/// <summary>
/// Duplicate carets to remove. Happens if multiple selection are on same line
/// and hitting home/end
/// </summary>
internal void RemoveDuplicates()
{
if (Selections
.GroupBy(s => s.Caret.GetPoint(Snapshot).Position)
.Any(s => s.Count() > 1))
{
var distinctSelections = Selections
.GroupBy(s => s.Caret.GetPoint(Snapshot).Position)
.Select(s => s.First()).ToList();
Selections = distinctSelections;
}
}
/// <summary>
/// Runs backtest for all Selections and numeric Parameters
/// </summary>
/// <param name="pushResultsToSignal">Update signal's backtest results during execution</param>
/// <returns>Collection of backtest results per each selection and parameters combination</returns>
public List <BacktestResults> Backtest(bool pushResultsToSignal = true)
{
if (_backtestNestingLevel > 2)
{
Alert("Won't run backtest: possible infinite recursion loop");
return(null);
}
var resetBusyFlag = !_isBusy;
_isBusy = true;
var results = new List <BacktestResults>();
if (pushResultsToSignal)
{
BacktestProgress = 0F;
BacktestResults.Clear();
}
lock (_locker)
{
try
{
_backtestNestingLevel++;
//run backtest for each instrument using each possible parameters combinations
var paramSpaces = GetParamCombinations(_origParameters);
var paramNames = GetParamNames(_origParameters);
var paramCombinations = CartesianProduct(paramSpaces);
var total = paramCombinations.Count()
* Selections.Select(i => i.MarketDataSlot).Distinct().Count();
results.Capacity = total;
var current = 0;
foreach (var slot in Selections.GroupBy(i => i.MarketDataSlot))
{
foreach (var paramsCombo in paramCombinations)
{
while (State == SignalState.BacktestingPaused)
{
System.Threading.Thread.Sleep(50);
}
if (State == SignalState.Stopped)
{
return(results);
}
try
{
var allTrades = BacktestSlotItem(slot, paramsCombo);
var progress = (++current / (float)total) * 100F;
var result = new BacktestResults
{
SignalName = this.Name,
Slot = slot.Key,
Index = current,
StartDate = BacktestSettings.StartDate,
EndDate = BacktestSettings.EndDate,
TotalProgress = progress
};
for (var i = 0; i < paramNames.Length; i++)
{
result.Parameters.Add(paramNames[i] + "|" + paramsCombo.ElementAt(i).ToString());
}
if (allTrades != null && allTrades.Count > 0 && State != SignalState.Stopped)
{
foreach (var symTrades in allTrades.GroupBy(i => new
{
i.Instrument.Symbol,
i.Instrument.Timeframe,
i.Instrument.TimeFactor
}))
{
var key = symTrades.First().Instrument;
var summary = GetBacktestSummary(key, symTrades);
summary.TradesCompressed = CompressTrades(symTrades);
result.Summaries.Add(summary);
}
}
results.Add(result);
if (pushResultsToSignal)
{
BacktestResults.Add(result);
BacktestProgress = progress;
}
}
catch (Exception e)
{
Alert($"Failed to run backtest for {Name} on slot #{slot.Key}: {e.Message}");
}
} //^ parameters loop
} //^ slots loop
}
catch (Exception e)
{
System.Diagnostics.Trace.TraceError($"Failed to run backtest for {Name}: {e.Message}");
}
finally
{
if (pushResultsToSignal)
{
BacktestProgress = 100F;
}
if (resetBusyFlag)
{
_isBusy = false;
}
_backtestNestingLevel--;
}
} //^ lock
return(results);
}
