DrawdownCollection

QuantConnect.Report.DrawdownCollection

DrawdownCollection(strategy_series: Any, periods: int)

DrawdownCollection(periods: int)

Bases: Object

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

Signature descriptions:

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

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

Parameters:

Name	Type	Description	Default
strategy_series	Optional[Any]	Equity curve with both live and backtesting merged	None
periods	int	Periods this collection contains	required

start

start: datetime

Starting time of the drawdown collection

end

end: datetime

Ending time of the drawdown collection

periods

periods: int

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.

drawdowns

drawdowns: List[DrawdownPeriod]

Worst drawdowns encountered

from_result

from_result(
    backtest_result: BacktestResult = None,
    live_result: LiveResult = None,
    periods: int = 5,
) -> DrawdownCollection

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

Parameters:

Name	Type	Description	Default
backtest_result	BacktestResult	Backtest result packet	None
live_result	LiveResult	Live result packet	None
periods	int	Top N drawdown periods to get	5

Returns:

Type	Description
DrawdownCollection	DrawdownCollection instance.

get_drawdown_periods

get_drawdown_periods(
    curve: Any, periods: int = 5
) -> Iterable[DrawdownPeriod]

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

Parameters:

Name	Type	Description	Default
curve	Any	Equity curve	required
periods	int	Top N drawdown periods to get	5

Returns:

Type	Description
Iterable[DrawdownPeriod]	Enumerable of DrawdownPeriod.

get_top_worst_drawdowns

get_top_worst_drawdowns(curve: Any, periods: int) -> Any

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

Parameters:

Name	Type	Description	Default
curve	Any	Equity curve	required
periods	int	Top N worst periods. If this is greater than the results, we retrieve all the items instead	required

Returns:

Type	Description
Any	Frame with the following keys: "duration", "cumulativeMax", "drawdown".

get_underwater

get_underwater(curve: Any) -> Any

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

Parameters:

Name	Type	Description	Default
curve	Any	Equity curve	required

get_underwater_frame

get_underwater_frame(curve: Any) -> Any

Gets all the data associated with the underwater plot and everything used to generate it. Note that you should instead use get_underwater(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:

Name	Type	Description	Default
curve	Any	Equity curve	required

Returns:

Type	Description
Any	Frame containing the following keys: "returns", "cumulativeMax", "drawdown".

normalize_results

normalize_results(
    backtest_result: BacktestResult, live_result: LiveResult
) -> Any

Normalizes the Series used to calculate the drawdown plots and charts

Parameters:

Name	Type	Description	Default
backtest_result	BacktestResult	Backtest result packet	required
live_result	LiveResult	Live result packet	required