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-creator

But 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!

Author

Pierre Vidal

September 2020