public void ExecuteTest()
{
string fxCode = @"
global variables{
define reEntryExRatePercent as 0.05;
define noOfLongPosition as 3;
define noOfShortPosition as 3;
}
define Portfolio{
set BaseCurrency to 'EUR';
LongPositions: Position<Long>[3];
ShortPositions: Position<Short>[3];
}
rule reallocation executes on every Friday{
for all position in Portfolio.LongPositions{
if position.Currency is not in Top3Currencies:
Close position;
}
for all currency in Top3Currencies{
if currency is not in Currency of Portfolio.LongPositions:
Open Portfolio.LongPositions with currency;
}
for all position in Portfolio.ShortPositions{
if position.Currency is not in Bottom3Currencies:
Close position;
}
for all currency in Bottom3Currencies{
if currency is not in Currency of Portfolio.ShortPositions:
Open Portfolio.ShortPositions with currency;
}
}
";
StrategyAnalyzer target = new StrategyAnalyzer();
DateTime startExecutionTime;
DateTime endExecutionTime;
DateTime startDate = new DateTime(2000, 1, 1);
List<List<double>> results = new List<List<double>>();
StringBuilder output = new StringBuilder();
for (int j = 0; j < 10; j++)
{
results.Add(new List<double>());
output.AppendLine("Year no.: " + (j + 1));
for (int i = 0; i < 11; i++)
{
startExecutionTime = DateTime.Now;
ExecuteAnalyzer(startDate, i+1, target, fxCode);
endExecutionTime = DateTime.Now;
results[j].Add((endExecutionTime - startExecutionTime).TotalMilliseconds);
output.AppendLine(String.Format("Execution time: {0} ",
(endExecutionTime - startExecutionTime).TotalMilliseconds
)
);
//results.Add(endExecutionTime - startExecutionTime);
}
}
output.AppendLine("Average: ");
for (int i = 0; i < 11; i++)
{
output.AppendLine(" Year " + (i + 1) + ": \t" + results.Select(r => r.ElementAt(i)).Average() );
}
using (StreamWriter writer = new StreamWriter(@"D:\Documents\Study Materials\Master Thesis\Main Thesis\executionTimeAnalyzer.txt"))
{
//for (int i = 1; i <= 10; i++)
//{
// output += String.Format(results[i - 1].Milliseconds + " ms \n");
//}
writer.WriteLine(output);
}
}
public void ExecuteAnalyzer(DateTime startDate, int numOfYear, StrategyAnalyzer analyzer, string fxCode)
{
DateTime endYear = startDate.AddYears(numOfYear);
analyzer.Execute(startDate, endYear, 3, fxCode);
}
