Gain and Drawdown

Modified on 2015/03/27 11:51 by Eugene — Categorized as: Community Components

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);         
		}   
	}
}