Hi all,
I like the ability to generate nicely laid out reports from backtests but feel like the list of crisis events needs to be updated. I would suggest something along those lines:
public enum CrisisEvent
{
/// <summary>
/// DotCom bubble - https://en.wikipedia.org/wiki/Dot-com_bubble
/// </summary>
DotCom,
/// <summary>
/// September 11, 2001 attacks - https://en.wikipedia.org/wiki/September_11_attacks
/// </summary>
SeptemberEleventh,
/// <summary>
/// United States housing bubble - https://en.wikipedia.org/wiki/United_States_housing_bubble
/// </summary>
USHousingBubble2003,
/// <summary>
/// https://en.wikipedia.org/wiki/Financial_crisis_of_2007%E2%80%9308
/// </summary>
GlobalFinancialCrisis,
/// <summary>
/// The flash crash of 2010 - https://en.wikipedia.org/wiki/2010_Flash_Crash
/// </summary>
FlashCrash,
/// <summary>
/// Fukushima nuclear power plant meltdown - https://en.wikipedia.org/wiki/Fukushima_Daiichi_nuclear_disaster
/// </summary>
FukushimaMeltdown,
/// <summary>
/// United States credit rating downgrade - https://en.wikipedia.org/wiki/United_States_federal_government_credit-rating_downgrades
/// European debt crisis - https://en.wikipedia.org/wiki/European_debt_crisis
/// </summary>
USDowngradeEuropeanDebt,
/// <summary>
/// European debt crisis - https://en.wikipedia.org/wiki/European_debt_crisis
/// </summary>
EurozoneSeptember2012,
/// <summary>
/// European debt crisis - https://en.wikipedia.org/wiki/European_debt_crisis
/// </summary>
EurozoneOctober2014,
/// <summary>
/// 2015-2016 market sell off https://en.wikipedia.org/wiki/2015%E2%80%9316_stock_market_selloff
/// </summary>
MarketSellOff2015,
/// <summary>
/// Crisis recovery (2010 - 2012)
/// </summary>
Recovery,
/// <summary>
/// Q4 2018 market correction (trade wars, rate hikes)
/// </summary>
Q42018Correction,
/// <summary>
/// Covid19 Market Crash
/// </summary>
Covid19Crash
}
(I actually removed "New normal" because it is not a crisis, but the main point was to add the last 2 events).
I managed to get roughly what I wanted by running the Lean Report Creator locally as per the tutorial:
https://www.quantconnect.com/tutorials/open-source/lean-report-creatorBut that was a bit of a stretch, and I would rather use the report generated from QuantConnect directly if it could be updated with those crisis events.
Moreover, I have noticed a number of minor differences between the local and cloud versions of the reports - formatting but also e.g. I could not get the rolling beta chart to work in the local version. I wonder whether a sync is needed (for the local version I build the QuantConnect.Report project which is in .\Lean\Report).
Any feedback or guidance appreciated!
Alexandre Catarino
Hi Pierre Vidal ,
Thank you for the suggestion. I have created a GitHub issue with this request:
Add New Crisis Event In Report #4730
Pierre Vidal
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