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Update drawdown calculation to use High/Low instead of close only prices #9354

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Update drawdown calculation to use High/Low instead of close only prices #9354

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4889917
Use High/Low for drawdown calculation instead of close only prices
JosueNina Mar 26, 2026
7458cd9
Unify drawdown calculation
JosueNina Mar 27, 2026
408f1c1
Update regression algorithms
JosueNina Mar 27, 2026
c44730c
Address review comments
JosueNina Mar 27, 2026
180967f
Address additional review comments
JosueNina Mar 30, 2026
e122c59
Optimize-drawdown-metrics-iteration-for-benchmark-stability
aiSynergy37 Mar 28, 2026
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/AddBetaIndicatorNewAssetsRegressionAlgorithm.cs
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Expand Up @@ -145,7 +145,7 @@ public override void OnOrderEvent(OrderEvent orderEvent)
{"Estimated Strategy Capacity", "$87000.00"},
{"Lowest Capacity Asset", "BTCUSD 2XR"},
{"Portfolio Turnover", "2.22%"},
{"Drawdown Recovery", "139"},
{"Drawdown Recovery", "138"},
{"OrderListHash", "896ecc92440d51ed26644aac5b8706e4"}
};
}
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/AddFutureOptionContractDataStreamingRegressionAlgorithm.cs
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Expand Up @@ -185,7 +185,7 @@ public override void OnEndOfAlgorithm()
{"Average Win", "0%"},
{"Average Loss", "0%"},
{"Compounding Annual Return", "5512.811%"},
{"Drawdown", "1.000%"},
{"Drawdown", "1.300%"},
{"Expectancy", "0"},
{"Start Equity", "100000"},
{"End Equity", "105332.8"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/AddFutureOptionContractFromFutureChainRegressionAlgorithm.cs
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Expand Up @@ -114,7 +114,7 @@ public override void OnData(Slice slice)
{"Average Win", "0%"},
{"Average Loss", "0%"},
{"Compounding Annual Return", "88398927.578%"},
{"Drawdown", "5.200%"},
{"Drawdown", "5.700%"},
{"Expectancy", "0"},
{"Start Equity", "100000"},
{"End Equity", "111911.55"},
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2 changes: 1 addition & 1 deletion ...thm.CSharp/AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm.cs
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Expand Up @@ -241,7 +241,7 @@ public override void OnEndOfAlgorithm()
{"Average Win", "0%"},
{"Average Loss", "0%"},
{"Compounding Annual Return", "430.834%"},
{"Drawdown", "4.200%"},
{"Drawdown", "4.300%"},
{"Expectancy", "0"},
{"Start Equity", "100000"},
{"End Equity", "102313.03"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/AddRemoveSecurityCacheRegressionAlgorithm.cs
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Expand Up @@ -104,7 +104,7 @@ public override void OnData(Slice slice)
{"Average Win", "0%"},
{"Average Loss", "0.00%"},
{"Compounding Annual Return", "271.720%"},
{"Drawdown", "2.500%"},
{"Drawdown", "2.600%"},
{"Expectancy", "-1"},
{"Start Equity", "100000"},
{"End Equity", "101753.84"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/AddRemoveSecurityRegressionAlgorithm.cs
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Expand Up @@ -131,7 +131,7 @@ public override void OnOrderEvent(OrderEvent orderEvent)
{"Average Win", "0.46%"},
{"Average Loss", "0%"},
{"Compounding Annual Return", "296.356%"},
{"Drawdown", "1.400%"},
{"Drawdown", "1.500%"},
{"Expectancy", "0"},
{"Start Equity", "100000"},
{"End Equity", "101776.32"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/AddRiskManagementAlgorithm.cs
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Expand Up @@ -105,7 +105,7 @@ public override void Initialize()
{"Estimated Strategy Capacity", "$38000000.00"},
{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
{"Portfolio Turnover", "59.74%"},
{"Drawdown Recovery", "3"},
{"Drawdown Recovery", "2"},
{"OrderListHash", "5d7657ec9954875eca633bed711085d3"}
};
}
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/AllShortableSymbolsCoarseSelectionRegressionAlgorithm.cs
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Expand Up @@ -259,7 +259,7 @@ public Dictionary<Symbol, long> AllShortableSymbols(DateTime localTime)
{"Average Win", "0%"},
{"Average Loss", "0%"},
{"Compounding Annual Return", "11.027%"},
{"Drawdown", "0.000%"},
{"Drawdown", "0.100%"},
{"Expectancy", "0"},
{"Start Equity", "10000000"},
{"End Equity", "10011469.88"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/AutomaticIndicatorWarmupDataTypeRegressionAlgorithm.cs
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Expand Up @@ -167,7 +167,7 @@ protected override decimal ComputeNextValue(QuoteBar input)
{"Average Win", "0%"},
{"Average Loss", "0%"},
{"Compounding Annual Return", "733913.744%"},
{"Drawdown", "15.900%"},
{"Drawdown", "16.500%"},
{"Expectancy", "0"},
{"Start Equity", "100000"},
{"End Equity", "106827.7"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/AutomaticIndicatorWarmupRegressionAlgorithm.cs
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Expand Up @@ -151,7 +151,7 @@ protected override decimal ComputeNextValue(IReadOnlyWindow<IndicatorDataPoint>
{"Estimated Strategy Capacity", "$56000000.00"},
{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
{"Portfolio Turnover", "19.93%"},
{"Drawdown Recovery", "3"},
{"Drawdown Recovery", "2"},
{"OrderListHash", "3da9fa60bf95b9ed148b95e02e0cfc9e"}
};
}
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/BasicTemplateAlgorithm.cs
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Expand Up @@ -118,7 +118,7 @@ public override void OnData(Slice slice)
{"Estimated Strategy Capacity", "$56000000.00"},
{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
{"Portfolio Turnover", "19.93%"},
{"Drawdown Recovery", "3"},
{"Drawdown Recovery", "2"},
{"OrderListHash", "3da9fa60bf95b9ed148b95e02e0cfc9e"}
};
}
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4 changes: 2 additions & 2 deletions Algorithm.CSharp/BasicTemplateAxosAlgorithm.cs
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Expand Up @@ -90,7 +90,7 @@ public override void OnData(Slice slice)
{"Average Win", "0%"},
{"Average Loss", "0%"},
{"Compounding Annual Return", "39.143%"},
{"Drawdown", "0.500%"},
{"Drawdown", "0.600%"},
{"Expectancy", "0"},
{"Start Equity", "100000"},
{"End Equity", "100423.24"},
Expand All @@ -112,7 +112,7 @@ public override void OnData(Slice slice)
{"Estimated Strategy Capacity", "$150000000.00"},
{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
{"Portfolio Turnover", "4.98%"},
{"Drawdown Recovery", "3"},
{"Drawdown Recovery", "2"},
{"OrderListHash", "8774049eb5141a2b6956d9432426f837"}
};
}
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/BasicTemplateContinuousFutureAlgorithm.cs
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Expand Up @@ -138,7 +138,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes)
{"Average Win", "2.48%"},
{"Average Loss", "0%"},
{"Compounding Annual Return", "11.325%"},
{"Drawdown", "1.500%"},
{"Drawdown", "1.900%"},
{"Expectancy", "0"},
{"Start Equity", "100000"},
{"End Equity", "105549.6"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/BasicTemplateContinuousFutureWithExtendedMarketAlgorithm.cs
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Expand Up @@ -144,7 +144,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes)
{"Average Win", "2.86%"},
{"Average Loss", "0%"},
{"Compounding Annual Return", "12.959%"},
{"Drawdown", "1.100%"},
{"Drawdown", "4.500%"},
{"Expectancy", "0"},
{"Start Equity", "100000"},
{"End Equity", "106337.1"},
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4 changes: 2 additions & 2 deletions Algorithm.CSharp/BasicTemplateFrameworkAlgorithm.cs
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Expand Up @@ -108,7 +108,7 @@ public override void OnOrderEvent(OrderEvent orderEvent)
{"Average Win", "0%"},
{"Average Loss", "-1.01%"},
{"Compounding Annual Return", "261.134%"},
{"Drawdown", "2.200%"},
{"Drawdown", "2.300%"},
{"Expectancy", "-1"},
{"Start Equity", "100000"},
{"End Equity", "101655.30"},
Expand All @@ -130,7 +130,7 @@ public override void OnOrderEvent(OrderEvent orderEvent)
{"Estimated Strategy Capacity", "$27000000.00"},
{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
{"Portfolio Turnover", "59.86%"},
{"Drawdown Recovery", "3"},
{"Drawdown Recovery", "2"},
{"OrderListHash", "f209ed42701b0419858e0100595b40c0"}
};
}
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/BasicTemplateFuturesFrameworkWithExtendedMarketAlgorithm.cs
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Expand Up @@ -52,7 +52,7 @@ public class BasicTemplateFuturesFrameworkWithExtendedMarketAlgorithm : BasicTem
{"Average Win", "0%"},
{"Average Loss", "0%"},
{"Compounding Annual Return", "-92.667%"},
{"Drawdown", "5.000%"},
{"Drawdown", "5.100%"},
{"Expectancy", "0"},
{"Start Equity", "100000"},
{"End Equity", "96685.76"},
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4 changes: 2 additions & 2 deletions Algorithm.CSharp/BasicTemplateIndexAlgorithm.cs
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Expand Up @@ -148,7 +148,7 @@ public override void OnEndOfAlgorithm()
{"Average Win", "7.08%"},
{"Average Loss", "0%"},
{"Compounding Annual Return", "603.355%"},
{"Drawdown", "3.400%"},
{"Drawdown", "3.600%"},
{"Expectancy", "0"},
{"Start Equity", "1000000"},
{"End Equity", "1064395"},
Expand All @@ -170,7 +170,7 @@ public override void OnEndOfAlgorithm()
{"Estimated Strategy Capacity", "$3000.00"},
{"Lowest Capacity Asset", "SPX XL80P3GHIA9A|SPX 31"},
{"Portfolio Turnover", "23.97%"},
{"Drawdown Recovery", "9"},
{"Drawdown Recovery", "0"},
{"OrderListHash", "4b560d2a8cfae510c3c8dc92603470fc"}
};
}
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/BasicTemplateOptionsFilterUniverseAlgorithm.cs
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Expand Up @@ -120,7 +120,7 @@ public override void OnOrderEvent(OrderEvent orderEvent)
{"Average Win", "0%"},
{"Average Loss", "-0.40%"},
{"Compounding Annual Return", "-20.338%"},
{"Drawdown", "0.300%"},
{"Drawdown", "0.400%"},
{"Expectancy", "-1"},
{"Start Equity", "100000"},
{"End Equity", "99689"},
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4 changes: 2 additions & 2 deletions Algorithm.CSharp/BasicTemplateTradableIndexAlgorithm.cs
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Expand Up @@ -67,7 +67,7 @@ public override void OnEndOfAlgorithm()
{"Average Win", "7.08%"},
{"Average Loss", "-0.01%"},
{"Compounding Annual Return", "602.278%"},
{"Drawdown", "3.400%"},
{"Drawdown", "3.600%"},
{"Expectancy", "677.669"},
{"Start Equity", "1000000"},
{"End Equity", "1064342.82"},
Expand All @@ -89,7 +89,7 @@ public override void OnEndOfAlgorithm()
{"Estimated Strategy Capacity", "$3000.00"},
{"Lowest Capacity Asset", "SPX XL80P3GHIA9A|SPX 31"},
{"Portfolio Turnover", "24.03%"},
{"Drawdown Recovery", "9"},
{"Drawdown Recovery", "0"},
{"OrderListHash", "691cf4990024b856a0a70255c9fd2545"}
};
}
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/BlackLittermanPortfolioOptimizationFrameworkAlgorithm.cs
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Expand Up @@ -97,7 +97,7 @@ public IEnumerable<Symbol> CoarseSelector(IEnumerable<CoarseFundamental> coarse)
{"Average Win", "0.00%"},
{"Average Loss", "-0.14%"},
{"Compounding Annual Return", "71.152%"},
{"Drawdown", "1.100%"},
{"Drawdown", "1.200%"},
{"Expectancy", "-0.797"},
{"Start Equity", "100000"},
{"End Equity", "100738.86"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/Collective2PortfolioSignalExportDemonstrationAlgorithm.cs
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Expand Up @@ -191,7 +191,7 @@ public override void OnData(Slice slice)
{"Estimated Strategy Capacity", "$260000000.00"},
{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
{"Portfolio Turnover", "2.00%"},
{"Drawdown Recovery", "3"},
{"Drawdown Recovery", "2"},
{"OrderListHash", "006af1a065fca33ac1f1e9cd6bd02c11"}
};
}
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/Collective2SignalExportDemonstrationAlgorithm.cs
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Expand Up @@ -214,7 +214,7 @@ public override void OnData(Slice slice)
{"Estimated Strategy Capacity", "$260000000.00"},
{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
{"Portfolio Turnover", "2.00%"},
{"Drawdown Recovery", "3"},
{"Drawdown Recovery", "2"},
{"OrderListHash", "006af1a065fca33ac1f1e9cd6bd02c11"}
};
}
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/CompleteOrderTagUpdateAlgorithm.cs
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Expand Up @@ -200,7 +200,7 @@ private static void UpdateOrderTag(OrderTicket ticket, string tag, string errorM
{"Estimated Strategy Capacity", "$210000000.00"},
{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
{"Portfolio Turnover", "2.89%"},
{"Drawdown Recovery", "3"},
{"Drawdown Recovery", "2"},
{"OrderListHash", "8fba4f724843997ef421cf26ccabe51b"}
};
}
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/CompositeAlphaModelFrameworkAlgorithm.cs
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Expand Up @@ -90,7 +90,7 @@ public override void Initialize()
{"Average Win", "0.01%"},
{"Average Loss", "-0.18%"},
{"Compounding Annual Return", "-35.728%"},
{"Drawdown", "1.700%"},
{"Drawdown", "1.800%"},
{"Expectancy", "-0.690"},
{"Start Equity", "100000"},
{"End Equity", "99436.42"},
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4 changes: 2 additions & 2 deletions Algorithm.CSharp/CompositeRiskManagementModelFrameworkAlgorithm.cs
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Expand Up @@ -84,7 +84,7 @@ public override void Initialize()
{"Average Win", "1.05%"},
{"Average Loss", "-1.01%"},
{"Compounding Annual Return", "227.385%"},
{"Drawdown", "2.200%"},
{"Drawdown", "2.300%"},
{"Expectancy", "0.361"},
{"Start Equity", "100000"},
{"End Equity", "101527.86"},
Expand All @@ -106,7 +106,7 @@ public override void Initialize()
{"Estimated Strategy Capacity", "$23000000.00"},
{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
{"Portfolio Turnover", "139.03%"},
{"Drawdown Recovery", "3"},
{"Drawdown Recovery", "2"},
{"OrderListHash", "fa7c51aaf284cdc29cb4c0ac8ebd5356"}
};
}
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/ConfidenceWeightedFrameworkAlgorithm.cs
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Expand Up @@ -119,7 +119,7 @@ public override void OnEndOfAlgorithm()
{"Estimated Strategy Capacity", "$45000000.00"},
{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
{"Portfolio Turnover", "5.15%"},
{"Drawdown Recovery", "3"},
{"Drawdown Recovery", "2"},
{"OrderListHash", "ae4986890fe7ab09ddb93059888f34c0"}
};
}
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/ConsolidateRegressionAlgorithm.cs
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Expand Up @@ -210,7 +210,7 @@ public override void OnData(Slice slice)
{"Average Win", "0%"},
{"Average Loss", "0%"},
{"Compounding Annual Return", "665.524%"},
{"Drawdown", "1.500%"},
{"Drawdown", "2.100%"},
{"Expectancy", "0"},
{"Start Equity", "100000"},
{"End Equity", "109332.4"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/ContinuousBackMonthRawFutureRegressionAlgorithm.cs
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Expand Up @@ -160,7 +160,7 @@ public override void OnEndOfAlgorithm()
{"Average Win", "1.48%"},
{"Average Loss", "0%"},
{"Compounding Annual Return", "2.968%"},
{"Drawdown", "1.600%"},
{"Drawdown", "1.900%"},
{"Expectancy", "0"},
{"Start Equity", "100000"},
{"End Equity", "101483.2"},
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4 changes: 2 additions & 2 deletions Algorithm.CSharp/ContinuousFutureBackMonthRegressionAlgorithm.cs
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Expand Up @@ -176,7 +176,7 @@ public override void OnEndOfAlgorithm()
{"Average Win", "1.48%"},
{"Average Loss", "0%"},
{"Compounding Annual Return", "4.603%"},
{"Drawdown", "1.600%"},
{"Drawdown", "1.900%"},
{"Expectancy", "0"},
{"Start Equity", "100000"},
{"End Equity", "102291.4"},
Expand All @@ -198,7 +198,7 @@ public override void OnEndOfAlgorithm()
{"Estimated Strategy Capacity", "$230000000.00"},
{"Lowest Capacity Asset", "ES VP274HSU1AF5"},
{"Portfolio Turnover", "1.39%"},
{"Drawdown Recovery", "16"},
{"Drawdown Recovery", "51"},
{"OrderListHash", "6a5b2e6b3f140e9bb7f32c07cbf5f36c"}
};
}
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/ContinuousFutureOpenPositionsLiquidationOnDelistingRegressionAlgorithm.cs
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Expand Up @@ -209,7 +209,7 @@ public override void OnEndOfAlgorithm()
{"Average Win", "7.02%"},
{"Average Loss", "0%"},
{"Compounding Annual Return", "34.386%"},
{"Drawdown", "1.500%"},
{"Drawdown", "1.800%"},
{"Expectancy", "0"},
{"Start Equity", "100000"},
{"End Equity", "107016.6"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/ContinuousFutureRegressionAlgorithm.cs
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Expand Up @@ -194,7 +194,7 @@ public override void OnEndOfAlgorithm()
{"Average Win", "0.84%"},
{"Average Loss", "0%"},
{"Compounding Annual Return", "3.380%"},
{"Drawdown", "1.600%"},
{"Drawdown", "1.900%"},
{"Expectancy", "0"},
{"Start Equity", "100000"},
{"End Equity", "101687.3"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/ConvertToFrameworkAlgorithm.cs
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Expand Up @@ -171,7 +171,7 @@ public override void OnData(Slice slice)
{"Estimated Strategy Capacity", "$1400000000.00"},
{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
{"Portfolio Turnover", "4.23%"},
{"Drawdown Recovery", "943"},
{"Drawdown Recovery", "942"},
{"OrderListHash", "0422632afa17df1379757085f951de7b"}
};
}
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/CustomBenchmarkAlgorithm.cs
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Expand Up @@ -98,7 +98,7 @@ public override void OnData(Slice slice)
{"Average Win", "0%"},
{"Average Loss", "0%"},
{"Compounding Annual Return", "272.157%"},
{"Drawdown", "2.200%"},
{"Drawdown", "2.300%"},
{"Expectancy", "0"},
{"Start Equity", "100000"},
{"End Equity", "101694.38"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/CustomOptionExerciseModelRegressionAlgorithm.cs
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Expand Up @@ -71,7 +71,7 @@ public override IEnumerable<OrderEvent> OptionExercise(Option option, OptionExer
{"Average Win", "6.14%"},
{"Average Loss", "0%"},
{"Compounding Annual Return", "26116903817855100000000000000%"},
{"Drawdown", "0.500%"},
{"Drawdown", "16.500%"},
{"Expectancy", "0"},
{"Start Equity", "100000"},
{"End Equity", "257114"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/CustomPortfolioOptimizerRegressionAlgorithm.cs
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Expand Up @@ -50,7 +50,7 @@ public double[] Optimize(double[,] historicalReturns, double[] expectedReturns =
{"Average Win", "0%"},
{"Average Loss", "-0.14%"},
{"Compounding Annual Return", "773.203%"},
{"Drawdown", "3.300%"},
{"Drawdown", "3.400%"},
{"Expectancy", "-1"},
{"Start Equity", "100000"},
{"End Equity", "103012.99"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/CustomWarmUpPeriodIndicatorAlgorithm.cs
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Expand Up @@ -209,7 +209,7 @@ public CSMAWithWarmUp(string name, int period)
{"Average Win", "0%"},
{"Average Loss", "0%"},
{"Compounding Annual Return", "272.157%"},
{"Drawdown", "2.200%"},
{"Drawdown", "2.300%"},
{"Expectancy", "0"},
{"Start Equity", "100000"},
{"End Equity", "101694.38"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/DailyConsolidationExtendedMarketHoursWarningRegressionAlgorithm.cs
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Expand Up @@ -128,4 +128,4 @@ public override void OnEndOfAlgorithm()
{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
};
}
}
}
2 changes: 1 addition & 1 deletion ....CSharp/DelistedFutureLiquidateFromChainAndContinuousMidnightExpiryRegressionAlgorithm.cs
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Expand Up @@ -47,7 +47,7 @@ public class DelistedFutureLiquidateFromChainAndContinuousMidnightExpiryRegressi
{"Average Win", "0%"},
{"Average Loss", "-5.18%"},
{"Compounding Annual Return", "-20.700%"},
{"Drawdown", "6.400%"},
{"Drawdown", "6.700%"},
{"Expectancy", "-1"},
{"Start Equity", "100000"},
{"End Equity", "94817.53"},
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