Syntax
public class GainAndDrawdown(WealthScript ws, Bars bars, DateTime start, DateTime end, string dividenditemstring)
Parameter Description
| ws | A WealthScript instance (pass this) |
| bars | Bars from a secondary series must be synchronized |
| start | Starting date |
| end | Ending date |
| dividenditemstring | Per share dividend fundamental item used to calculate total return |
Description
This class helps chart the total return (% gain/loss plus dividends, % peak gain, % gain after DD Low) and % drawdown (max DD%) of multiple symbols over some duration.
Example
Code below illustrates the class usage. The script demonstrates comparing the clicked symbol with the "SPY" benchmark:
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using Community.Components;
namespace WealthLab.Strategies
{
public class PerformanceDataDemo : WealthScript
{
protected override void Execute()
{
/* Edit string according to your dividend source */
string dividenditemstring = "Dividend (Yahoo! Finance)";
GainAndDrawdown pd = new GainAndDrawdown(this, Bars, Date[0], Date[Bars.Count - 1], dividenditemstring);
pd.DisplayData(PricePane);
ChartPane ddPane = CreatePane(40, true, true);
ChartPane gainPane = CreatePane(60, true, true);
PlotSeries(gainPane, pd.GainSeries, Color.Green, LineStyle.Histogram, 1);
PlotSeries(gainPane, pd.TotalReturnSeries, Color.Blue, LineStyle.Solid, 2);
PlotSeries(ddPane, pd.DrawdownSeries, Color.Red, LineStyle.Histogram, 1);
// Compare to a benchmark. Make sure to use sync'd Bars
Bars bmbars = GetExternalSymbol("SPY", true);
GainAndDrawdown bm = new GainAndDrawdown(this, bmbars, Date[0], Date[bmbars.Count - 1], dividenditemstring);
PlotSeries(gainPane, bm.TotalReturnSeries, Color.Black, LineStyle.Solid, 2);
PlotSeries(ddPane, bm.DrawdownSeries, Color.Black, LineStyle.Solid, 2);
}
}
}