
years);
return(((decimal?)Result)?.ToString("P1") ?? "-");
}
/// <summary>
/// The generated output string to be injected
/// </summary>
public override string Render()
{
if (_live == null)
{
return(_backtest?.TotalPerformance?.PortfolioStatistics?.Drawdown.ToString("P1") ?? "-");
}
var backtestEquityPoints = new Series <DateTime, double>(ResultsUtil.EquityPoints(_backtest));
var liveEquityPoints = new Series <DateTime, double>(ResultsUtil.EquityPoints(_live));
var backtestDrawdownGroups = new DrawdownCollection(backtestEquityPoints, 1);
var liveDrawdownGroups = new DrawdownCollection(liveEquityPoints, 1);
var separateResultsMaxDrawdown = backtestDrawdownGroups.Drawdowns
.Concat(liveDrawdownGroups.Drawdowns)
.Select(x => x.PeakToTrough)
.OrderByDescending(x => x)
.FirstOrDefault();
return($"{separateResultsMaxDrawdown:P1}");
}
/// <summary>
/// The generated output string to be injected
/// </summary>
public override string Render()
{
decimal?psr;
if (_live == null)
{
psr = _backtest?.TotalPerformance?.PortfolioStatistics?.ProbabilisticSharpeRatio;
Result = psr;
if (psr == null)
{
return("-");
}
return($"{psr:P0}");
}
var equityCurvePerformance = DrawdownCollection.NormalizeResults(_backtest, _live)
.ResampleEquivalence(date => date.Date, s => s.LastValue())
.PercentChange();
if (equityCurvePerformance.IsEmpty || equityCurvePerformance.KeyCount < 180)
{
return("-");
}
var sixMonthsBefore = equityCurvePerformance.LastKey() - TimeSpan.FromDays(180);
var benchmarkSharpeRatio = 1.0d / Math.Sqrt(252);
psr = Statistics.Statistics.ProbabilisticSharpeRatio(
equityCurvePerformance
.Where(kvp => kvp.Key >= sixMonthsBefore)
.Values
.ToList(),
benchmarkSharpeRatio)
.SafeDecimalCast();
Result = psr;
return($"{psr:P0}");
}
public void NoDrawdown(bool hasEquityPoint)
{
var strategyEquityChart = new Chart("Strategy Equity");
var equitySeries = new Series("Equity");
strategyEquityChart.AddSeries(equitySeries);
if (hasEquityPoint)
{
equitySeries.AddPoint(new DateTime(2020, 1, 1), 100000);
}
var backtest = new BacktestResult
{
Charts = new Dictionary <string, Chart> {
[strategyEquityChart.Name] = strategyEquityChart
}
};
var normalizedResults = DrawdownCollection.NormalizeResults(backtest, null);
Assert.AreEqual(0, normalizedResults.KeyCount);
Assert.AreEqual(0, normalizedResults.ValueCount);
}