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Add higher frequency equity sampling #9354

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9d229ef
Use High/Low for drawdown calculation instead of close only prices
JosueNina Mar 26, 2026
83551ba
Unify drawdown calculation
JosueNina Mar 27, 2026
3fb6885
Update regression algorithms
JosueNina Mar 27, 2026
46c725d
Address review comments
JosueNina Mar 27, 2026
0b255ae
Address additional review comments
JosueNina Mar 30, 2026
c4172ac
Optimize-drawdown-metrics-iteration-for-benchmark-stability
aiSynergy37 Mar 28, 2026
656a570
Revert drawdown OHLC changes back to master
JosueNina Apr 17, 2026
d5b6f6a
Add higher frequency equity sampling for drawdown calculation
JosueNina Apr 17, 2026
7f29fb9
Update regression algorithms
JosueNina Apr 17, 2026
a8dba94
Use separate equity series for drawdown calculation
JosueNina Apr 17, 2026
8626fb3
Update regression algorithms
JosueNina Apr 17, 2026
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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", "5.100%"},
{"Expectancy", "0"},
{"Start Equity", "100000"},
{"End Equity", "111911.55"},
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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", "2.200%"},
{"Expectancy", "-1"},
{"Start Equity", "100000"},
{"End Equity", "101753.84"},
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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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4 changes: 2 additions & 2 deletions 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", "16.100%"},
{"Expectancy", "0"},
{"Start Equity", "100000"},
{"End Equity", "106827.7"},
Expand All @@ -189,7 +189,7 @@ protected override decimal ComputeNextValue(QuoteBar input)
{"Estimated Strategy Capacity", "$200000000.00"},
{"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
{"Portfolio Turnover", "351.80%"},
{"Drawdown Recovery", "1"},
{"Drawdown Recovery", "2"},
{"OrderListHash", "dfd9a280d3c6470b305c03e0b72c234e"}
};
}
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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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2 changes: 1 addition & 1 deletion Algorithm.CSharp/BasicTemplateAxosAlgorithm.cs
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Expand Up @@ -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", "1.700%"},
{"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", "1.400%"},
{"Expectancy", "0"},
{"Start Equity", "100000"},
{"End Equity", "106337.1"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/BasicTemplateFrameworkAlgorithm.cs
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Expand Up @@ -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/BasicTemplateFuturesFrameworkAlgorithm.cs
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Expand Up @@ -157,7 +157,7 @@ public override IEnumerable<IPortfolioTarget> CreateTargets(QCAlgorithm algorith
{"Average Win", "0%"},
{"Average Loss", "0%"},
{"Compounding Annual Return", "-81.734%"},
{"Drawdown", "4.100%"},
{"Drawdown", "4.000%"},
{"Expectancy", "0"},
{"Start Equity", "100000"},
{"End Equity", "97830.76"},
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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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2 changes: 1 addition & 1 deletion Algorithm.CSharp/BasicTemplateIndexAlgorithm.cs
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Expand Up @@ -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/BasicTemplateOptionsFrameworkAlgorithm.cs
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Expand Up @@ -160,7 +160,7 @@ public override IEnumerable<IPortfolioTarget> CreateTargets(QCAlgorithm algorith
{"Average Win", "0.13%"},
{"Average Loss", "-0.30%"},
{"Compounding Annual Return", "-46.395%"},
{"Drawdown", "1.600%"},
{"Drawdown", "1.500%"},
{"Expectancy", "0.429"},
{"Start Equity", "100000"},
{"End Equity", "99149.50"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/BasicTemplateTradableIndexAlgorithm.cs
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Expand Up @@ -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/CompositeRiskManagementModelFrameworkAlgorithm.cs
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Expand Up @@ -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", "1.700%"},
{"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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2 changes: 1 addition & 1 deletion 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"},
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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", "1.600%"},
{"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/CustomMarginInterestRateModelAlgorithm.cs
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Expand Up @@ -159,7 +159,7 @@ public void ApplyMarginInterestRate(MarginInterestRateParameters marginInterestR
{"Estimated Strategy Capacity", "$150000000.00"},
{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
{"Portfolio Turnover", "3.19%"},
{"Drawdown Recovery", "8"},
{"Drawdown Recovery", "9"},
{"OrderListHash", "c0205e9d3d1bfdee958fecccb36413ec"}
};
}
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/CustomOptionAssignmentRegressionAlgorithm.cs
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Expand Up @@ -63,7 +63,7 @@ public override OptionAssignmentResult GetAssignment(OptionAssignmentParameters
{"Average Win", "9.48%"},
{"Average Loss", "-16.73%"},
{"Compounding Annual Return", "-25.790%"},
{"Drawdown", "0.600%"},
{"Drawdown", "0.500%"},
{"Expectancy", "-0.478"},
{"Start Equity", "100000"},
{"End Equity", "99538"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/CustomPartialFillModelAlgorithm.cs
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Expand Up @@ -162,7 +162,7 @@ public override OrderEvent MarketFill(Security asset, MarketOrder order)
{"Estimated Strategy Capacity", "$89000000.00"},
{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
{"Portfolio Turnover", "10.59%"},
{"Drawdown Recovery", "1"},
{"Drawdown Recovery", "3"},
{"OrderListHash", "aa14b4a6f4eb5907cb188ed462c14389"}
};
}
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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/DailyConsolidationExtendedMarketHoursWarningRegressionAlgorithm.cs
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Expand Up @@ -128,4 +128,4 @@ public override void OnEndOfAlgorithm()
{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
};
}
}
}
2 changes: 1 addition & 1 deletion Algorithm.CSharp/DelistedFutureLiquidateFromChainAndContinuousRegressionAlgorithm.cs
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Expand Up @@ -167,7 +167,7 @@ public override void OnOrderEvent(OrderEvent orderEvent)
{"Average Win", "7.02%"},
{"Average Loss", "0%"},
{"Compounding Annual Return", "34.386%"},
{"Drawdown", "1.500%"},
{"Drawdown", "1.600%"},
{"Expectancy", "0"},
{"Start Equity", "100000"},
{"End Equity", "107016.6"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/DelistedFutureLiquidateRegressionAlgorithm.cs
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Expand Up @@ -128,7 +128,7 @@ public override void OnOrderEvent(OrderEvent orderEvent)
{"Average Win", "7.02%"},
{"Average Loss", "0%"},
{"Compounding Annual Return", "34.386%"},
{"Drawdown", "1.500%"},
{"Drawdown", "1.600%"},
{"Expectancy", "0"},
{"Start Equity", "100000"},
{"End Equity", "107016.6"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/DelistedIndexOptionDivestedRegression.cs
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Expand Up @@ -141,7 +141,7 @@ public override void OnEndOfAlgorithm()
{"Average Win", "0%"},
{"Average Loss", "-26.02%"},
{"Compounding Annual Return", "-99.801%"},
{"Drawdown", "46.200%"},
{"Drawdown", "45.700%"},
{"Expectancy", "-1"},
{"Start Equity", "100000"},
{"End Equity", "73985"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/EqualWeightingPortfolioConstructionModelFutureRegressionAlgorithm.cs
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Expand Up @@ -151,7 +151,7 @@ public override void OnOrderEvent(OrderEvent orderEvent)
{"Average Win", "0.69%"},
{"Average Loss", "-2.47%"},
{"Compounding Annual Return", "-99.946%"},
{"Drawdown", "28.600%"},
{"Drawdown", "29.300%"},
{"Expectancy", "-0.680"},
{"Start Equity", "100000"},
{"End Equity", "90213.76"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/EquityMarginCallAlgorithm.cs
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Expand Up @@ -127,7 +127,7 @@ public override void OnEndOfAlgorithm()
{"Average Win", "0%"},
{"Average Loss", "-6.17%"},
{"Compounding Annual Return", "-100.000%"},
{"Drawdown", "72.300%"},
{"Drawdown", "71.600%"},
{"Expectancy", "-1"},
{"Start Equity", "100000"},
{"End Equity", "50554.98"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/EquitySplitHoldingsMinuteRegressionAlgorithm.cs
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Expand Up @@ -178,7 +178,7 @@ public override void OnEndOfAlgorithm()
{"Estimated Strategy Capacity", "$41000000.00"},
{"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
{"Portfolio Turnover", "14.24%"},
{"Drawdown Recovery", "4"},
{"Drawdown Recovery", "3"},
{"OrderListHash", "5d7b0658b66b331ba8159011aa2ec5b4"}
};
}
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/EquityTradeAndQuotesRegressionAlgorithm.cs
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Expand Up @@ -183,7 +183,7 @@ public override void OnEndOfAlgorithm()
{"Average Win", "0.12%"},
{"Average Loss", "-0.10%"},
{"Compounding Annual Return", "-88.292%"},
{"Drawdown", "3.300%"},
{"Drawdown", "3.200%"},
{"Expectancy", "-0.225"},
{"Start Equity", "100000"},
{"End Equity", "97294.97"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/ExecutionModelOrderEventsRegressionAlgorithm.cs
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Expand Up @@ -191,7 +191,7 @@ public override void OnOrderEvent(QCAlgorithm algorithm, 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/FillForwardEnumeratorOutOfOrderBarRegressionAlgorithm.cs
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Expand Up @@ -119,7 +119,7 @@ public override void OnData(Slice slice)
{"Estimated Strategy Capacity", "$150000.00"},
{"Lowest Capacity Asset", "SHY 2T"},
{"Portfolio Turnover", "24.91%"},
{"Drawdown Recovery", "0"},
{"Drawdown Recovery", "2"},
{"OrderListHash", "9d00701591b363edda102536ec5e75e0"}
};
}
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/ForwardDataOnlyFillModelAlgorithm.cs
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Expand Up @@ -137,7 +137,7 @@ public override Fill Fill(FillModelParameters parameters)
{"Estimated Strategy Capacity", "$62000000000.00"},
{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
{"Portfolio Turnover", "0.00%"},
{"Drawdown Recovery", "3"},
{"Drawdown Recovery", "6"},
{"OrderListHash", "86f6dc102fded318c6264e36a56567b7"}
};
}
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/FutureOptionCallITMExpiryRegressionAlgorithm.cs
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Expand Up @@ -221,7 +221,7 @@ public override void OnEndOfAlgorithm()
{"Average Win", "2.28%"},
{"Average Loss", "-6.80%"},
{"Compounding Annual Return", "-9.373%"},
{"Drawdown", "5.300%"},
{"Drawdown", "5.500%"},
{"Expectancy", "-0.332"},
{"Start Equity", "100000"},
{"End Equity", "95323.58"},
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2 changes: 1 addition & 1 deletion Algorithm.CSharp/FutureOptionCallITMGreeksExpiryRegressionAlgorithm.cs
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Expand Up @@ -186,7 +186,7 @@ public override void OnEndOfAlgorithm()
{"Average Win", "16.44%"},
{"Average Loss", "-35.38%"},
{"Compounding Annual Return", "-44.262%"},
{"Drawdown", "26.200%"},
{"Drawdown", "26.800%"},
{"Expectancy", "-0.268"},
{"Start Equity", "100000"},
{"End Equity", "75242.9"},
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