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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!
Alexandre Catarino
Hi @Marvin Montoya ,
Thank you for the suggestion.
We have already added a GitHub issue to add the feature:
Adds MaximumRecoveryTime Portfolio Statistics #4581
Marvin Montoya
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