Adds MaximumRecoveryTime Portfolio Statistics

[AlexCatarino]

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Expected Behavior

Funds understand that all algorithms experience drawdowns, and the smaller, the better, but the recovery time is especially important. An algorithm that is in a sustained drawdown for more than 6-months most likely won't be traded by a fund and would likely be dropped if this occurs in live trading. (source)

Actual Behavior

No statistics on the maximum recovery time.

Potential Solution

Implement such measurement.

Checklist

• [x] I have completely filled out this template
• [x] I have confirmed that this issue exists on the current master branch
• [x] I have confirmed that this is not a duplicate issue by searching issues

[swisstackle]

@jaredbroad I took a quick look at the codebase. Would this be implemented in Common\Statistics\Statistics.cs and then added to the StatisticsBuilder ?

I think I would also have to add a ReportElement and feed the statistic with data in Report.cs (backtestresult and/or liveresult), correct?

[jaredbroad]

Yes perfect @swisstackle, to make it show in the footer of the backtest view it would need to end up in the Dictionary here.

[swisstackle]

@jaredbroad Do you have a formal definition of maximum recovery time?

With daily prices {100, 98,99,98,99}, is the maximum recovery time non-existent or 1 day?

I'm asking because if it's 1 day, the statistic seems useless in scenarios like {100,98, 99,98,99,50,0}, where the strategy never truly recovers, yet the maximum recovery time would still be 1 making it look good.

[jaredbroad]

@swisstackle We think the right answer is for it to return null/inf in your example above; the view might need to be adjusted to handle the inf/null values but if you make the PR return the correct value we'll handle the rest.

[swisstackle]

@jaredbroad Ok, when I get time to work on this, I will go for the "recovery time of the maximum drawdown" which fits your description and then we can make adjustments later.