private IResultsProvider Simulate(IEnumerable <IStrategy> strategies)
{
SimulationState[] SimulateStrategy(IStrategy strategy, ProgressBar progress)
{
var description = strategy.StrategyType.GetDescription();
Log.Information($"Simulating strategy: {description}");
var simulator = _simulatorFactory.Create <BacktestingSimulator>();
var result = simulator.Evaluate(strategy, _investorProvider.Current, progress: progress);
return(result.ToArray());
}
var(sequential, parallelisable) = strategies.Split(x => x is IAggregateStrategy);
foreach (var investor in _investorProvider)
{
_resultsProvider.Initialise();
var histories = new ConcurrentDictionary <IStrategy, SimulationState[]>();
using var progress = ProgressBarProvider.Create(0, "Evaluating...");
Parallel.ForEach(parallelisable, strategy =>
{
histories[strategy] = SimulateStrategy(strategy, progress);
});
foreach (var strategy in sequential)
{
histories[strategy] = SimulateStrategy(strategy, progress);
}
_resultsProvider.AddResults(investor, histories);
}
return(_resultsProvider);
}
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 void RateMarketData(DateTime?toDate = null)
{
var buyDates = _marketDataCache
.TakeUntil(toDate)
.Skip(_marketDataCache.BacktestingIndex)
.Select(x => x.Date)
.ToDictionary(k => k, _ => true);
using var progressBar = ProgressBarProvider.Create(_marketDataCache.BacktestingIndex, "Initialising...");
_marketAverage = SimulateBuyDates(buyDates);
_marketMaximum = GetMarketMaximum(buyDates, progressBar);
}