Collection of drawdowns for the given period marked by start and end date More...

Public Member Functions
	DrawdownCollection (int periods)
	Creates an instance with a default collection (no items) and the top N worst drawdowns More...

	DrawdownCollection (Series< DateTime, double > strategySeries, int periods)
	Creates an instance from the given drawdowns and the top N worst drawdowns More...

Static Public Member Functions
static DrawdownCollection	FromResult (BacktestResult backtestResult=null, LiveResult liveResult=null, int periods=5)
	Generate a new instance of DrawdownCollection from backtest and live Result derived instances More...

static Series< DateTime, double >	NormalizeResults (BacktestResult backtestResult, LiveResult liveResult)
	Normalizes the Series used to calculate the drawdown plots and charts More...

static Series< DateTime, double >	GetUnderwater (Series< DateTime, double > curve)
	Gets the underwater plot for the provided curve. Data is expected to be the concatenated output of ResultsUtil.EquityPoints. More...

static Frame< DateTime, string >	GetUnderwaterFrame (Series< DateTime, double > curve)
	Gets all the data associated with the underwater plot and everything used to generate it. Note that you should instead use GetUnderwater(Series<DateTime, double>) if you want to just generate an underwater plot. This is internally used to get the top N worst drawdown periods. More...

static Frame< DateTime, string >	GetTopWorstDrawdowns (Series< DateTime, double > curve, int periods)
	Gets the top N worst drawdowns and associated statistics. Returns a Frame with the following keys: "duration", "cumulativeMax", "drawdown" More...

static IEnumerable< DrawdownPeriod >	GetDrawdownPeriods (Series< DateTime, double > curve, int periods=5)
	Gets the given drawdown periods from the equity curve and the set periods More...

Properties
DateTime	Start `[get]`
	Starting time of the drawdown collection More...

DateTime	End `[get]`
	Ending time of the drawdown collection More...

int	Periods `[get]`
	Number of periods to take into consideration for the top N drawdown periods. This will be the number of items contained in the Drawdowns collection. More...

List< DrawdownPeriod >	Drawdowns `[get]`
	Worst drawdowns encountered More...

Detailed Description

Collection of drawdowns for the given period marked by start and end date

Definition at line 27 of file DrawdownCollection.cs.

Constructor & Destructor Documentation

◆ DrawdownCollection() [1/2]

QuantConnect.Report.DrawdownCollection.DrawdownCollection ( int periods )

Creates an instance with a default collection (no items) and the top N worst drawdowns

Parameters

periods

Definition at line 54 of file DrawdownCollection.cs.

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◆ DrawdownCollection() [2/2]

QuantConnect.Report.DrawdownCollection.DrawdownCollection	(	Series< DateTime, double >	strategySeries,
		int	periods
	)

Creates an instance from the given drawdowns and the top N worst drawdowns

Parameters

strategySeries	Equity curve with both live and backtesting merged
periods	Periods this collection contains

Definition at line 65 of file DrawdownCollection.cs.

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Member Function Documentation

◆ FromResult()

static DrawdownCollection QuantConnect.Report.DrawdownCollection.FromResult	(	BacktestResult	backtestResult = `null`,
		LiveResult	liveResult = `null`,
		int	periods = `5`
	)

static

Generate a new instance of DrawdownCollection from backtest and live Result derived instances

Parameters

backtestResult	Backtest result packet
liveResult	Live result packet
periods	Top N drawdown periods to get

Returns: DrawdownCollection instance

Definition at line 84 of file DrawdownCollection.cs.

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◆ NormalizeResults()

static Series<DateTime, double> QuantConnect.Report.DrawdownCollection.NormalizeResults	(	BacktestResult	backtestResult,
		LiveResult	liveResult
	)

static

Normalizes the Series used to calculate the drawdown plots and charts

Parameters

backtestResult	Backtest result packet
liveResult	Live result packet

Returns

Definition at line 95 of file DrawdownCollection.cs.

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◆ GetUnderwater()

static Series<DateTime, double> QuantConnect.Report.DrawdownCollection.GetUnderwater ( Series< DateTime, double > curve )

static

Gets the underwater plot for the provided curve. Data is expected to be the concatenated output of ResultsUtil.EquityPoints.

Parameters

curve Equity curve

Returns

Definition at line 148 of file DrawdownCollection.cs.

◆ GetUnderwaterFrame()

static Frame<DateTime, string> QuantConnect.Report.DrawdownCollection.GetUnderwaterFrame ( Series< DateTime, double > curve )

static

Gets all the data associated with the underwater plot and everything used to generate it. Note that you should instead use GetUnderwater(Series<DateTime, double>) if you want to just generate an underwater plot. This is internally used to get the top N worst drawdown periods.

Parameters

curve Equity curve

Returns: Frame containing the following keys: "returns", "cumulativeMax", "drawdown"

Definition at line 168 of file DrawdownCollection.cs.

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◆ GetTopWorstDrawdowns()

static Frame<DateTime, string> QuantConnect.Report.DrawdownCollection.GetTopWorstDrawdowns	(	Series< DateTime, double >	curve,
		int	periods
	)

static

Gets the top N worst drawdowns and associated statistics. Returns a Frame with the following keys: "duration", "cumulativeMax", "drawdown"

Parameters

curve	Equity curve
periods	Top N worst periods. If this is greater than the results, we retrieve all the items instead

Returns: Frame with the following keys: "duration", "cumulativeMax", "drawdown"

Definition at line 194 of file DrawdownCollection.cs.

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◆ GetDrawdownPeriods()

static IEnumerable<DrawdownPeriod> QuantConnect.Report.DrawdownCollection.GetDrawdownPeriods	(	Series< DateTime, double >	curve,
		int	periods = `5`
	)

static

Gets the given drawdown periods from the equity curve and the set periods

Parameters

curve	Equity curve
periods	Top N drawdown periods to get

Returns: Enumerable of DrawdownPeriod

Definition at line 253 of file DrawdownCollection.cs.

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Property Documentation

◆ Start

DateTime QuantConnect.Report.DrawdownCollection.Start

get

Starting time of the drawdown collection

Definition at line 32 of file DrawdownCollection.cs.

◆ End

DateTime QuantConnect.Report.DrawdownCollection.End

get

Ending time of the drawdown collection

Definition at line 37 of file DrawdownCollection.cs.

◆ Periods

int QuantConnect.Report.DrawdownCollection.Periods

get

Number of periods to take into consideration for the top N drawdown periods. This will be the number of items contained in the Drawdowns collection.

Definition at line 43 of file DrawdownCollection.cs.

◆ Drawdowns

List<DrawdownPeriod> QuantConnect.Report.DrawdownCollection.Drawdowns

get

Worst drawdowns encountered

Definition at line 48 of file DrawdownCollection.cs.

The documentation for this class was generated from the following file:

Report/DrawdownCollection.cs

Public Member Functions

Static Public Member Functions

Properties

Detailed Description

Constructor & Destructor Documentation

◆ DrawdownCollection() [1/2]

◆ DrawdownCollection() [2/2]

Member Function Documentation

◆ FromResult()

◆ NormalizeResults()

◆ GetUnderwater()

◆ GetUnderwaterFrame()

◆ GetTopWorstDrawdowns()

◆ GetDrawdownPeriods()

Property Documentation

◆ Start

◆ End

◆ Periods

◆ Drawdowns