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Inclusion of Longest Drawdown Statistic

Hello,

Since there seems to be an issue in the review of alphas about this I was thinking that it would be very valuable for the community that there was a metric in the statistics of the backtest that says how long did the longest drawdown last. For instance, if the longest drawdown started in Jan 1, 2015 and ended in Sep 15, 2015 the metric could say Longest Drawdown: 8 months and 15 days.

I think this could even be programmed into the minimum required for the alpha submission so that the review team doesn't have to go through the same repetitive issue.

Thanks for the consideration!

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Hi @Marvin Montoya ,

Thank you for the suggestion.
We have already added a GitHub issue to add the feature:
Adds MaximumRecoveryTime Portfolio Statistics #4581

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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