QuantConnect / QuantConnect/Lean
Update Drawdown Calculation Use OHLC of the Equity Curve
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- Dominant language
- C#
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Description
Expected Behavior
The low and high of the equity curve are part of the drawdown calculation.
Actual Behavior
We use the daily close.
Potential Solution
Use the low and high instead of the close.
Checklist
- I have completely filled out this template
- I have confirmed that this issue exists on the current
masterbranch - I have confirmed that this is not a duplicate issue by searching issues
Contributor guide
First steps
- Read the whole issue, then the project's contributing guide.
- Comment on the issue to say you are picking it up — it saves two people doing the same work.
- Fork the repository and make your change on a branch.
- Open a pull request that references the issue number.
Research direction
No file or test is named. Start by locating the drawdown calculation and the equity-curve data it consumes, then compare its use of the daily close with the requested low and high OHLC values. Done means drawdown uses the equity curve's low and high and tests validate the calculation.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- csharp
- Domain
- fintech-quant
- Issue type
- Bug
- Difficulty
- 3/5
- Estimated time
- 1-2 days
- Activity status
- Stale
- Clarity
- Mostly clear
- Newbie friendliness
- 48/100