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Fix trades drawdown calculation #9249

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Merged
jhonabreul merged 4 commits into from
Jan 30, 2026
+499 −145
Merged

Fix trades drawdown calculation #9249

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f4c1f29
Fix trade drawdown calculation
jhonabreul Jan 28, 2026
93b4e4b
Cleanup
jhonabreul Jan 29, 2026
18038e5
Disable MAE. MFE and Drawdown calculation for FlatToFlat and FlatToRe…
jhonabreul Jan 30, 2026
e0462b5
Minor test fixes
jhonabreul Jan 30, 2026
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5 changes: 1 addition & 4 deletions Common/Statistics/Trade.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -119,10 +119,7 @@ public TimeSpan Duration
/// <summary>
/// Returns the amount of profit given back before the trade was closed
/// </summary>
public decimal EndTradeDrawdown
{
get { return ProfitLoss - MFE; }
}
public decimal EndTradeDrawdown { get; set; }

/// <summary>
/// Returns whether the trade was profitable (is a win) or not (a loss)
Expand Down
136 changes: 95 additions & 41 deletions Common/Statistics/TradeBuilder.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -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
{
Expand All @@ -29,20 +29,48 @@ namespace QuantConnect.Statistics
/// </summary>
public class TradeBuilder : ITradeBuilder
{
private class TradeState
{
internal Trade Trade { get; set; }
internal decimal MaxProfit { get; set; }
internal decimal MaxDrawdown { get; set; }

/// <summary>
/// Updates the drawdown state given the current profit
/// </summary>
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;
}
}
}

/// <summary>
/// Helper class to manage pending trades and market price updates for a symbol
/// </summary>
private class Position
{
internal List<Trade> PendingTrades { get; set; }
internal List<TradeState> PendingTrades { get; set; }
internal List<OrderEvent> PendingFills { get; set; }
internal decimal TotalFees { get; set; }
internal decimal MaxPrice { get; set; }
internal decimal MinPrice { get; set; }

public Position()
{
PendingTrades = new List<Trade>();
PendingTrades = new List<TradeState>();
PendingFills = new List<OrderEvent>();
}
}
Expand Down Expand Up @@ -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);
}
}

/// <summary>
Expand All @@ -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)
Expand Down Expand Up @@ -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<Trade>
PendingTrades = new List<TradeState>
{
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<int>() { 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<int>() { fill.OrderId }
}
}
},
MinPrice = fill.FillPrice,
Expand All @@ -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<int>() { 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<int>() { fill.OrderId }
}
});
}
else
Expand All @@ -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)
Expand All @@ -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);
}
Expand All @@ -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<int>([..trade.OrderIds, fill.OrderId])
};

Expand All @@ -325,17 +372,20 @@ private void ProcessFillUsingFillToFill(OrderEvent fill, decimal orderFee, decim
{
// direction reversal
fill.FillQuantity -= totalExecutedQuantity;
position.PendingTrades = new List<Trade>
position.PendingTrades = new List<TradeState>
{
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<int>() { 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<int>() { fill.OrderId }
}
}
};
position.MinPrice = fill.FillPrice;
Expand Down Expand Up @@ -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);
Expand Down Expand Up @@ -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);
Expand Down
2 changes: 1 addition & 1 deletion Common/Statistics/TradeStatistics.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -402,7 +402,7 @@ public TradeStatistics(IEnumerable<Trade> trades)
if (trade.MFE > LargestMFE)
LargestMFE = trade.MFE;

if (trade.EndTradeDrawdown < MaximumEndTradeDrawdown)
if (trade.EndTradeDrawdown > MaximumEndTradeDrawdown)
MaximumEndTradeDrawdown = trade.EndTradeDrawdown;

TotalFees += trade.TotalFees;
Expand Down
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