diff --git a/Common/Statistics/Trade.cs b/Common/Statistics/Trade.cs
index 35ef2a35c6bb..7fce09eaeae9 100644
--- a/Common/Statistics/Trade.cs
+++ b/Common/Statistics/Trade.cs
@@ -119,10 +119,7 @@ public TimeSpan Duration
///
/// Returns the amount of profit given back before the trade was closed
///
- public decimal EndTradeDrawdown
- {
- get { return ProfitLoss - MFE; }
- }
+ public decimal EndTradeDrawdown { get; set; }
///
/// Returns whether the trade was profitable (is a win) or not (a loss)
diff --git a/Common/Statistics/TradeBuilder.cs b/Common/Statistics/TradeBuilder.cs
index b0b0cb010c30..85ee3c2fb788 100644
--- a/Common/Statistics/TradeBuilder.cs
+++ b/Common/Statistics/TradeBuilder.cs
@@ -13,14 +13,14 @@
* limitations under the License.
*/
-using System;
-using System.Collections.Generic;
-using System.Linq;
using QuantConnect.Data.Market;
using QuantConnect.Interfaces;
using QuantConnect.Orders;
using QuantConnect.Securities;
using QuantConnect.Util;
+using System;
+using System.Collections.Generic;
+using System.Linq;
namespace QuantConnect.Statistics
{
@@ -29,12 +29,40 @@ namespace QuantConnect.Statistics
///
public class TradeBuilder : ITradeBuilder
{
+ private class TradeState
+ {
+ internal Trade Trade { get; set; }
+ internal decimal MaxProfit { get; set; }
+ internal decimal MaxDrawdown { get; set; }
+
+ ///
+ /// Updates the drawdown state given the current profit
+ ///
+ public void UpdateDrawdown(decimal currentProfit)
+ {
+ if (currentProfit < MaxProfit)
+ {
+ // There is a drawdown, but we only care about the maximum drawdown
+ var drawdown = MaxProfit - currentProfit;
+ if (drawdown > MaxDrawdown)
+ {
+ MaxDrawdown = drawdown;
+ }
+ }
+ else
+ {
+ // New maximum profit
+ MaxProfit = currentProfit;
+ }
+ }
+ }
+
///
/// Helper class to manage pending trades and market price updates for a symbol
///
private class Position
{
- internal List PendingTrades { get; set; }
+ internal List PendingTrades { get; set; }
internal List PendingFills { get; set; }
internal decimal TotalFees { get; set; }
internal decimal MaxPrice { get; set; }
@@ -42,7 +70,7 @@ private class Position
public Position()
{
- PendingTrades = new List();
+ PendingTrades = new List();
PendingFills = new List();
}
}
@@ -130,6 +158,14 @@ public void SetMarketPrice(Symbol symbol, decimal price)
position.MaxPrice = price;
else if (price < position.MinPrice)
position.MinPrice = price;
+
+ for (var i = 0; i < position.PendingTrades.Count; i++)
+ {
+ var tradeState = position.PendingTrades[i];
+ var trade = tradeState.Trade;
+ var currentProfit = trade.Direction == TradeDirection.Long ? price - trade.EntryPrice : trade.EntryPrice - price;
+ tradeState.UpdateDrawdown(currentProfit);
+ }
}
///
@@ -151,11 +187,13 @@ public void ApplySplit(Split split, bool liveMode, DataNormalizationMode dataNor
position.MinPrice *= split.SplitFactor;
position.MaxPrice *= split.SplitFactor;
- foreach (var trade in position.PendingTrades)
+ foreach (var tradeState in position.PendingTrades)
{
- trade.Quantity /= split.SplitFactor;
- trade.EntryPrice *= split.SplitFactor;
- trade.ExitPrice *= split.SplitFactor;
+ tradeState.Trade.Quantity /= split.SplitFactor;
+ tradeState.Trade.EntryPrice *= split.SplitFactor;
+ tradeState.Trade.ExitPrice *= split.SplitFactor;
+ tradeState.MaxProfit *= split.SplitFactor;
+ tradeState.MaxDrawdown *= split.SplitFactor;
}
foreach (var pendingFill in position.PendingFills)
@@ -223,17 +261,20 @@ private void ProcessFillUsingFillToFill(OrderEvent fill, decimal orderFee, decim
// no pending trades for symbol
_positions[fill.Symbol] = new Position
{
- PendingTrades = new List
+ PendingTrades = new List
{
- new Trade
+ new TradeState
{
- Symbols = [fill.Symbol],
- EntryTime = fill.UtcTime,
- EntryPrice = fill.FillPrice,
- Direction = fill.FillQuantity > 0 ? TradeDirection.Long : TradeDirection.Short,
- Quantity = fill.AbsoluteFillQuantity,
- TotalFees = orderFee,
- OrderIds = new HashSet() { fill.OrderId }
+ Trade = new Trade
+ {
+ Symbols = [fill.Symbol],
+ EntryTime = fill.UtcTime,
+ EntryPrice = fill.FillPrice,
+ Direction = fill.FillQuantity > 0 ? TradeDirection.Long : TradeDirection.Short,
+ Quantity = fill.AbsoluteFillQuantity,
+ TotalFees = orderFee,
+ OrderIds = new HashSet() { fill.OrderId }
+ }
}
},
MinPrice = fill.FillPrice,
@@ -246,18 +287,21 @@ private void ProcessFillUsingFillToFill(OrderEvent fill, decimal orderFee, decim
var index = _matchingMethod == FillMatchingMethod.FIFO ? 0 : position.PendingTrades.Count - 1;
- if (Math.Sign(fill.FillQuantity) == (position.PendingTrades[index].Direction == TradeDirection.Long ? +1 : -1))
+ if (Math.Sign(fill.FillQuantity) == (position.PendingTrades[index].Trade.Direction == TradeDirection.Long ? +1 : -1))
{
// execution has same direction of trade
- position.PendingTrades.Add(new Trade
+ position.PendingTrades.Add(new TradeState
{
- Symbols = [fill.Symbol],
- EntryTime = fill.UtcTime,
- EntryPrice = fill.FillPrice,
- Direction = fill.FillQuantity > 0 ? TradeDirection.Long : TradeDirection.Short,
- Quantity = fill.AbsoluteFillQuantity,
- TotalFees = orderFee,
- OrderIds = new HashSet() { fill.OrderId }
+ Trade = new Trade
+ {
+ Symbols = [fill.Symbol],
+ EntryTime = fill.UtcTime,
+ EntryPrice = fill.FillPrice,
+ Direction = fill.FillQuantity > 0 ? TradeDirection.Long : TradeDirection.Short,
+ Quantity = fill.AbsoluteFillQuantity,
+ TotalFees = orderFee,
+ OrderIds = new HashSet() { fill.OrderId }
+ }
});
}
else
@@ -267,7 +311,8 @@ private void ProcessFillUsingFillToFill(OrderEvent fill, decimal orderFee, decim
var orderFeeAssigned = false;
while (position.PendingTrades.Count > 0 && Math.Abs(totalExecutedQuantity) < fill.AbsoluteFillQuantity)
{
- var trade = position.PendingTrades[index];
+ var tradeState = position.PendingTrades[index];
+ var trade = tradeState.Trade;
var absoluteUnexecutedQuantity = fill.AbsoluteFillQuantity - Math.Abs(totalExecutedQuantity);
if (absoluteUnexecutedQuantity >= trade.Quantity)
@@ -285,6 +330,7 @@ private void ProcessFillUsingFillToFill(OrderEvent fill, decimal orderFee, decim
trade.TotalFees += orderFeeAssigned ? 0 : orderFee;
trade.MAE = Math.Round((trade.Direction == TradeDirection.Long ? position.MinPrice - trade.EntryPrice : trade.EntryPrice - position.MaxPrice) * trade.Quantity * conversionRate * multiplier, 2);
trade.MFE = Math.Round((trade.Direction == TradeDirection.Long ? position.MaxPrice - trade.EntryPrice : trade.EntryPrice - position.MinPrice) * trade.Quantity * conversionRate * multiplier, 2);
+ trade.EndTradeDrawdown = Math.Round(tradeState.MaxDrawdown * trade.Quantity * conversionRate * multiplier, 2);
AddNewTrade(trade, fill);
}
@@ -306,6 +352,7 @@ private void ProcessFillUsingFillToFill(OrderEvent fill, decimal orderFee, decim
TotalFees = trade.TotalFees + (orderFeeAssigned ? 0 : orderFee),
MAE = Math.Round((trade.Direction == TradeDirection.Long ? position.MinPrice - trade.EntryPrice : trade.EntryPrice - position.MaxPrice) * absoluteUnexecutedQuantity * conversionRate * multiplier, 2),
MFE = Math.Round((trade.Direction == TradeDirection.Long ? position.MaxPrice - trade.EntryPrice : trade.EntryPrice - position.MinPrice) * absoluteUnexecutedQuantity * conversionRate * multiplier, 2),
+ EndTradeDrawdown = Math.Round(tradeState.MaxDrawdown * absoluteUnexecutedQuantity * conversionRate * multiplier, 2),
OrderIds = new HashSet([..trade.OrderIds, fill.OrderId])
};
@@ -325,17 +372,20 @@ private void ProcessFillUsingFillToFill(OrderEvent fill, decimal orderFee, decim
{
// direction reversal
fill.FillQuantity -= totalExecutedQuantity;
- position.PendingTrades = new List
+ position.PendingTrades = new List
{
- new Trade
+ new TradeState
{
- Symbols =[fill.Symbol],
- EntryTime = fill.UtcTime,
- EntryPrice = fill.FillPrice,
- Direction = fill.FillQuantity > 0 ? TradeDirection.Long : TradeDirection.Short,
- Quantity = fill.AbsoluteFillQuantity,
- TotalFees = 0,
- OrderIds = new HashSet() { fill.OrderId }
+ Trade = new Trade
+ {
+ Symbols =[fill.Symbol],
+ EntryTime = fill.UtcTime,
+ EntryPrice = fill.FillPrice,
+ Direction = fill.FillQuantity > 0 ? TradeDirection.Long : TradeDirection.Short,
+ Quantity = fill.AbsoluteFillQuantity,
+ TotalFees = 0,
+ OrderIds = new HashSet() { fill.OrderId }
+ }
}
};
position.MinPrice = fill.FillPrice;
@@ -421,9 +471,12 @@ private void ProcessFillUsingFlatToFlat(OrderEvent fill, decimal orderFee, decim
ExitPrice = exitAveragePrice,
ProfitLoss = Math.Round((exitAveragePrice - entryAveragePrice) * Math.Abs(totalEntryQuantity) * Math.Sign(totalEntryQuantity) * conversionRate * multiplier, 2),
TotalFees = position.TotalFees,
- MAE = Math.Round((direction == TradeDirection.Long ? position.MinPrice - entryAveragePrice : entryAveragePrice - position.MaxPrice) * Math.Abs(totalEntryQuantity) * conversionRate * multiplier, 2),
- MFE = Math.Round((direction == TradeDirection.Long ? position.MaxPrice - entryAveragePrice : entryAveragePrice - position.MinPrice) * Math.Abs(totalEntryQuantity) * conversionRate * multiplier, 2),
OrderIds = relatedOrderIds
+ // MAE, MFE, EndTradeDrawdown are zero for FlatToFlat grouping method.
+ // WE can fix this in the future if needed, but it might require tracking market prices
+ // during the life of the trade, so that we can compute these metrics accurately accounting for
+ // time, each fill entry price and quantity, which affect profit and drawdown and
+ // adds complexity and memory overhead.
};
AddNewTrade(trade, fill);
@@ -524,9 +577,10 @@ private void ProcessFillUsingFlatToReduced(OrderEvent fill, decimal orderFee, de
ExitPrice = fill.FillPrice,
ProfitLoss = Math.Round((fill.FillPrice - entryPrice) * Math.Abs(totalExecutedQuantity) * Math.Sign(-totalExecutedQuantity) * conversionRate * multiplier, 2),
TotalFees = position.TotalFees,
- MAE = Math.Round((direction == TradeDirection.Long ? position.MinPrice - entryPrice : entryPrice - position.MaxPrice) * Math.Abs(totalExecutedQuantity) * conversionRate * multiplier, 2),
- MFE = Math.Round((direction == TradeDirection.Long ? position.MaxPrice - entryPrice : entryPrice - position.MinPrice) * Math.Abs(totalExecutedQuantity) * conversionRate * multiplier, 2),
OrderIds = relatedOrderIds
+
+ // MAE, MFE, EndTradeDrawdown are zero for FlatToReduce grouping method.
+ // See comment in FlatToFlat method for more details.541
};
AddNewTrade(trade, fill);
diff --git a/Common/Statistics/TradeStatistics.cs b/Common/Statistics/TradeStatistics.cs
index 63a8f67ee421..79381bcc7ae7 100644
--- a/Common/Statistics/TradeStatistics.cs
+++ b/Common/Statistics/TradeStatistics.cs
@@ -402,7 +402,7 @@ public TradeStatistics(IEnumerable trades)
if (trade.MFE > LargestMFE)
LargestMFE = trade.MFE;
- if (trade.EndTradeDrawdown < MaximumEndTradeDrawdown)
+ if (trade.EndTradeDrawdown > MaximumEndTradeDrawdown)
MaximumEndTradeDrawdown = trade.EndTradeDrawdown;
TotalFees += trade.TotalFees;
diff --git a/Tests/Common/Statistics/TradeBuilderTests.cs b/Tests/Common/Statistics/TradeBuilderTests.cs
index d77a5140a7ad..6f4590100e4c 100644
--- a/Tests/Common/Statistics/TradeBuilderTests.cs
+++ b/Tests/Common/Statistics/TradeBuilderTests.cs
@@ -14,6 +14,7 @@
*/
using System;
+using System.Collections.Generic;
using NUnit.Framework;
using QuantConnect.Data;
using QuantConnect.Data.Market;
@@ -92,8 +93,16 @@ public void AllInAllOutLong(
Assert.AreEqual(AdjustPriceToSplit(1.09m, split), trade.ExitPrice);
Assert.AreEqual(10, trade.ProfitLoss);
Assert.AreEqual(2, trade.TotalFees);
- Assert.AreEqual(-5, trade.MAE);
- Assert.AreEqual(20m, trade.MFE);
+ if (groupingMethod == FillGroupingMethod.FillToFill)
+ {
+ Assert.AreEqual(-5, trade.MAE);
+ Assert.AreEqual(20m, trade.MFE);
+ }
+ else
+ {
+ Assert.AreEqual(0, trade.MAE);
+ Assert.AreEqual(0, trade.MFE);
+ }
CollectionAssert.AreEquivalent(new[] { 1, 2 }, trade.OrderIds);
}
@@ -150,8 +159,16 @@ public void AllInAllOutShort(
Assert.AreEqual(AdjustPriceToSplit(1.09m, split), trade.ExitPrice);
Assert.AreEqual(-10, trade.ProfitLoss);
Assert.AreEqual(2, trade.TotalFees);
- Assert.AreEqual(-20, trade.MAE);
- Assert.AreEqual(5, trade.MFE);
+ if (groupingMethod == FillGroupingMethod.FillToFill)
+ {
+ Assert.AreEqual(-20, trade.MAE);
+ Assert.AreEqual(5, trade.MFE);
+ }
+ else
+ {
+ Assert.AreEqual(0, trade.MAE);
+ Assert.AreEqual(0, trade.MFE);
+ }
CollectionAssert.AreEquivalent(new[] { 1, 2 }, trade.OrderIds);
}
@@ -255,8 +272,8 @@ public void ScaleInAllOutLong(
Assert.AreEqual(AdjustPriceToSplit(1.09m, split), trade.ExitPrice);
Assert.AreEqual(30, trade.ProfitLoss);
Assert.AreEqual(3, trade.TotalFees);
- Assert.AreEqual(-20, trade.MAE);
- Assert.AreEqual(50, trade.MFE);
+ Assert.AreEqual(0, trade.MAE);
+ Assert.AreEqual(0, trade.MFE);
CollectionAssert.AreEquivalent(new[] { 1, 2, 3 }, trade.OrderIds);
}
}
@@ -360,8 +377,8 @@ public void ScaleInAllOutShort(
Assert.AreEqual(AdjustPriceToSplit(1.09m, split), trade.ExitPrice);
Assert.AreEqual(-30, trade.ProfitLoss);
Assert.AreEqual(3, trade.TotalFees);
- Assert.AreEqual(-50, trade.MAE);
- Assert.AreEqual(20, trade.MFE);
+ Assert.AreEqual(0, trade.MAE);
+ Assert.AreEqual(0, trade.MFE);
CollectionAssert.AreEquivalent(new[] { 1, 2, 3 }, trade.OrderIds);
}
}
@@ -431,8 +448,8 @@ public void AllInScaleOutLong(
Assert.AreEqual(AdjustPriceToSplit(1.085m, split), trade.ExitPrice);
Assert.AreEqual(30, trade.ProfitLoss);
Assert.AreEqual(3, trade.TotalFees);
- Assert.AreEqual(-10, trade.MAE);
- Assert.AreEqual(60, trade.MFE);
+ Assert.AreEqual(0, trade.MAE);
+ Assert.AreEqual(0, trade.MFE);
CollectionAssert.AreEquivalent(new[] { 1, 2, 3 }, trade.OrderIds);
}
else
@@ -451,8 +468,16 @@ public void AllInScaleOutLong(
Assert.AreEqual(1.08m, trade1.ExitPrice);
Assert.AreEqual(10, trade1.ProfitLoss);
Assert.AreEqual(2, trade1.TotalFees);
- Assert.AreEqual(0, trade1.MAE);
- Assert.AreEqual(10, trade1.MFE);
+ if (groupingMethod == FillGroupingMethod.FillToFill)
+ {
+ Assert.AreEqual(0, trade1.MAE);
+ Assert.AreEqual(10, trade1.MFE);
+ }
+ else
+ {
+ Assert.AreEqual(0, trade1.MAE);
+ Assert.AreEqual(0, trade1.MFE);
+ }
CollectionAssert.AreEquivalent(new[] { 1, 2 }, trade1.OrderIds);
var trade2 = builder.ClosedTrades[1];
@@ -466,8 +491,16 @@ public void AllInScaleOutLong(
Assert.AreEqual(AdjustPriceToSplit(1.09m, split), trade2.ExitPrice);
Assert.AreEqual(20, trade2.ProfitLoss);
Assert.AreEqual(1, trade2.TotalFees);
- Assert.AreEqual(-5, trade2.MAE);
- Assert.AreEqual(30, trade2.MFE);
+ if (groupingMethod == FillGroupingMethod.FillToFill)
+ {
+ Assert.AreEqual(-5, trade2.MAE);
+ Assert.AreEqual(30, trade2.MFE);
+ }
+ else
+ {
+ Assert.AreEqual(0, trade2.MAE);
+ Assert.AreEqual(0, trade2.MFE);
+ }
CollectionAssert.AreEquivalent(groupingMethod == FillGroupingMethod.FlatToReduced ? [1, 3] : new[] { 1, 3 }, trade2.OrderIds);
}
}
@@ -537,8 +570,8 @@ public void AllInScaleOutShort(
Assert.AreEqual(AdjustPriceToSplit(1.085m, split), trade.ExitPrice);
Assert.AreEqual(-30, trade.ProfitLoss);
Assert.AreEqual(3, trade.TotalFees);
- Assert.AreEqual(-60, trade.MAE);
- Assert.AreEqual(10, trade.MFE);
+ Assert.AreEqual(0, trade.MAE);
+ Assert.AreEqual(0, trade.MFE);
CollectionAssert.AreEquivalent(new[] { 1, 2, 3 }, trade.OrderIds);
}
else
@@ -557,8 +590,16 @@ public void AllInScaleOutShort(
Assert.AreEqual(1.08m, trade1.ExitPrice);
Assert.AreEqual(-10, trade1.ProfitLoss);
Assert.AreEqual(2, trade1.TotalFees);
- Assert.AreEqual(-10, trade1.MAE);
- Assert.AreEqual(0, trade1.MFE);
+ if (groupingMethod == FillGroupingMethod.FillToFill)
+ {
+ Assert.AreEqual(-10, trade1.MAE);
+ Assert.AreEqual(0, trade1.MFE);
+ }
+ else
+ {
+ Assert.AreEqual(0, trade1.MAE);
+ Assert.AreEqual(0, trade1.MFE);
+ }
CollectionAssert.AreEquivalent(new[] { 1, 2 }, trade1.OrderIds);
var trade2 = builder.ClosedTrades[1];
@@ -572,8 +613,16 @@ public void AllInScaleOutShort(
Assert.AreEqual(AdjustPriceToSplit(1.09m, split), trade2.ExitPrice);
Assert.AreEqual(-20, trade2.ProfitLoss);
Assert.AreEqual(1, trade2.TotalFees);
- Assert.AreEqual(-30, trade2.MAE);
- Assert.AreEqual(5, trade2.MFE);
+ if (groupingMethod == FillGroupingMethod.FillToFill)
+ {
+ Assert.AreEqual(-30, trade2.MAE);
+ Assert.AreEqual(5, trade2.MFE);
+ }
+ else
+ {
+ Assert.AreEqual(0, trade2.MAE);
+ Assert.AreEqual(0, trade2.MFE);
+ }
CollectionAssert.AreEquivalent(new[] { 1, 3 }, trade2.OrderIds);
}
}
@@ -642,8 +691,16 @@ public void ReversalLongToShort(
Assert.AreEqual(1.08m, trade1.ExitPrice);
Assert.AreEqual(10, trade1.ProfitLoss);
Assert.AreEqual(2, trade1.TotalFees);
- Assert.AreEqual(0, trade1.MAE);
- Assert.AreEqual(10, trade1.MFE);
+ if (groupingMethod == FillGroupingMethod.FillToFill)
+ {
+ Assert.AreEqual(0, trade1.MAE);
+ Assert.AreEqual(10, trade1.MFE);
+ }
+ else
+ {
+ Assert.AreEqual(0, trade1.MAE);
+ Assert.AreEqual(0, trade1.MFE);
+ }
CollectionAssert.AreEquivalent(new[] { 1, 2 }, trade1.OrderIds);
var trade2 = builder.ClosedTrades[1];
@@ -657,8 +714,16 @@ public void ReversalLongToShort(
Assert.AreEqual(AdjustPriceToSplit(1.09m, split), trade2.ExitPrice);
Assert.AreEqual(-10, trade2.ProfitLoss);
Assert.AreEqual(1, trade2.TotalFees);
- Assert.AreEqual(-20, trade2.MAE);
- Assert.AreEqual(15, trade2.MFE);
+ if (groupingMethod == FillGroupingMethod.FillToFill)
+ {
+ Assert.AreEqual(-20, trade2.MAE);
+ Assert.AreEqual(15, trade2.MFE);
+ }
+ else
+ {
+ Assert.AreEqual(0, trade2.MAE);
+ Assert.AreEqual(0, trade2.MFE);
+ }
CollectionAssert.AreEquivalent(new[] { 2, 3 }, trade2.OrderIds);
}
@@ -726,8 +791,16 @@ public void ReversalShortToLong(
Assert.AreEqual(1.08m, trade1.ExitPrice);
Assert.AreEqual(-10, trade1.ProfitLoss);
Assert.AreEqual(2, trade1.TotalFees);
- Assert.AreEqual(-10, trade1.MAE);
- Assert.AreEqual(0, trade1.MFE);
+ if (groupingMethod == FillGroupingMethod.FillToFill)
+ {
+ Assert.AreEqual(-10, trade1.MAE);
+ Assert.AreEqual(0, trade1.MFE);
+ }
+ else
+ {
+ Assert.AreEqual(0, trade1.MAE);
+ Assert.AreEqual(0, trade1.MFE);
+ }
CollectionAssert.AreEquivalent(new[] { 1, 2 }, trade1.OrderIds);
var trade2 = builder.ClosedTrades[1];
@@ -741,8 +814,16 @@ public void ReversalShortToLong(
Assert.AreEqual(AdjustPriceToSplit(1.09m, split), trade2.ExitPrice);
Assert.AreEqual(10, trade2.ProfitLoss);
Assert.AreEqual(1, trade2.TotalFees);
- Assert.AreEqual(-15, trade2.MAE);
- Assert.AreEqual(20, trade2.MFE);
+ if (groupingMethod == FillGroupingMethod.FillToFill)
+ {
+ Assert.AreEqual(-15, trade2.MAE);
+ Assert.AreEqual(20, trade2.MFE);
+ }
+ else
+ {
+ Assert.AreEqual(0, trade2.MAE);
+ Assert.AreEqual(0, trade2.MFE);
+ }
CollectionAssert.AreEquivalent(new[] { 2, 3 }, trade2.OrderIds);
}
@@ -896,8 +977,8 @@ public void ScaleInScaleOut1Long(
Assert.AreEqual(AdjustPriceToSplit(1.09m, split), trade.ExitPrice);
Assert.AreEqual(40, trade.ProfitLoss);
Assert.AreEqual(5, trade.TotalFees);
- Assert.AreEqual(-35, trade.MAE);
- Assert.AreEqual(70, trade.MFE);
+ Assert.AreEqual(0, trade.MAE);
+ Assert.AreEqual(0, trade.MFE);
CollectionAssert.AreEquivalent(new[] { 1, 2, 3, 4, 5 }, trade.OrderIds);
}
break;
@@ -923,8 +1004,8 @@ public void ScaleInScaleOut1Long(
Assert.AreEqual(AdjustPriceToSplit(1.09m, split), trade1.ExitPrice);
Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? 20 : 10, trade1.ProfitLoss);
Assert.AreEqual(3, trade1.TotalFees);
- Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? -5 : -15, trade1.MAE);
- Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? 30 : 20, trade1.MFE);
+ Assert.AreEqual(0, trade1.MAE);
+ Assert.AreEqual(0, trade1.MFE);
CollectionAssert.AreEquivalent(matchingMethod == FillMatchingMethod.FIFO ? [3, 1] : new[] { 3, 2 }, trade1.OrderIds);
var trade2 = builder.ClosedTrades[1];
@@ -944,8 +1025,8 @@ public void ScaleInScaleOut1Long(
Assert.AreEqual(AdjustPriceToSplit(1.09m, split), trade2.ExitPrice);
Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? 20 : 30, trade2.ProfitLoss);
Assert.AreEqual(2, trade2.TotalFees);
- Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? -30 : -20, trade2.MAE);
- Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? 40 : 50, trade2.MFE);
+ Assert.AreEqual(0, trade2.MAE);
+ Assert.AreEqual(0, trade2.MFE);
CollectionAssert.AreEquivalent(matchingMethod == FillMatchingMethod.FIFO ? [2, 4, 5] : new[] { 1, 4, 5 }, trade2.OrderIds);
}
break;
@@ -1098,8 +1179,8 @@ public void ScaleInScaleOut1Short(
Assert.AreEqual(AdjustPriceToSplit(1.09m, split), trade.ExitPrice);
Assert.AreEqual(-40, trade.ProfitLoss);
Assert.AreEqual(5, trade.TotalFees);
- Assert.AreEqual(-70, trade.MAE);
- Assert.AreEqual(35, trade.MFE);
+ Assert.AreEqual(0, trade.MAE);
+ Assert.AreEqual(0, trade.MFE);
CollectionAssert.AreEquivalent(new[] { 1, 2, 3, 4, 5 }, trade.OrderIds);
}
break;
@@ -1123,8 +1204,8 @@ public void ScaleInScaleOut1Short(
Assert.AreEqual(AdjustPriceToSplit(1.09m, split), trade1.ExitPrice);
Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? -20 : -10, trade1.ProfitLoss);
Assert.AreEqual(3, trade1.TotalFees);
- Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? -30 : -20, trade1.MAE);
- Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? 5 : 15, trade1.MFE);
+ Assert.AreEqual(0, trade1.MAE);
+ Assert.AreEqual(0, trade1.MFE);
CollectionAssert.AreEquivalent(matchingMethod == FillMatchingMethod.FIFO ? [1, 3] : new[] { 2, 3 }, trade1.OrderIds);
var trade2 = builder.ClosedTrades[1];
@@ -1142,8 +1223,8 @@ public void ScaleInScaleOut1Short(
Assert.AreEqual(AdjustPriceToSplit(1.09m, split), trade2.ExitPrice);
Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? -20 : -30, trade2.ProfitLoss);
Assert.AreEqual(2, trade2.TotalFees);
- Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? -40 : -50, trade2.MAE);
- Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? 30 : 20, trade2.MFE);
+ Assert.AreEqual(0, trade2.MAE);
+ Assert.AreEqual(0, trade2.MFE);
CollectionAssert.AreEquivalent(matchingMethod == FillMatchingMethod.FIFO ? [2, 4, 5] : new[] { 1, 4, 5 }, trade2.OrderIds);
}
break;
@@ -1336,8 +1417,8 @@ public void ScaleInScaleOut2Long(
Assert.AreEqual(AdjustPriceToSplit(1.09m, split), trade.ExitPrice);
Assert.AreEqual(50, trade.ProfitLoss);
Assert.AreEqual(5, trade.TotalFees);
- Assert.AreEqual(-50, trade.MAE);
- Assert.AreEqual(90, trade.MFE);
+ Assert.AreEqual(0, trade.MAE);
+ Assert.AreEqual(0, trade.MFE);
CollectionAssert.AreEquivalent(new[] { 1, 2, 3, 4, 5 }, trade.OrderIds);
}
break;
@@ -1361,8 +1442,8 @@ public void ScaleInScaleOut2Long(
Assert.AreEqual(AdjustPriceToSplit(1.09m, split), trade1.ExitPrice);
Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? 20 : 10, trade1.ProfitLoss);
Assert.AreEqual(3, trade1.TotalFees);
- Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? -5 : -15, trade1.MAE);
- Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? 30 : 20, trade1.MFE);
+ Assert.AreEqual(0, trade1.MAE);
+ Assert.AreEqual(0, trade1.MFE);
CollectionAssert.AreEquivalent(matchingMethod == FillMatchingMethod.FIFO ? [1, 3] : new[] { 2, 3 }, trade1.OrderIds);
var trade2 = builder.ClosedTrades[1];
@@ -1385,8 +1466,8 @@ public void ScaleInScaleOut2Long(
Assert.AreEqual(AdjustPriceToSplit(1.09m, split), trade2.ExitPrice);
Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? 30 : 40, trade2.ProfitLoss);
Assert.AreEqual(2, trade2.TotalFees);
- Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? -45 : -35, trade2.MAE);
- Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? 60 : 70, trade2.MFE);
+ Assert.AreEqual(0, trade2.MAE);
+ Assert.AreEqual(0, trade2.MFE);
CollectionAssert.AreEquivalent(matchingMethod == FillMatchingMethod.FIFO ? [2, 4, 5] : new[] { 1, 2, 4, 5 }, trade2.OrderIds);
}
break;
@@ -1594,8 +1675,8 @@ public void ScaleInScaleOut2Short(
Assert.AreEqual(AdjustPriceToSplit(1.09m, split), trade.ExitPrice);
Assert.AreEqual(-50, trade.ProfitLoss);
Assert.AreEqual(5, trade.TotalFees);
- Assert.AreEqual(-90, trade.MAE);
- Assert.AreEqual(50, trade.MFE);
+ Assert.AreEqual(0, trade.MAE);
+ Assert.AreEqual(0, trade.MFE);
CollectionAssert.AreEquivalent(new[] { 1, 2, 3, 4, 5 }, trade.OrderIds);
}
break;
@@ -1619,8 +1700,8 @@ public void ScaleInScaleOut2Short(
Assert.AreEqual(AdjustPriceToSplit(1.09m, split), trade1.ExitPrice);
Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? -20 : -10, trade1.ProfitLoss);
Assert.AreEqual(3, trade1.TotalFees);
- Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? -30 : -20, trade1.MAE);
- Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? 5 : 15, trade1.MFE);
+ Assert.AreEqual(0, trade1.MAE);
+ Assert.AreEqual(0, trade1.MFE);
CollectionAssert.AreEquivalent(matchingMethod == FillMatchingMethod.FIFO ? [3, 1] : new[] { 2, 3 }, trade1.OrderIds);
var trade2 = builder.ClosedTrades[1];
@@ -1643,8 +1724,8 @@ public void ScaleInScaleOut2Short(
Assert.AreEqual(AdjustPriceToSplit(1.09m, split), trade2.ExitPrice);
Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? -30 : -40, trade2.ProfitLoss);
Assert.AreEqual(2, trade2.TotalFees);
- Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? -60 : -70, trade2.MAE);
- Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? 45 : 35, trade2.MFE);
+ Assert.AreEqual(0, trade2.MAE);
+ Assert.AreEqual(0, trade2.MFE);
CollectionAssert.AreEquivalent(matchingMethod == FillMatchingMethod.FIFO ? [2, 4, 5] : new[] { 1, 2, 4, 5 }, trade2.OrderIds);
}
break;
@@ -1802,8 +1883,8 @@ public void ScaleInScaleOut3Long(
Assert.AreEqual(AdjustPriceToSplit(1.095m, split), trade.ExitPrice);
Assert.AreEqual(60, trade.ProfitLoss);
Assert.AreEqual(6, trade.TotalFees);
- Assert.AreEqual(-60, trade.MAE);
- Assert.AreEqual(80, trade.MFE);
+ Assert.AreEqual(0, trade.MAE);
+ Assert.AreEqual(0, trade.MFE);
CollectionAssert.AreEquivalent(new[] { 1, 2, 3, 4, 5, 6 }, trade.OrderIds);
}
break;
@@ -1827,8 +1908,8 @@ public void ScaleInScaleOut3Long(
Assert.AreEqual(AdjustPriceToSplit(1.10m, split), trade1.ExitPrice);
Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? 50 : 30, trade1.ProfitLoss);
Assert.AreEqual(4, trade1.TotalFees);
- Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? -20 : -40, trade1.MAE);
- Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? 50 : 30, trade1.MFE);
+ Assert.AreEqual(0, trade1.MAE);
+ Assert.AreEqual(0, trade1.MFE);
CollectionAssert.AreEquivalent(matchingMethod == FillMatchingMethod.FIFO ? [1, 2, 4] : new[] { 2, 3, 4 }, trade1.OrderIds);
var trade2 = builder.ClosedTrades[1];
@@ -1846,8 +1927,8 @@ public void ScaleInScaleOut3Long(
Assert.AreEqual(AdjustPriceToSplit(1.09m, split), trade2.ExitPrice);
Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? 10 : 30, trade2.ProfitLoss);
Assert.AreEqual(2, trade2.TotalFees);
- Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? -40 : -20, trade2.MAE);
- Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? 30 : 50, trade2.MFE);
+ Assert.AreEqual(0, trade2.MAE);
+ Assert.AreEqual(0, trade2.MFE);
CollectionAssert.AreEquivalent(matchingMethod == FillMatchingMethod.FIFO ? [3, 5, 6] : new[] { 1, 5, 6 }, trade2.OrderIds);
}
break;
@@ -2023,8 +2104,8 @@ public void ScaleInScaleOut3Short(
Assert.AreEqual(AdjustPriceToSplit(1.095m, split), trade.ExitPrice);
Assert.AreEqual(-60, trade.ProfitLoss);
Assert.AreEqual(6, trade.TotalFees);
- Assert.AreEqual(-80, trade.MAE);
- Assert.AreEqual(60, trade.MFE);
+ Assert.AreEqual(0, trade.MAE);
+ Assert.AreEqual(0, trade.MFE);
CollectionAssert.AreEquivalent(new[] { 1, 2, 3, 4, 5, 6 }, trade.OrderIds);
}
break;
@@ -2048,8 +2129,8 @@ public void ScaleInScaleOut3Short(
Assert.AreEqual(AdjustPriceToSplit(1.10m, split), trade1.ExitPrice);
Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? -50 : -30, trade1.ProfitLoss);
Assert.AreEqual(4, trade1.TotalFees);
- Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? -50 : -30, trade1.MAE);
- Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? 20 : 40, trade1.MFE);
+ Assert.AreEqual(0, trade1.MAE);
+ Assert.AreEqual(0, trade1.MFE);
CollectionAssert.AreEquivalent(matchingMethod == FillMatchingMethod.FIFO ? [1, 2, 4] : new[] { 2, 3, 4 }, trade1.OrderIds);
var trade2 = builder.ClosedTrades[1];
@@ -2067,8 +2148,8 @@ public void ScaleInScaleOut3Short(
Assert.AreEqual(AdjustPriceToSplit(1.09m, split), trade2.ExitPrice);
Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? -10 : -30, trade2.ProfitLoss);
Assert.AreEqual(2, trade2.TotalFees);
- Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? -30 : -50, trade2.MAE);
- Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? 40 : 20, trade2.MFE);
+ Assert.AreEqual(0, trade2.MAE);
+ Assert.AreEqual(0, trade2.MFE);
CollectionAssert.AreEquivalent(matchingMethod == FillMatchingMethod.FIFO ? [3, 5, 6] : new[] { 1, 5, 6 }, trade2.OrderIds);
}
break;
@@ -2213,8 +2294,8 @@ public void ScaleInScaleOut4Long(
Assert.AreEqual(AdjustPriceToSplit(1.0925m, split), trade.ExitPrice);
Assert.AreEqual(35, trade.ProfitLoss);
Assert.AreEqual(4, trade.TotalFees);
- Assert.AreEqual(-20, trade.MAE);
- Assert.AreEqual(50, trade.MFE);
+ Assert.AreEqual(0, trade.MAE);
+ Assert.AreEqual(0, trade.MFE);
CollectionAssert.AreEquivalent(new[] { 1, 2, 3, 4 }, trade.OrderIds);
}
break;
@@ -2236,8 +2317,8 @@ public void ScaleInScaleOut4Long(
Assert.AreEqual(AdjustPriceToSplit(1.09m, split), trade1.ExitPrice);
Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? 25 : 20, trade1.ProfitLoss);
Assert.AreEqual(3, trade1.TotalFees);
- Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? -12.5 : -17.5, trade1.MAE);
- Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? 40 : 35, trade1.MFE);
+ Assert.AreEqual(0, trade1.MAE);
+ Assert.AreEqual(0, trade1.MFE);
CollectionAssert.AreEquivalent(matchingMethod == FillMatchingMethod.FIFO ? [1, 2, 3] : new[] { 1, 2, 3 }, trade1.OrderIds);
var trade2 = builder.ClosedTrades[1];
@@ -2255,8 +2336,8 @@ public void ScaleInScaleOut4Long(
Assert.AreEqual(AdjustPriceToSplit(1.10m, split), trade2.ExitPrice);
Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? 10 : 15, trade2.ProfitLoss);
Assert.AreEqual(1, trade2.TotalFees);
- Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? -7.5 : -2.5, trade2.MAE);
- Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? 10 : 15, trade2.MFE);
+ Assert.AreEqual(0, trade2.MAE);
+ Assert.AreEqual(0, trade2.MFE);
CollectionAssert.AreEquivalent(matchingMethod == FillMatchingMethod.FIFO ? [2, 4] : new[] { 1, 4 }, trade2.OrderIds);
}
break;
@@ -2401,8 +2482,8 @@ public void ScaleInScaleOut4Short(
Assert.AreEqual(AdjustPriceToSplit(1.0925m, split), trade.ExitPrice);
Assert.AreEqual(-35, trade.ProfitLoss);
Assert.AreEqual(4, trade.TotalFees);
- Assert.AreEqual(-50, trade.MAE);
- Assert.AreEqual(20, trade.MFE);
+ Assert.AreEqual(0, trade.MAE);
+ Assert.AreEqual(0, trade.MFE);
CollectionAssert.AreEquivalent(new[] { 1, 2, 3, 4 }, trade.OrderIds);
}
break;
@@ -2424,8 +2505,8 @@ public void ScaleInScaleOut4Short(
Assert.AreEqual(AdjustPriceToSplit(1.09m, split), trade1.ExitPrice);
Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? -25 : -20, trade1.ProfitLoss);
Assert.AreEqual(3, trade1.TotalFees);
- Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? -40 : -35, trade1.MAE);
- Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? 12.5 : 17.5, trade1.MFE);
+ Assert.AreEqual(0, trade1.MAE);
+ Assert.AreEqual(0, trade1.MFE);
CollectionAssert.AreEquivalent(matchingMethod == FillMatchingMethod.FIFO ? [1, 2, 3] : new[] { 1, 2, 3 }, trade1.OrderIds);
var trade2 = builder.ClosedTrades[1];
@@ -2443,8 +2524,8 @@ public void ScaleInScaleOut4Short(
Assert.AreEqual(AdjustPriceToSplit(1.10m, split), trade2.ExitPrice);
Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? -10 : -15, trade2.ProfitLoss);
Assert.AreEqual(1, trade2.TotalFees);
- Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? -10 : -15, trade2.MAE);
- Assert.AreEqual(matchingMethod == FillMatchingMethod.FIFO ? 7.5 : 2.5, trade2.MFE);
+ Assert.AreEqual(0, trade2.MAE);
+ Assert.AreEqual(0, trade2.MFE);
CollectionAssert.AreEquivalent(matchingMethod == FillMatchingMethod.FIFO ? [2, 4] : new[] { 1, 4 }, trade2.OrderIds);
}
break;
@@ -2506,8 +2587,16 @@ public void AllInAllOutLongWithMultiplier(
Assert.AreEqual(AdjustPriceToSplit(1.09m, split), trade.ExitPrice);
Assert.AreEqual(10 * multiplier, trade.ProfitLoss);
Assert.AreEqual(2, trade.TotalFees);
- Assert.AreEqual(-5 * multiplier, trade.MAE);
- Assert.AreEqual(20m * multiplier, trade.MFE);
+ if (groupingMethod == FillGroupingMethod.FillToFill)
+ {
+ Assert.AreEqual(-5 * multiplier, trade.MAE);
+ Assert.AreEqual(20m * multiplier, trade.MFE);
+ }
+ else
+ {
+ Assert.AreEqual(0, trade.MAE);
+ Assert.AreEqual(0, trade.MFE);
+ }
CollectionAssert.AreEquivalent(new[] { 1, 2 }, trade.OrderIds);
}
@@ -2704,6 +2793,203 @@ public void OptionPositionCloseWithoutExercise(
CollectionAssert.AreEquivalent(new[] { 1, 2 }, trade.OrderIds);
}
+ [TestCaseSource(nameof(DrawdownTestCases))]
+ public void DrawdownCalculation(PositionSide entrySide, decimal[] prices, decimal expectedDrawdown)
+ {
+ if (prices.Length < 2)
+ {
+ Assert.Fail("At least two prices are required to perform the test.");
+ }
+
+ // Buy 1k, Sell 1k (entrySide == Long) or Sell 1k, Buy 1k (entrySide == Short)
+
+ var builder = new TradeBuilder(FillGroupingMethod.FillToFill, FillMatchingMethod.FIFO);
+ builder.SetSecurityManager(_securityManager);
+ var time = _startTime;
+
+ var quantity = (entrySide == PositionSide.Long ? 1 : -1) * 1000m;
+
+ // Open position
+ builder.ProcessFill(
+ new OrderEvent(1, Symbols.SPY, time, OrderStatus.Filled, entrySide == PositionSide.Long ? OrderDirection.Buy : OrderDirection.Sell,
+ fillPrice: prices[0], fillQuantity: quantity, orderFee: _orderFee),
+ ConversionRate, _orderFee.Value.Amount);
+
+ Assert.IsTrue(builder.HasOpenPosition(Symbols.SPY));
+
+ for (int i = 1; i < prices.Length - 1; i++)
+ {
+ builder.SetMarketPrice(Symbols.SPY, prices[i]);
+ }
+
+ // Close position
+ builder.ProcessFill(
+ new OrderEvent(2, Symbols.SPY, time.AddMinutes(10), OrderStatus.Filled, entrySide == PositionSide.Long ? OrderDirection.Sell : OrderDirection.Buy,
+ fillPrice: prices[^1], fillQuantity: -quantity, orderFee: _orderFee),
+ ConversionRate, _orderFee.Value.Amount);
+
+ Assert.IsFalse(builder.HasOpenPosition(Symbols.SPY));
+
+ Assert.AreEqual(1, builder.ClosedTrades.Count);
+
+ var trade = builder.ClosedTrades[0];
+
+ Assert.AreEqual(expectedDrawdown * Math.Abs(quantity), trade.EndTradeDrawdown);
+ }
+
+ private static IEnumerable DrawdownTestCases
+ {
+ get
+ {
+
+ // Long trades
+ // -------------------------------
+
+ // Price 100 -> 120 -> 110
+ // /\
+ // / \
+ // / ----
+ // /
+ // ----
+ // We expect a drawdown of 10 (from 120 to 110)
+ yield return new TestCaseData(PositionSide.Long, new[] { 100m, 120m, 110m }, 10m).SetName($"DrawdownLongTrade_SingleDrawdown");
+
+ // Price 100 -> 140 -> 120 -> 130 -> 110
+ // /\
+ // / \
+ // / \ /\
+ // / \/ \
+ // / \
+ // / \
+ // / ----
+ // /
+ // ----
+ // We expect a drawdown of 30 (from 140 to 110)
+ yield return new TestCaseData(PositionSide.Long, new[] { 100m, 140m, 120m, 130m, 110m }, 30m).SetName($"DrawdownLongTrade_MultipleDrawdownsOnSingleHighestPrice");
+
+ // Price 100 -> 120 -> 110 -> 120 -> 140 -> 115
+ // /\
+ // / \
+ // / \
+ // / \
+ // /\ / \
+ // / \/ \
+ // / \
+ // / ----
+ // ----
+ // We expect a drawdown of 25 (from 140 to 115)
+ yield return new TestCaseData(PositionSide.Long, new[] { 100m, 120m, 110m, 120m, 140m, 115m }, 25m).SetName($"DrawdownLongTrade_HighestDrawdownOnNewHighestPrice");
+
+ // Price 100 -> 120 -> 110 -> 120 -> 130 -> 125
+ // /\
+ // / ----
+ // /\ /
+ // / \/
+ // /
+ // /
+ // ----
+ // We expect a drawdown of 10 (from 120 to 110)
+ yield return new TestCaseData(PositionSide.Long, new[] { 100m, 120m, 110m, 120m, 130m, 125m }, 10m).SetName($"DrawdownLongTrade_LowerDrawdownOnNewHighestPrice");
+
+ // Price 100 -> 80 -> 110
+ // ----
+ // /
+ // ---- /
+ // \ /
+ // \ /
+ // \ /
+ // \/
+ // We expect a drawdown of 20 (from 100 to 80)
+ yield return new TestCaseData(PositionSide.Long, new[] { 100m, 80m, 110m }, 20m).SetName($"DrawdownLongTrade_PriceGoesBelowEntryPrice");
+
+ // Price 100 -> 90 -> 130 -> 110
+ // /\
+ // / \
+ // / \
+ // / \
+ // / ----
+ // /
+ // ---- /
+ // \ /
+ // \/
+ // We expect a drawdown of 20 (from 130 to 110 which is higher than the first one from 100 to 90)
+ yield return new TestCaseData(PositionSide.Long, new[] { 100m, 90m, 130m, 110m }, 20m).SetName($"DrawdownLongTrade_HigherDrawdownAfterPriceGoesBelowEntryPrice");
+
+ // Short trades
+ // -------------------------------
+
+ // Price 100 -> 80 -> 90
+ // ----
+ // \
+ // \ ----
+ // \ /
+ // \/
+ // We expect a drawdown of 10 (from 80 to 90)
+ yield return new TestCaseData(PositionSide.Short, new[] { 100m, 80m, 90m }, 10m).SetName($"DrawdownShortTrade_SingleDrawdown");
+
+ // Price 100 -> 60 -> 80 -> 70 -> 90
+ // ----
+ // \
+ // \ ----
+ // \ /
+ // \ /
+ // \ /\ /
+ // \ / \/
+ // \ /
+ // \/
+ // We expect a drawdown of 30 (from 60 to 90)
+ yield return new TestCaseData(PositionSide.Short, new[] { 100m, 60m, 80m, 70m, 90m }, 30m).SetName($"DrawdownShortTrade_MultipleDrawdownsOnSingleLowestPrice");
+
+ // Price 100 -> 80 -> 90 -> 80 -> 60 -> 85
+ // ----
+ // \ ----
+ // \ /
+ // \ /\ /
+ // \/ \ /
+ // \ /
+ // \/
+ // We expect a drawdown of 25 (from 60 to 85)
+ yield return new TestCaseData(PositionSide.Short, new[] { 100m, 80m, 90m, 80m, 60m, 85m }, 25m).SetName($"DrawdownShortTrade_HighestDrawdownOnNewLowestPrice");
+
+ // Price 100 -> 80 -> 90 -> 80 -> 70 -> 75
+ // ----
+ // \
+ // \
+ // \ /\
+ // \/ \
+ // \ ----
+ // \/
+
+ // We expect a drawdown of 10 (from 80 to 90)
+ yield return new TestCaseData(PositionSide.Short, new[] { 100m, 80m, 90m, 80m, 70m, 75m }, 10m).SetName($"DrawdownShortTrade_LowerDrawdownOnNewLowestPrice");
+
+ // Price 100 -> 120 -> 90
+ // /\
+ // / \
+ // / \
+ // / \
+ // ---- \
+ // \
+ // \
+ // ----
+ // We expect a drawdown of 20 (from 100 to 120)
+ yield return new TestCaseData(PositionSide.Short, new[] { 100m, 120m, 90m }, 20m).SetName($"DrawdownShortTrade_PriceGoesAboveEntryPrice");
+
+ // Price 100 -> 110 -> 70 -> 90
+ // /\
+ // / \
+ // ---- \
+ // \
+ // \ ----
+ // \ /
+ // \ /
+ // \ /
+ // \/
+ // We expect a drawdown of 20 (from 70 to 90 which is higher than the first one from 100 to 110)
+ yield return new TestCaseData(PositionSide.Short, new[] { 100m, 110m, 70m, 90m }, 20m).SetName($"DrawdownShortTrade_HigherDrawdownAfterPriceGoesAboveEntryPrice");
+ }
+ }
+
private Option GetOption()
{
var underlying = new Security(
diff --git a/Tests/Common/Statistics/TradeStatisticsTests.cs b/Tests/Common/Statistics/TradeStatisticsTests.cs
index 4d5b15a8e690..6095cfdbdb47 100644
--- a/Tests/Common/Statistics/TradeStatisticsTests.cs
+++ b/Tests/Common/Statistics/TradeStatisticsTests.cs
@@ -110,7 +110,7 @@ public void ThreeWinners()
Assert.AreEqual(2.8867513459481276450914878051m, statistics.SharpeRatio);
Assert.AreEqual(0, statistics.SortinoRatio);
Assert.AreEqual(10, statistics.ProfitToMaxDrawdownRatio);
- Assert.AreEqual(-20, statistics.MaximumEndTradeDrawdown);
+ Assert.AreEqual(20, statistics.MaximumEndTradeDrawdown);
Assert.AreEqual(-16.666666666666666666666666666m, statistics.AverageEndTradeDrawdown);
Assert.AreEqual(TimeSpan.Zero, statistics.MaximumDrawdownDuration);
Assert.AreEqual(6, statistics.TotalFees);
@@ -134,7 +134,8 @@ private IEnumerable CreateThreeWinners()
ProfitLoss = 20,
TotalFees = TradeFee,
MAE = -5,
- MFE = 30
+ MFE = 30,
+ EndTradeDrawdown = 10
},
new Trade
{
@@ -148,7 +149,8 @@ private IEnumerable CreateThreeWinners()
ProfitLoss = 20,
TotalFees = TradeFee,
MAE = -30,
- MFE = 40
+ MFE = 40,
+ EndTradeDrawdown = 20
},
new Trade
{
@@ -162,7 +164,8 @@ private IEnumerable CreateThreeWinners()
ProfitLoss = 10,
TotalFees = TradeFee,
MAE = -15,
- MFE = 30
+ MFE = 30,
+ EndTradeDrawdown = 20
}
};
}
@@ -206,7 +209,7 @@ public void ThreeLosers()
Assert.AreEqual(-2.8867513459481276450914878051m, statistics.SharpeRatio);
Assert.AreEqual(-2.8867513459481276450914878051m, statistics.SortinoRatio);
Assert.AreEqual(-1, statistics.ProfitToMaxDrawdownRatio);
- Assert.AreEqual(-50, statistics.MaximumEndTradeDrawdown);
+ Assert.AreEqual(50, statistics.MaximumEndTradeDrawdown);
Assert.AreEqual(-33.333333333333333333333333334m, statistics.AverageEndTradeDrawdown);
Assert.AreEqual(TimeSpan.Zero, statistics.MaximumDrawdownDuration);
Assert.AreEqual(6, statistics.TotalFees);
@@ -230,7 +233,8 @@ private IEnumerable CreateThreeLosers()
ProfitLoss = -20,
TotalFees = TradeFee,
MAE = -30,
- MFE = 5
+ MFE = 5,
+ EndTradeDrawdown = 25
},
new Trade
{
@@ -244,7 +248,8 @@ private IEnumerable CreateThreeLosers()
ProfitLoss = -20,
TotalFees = TradeFee,
MAE = -40,
- MFE = 30
+ MFE = 30,
+ EndTradeDrawdown = 50
},
new Trade
{
@@ -258,7 +263,8 @@ private IEnumerable CreateThreeLosers()
ProfitLoss = -10,
TotalFees = TradeFee,
MAE = -30,
- MFE = 15
+ MFE = 15,
+ EndTradeDrawdown = 25
}
};
}
@@ -302,7 +308,7 @@ public void TwoLosersOneWinner()
Assert.AreEqual(-0.5773502691896248623516308943m, statistics.SharpeRatio);
Assert.AreEqual(0, statistics.SortinoRatio);
Assert.AreEqual(-0.75m, statistics.ProfitToMaxDrawdownRatio);
- Assert.AreEqual(-50, statistics.MaximumEndTradeDrawdown);
+ Assert.AreEqual(50, statistics.MaximumEndTradeDrawdown);
Assert.AreEqual(-31.666666666666666666666666666667m, statistics.AverageEndTradeDrawdown);
Assert.AreEqual(TimeSpan.Zero, statistics.MaximumDrawdownDuration);
Assert.AreEqual(6, statistics.TotalFees);
@@ -326,7 +332,8 @@ private IEnumerable CreateTwoLosersOneWinner()
ProfitLoss = -20,
TotalFees = TradeFee,
MAE = -30,
- MFE = 5
+ MFE = 5,
+ EndTradeDrawdown = 30
},
new Trade
{
@@ -340,7 +347,8 @@ private IEnumerable CreateTwoLosersOneWinner()
ProfitLoss = -20,
TotalFees = TradeFee,
MAE = -40,
- MFE = 30
+ MFE = 30,
+ EndTradeDrawdown = 50
},
new Trade
{
@@ -354,7 +362,8 @@ private IEnumerable CreateTwoLosersOneWinner()
ProfitLoss = 10,
TotalFees = TradeFee,
MAE = -15,
- MFE = 30
+ MFE = 30,
+ EndTradeDrawdown = 20
}
};
}
@@ -398,7 +407,7 @@ public void OneWinnerTwoLosers()
Assert.AreEqual(-0.5773502691896248623516308943m, statistics.SharpeRatio);
Assert.AreEqual(0, statistics.SortinoRatio);
Assert.AreEqual(-0.75m, statistics.ProfitToMaxDrawdownRatio);
- Assert.AreEqual(-50, statistics.MaximumEndTradeDrawdown);
+ Assert.AreEqual(50, statistics.MaximumEndTradeDrawdown);
Assert.AreEqual(-31.666666666666666666666666666667m, statistics.AverageEndTradeDrawdown);
Assert.AreEqual(TimeSpan.Zero, statistics.MaximumDrawdownDuration);
Assert.AreEqual(6, statistics.TotalFees);
@@ -422,7 +431,8 @@ private IEnumerable CreateOneWinnerTwoLosers()
ProfitLoss = 10,
TotalFees = TradeFee,
MAE = -15,
- MFE = 30
+ MFE = 30,
+ EndTradeDrawdown = 20
},
new Trade
{
@@ -436,7 +446,8 @@ private IEnumerable CreateOneWinnerTwoLosers()
ProfitLoss = -20,
TotalFees = TradeFee,
MAE = -30,
- MFE = 5
+ MFE = 5,
+ EndTradeDrawdown = 25
},
new Trade
{
@@ -450,7 +461,8 @@ private IEnumerable CreateOneWinnerTwoLosers()
ProfitLoss = -20,
TotalFees = TradeFee,
MAE = -40,
- MFE = 30
+ MFE = 30,
+ EndTradeDrawdown = 50
}
};
}
@@ -494,7 +506,7 @@ public void OneLoserTwoWinners()
Assert.AreEqual(0.1601281538050873438895842626m, statistics.SharpeRatio);
Assert.AreEqual(0, statistics.SortinoRatio);
Assert.AreEqual(0.5m, statistics.ProfitToMaxDrawdownRatio);
- Assert.AreEqual(-25, statistics.MaximumEndTradeDrawdown);
+ Assert.AreEqual(25, statistics.MaximumEndTradeDrawdown);
Assert.AreEqual(-18.333333333333333333333333334m, statistics.AverageEndTradeDrawdown);
Assert.AreEqual(TimeSpan.FromMinutes(40), statistics.MaximumDrawdownDuration);
Assert.AreEqual(6, statistics.TotalFees);
@@ -518,7 +530,8 @@ private IEnumerable CreateOneLoserTwoWinners()
ProfitLoss = -20,
TotalFees = TradeFee,
MAE = -30,
- MFE = 5
+ MFE = 5,
+ EndTradeDrawdown = 25
},
new Trade
{
@@ -532,7 +545,8 @@ private IEnumerable CreateOneLoserTwoWinners()
ProfitLoss = 20,
TotalFees = TradeFee,
MAE = -40,
- MFE = 30
+ MFE = 30,
+ EndTradeDrawdown = 10
},
new Trade
{
@@ -546,7 +560,8 @@ private IEnumerable CreateOneLoserTwoWinners()
ProfitLoss = 10,
TotalFees = TradeFee,
MAE = -15,
- MFE = 30
+ MFE = 30,
+ EndTradeDrawdown = 20
}
};
}
@@ -604,7 +619,7 @@ public void ITMOptionAssignment([Values] bool win)
Assert.AreEqual(0.1053137759214006433027413265m, statistics.SharpeRatio);
Assert.AreEqual(0m, statistics.SortinoRatio);
Assert.AreEqual(0.35m, statistics.ProfitToMaxDrawdownRatio);
- Assert.AreEqual(-80000, statistics.MaximumEndTradeDrawdown);
+ Assert.AreEqual(80000, statistics.MaximumEndTradeDrawdown);
Assert.AreEqual(-40000m, statistics.AverageEndTradeDrawdown);
Assert.AreEqual(TimeSpan.FromMinutes(30), statistics.MaximumDrawdownDuration);
Assert.AreEqual(4, statistics.TotalFees);
@@ -629,6 +644,7 @@ private IEnumerable CreateITMOptionAssignment(bool win)
TotalFees = TradeFee,
MAE = -80000m,
MFE = 0,
+ EndTradeDrawdown = 80000m,
IsWin = win,
},
new Trade
@@ -644,6 +660,7 @@ private IEnumerable CreateITMOptionAssignment(bool win)
TotalFees = TradeFee,
MAE = 0,
MFE = 108000m,
+ EndTradeDrawdown = 0m,
IsWin = true,
},
};