public static string SimulateEaOrders()
{
string eaOrderFileName = eaOrderFileName = string.Format("{0}\\ea_order_{1}.txt", TestParameters.BaseDir, TestParameters2.CandidateParameter.MainSymbol);
int nTpsl = TestParameters2.nTpsl;
long[, , ,] costs = new long[2, TestParameters.TpMaxCount, TestParameters.SlMaxCount, 2];
long[, , ,] dealCnts = new long[2, TestParameters.TpMaxCount, TestParameters.SlMaxCount, 2];
long[, , ,] dealTimes = new long[2, TestParameters.TpMaxCount, TestParameters.SlMaxCount, 2];
List<Tuple<DateTime, long[]>> historyCostTF2 = new List<Tuple<DateTime, long[]>>();
List<Tuple<DateTime, long[]>> historyCostBS2 = new List<Tuple<DateTime, long[]>>();
IHpData hpDatas = new HpDbData(TestParameters2.CandidateParameter.MainSymbol);
long nowMoney = 3000000000;
using (StreamReader sr1 = new StreamReader(eaOrderFileName))
{
while (true)
{
if (sr1.EndOfStream)
break;
string s = sr1.ReadLine();
string[] ss = s.Split(new char[] { ',' });
DateTime nowDate = Convert.ToDateTime(ss[2]).AddMinutes(-WekaUtils.GetMinuteofPeriod(TestParameters2.CandidateParameter.MainPeriod));
//nowDate = nowDate.AddMinutes((new Random()).Next(15) * 15);
var hps = hpDatas.GetHpData(nowDate);
if (hps == null)
continue;
long nowTime = WekaUtils.GetTimeFromDate(nowDate);
int selectedDeal = 2;
if (ss[1].Trim() == "Sell")
selectedDeal = 1;
else if (ss[1].Trim() == "Buy")
selectedDeal = 0;
else
throw new ArgumentException("invalid deal type.");
{
int tpp = TestParameters.GetTpSlMinDelta(TestParameters2.CandidateParameter.MainSymbol) * nTpsl;
int tp1 = Convert.ToInt32(ss[3]);
int sl1 = Convert.ToInt32(ss[4]);
int selectedDealVol = 1;
int tp = tp1 / tpp - 1;
int sl = sl1 / tpp - 1;
int v = (int)(selectedDealVol * 100);
//v = maxPoint / sl1;
v = 1;
//v = (int)(nowMoney / 300000);
//v = v / Math.Min(tp, sl); //sl
int cv = v * hps.Item1[selectedDeal, tp, sl, 0];
int tpv = tp1 * cv;
costs[selectedDeal, tp, sl, 0] -= tpv;
dealCnts[selectedDeal, tp, sl, 0] += cv;
dealTimes[selectedDeal, tp, sl, 0] += cv * (hps.Item2[selectedDeal, tp, sl] - nowTime);
cv = v * hps.Item1[selectedDeal, tp, sl, 1];
int slv = sl1 * cv;
costs[selectedDeal, tp, sl, 1] += slv;
dealCnts[selectedDeal, tp, sl, 1] += cv;
dealTimes[selectedDeal, tp, sl, 1] += cv * (hps.Item2[selectedDeal, tp, sl] - nowTime);
nowMoney = nowMoney + tpv - slv;
}
// Stat
{
long[] costsTF2 = new long[2];
long[] dealCntTF2 = new long[2];
long[] dealTimeTF2 = new long[2];
long[] costsBS2 = new long[2];
long[] dealCntBS2 = new long[2];
for (int t = 0; t < 2; ++t)
for (int m = 0; m < 2; ++m)
{
for (int tp1 = 0; tp1 < TestParameters.TpMaxCount; ++tp1)
for (int sl1 = 0; sl1 < TestParameters.SlMaxCount; ++sl1)
{
costsTF2[t] += costs[m, tp1, sl1, t];
dealCntTF2[t] += dealCnts[m, tp1, sl1, t];
dealTimeTF2[t] += dealTimes[m, tp1, sl1, t];
costsBS2[m] += costs[m, tp1, sl1, t];
dealCntBS2[m] += dealCnts[m, tp1, sl1, t];
}
}
string ret = string.Format("{0}, {1},{2},{3}\t{4},{5},{6}\t{7},{8},{9}\t{10},{11},{12}\t{13},{14},{15}\t{16}",
nowDate.ToString(Parameters.DateTimeFormat),
(costsTF2[0] / 1e4).ToString("F2"), (costsTF2[1] / 1e4).ToString("F2"), ((costsTF2[0] + costsTF2[1]) / 1e4).ToString("F2"),
(costsBS2[0] / 1e4).ToString("F2"), (costsBS2[1] / 1e4).ToString("F2"), ((costsBS2[0] + costsBS2[1]) / 1e4).ToString("F2"),
dealCntBS2[0] == 0 ? "0" : (costsBS2[0] / dealCntBS2[0]).ToString("F0"),
dealCntBS2[1] == 0 ? "0" : (costsBS2[1] / dealCntBS2[1]).ToString("F0"),
(dealCntBS2[0] + dealCntBS2[1]) == 0 ? "0" : ((costsBS2[0] + costsBS2[1]) / (dealCntBS2[0] + dealCntBS2[1])).ToString("F0"),
dealCntTF2[0], dealCntTF2[1], (dealCntTF2[0] + dealCntTF2[1]) == 0 ? "0" : ((double)dealCntTF2[0] / (dealCntTF2[0] + dealCntTF2[1])).ToString("F2"),
dealTimeTF2[0] == 0 ? "0" : (costsTF2[0] * 1e8 / dealTimeTF2[0]).ToString("F0"),
dealTimeTF2[1] == 0 ? "0" : (costsTF2[1] * 1e8 / dealTimeTF2[1]).ToString("F0"),
(dealTimeTF2[0] + dealTimeTF2[1]) == 0 ? "0" : ((costsTF2[0] + costsTF2[1]) * 1e8 / (dealTimeTF2[0] + dealTimeTF2[1])).ToString("F0"),
selectedDeal);
//if (nowDate.Hour == 10)
{
WekaUtils.Instance.WriteLog(ret);
}
historyCostTF2.Add(new Tuple<DateTime, long[]>(nowDate, costsTF2));
historyCostBS2.Add(new Tuple<DateTime, long[]>(nowDate, costsBS2));
}
}
}
string figureFileName = TestParameters.GetBaseFilePath("figure.txt");
if (System.IO.File.Exists(figureFileName))
{
System.IO.File.Delete(figureFileName);
}
List<double> allCosts = new List<double>();
int nnn = historyCostBS2.Count / 2000;
nnn = Math.Max(1, nnn);
using (StreamWriter sw = new StreamWriter(figureFileName))
{
for (int j = 0; j < historyCostBS2.Count; ++j)
{
sw.Write(historyCostBS2[j].Item1.ToString(Parameters.DateTimeFormat));
sw.Write(", ");
double sum = 0;
for (int i = 0; i < 2; ++i)
{
sw.Write(historyCostBS2[j].Item2[i]);
sw.Write(", ");
sum += historyCostBS2[j].Item2[i];
}
sw.WriteLine(sum);
if (j % nnn == 0)
{
allCosts.Add(-sum);
}
}
}
var maxDrawdown = GetMaximumDrawdown(allCosts);
var linearCLC = GetNumericCLC(allCosts);
string summary = string.Format("TotalProfit = {0}, MaxDrawdown = {1}, ProfitFactor = {2}, CLC = {3}",
allCosts[allCosts.Count - 1], maxDrawdown, (double)historyCostTF2[historyCostTF2.Count - 1].Item2[0] / -historyCostTF2[historyCostTF2.Count - 1].Item2[1],
linearCLC);
WekaUtils.Instance.WriteLog(summary);
return summary;
}
public string SimulateAccordDealLog(bool writeEaOrderFileName = true, bool testMode = true)
{
string ret = string.Empty;
WekaUtils.Instance.WriteLog("Now SimulateAccordDealLog");
int nTpsl = TestParameters2.nTpsl;
int tpStart = TestParameters2.tpStart;
int slStart = TestParameters2.slStart;
int tpCount = TestParameters2.tpCount;
int slCount = TestParameters2.slCount;
int symbolIdx = 0;
var symbols = new string[] { TestParameters2.CandidateParameter.MainSymbol };
var weeks = new string[] { TestParameters2.lastWeek };
string eaOrderFileName = null;
StreamWriter swEaOrderFile = null;
if (writeEaOrderFileName)
{
eaOrderFileName = string.Format("{0}\\ea_order_{1}.txt", TestParameters.BaseDir, TestParameters2.CandidateParameter.MainSymbol);
swEaOrderFile = new StreamWriter(eaOrderFileName, true);
}
// DateTime, DealType, Tp, Sl, Cost, num, ccScores
//Dictionary<DateTime, Tuple<int[, , ,], long[, ,]>>[] hpDatas = new Dictionary<DateTime, Tuple<int[, , ,], long[, ,]>>[symbols.Length];
IHpData hpDatas = null;
SortedDictionary<DateTime, Tuple<int, int, int, int, int, double[, ,]>>[,] dealsList = new SortedDictionary<DateTime, Tuple<int, int, int, int, int, double[, ,]>>[symbols.Length, weeks.Length];
List<Dictionary<DateTime, Tuple<int, long>>> incrementTests = new List<Dictionary<DateTime, Tuple<int, long>>>();
//incrementTests.Add(ReadTestResult(TestParameters.GetBaseFilePath(string.Format("IncrementTest_{0}_CCScores_w8.txt", symbols[symbolIdx]))));
//incrementTests.Add(ReadTestResult(TestParameters.GetBaseFilePath(string.Format("IncrementTest_{0}_CCScores_w6.txt", symbols[symbolIdx]))));
//incrementTests.Add(ReadTestResult(TestParameters.GetBaseFilePath(string.Format("IncrementTest_{0}_CCScores_w4.txt", symbols[symbolIdx]))));
//incrementTests.Add(ReadTestResult(TestParameters.GetBaseFilePath(string.Format("IncrementTest_{0}_CCScores_w2.txt", symbols[symbolIdx]))));
//incrementTests.Add(ReadTestResult(TestParameters.GetBaseFilePath(string.Format("IncrementTest_{0}_CCScores_w1.txt", symbols[symbolIdx]))));
//incrementTests.Add(ReadTestResult(TestParameters.GetBaseFilePath(string.Format("IncrementTest_{0}_CandlePattern_D1.txt", symbols[symbolIdx])), 6));
//incrementTests.Add(ReadTestResult(TestParameters.GetBaseFilePath(string.Format("IncrementTest_{0}_CandlePattern_H4.txt", symbols[symbolIdx])), 1));
//incrementTests.Add(ReadTestResult(TestParameters.GetBaseFilePath(string.Format("IncrementTest_{0}_Price_D1.txt", symbols[symbolIdx])), 6));
//incrementTests.Add(ReadTestResult(TestParameters.GetBaseFilePath(string.Format("IncrementTest_{0}_Price_H4.txt", symbols[symbolIdx])), 1));
//incrementTests.Add(ReadTestResult(TestParameters.GetBaseFilePath(string.Format("IncrementTest_{0}_ccScores_D1_w4.txt", symbols[symbolIdx])), 6));
//incrementTests.Add(ReadTestResult(TestParameters.GetBaseFilePath(string.Format("IncrementTest_{0}_ccScores_H4_w4.txt", symbols[symbolIdx])), 1));
//incrementTests.Add(ReadTestResult(TestParameters.GetBaseFilePath(string.Format("IncrementTest_{0}_ccScores_D1_w8.txt", symbols[symbolIdx])), 6));
//incrementTests.Add(ReadTestResult(TestParameters.GetBaseFilePath(string.Format("IncrementTest_{0}_ccScores_D1_w2.txt", symbols[symbolIdx])), 6));
//incrementTests.Add(ReadTestResult(TestParameters.GetBaseFilePath(string.Format("IncrementTest_{0}_ccScores_D1_w1.txt", symbols[symbolIdx])), 6));
//incrementTests.Add(InvertIncrementTest(ReadTestResult(TestParameters.GetBaseFilePath(string.Format("IncrementTest_USDX_Price_D1.txt", symbols[symbolIdx])), 6)));
//incrementTests.Add(InvertIncrementTest(ReadTestResult(TestParameters.GetBaseFilePath(string.Format("IncrementTest_USDX_CandlePattern_D1.txt", symbols[symbolIdx])), 6)));
//AddToIncrementTests(incrementTests, string.Format("IncrementTest_{0}_Price_{1}.txt", symbols[symbolIdx], TestParameters2.CandidateParameter.MainPeriod));
//AddToIncrementTests(incrementTests, string.Format("IncrementTest_{0}_CandlePattern_{1}.txt", symbols[symbolIdx], TestParameters2.CandidateParameter.MainPeriod));
//AddToIncrementTests(incrementTests, string.Format("IncrementTest_{0}_ccScores_{1}_w{2}.txt", symbols[symbolIdx], TestParameters2.CandidateParameter.MainPeriod, TestParameters2.lastWeek));
//incrementTests[0] = InvertIncrementTest(incrementTests[0]);
string herePeriod = "";
int minPeriod = int.MaxValue;
foreach (string incrementFile in Directory.GetFiles(TestParameters.BaseDir, string.Format("IncrementTest_{0}_*.txt", TestParameters2.CandidateParameter.MainSymbol)))
{
string file = Path.GetFileName(incrementFile);
foreach (string p in Parameters.AllPeriodsFull)
{
if (file.Contains(string.Format("_{0}.txt", p)))
{
if (WekaUtils.GetMinuteofPeriod(p) < minPeriod)
{
minPeriod = WekaUtils.GetMinuteofPeriod(p);
herePeriod = p;
}
}
}
}
foreach (string incrementFile in Directory.GetFiles(TestParameters.BaseDir, string.Format("IncrementTest_{0}_*.txt", TestParameters2.CandidateParameter.MainSymbol)))
{
string file = Path.GetFileName(incrementFile);
int n = 0;
foreach (string p in Parameters.AllPeriodsFull)
{
if (p != TestParameters2.CandidateParameter.MainPeriod)
continue;
if (file.Contains(string.Format("_{0}.txt", p)))
{
n = WekaUtils.GetMinuteofPeriod(p) / minPeriod;
incrementTests.Add(ReadTestResult(incrementFile, n, minPeriod));
}
}
}
if (incrementTests.Count == 0)
{
if (swEaOrderFile != null)
swEaOrderFile.Close();
return ret;
}
string ccScoreFileName = TestParameters.GetBaseFilePath(string.Format("{0}_ccScores_w{2}_{1}.txtnnn",
symbols[symbolIdx], herePeriod, weeks[0]));
if (System.IO.File.Exists(ccScoreFileName))
{
dealsList[symbolIdx, 0] = CCScoreData.GetDetailDeals(ccScoreFileName, nTpsl);
}
else
{
dealsList[symbolIdx, 0] = new SortedDictionary<DateTime, Tuple<int, int, int, int, int, double[, ,]>>();
}
if (testMode)
{
hpDatas = new HpDbData(symbols[symbolIdx]);
//hpDatas[symbolIdx] = HpData.Instance.GetHpDateFromTxt(TestParameters.GetBaseFilePath(
// string.Format("{0}_{1}_hpdata.txt", symbols[symbolIdx], herePeriod)), nTpsl);
}
List<Tuple<DateTime, long[]>> historyCostTF2 = new List<Tuple<DateTime, long[]>>();
List<Tuple<DateTime, long[]>> historyCostBS2 = new List<Tuple<DateTime, long[]>>();
List<Tuple<DateTime, int, int>> timedCost = new List<Tuple<DateTime, int, int>>();
DateTime nextDealDate = DateTime.MinValue;
long[, , ,] costs = new long[2, TestParameters.TpMaxCount, TestParameters.SlMaxCount, 2];
long[, , ,] dealCnts = new long[2, TestParameters.TpMaxCount, TestParameters.SlMaxCount, 2];
long[, , ,] dealTimes = new long[2, TestParameters.TpMaxCount, TestParameters.SlMaxCount, 2];
foreach (var nowDate in incrementTests[0].Keys)
{
if (nowDate < nextDealDate)
continue;
Tuple<int[, , ,], long[, ,]> hps = null;
if (testMode)
{
hps = hpDatas.GetHpData(nowDate);
if (hps == null)
continue;
}
int selectedSl = -1;
int selectedDeal = -1;
double selectedDealVol = 0;
int selectedDeal1 = -1;
{
if (dealsList[symbolIdx, 0].ContainsKey(nowDate))
{
var ccScores = dealsList[symbolIdx, 0][nowDate].Item6;
double[] sum = new double[Parameters.AllDealTypes.Length];
double[] oscsum = new double[Parameters.AllDealTypes.Length];
int oscCnt = 0;
for (int k = 0; k < 2; ++k)
for (int i = 0; i < ccScores.GetLength(1); ++i)
for (int j = 0; j < ccScores.GetLength(2); ++j)
{
sum[k] += ccScores[k, i, j];
}
for (int i = 0; i < ccScores.GetLength(1); ++i)
for (int j = 0; j < ccScores.GetLength(2); ++j)
{
if (ccScores[0, i, j] < 0 && ccScores[1, i, j] < 0)
{
oscsum[0] += ccScores[0, i, j];
oscsum[1] += ccScores[1, i, j];
oscCnt++;
}
}
if (sum[0] < sum[1] && sum[0] < 0)
{
selectedDeal1 = 0;
}
else if (sum[1] < sum[0] && sum[1] < 0)
{
selectedDeal1 = 1;
}
//if (oscCnt > 400 / 16)
//{
// selectedDeal1 = -1;
//}
}
}
int selectedDeal2 = -1;
{
int clsRet = incrementTests[0][nowDate].Item1;
bool incrementTestAllSame = true;
foreach (var iii in incrementTests)
{
if (!iii.ContainsKey(nowDate) || clsRet != iii[nowDate].Item1)
{
incrementTestAllSame = false;
break;
}
}
if (incrementTestAllSame)
{
selectedDeal2 = clsRet;
selectedDealVol = 1;
}
}
int selectedDeal3 = -1;
{
double minCount = incrementTests.Count / 2.0;
int[] clsResults = new int[3];
foreach (var iii in incrementTests)
{
if (iii.ContainsKey(nowDate))
{
clsResults[iii[nowDate].Item1]++;
}
}
if (clsResults[0] >= minCount)
selectedDeal3 = 0;
else if (clsResults[1] >= minCount)
selectedDeal3 = 1;
}
selectedDeal = selectedDeal2;
if (selectedDeal == -1 || selectedDeal == 2)
continue;
// Select min sl
{
if (dealsList[symbolIdx, 0].ContainsKey(nowDate))
{
var ccScores = dealsList[symbolIdx, 0][nowDate].Item6;
for (int m = 0; m < weeks.Length; ++m)
{
int selectedSl1 = -1;
double[] tpSumccScores = new double[slCount];
for (int tp1 = tpStart; tp1 < tpCount; ++tp1)
for (int sl1 = slStart; sl1 < slCount; ++sl1)
{
tpSumccScores[sl1] += ccScores[selectedDeal, tp1, sl1];
}
for (int sl1 = slStart; sl1 < slCount; ++sl1)
{
if (tpSumccScores[sl1] < 0)
{
selectedSl1 = sl1;
break;
}
}
if (selectedSl1 == -1)
break;
selectedSl = Math.Max(selectedSl, selectedSl1);
}
//if (selectedSl == -1)
// continue;
//selectedSl = 0;
}
}
bool isFiltered = false;
isFiltered = TestManager.Filter(nowDate);
if (isFiltered)
continue;
//selectedDeal = 1 - selectedDeal;
//var atr = Feng.Data.DbHelper.Instance.ExecuteScalar("SELECT ATR_14 FROM USDJPY_D1 WHERE TIME = " + WekaUtils.GetTimeFromDate(new DateTime(nowDate.Year, nowDate.Month, nowDate.Day)));
//if (atr == null)
// continue;
//int x = (int)((double)atr * 10000 * 4);
//x /= 100;
//x = x / 40 - 1;
//selectedSl = x;
selectedSl = Math.Max(selectedSl, tpStart);
selectedSl = Math.Min(selectedSl, tpCount - 1);
selectedSl = 5;
selectedSl = -1;
int selectedTp = -1;
int maxPoint = TestParameters.TpMaxCount * TestParameters.GetTpSlMinDelta(symbols[symbolIdx]);
long nowTime = WekaUtils.GetTimeFromDate(nowDate);
int allDealCnt = 1;
if (selectedTp == -1)
allDealCnt *= (tpCount - tpStart);
if (selectedSl == -1)
allDealCnt *= (slCount - slStart);
double stepHour = 6;
stepHour = Math.Min(stepHour, WekaUtils.GetMinuteofPeriod(herePeriod) / 60.0);
int secondPerDeal = (int)(3600 * stepHour / allDealCnt);
for (double tt = 0; tt < WekaUtils.GetMinuteofPeriod(herePeriod) / 60.0; tt += stepHour)
{
int n = 0;
for (int tp = tpStart; tp < tpCount; ++tp)
{
if (selectedTp != -1 && tp != selectedTp)
continue;
for (int sl = slStart; sl < slCount; ++sl)
{
if (selectedSl != -1 && sl != selectedSl)
continue;
int tpp = TestParameters.GetTpSlMinDelta(symbols[symbolIdx]) * nTpsl;
int tp1 = tpp * (tp + 1);
int sl1 = tpp * (sl + 1);
DateTime closeDate = nowDate.AddSeconds(incrementTests[0][nowDate].Item2);
long closeTime = WekaUtils.GetTimeFromDate(closeDate);
if (testMode)
{
int v = (int)(selectedDealVol * 100);
//v = maxPoint / sl1;
v = 1;
if (closeTime >= hps.Item2[selectedDeal, tp, sl] || true)
{
int cv = v * hps.Item1[selectedDeal, tp, sl, 0];
int tpv = tp1 * cv;
costs[selectedDeal, tp, sl, 0] -= tpv;
dealCnts[selectedDeal, tp, sl, 0] += cv;
dealTimes[selectedDeal, tp, sl, 0] += cv * (hps.Item2[selectedDeal, tp, sl] - nowTime);
cv = v * hps.Item1[selectedDeal, tp, sl, 1];
int slv = sl1 * cv;
costs[selectedDeal, tp, sl, 1] += slv;
dealCnts[selectedDeal, tp, sl, 1] += cv;
dealTimes[selectedDeal, tp, sl, 1] += cv * (hps.Item2[selectedDeal, tp, sl] - nowTime);
if (swEaOrderFile != null)
{
swEaOrderFile.WriteLine(string.Format("{0}, {1}, {2}, {3}, {4}, 0, 0, {5}, {6}",
TestParameters2.CandidateParameter.MainSymbol,
selectedDeal == 0 ? "Buy" : "Sell",
nowDate.AddMinutes(WekaUtils.GetMinuteofPeriod(TestParameters2.CandidateParameter.MainPeriod))
.AddHours(tt).AddSeconds(n * secondPerDeal).ToString(Parameters.DateTimeFormat),
tp1, sl1,
WekaUtils.GetDateFromTime(hps.Item2[selectedDeal, tp, sl]).ToString(Parameters.DateTimeFormat),
tpv > slv ? "Right" : "Wrong"));
}
}
else
{
//continue;
double? openPrice = (double?)Feng.Data.DbHelper.Instance.ExecuteScalar(string.Format(
"SELECT TOP 1 [CLOSE] FROM {0}_M1 WHERE TIME = {1} ORDER BY TIME", symbols[symbolIdx], WekaUtils.GetTimeFromDate(nowDate)));
double? closePrice = (double?)Feng.Data.DbHelper.Instance.ExecuteScalar(string.Format(
"SELECT TOP 1 [CLOSE] FROM {0}_M1 WHERE TIME = {1} ORDER BY TIME", symbols[symbolIdx], closeTime));
if (!openPrice.HasValue || !closePrice.HasValue)
continue;
double delta = closePrice.Value - openPrice.Value;
if (delta == 0)
continue;
int t = (int)(Math.Abs(delta) * 10000);
if ((selectedDeal == 0 && delta > 0)
|| (selectedDeal == 1 && delta < 0))
{
System.Diagnostics.Debug.Assert(t < tp1);
int cv = v * 1;
int tpv = t * cv - 2;
costs[selectedDeal, tp, sl, 0] -= tpv;
dealCnts[selectedDeal, tp, sl, 0] += cv;
dealTimes[selectedDeal, tp, sl, 0] += cv * (closeTime - nowTime);
}
else if ((selectedDeal == 1 && delta > 0)
|| (selectedDeal == 0 && delta < 0))
{
System.Diagnostics.Debug.Assert(t < sl1);
int cv = v * 1;
int slv = t * cv + 2;
costs[selectedDeal, tp, sl, 1] += slv;
dealCnts[selectedDeal, tp, sl, 1] += cv;
dealTimes[selectedDeal, tp, sl, 1] += cv * (closeTime - nowTime);
}
else
{
throw new ArgumentException("");
}
}
//nextDealDate = WekaUtils.GetDateFromTime(hps.Item2[selectedDeal, tp, sl]);
}
else
{
if (swEaOrderFile != null)
{
swEaOrderFile.WriteLine(string.Format("{0}, {1}, {2}, {3}, {4}, 0, 0, {5}, {6}",
TestParameters2.CandidateParameter.MainSymbol,
selectedDeal == 0 ? "Buy" : "Sell",
nowDate.AddMinutes(WekaUtils.GetMinuteofPeriod(TestParameters2.CandidateParameter.MainPeriod))
.AddHours(tt).AddSeconds(n * secondPerDeal).ToString(Parameters.DateTimeFormat),
tp1, sl1,
"Unknown", "Unknown"));
}
}
n++;
}
}
}
if (testMode)
{
long[] costsTF2 = new long[2];
long[] dealCntTF2 = new long[2];
long[] dealTimeTF2 = new long[2];
long[] costsBS2 = new long[2];
long[] dealCntBS2 = new long[2];
for (int t = 0; t < 2; ++t)
for (int m = 0; m < 2; ++m)
{
for (int tp1 = 0; tp1 < TestParameters.TpMaxCount; ++tp1)
for (int sl1 = 0; sl1 < TestParameters.SlMaxCount; ++sl1)
{
costsTF2[t] += costs[m, tp1, sl1, t];
dealCntTF2[t] += dealCnts[m, tp1, sl1, t];
dealTimeTF2[t] += dealTimes[m, tp1, sl1, t];
costsBS2[m] += costs[m, tp1, sl1, t];
dealCntBS2[m] += dealCnts[m, tp1, sl1, t];
}
}
ret = string.Format("{0}, {1},{2},{3}\t{4},{5},{6}\t{7},{8},{9}\t{10},{11},{12}\t{13},{14},{15}\t{16}",
nowDate.ToString(Parameters.DateTimeFormat),
(costsTF2[0] / 1e4).ToString("F2"), (costsTF2[1] / 1e4).ToString("F2"), ((costsTF2[0] + costsTF2[1]) / 1e4).ToString("F2"),
(costsBS2[0] / 1e4).ToString("F2"), (costsBS2[1] / 1e4).ToString("F2"), ((costsBS2[0] + costsBS2[1]) / 1e4).ToString("F2"),
dealCntBS2[0] == 0 ? "0" : (costsBS2[0] / dealCntBS2[0]).ToString("F0"),
dealCntBS2[1] == 0 ? "0" : (costsBS2[1] / dealCntBS2[1]).ToString("F0"),
(dealCntBS2[0] + dealCntBS2[1]) == 0 ? "0" : ((costsBS2[0] + costsBS2[1]) / (dealCntBS2[0] + dealCntBS2[1])).ToString("F0"),
dealCntTF2[0], dealCntTF2[1], (dealCntTF2[0] + dealCntTF2[1]) == 0 ? "0" : ((double)dealCntTF2[0] / (dealCntTF2[0] + dealCntTF2[1])).ToString("F2"),
dealTimeTF2[0] == 0 ? "0" : (costsTF2[0] * 1e8 / dealTimeTF2[0]).ToString("F0"),
dealTimeTF2[1] == 0 ? "0" : (costsTF2[1] * 1e8 / dealTimeTF2[1]).ToString("F0"),
(dealTimeTF2[0] + dealTimeTF2[1]) == 0 ? "0" : ((costsTF2[0] + costsTF2[1]) * 1e8 / (dealTimeTF2[0] + dealTimeTF2[1])).ToString("F0"),
selectedDeal);
//if (nowDate.Hour == 10)
{
WekaUtils.Instance.WriteLog(ret);
}
historyCostTF2.Add(new Tuple<DateTime, long[]>(nowDate, costsTF2));
historyCostBS2.Add(new Tuple<DateTime, long[]>(nowDate, costsBS2));
}
}
if (swEaOrderFile != null)
swEaOrderFile.Close();
string figureFileName = TestParameters.GetBaseFilePath("figure.txt");
if (System.IO.File.Exists(figureFileName))
{
System.IO.File.Delete(figureFileName);
}
List<double> allCosts = new List<double>();
int nnn = historyCostBS2.Count / 2000;
nnn = Math.Max(1, nnn);
using (StreamWriter sw = new StreamWriter(figureFileName))
{
for (int j = 0; j < historyCostBS2.Count; ++j)
{
sw.Write(historyCostBS2[j].Item1.ToString(Parameters.DateTimeFormat));
sw.Write(", ");
double sum = 0;
for (int i = 0; i < 2; ++i)
{
sw.Write(historyCostBS2[j].Item2[i]);
sw.Write(", ");
sum += historyCostBS2[j].Item2[i];
}
sw.WriteLine(sum);
if (j % nnn == 0)
{
allCosts.Add(-sum);
}
}
}
var maxDrawdown = GetMaximumDrawdown(allCosts);
var linearCLC = GetNumericCLC(allCosts);
string summary = string.Format("TotalProfit = {0}, MaxDrawdown = {1}, ProfitFactor = {2}, CLC = {3}",
allCosts.Count == 0 ? 0 : allCosts[allCosts.Count - 1], maxDrawdown,
historyCostTF2.Count <= 1 ? 0 : (double)historyCostTF2[historyCostTF2.Count - 1].Item2[0] / -historyCostTF2[historyCostTF2.Count - 1].Item2[1],
linearCLC);
WekaUtils.Instance.WriteLog(summary);
return ret + System.Environment.NewLine + summary;
}
