Beispiel #1
0
        //Runs the backtest and displays the chart with buy/sell/exit icons.
        private string RunBacktest()
        {
            string ret = string.Empty;

            try
            {
                oScript.ClearRecords();
                oBacktest.ClearRecords();

                if (!VerifyForm())
                {
                    return(string.Empty);
                }
                if (!TestScripts())
                {
                    return(string.Empty);
                }
                if (m_ctlData == null)
                {
                    return(string.Empty);
                }

                cmdBacktest.Text = "&Stop Backtest";
                EnableControls(false);

                Periodicity periodicity;
                switch (cboPeriodicity.Text)
                {
                case "Minute":
                    periodicity = Periodicity.Minutely;
                    break;

                case "Hour":
                    periodicity = Periodicity.Hourly;
                    break;

                case "Day":
                    periodicity = Periodicity.Daily;
                    break;

                case "Week":
                    periodicity = Periodicity.Weekly;
                    break;

                default:
                    periodicity = Periodicity.Minutely;
                    break;
                }

                cmdBacktest.Enabled = false;


                Telerik.WinControls.UI.Docking.DockWindow activeDoc = frmMain2.GInstance.radDock2.DocumentManager.ActiveDocument;


                //Get the data selection
                M4Core.Entities.ChartSelection selection = new M4Core.Entities.ChartSelection
                {
                    Periodicity = (M4Core.Entities.Periodicity)periodicity,
                    Symbol      = txtSymbol.Text,
                    Interval    = Convert.ToInt32(txtInterval.Text),
                    Bars        = Convert.ToInt32(txtBars.Text)
                };

                m_ctlData.LoadRealTimeCtlPainelChartAsync2(selection, new Action <CtlPainelChart>(chart =>
                {
                    m_chart = chart;
                    if (m_chart == null)
                    {
                        goto Quit;
                    }

                    DataManager.BarData[] bars = m_chart.GetDataFromChart();
                    if (bars.Length < 1)
                    {
                        goto Quit;
                    }

                    m_chart.Subscribers    += 1;
                    m_chart.RealTimeUpdates = false;

                    //Get historic data
                    cmdBacktest.Enabled = true;
                    if (bars.Length < 3)
                    {
                        goto Quit;                  //Bad request
                    }
                    //Insert the data into all four instances of TradeScript
                    oScript.ClearRecords();
                    oBacktest.ClearRecords();

                    DateTime td;
                    double jdate;
                    for (int n = 1; n < bars.Length - 1; n++)
                    {
                        td    = bars[n].TradeDate;
                        jdate = oScript.ToJulianDate(td.Year, td.Month, td.Day, td.Hour, td.Minute, td.Second, 0);
                        oScript.AppendRecord(jdate, bars[n].OpenPrice, bars[n].HighPrice,
                                             bars[n].LowPrice, bars[n].ClosePrice, (int)bars[n].Volume);
                        oBacktest.AppendRecord(jdate, bars[n].OpenPrice, bars[n].HighPrice,
                                               bars[n].LowPrice, bars[n].ClosePrice, (int)bars[n].Volume);
                    }

                    //TODO
                    ret = oBacktest.Backtest(txtBuyScript, txtSellScript, txtExitLongScript, txtExitShortScript, 0.001);
                    if (string.IsNullOrEmpty(ret))
                    {
                        goto Quit;
                    }

                    string output =
                        oScript.GetScriptOutput(txtBuyScript + " AND \r\n" + txtSellScript + " AND \r\n" + txtExitLongScript +
                                                " AND \r\n" + txtExitShortScript);
                    if (string.IsNullOrEmpty(output))
                    {
                        goto Quit;
                    }

                    int row;
                    string[] cols;
                    int col;
                    string[] rows   = output.Split(new[] { "\r\n" }, StringSplitOptions.RemoveEmptyEntries);
                    string[] Header = SplitHeader(rows[0]);


                    //StockChartX
                    AxSTOCKCHARTXLib.AxStockChartX StockChartX1 = m_chart.StockChartX1;
                    StockChartX1.RemoveAllSeries();

                    string symbol = selection.Symbol;

                    StockChartX1.Symbol = symbol;


                    StockChartX1.AddChartPanel();
                    StockChartX1.AddSeries(symbol + ".open", STOCKCHARTXLib.SeriesType.stCandleChart, 0);
                    StockChartX1.AddSeries(symbol + ".high", STOCKCHARTXLib.SeriesType.stCandleChart, 0);
                    StockChartX1.AddSeries(symbol + ".low", STOCKCHARTXLib.SeriesType.stCandleChart, 0);
                    StockChartX1.AddSeries(symbol + ".close", STOCKCHARTXLib.SeriesType.stCandleChart, 0);
                    StockChartX1.set_SeriesColor(symbol + ".close", ColorTranslator.ToOle(Color.Black));



                    //OLD BEHAVIOR: Add generic serie

                    /*
                     * for (col = 6; col < Header.Length; col++)
                     * {
                     *  int panel = 0;
                     *  panel = StockChartX1.AddChartPanel();
                     *
                     *  StockChartX1.AddSeries(Header[col], STOCKCHARTXLib.SeriesType.stLineChart, panel);
                     *
                     *  System.Drawing.Color color;
                     *  switch (col)
                     *  {
                     *      case 6:
                     *          color = System.Drawing.Color.Blue;
                     *          break;
                     *      case 7:
                     *          color = System.Drawing.Color.Red;
                     *          break;
                     *      case 8:
                     *          color = System.Drawing.Color.Green;
                     *          break;
                     *      case 9:
                     *          color = System.Drawing.Color.Orange;
                     *          break;
                     *      case 10:
                     *          color = System.Drawing.Color.Purple;
                     *          break;
                     *      default:
                     *          color = System.Drawing.Color.Blue;
                     *          break;
                     *  }
                     *  StockChartX1.set_SeriesColor(Header[col], System.Drawing.ColorTranslator.ToOle(color));
                     *
                     * }*/

                    for (row = 1; row < rows.Length; row++)
                    {
                        cols  = rows[row].Split(',');
                        jdate = GetJDate(cols[0]);
                        StockChartX1.AppendValue(symbol + ".open", jdate, Convert.ToDouble(cols[1], ciEnUs));
                        StockChartX1.AppendValue(symbol + ".high", jdate, Convert.ToDouble(cols[2], ciEnUs));
                        StockChartX1.AppendValue(symbol + ".low", jdate, Convert.ToDouble(cols[3], ciEnUs));
                        StockChartX1.AppendValue(symbol + ".close", jdate, Convert.ToDouble(cols[4], ciEnUs));

                        //OLD BEHAVIOR: Add generic serie

                        /*
                         *  for (col = 6; col < cols.Length; col++)
                         *  {
                         *      double value = Convert.ToDouble(cols[col], ciEnUs);
                         *      if (value == 0 && row < rows.Length * 0.2)
                         *      {
                         *          value = (double)STOCKCHARTXLib.DataType.dtNullValue;
                         *      }
                         *
                         *      StockChartX1.AppendValue(Header[col], jdate, value);
                         *  }
                         */
                    }

                    //NEW BEHAVIOR: Add known indicators (it doesnt work with others indicators!)
                    for (col = 6; col < Header.Length; col++)
                    {
                        //Try to add until available key isnt found:
                        bool errorKey    = true;
                        int indicatorKey = 1;
                        while (errorKey)
                        {
                            try
                            {
                                System.Drawing.Color color;
                                switch (col)
                                {
                                case 6:
                                    color = System.Drawing.Color.Blue;
                                    break;

                                case 7:
                                    color = System.Drawing.Color.Red;
                                    break;

                                case 8:
                                    color = System.Drawing.Color.Green;
                                    break;

                                case 9:
                                    color = System.Drawing.Color.Orange;
                                    break;

                                case 10:
                                    color = System.Drawing.Color.Purple;
                                    break;

                                default:
                                    color = System.Drawing.Color.Blue;
                                    break;
                                }
                                //param[0  1   2   3]
                                //   MM(1,14,CLOSE,0)
                                if (Header[col].Contains("MM("))
                                {
                                    string indScript = Header[col].Replace("MM(", "");
                                    indScript        = indScript.Replace(")", "");
                                    string[] param   = indScript.Split(new char[] { ',' });
                                    string source    = symbol + ".Close";
                                    switch (param[2])
                                    {
                                    case "OPEN":
                                        source = symbol + ".Open";
                                        break;

                                    case "HIGH":
                                        source = symbol + ".High";
                                        break;

                                    case "LOW":
                                        source = symbol + ".Low";
                                        break;

                                    default:
                                        source = symbol + ".Close";
                                        break;
                                    }
                                    StockChartX1.AddIndicatorGenericMovingAverage("MA" + indicatorKey, 0, source,
                                                                                  int.Parse(param[1]), int.Parse(param[3]), int.Parse(param[0]), 0, color.R,
                                                                                  color.G,
                                                                                  color.B, 0, 1);
                                }
                                errorKey = false;
                            }
                            catch (Exception ex)
                            {
                                if (ex.Message == "Key not unique")
                                {
                                    errorKey = true;
                                    indicatorKey++;
                                }
                                else
                                {
                                    Telerik.WinControls.RadMessageBox.Show(ex.Message);
                                }
                            }
                        }
                    }
                    StockChartX1.Update();

                    Quit:

                    if (m_chart != null)
                    {
                        m_chart.Show();
                    }

                    cmdBacktest.Text = "&Back Test";
                    EnableControls(true);

                    if (m_chart != null)
                    {
                        m_chart.Subscribers -= 1;
                    }
                })); //Ensure the chart is new

                while (ret == string.Empty)
                {
                    Application.DoEvents();
                }
            }
            catch (Exception ex) { }
            return(ret);
        }
Beispiel #2
0
        //Runs the backtest and displays the chart with buy/sell/exit icons.
        private string RunBacktest()
        {
            string ret = string.Empty;

            _oScript.ClearRecords();
            _oBacktest.ClearRecords();

            if (!VerifyForm())
            {
                return(string.Empty);
            }
            if (!TestScripts())
            {
                return(string.Empty);
            }
            if (_mCtlData == null)
            {
                return(string.Empty);
            }

            cmdBacktest.Text             = "&Stop Backtest";
            cmdBacktest.Border.BaseColor = Color.Red;
            EnableControls(false);
            cmdBacktest.Border.Update();

            Periodicity periodicity;

            switch (cboPeriodicity.Text)
            {
            case "Day":
                periodicity = Periodicity.Daily;
                break;

            case "Hour":
                periodicity = Periodicity.Hourly;
                break;

            case "Minute":
                periodicity = Periodicity.Minutely;
                break;

            case "Week":
                periodicity = Periodicity.Weekly;
                break;

            case "Month":
                periodicity = Periodicity.Month;
                break;

            case "Year":
                periodicity = Periodicity.Year;
                break;

            default:
                periodicity = Periodicity.Minutely;
                break;
            }

            cmdBacktest.Enabled = false;

            //Get the data selection
            ChartSelection selection = new ChartSelection
            {
                Periodicity = periodicity,
                Symbol      = txtSymbol.Text,
                Interval    = Convert.ToInt32(txtInterval.Text),
                Bars        = Convert.ToInt32(txtBars.Text),
                Source      = "PLENA"
            };

            _ctlPainelChart = _mCtlData.GetCtlPainelChart(selection, true); //Ensure the chart is new

            if (_ctlPainelChart == null)
            {
                goto Quit;
            }

            DataManager.BarData[] bars = _ctlPainelChart.GetDataFromChart();

            if (bars.Length < 1)
            {
                goto Quit;
            }

            _ctlPainelChart.Subscribers    += 1;
            _ctlPainelChart.RealTimeUpdates = false;

            //Get historic data
            cmdBacktest.Enabled = true;

            if (bars.Length < 3)
            {
                goto Quit; //Bad request
            }
            //Insert the data into all four instances of TradeScript
            _oScript.ClearRecords();
            _oBacktest.ClearRecords();

            DateTime td;
            double   jdate;

            for (int n = 1; n < bars.Length - 1; n++)
            {
                td    = bars[n].TradeDate;
                jdate = _oScript.ToJulianDate(td.Year, td.Month, td.Day, td.Hour, td.Minute, td.Second, 0);
                _oScript.AppendRecord(jdate, bars[n].OpenPrice, bars[n].HighPrice,
                                      bars[n].LowPrice, bars[n].ClosePrice, (int)bars[n].Volume);
                _oBacktest.AppendRecord(jdate, bars[n].OpenPrice, bars[n].HighPrice,
                                        bars[n].LowPrice, bars[n].ClosePrice, (int)bars[n].Volume);
            }

            //TODO
            ret = _oBacktest.Backtest(txtBuyScript.Text, txtSellScript.Text, txtExitLongScript.Text, txtExitShortScript.Text, 0.001);

            if (string.IsNullOrEmpty(ret))
            {
                goto Quit;
            }

            string output =
                _oScript.GetScriptOutput(txtBuyScript.Text + " AND \r\n" + txtSellScript.Text + " AND \r\n" + txtExitLongScript.Text +
                                         " AND \r\n" + txtExitShortScript.Text);

            if (string.IsNullOrEmpty(output))
            {
                goto Quit;
            }

            int row;

            string[] cols;
            int      col;

            string[] rows   = output.Split(new[] { "\r\n" }, StringSplitOptions.RemoveEmptyEntries);
            string[] header = SplitHeader(rows[0]);

            //StockChartX
            AxSTOCKCHARTXLib.AxStockChartX StockChartX1 = _ctlPainelChart.StockChartX1;
            StockChartX1.RemoveAllSeries();

            string symbol = selection.Symbol;

            StockChartX1.Symbol = symbol;


            StockChartX1.AddChartPanel();
            StockChartX1.AddSeries(symbol + ".open", STOCKCHARTXLib.SeriesType.stCandleChart, 0);
            StockChartX1.AddSeries(symbol + ".high", STOCKCHARTXLib.SeriesType.stCandleChart, 0);
            StockChartX1.AddSeries(symbol + ".low", STOCKCHARTXLib.SeriesType.stCandleChart, 0);
            StockChartX1.AddSeries(symbol + ".close", STOCKCHARTXLib.SeriesType.stCandleChart, 0);
            StockChartX1.set_SeriesColor(symbol + ".close", ColorTranslator.ToOle(Color.Black));

            bool hasVolume = bars[0].Volume != -987654321;

            if (hasVolume)
            {
                StockChartX1.AddChartPanel();
                StockChartX1.AddSeries(symbol + ".volume", STOCKCHARTXLib.SeriesType.stVolumeChart, 1);
                StockChartX1.set_SeriesColor(symbol + ".volume", ColorTranslator.ToOle(Color.Blue));
                StockChartX1.set_SeriesWeight(symbol + ".volume", 3);
                StockChartX1.VolumePostfixLetter = "M"; //Google trades in millions
            }

            for (col = 6; col < header.Length; col++)
            {
                int panel = StockChartX1.AddChartPanel();
                StockChartX1.AddSeries(header[col], STOCKCHARTXLib.SeriesType.stLineChart, panel);
                Color color;

                switch (col)
                {
                case 6:
                    color = Color.Blue;
                    break;

                case 7:
                    color = Color.Red;
                    break;

                case 8:
                    color = Color.Green;
                    break;

                case 9:
                    color = Color.Orange;
                    break;

                case 10:
                    color = Color.Purple;
                    break;

                default:
                    color = Color.Blue;
                    break;
                }

                StockChartX1.set_SeriesColor(header[col], ColorTranslator.ToOle(color));
            }

            for (row = 1; row < rows.Length; row++)
            {
                cols  = rows[row].Split(',');
                jdate = GetJDate(cols[0]);
                StockChartX1.AppendValue(symbol + ".open", jdate, Convert.ToDouble(cols[1], _ciEnUs));
                StockChartX1.AppendValue(symbol + ".high", jdate, Convert.ToDouble(cols[2], _ciEnUs));
                StockChartX1.AppendValue(symbol + ".low", jdate, Convert.ToDouble(cols[3], _ciEnUs));
                StockChartX1.AppendValue(symbol + ".close", jdate, Convert.ToDouble(cols[4], _ciEnUs));

                if (hasVolume)
                {
                    StockChartX1.AppendValue(symbol + ".volume", jdate, Convert.ToDouble(cols[5], _ciEnUs) / 1000000);
                }

                for (col = 6; col < cols.Length; col++)
                {
                    double value = Convert.ToDouble(cols[col], _ciEnUs);
                    if (value == 0 && row < rows.Length * 0.2)
                    {
                        value = (double)STOCKCHARTXLib.DataType.dtNullValue;
                    }

                    StockChartX1.AppendValue(header[col], jdate, value);
                }
            }

            StockChartX1.Update();

Quit:

            if (_ctlPainelChart != null)
            {
                _ctlPainelChart.Show();
            }

            cmdBacktest.Text             = "&Back Test";
            cmdBacktest.Border.BaseColor = Color.Lime;
            EnableControls(true);
            cmdBacktest.Border.Update();

            if (_ctlPainelChart != null)
            {
                _ctlPainelChart.Subscribers -= 1;
            }

            return(ret);
        }