public IEnumerable <SimulationState> Evaluate(
IStrategy strategy,
Investor investor,
DateTime?endDate = null,
ProgressBar progress = null)
{
var state = new SimulationState();
var remaining = _dataCache.Count - _dataCache.BacktestingIndex;
using var childProgress = ProgressBarProvider.Create(progress, remaining, $"Evaluating: {strategy.StrategyType.GetDescription()}");
foreach (var data in _dataCache.TakeFrom(Configuration.BacktestingDate, endDate))
{
Optimise(strategy);
var shouldBuy = _simulationCache.GetOrCreate((strategy, data.Date), () => ShouldBuy(strategy, data));
state = state.UpdateState(data, shouldBuy);
state.AddFunds(investor.DailyFunds);
state.ExecuteOrders();
if (state.ShouldBuy)
{
var funds = strategy.GetStake(data.Date, state.TotalFunds);
state.AddBuyOrder(investor.OrderBrokerage, investor.OrderDelayDays, funds);
}
childProgress?.Tick();
yield return(state);
}
}
public IEnumerable <SimulationState> Evaluate(
IStrategy strategy,
Investor investor,
DateTime?endDate = null,
ProgressBar _ = null)
{
var state = new SimulationState();
foreach (var data in _dataCache.TakeUntil(endDate))
{
var shouldBuy = _simulationCache.GetOrCreate((strategy, data.Date), () => ShouldBuy(strategy, data));
state = state.UpdateState(data, shouldBuy);
state.AddFunds(investor.DailyFunds);
state.ExecuteOrders();
if (state.ShouldBuy)
{
var funds = strategy.GetStake(data.Date, state.TotalFunds);
state.AddBuyOrder(investor.OrderBrokerage, investor.OrderDelayDays, funds);
}
yield return(state);
}
}