static public double CalculateTimeOfOnePips(string sourceDirectory, string symbolName, ResetTimeAnalysis.SideAnalyser side)
{
InputData inData = new InputData();
inData.LoadFromDirectory(sourceDirectory, null);
double swap = 0;
if (ResetTimeAnalysis.SideAnalyser.Buy == side)
{
swap = inData.SwapBuy;
}
if (ResetTimeAnalysis.SideAnalyser.Sell == side)
{
swap = inData.SwapSell;
}
FuturePredictor fPredictor = new FuturePredictor(inData.Data);
List <StratergyParameterRange> ranges = new BuyLimitAndWaitConfigReader().GetRanges(new List <string>());
StrategyParameter currParam = ranges[0].GetAllParameters().Last();
IEnumerable <int> buyArray, sellArray;
ResetTimeAnalysis.CalculatePoints(currParam, inData, out buyArray, out sellArray);
string profitSymbol = ForexSuite.SymbolsManager.GetProfitSymbol(symbolName);
double coefToUSD = ForexSuite.QuotesManager.ConvertCurrency(profitSymbol, "USD", DateTime.Now.AddMonths(-7), ForexSuite.SymbolsManager.ValueFromPips(profitSymbol, 1));
ResetTimeAnalyzer rta = new ResetTimeAnalyzer(currParam["TP"], 1 / 60d, fPredictor.Bids, fPredictor.Asks, coefToUSD, swap);
if (side == SideAnalyser.Buy)
{
rta.Process(buyArray, null);
}
else
{
rta.Process(null, sellArray);
}
if (rta.RealProfit == 0)
{
throw new ApplicationException("RealProfit=0");
}
return(rta.AverageTime / rta.RealProfit);
}
public void CompareOneAndMultiplyAnalyses()
{
UnilateralTickCollection <int> bids = new UnilateralTickCollection <int>(s_bids);
UnilateralTickCollection <int> asks = new UnilateralTickCollection <int>(s_asks);
ResetTimeAnalyzer first = new ResetTimeAnalyzer(0.01, 1 / 60d, bids, asks, 1);
ResetTimeAnalyzer second = new ResetTimeAnalyzer(0.01, 1 / 60d, bids, asks, 1);
first.Process(s_buy, s_sell);
second.Process(s_buy, s_sell);
Assert.IsTrue(first.TakeProfit == second.TakeProfit);
Assert.IsTrue(first.TimeFactor == second.TimeFactor);
Assert.IsTrue(first.AverageTime == second.AverageTime);
Assert.IsTrue(first.AverageLoss == second.AverageLoss);
Assert.IsTrue(first.SigmaTime == second.SigmaTime);
Assert.IsTrue(first.SigmaLoss == second.SigmaLoss);
Assert.IsTrue(first.ResettingPercentage == second.ResettingPercentage);
second.Process(s_buy, s_sell);
Assert.IsTrue(NumericalMethods.IsApproximatelyEqual(first.TakeProfit, second.TakeProfit));
Assert.IsTrue(NumericalMethods.IsApproximatelyEqual(first.TimeFactor, second.TimeFactor));
Assert.IsTrue(NumericalMethods.IsApproximatelyEqual(first.AverageTime, second.AverageTime));
Assert.IsTrue(NumericalMethods.IsApproximatelyEqual(first.AverageLoss, second.AverageLoss));
Assert.IsTrue(NumericalMethods.IsApproximatelyEqual(first.SigmaTime, second.SigmaTime, 0.001));
Assert.IsTrue(NumericalMethods.IsApproximatelyEqual(first.SigmaLoss, second.SigmaLoss, 0.001));
Assert.IsTrue(NumericalMethods.IsApproximatelyEqual(first.ResettingPercentage, second.ResettingPercentage));
second.Process(s_buy, s_sell);
Assert.IsTrue(NumericalMethods.IsApproximatelyEqual(first.TakeProfit, second.TakeProfit));
Assert.IsTrue(NumericalMethods.IsApproximatelyEqual(first.TimeFactor, second.TimeFactor));
Assert.IsTrue(NumericalMethods.IsApproximatelyEqual(first.AverageTime, second.AverageTime));
Assert.IsTrue(NumericalMethods.IsApproximatelyEqual(first.AverageLoss, second.AverageLoss));
Assert.IsTrue(NumericalMethods.IsApproximatelyEqual(first.SigmaTime, second.SigmaTime, 0.001));
Assert.IsTrue(NumericalMethods.IsApproximatelyEqual(first.SigmaLoss, second.SigmaLoss, 0.001));
Assert.IsTrue(NumericalMethods.IsApproximatelyEqual(first.ResettingPercentage, second.ResettingPercentage));
}
