public IntoGapStrategy(object entry, double stop, object target, StrategyStats stats, double minimumGapSize,
List <ITrade> trades, bool isFixedStop, bool isStopTrailed, double trialedStopSize) : base(entry, stop, target,
stats, trades, isFixedStop, minimumGapSize, isStopTrailed, trialedStopSize)
{
Name = $"{IntoGapName} | {Name}";
ShortName = $"{IntoGapName} | {ShortName}";
}
public StrategyResultsStatsViewModel(StrategyStats stats)
{
TradeCount = $"{stats.TradeCount}";
Wins = $"{stats.Wins}";
Loses = $"{stats.Loses}";
LongestWinningStreak = $"{stats.LongestWinningStreak}";
LongestLosingStreak = $"{stats.LongestLosingStreak}";
PointsProfit = $"{stats.PointsTotal:N1}";
CashProfit = $"{stats.CashProfit:N1}";
BiggestWin = $"{stats.BiggestCashWin:N1}";
AverageLoss = double.IsNaN(stats.AveragePointsLoss)
? "---"
: $"{stats.AveragePointsLoss:N1}";
AverageWin = double.IsNaN(stats.AverageCashWin)
? "---"
: $"{stats.AverageCashWin:N1}";
WinProbability = double.IsNaN(stats.WinProbability)
? "---"
: $"{stats.WinProbability:P}";
ProfitFactor = double.IsNaN(stats.ProfitFactor) ||
double.IsInfinity(stats.ProfitFactor)
? "---"
: $"{stats.ProfitFactor:N1}";
Expectancy = double.IsNaN(stats.Expectancy)
? "---"
: $"{stats.Expectancy:N1}";
}
protected GapFillStrategy(object entry, double stop, object target, StrategyStats stats, List <ITrade> trades,
bool isFixedStop, double minimumGapSize, bool isStopTrailed, double trailedStopSize) :
base(entry, stop, target, stats, trades, isStopTrailed, trailedStopSize)
{
MinimumGapSize = minimumGapSize;
SetName(entry, stop, target, isFixedStop, isStopTrailed, trailedStopSize);
}
public StrategyResultsStatsViewModel(StrategyStats stats, IRunner runner, string name = "Strategy Statistics")
{
_accountStartSize = stats.StartBalance;
_runner = runner;
Name = name;
AssignData(stats);
HasResults = true;
}
private void WriteReport(string name, StreamWriter writer)
{
fwriter = writer;
StrategyStats stats = new StrategyStats(performance.ComboTrades);
fwriter.WriteLine("<HTML>");
fwriter.WriteLine("<HEAD>");
WriteStyle();
fwriter.WriteLine("</HEAD>");
fwriter.WriteLine("<BODY>");
fwriter.WriteLine("<H1>" + name + " Strategy Report</H1>");
fwriter.WriteLine("<A href=\"Equity.html\">Equity Report</A><BR>");
fwriter.WriteLine("<A href=\"Trades.html\">Trade List</A>");
fwriter.WriteLine("</BODY>");
fwriter.WriteLine("</HTML>");
}
private void WriteReport(string name, StreamWriter writer)
{
fwriter = writer;
StrategyStats stats = new StrategyStats(performance.ComboTrades);
fwriter.WriteLine("<HTML>");
fwriter.WriteLine("<HEAD>");
WriteStyle();
fwriter.WriteLine("</HEAD>");
fwriter.WriteLine("<BODY>");
fwriter.WriteLine("<H1>" + name + " Strategy Report</H1>");
fwriter.WriteLine("<BR>");
WriteTrades(performance.ComboTrades, stats.ComboTrades, true);
fwriter.WriteLine("</BODY>");
fwriter.WriteLine("</HTML>");
}
//Structure represent the estimation criteria for the "strategy accuracry" on all stocks.
private static StrategyStats EstimateStrategy(decimal[] list)
{
StrategyStats estData = new StrategyStats();
for (int rowId = 0; rowId < list.Length; rowId++)
{
if (list[rowId] > 0)
{
estData.winStockCount++;
if ((double)list[rowId] > estData.maxWinAmt)
{
estData.maxWinAmt = (double)list[rowId];
}
estData.totalWinAmt += (double)list[rowId];
}
if (list[rowId] < 0)
{
estData.lossStockCount++;
if ((double)list[rowId] < estData.maxLossAmt)
{
estData.maxLossAmt = (double)list[rowId];
}
estData.totalLossAmt += (double)list[rowId];
}
}
if (list.Length > 0)
{
estData.winStockPerc = 100 * estData.winStockCount / (double)list.Length;
estData.lossStockPerc = 100 * estData.lossStockCount / (double)list.Length;
}
if (estData.winStockCount > 0)
{
estData.avgWinAmt = estData.totalWinAmt / (double)estData.winStockCount;
}
if (estData.lossStockCount > 0)
{
estData.avgLossAmt = estData.totalLossAmt / (double)estData.lossStockCount;
}
return(estData);
}
public IntoGapStrategy(object entry, double stop, object target, StrategyStats stats, double minimumGapSize,
List <ITrade> trades, string title) : base(entry, stop, target, stats, trades, title)
{
MinimumGapSize = minimumGapSize;
}
public override void Constructor(TransactionPairs trades)
{
strategyStats = new StrategyStats(trades);
equityStats = new EquityStats(trades, trades, trades, trades);
baseStats = tradeStats = strategyStats.ComboTrades;
}
private void AssignData(StrategyStats stats)
{
_cashProfit = stats.CashProfit;
TradeCount = $"{stats.TradeCount}";
Wins = $"{stats.Wins}";
Loses = $"{stats.Loses}";
LongestWinningStreak = $"{stats.LongestWinningStreak}";
LongestLosingStreak = $"{stats.LongestLosingStreak}";
PointsProfit = $"{stats.PointsTotal:N1}";
CashProfit = $"{stats.CashProfit:C}";
BiggestCashWin = $"{stats.BiggestCashWin:C}";
BiggestPointsWin = $"{stats.BiggestPointsWin:N1}";
BiggestCashLoss = $"{stats.BiggestCashLoss:C}";
BiggestPointsLoss = $"{stats.BiggestPointsLoss:N1}";
AverageMaximumAdverseExcursion = double.IsNaN(stats.AverageMaximumAdverseExcursion)
? "---"
: $"{stats.AverageMaximumAdverseExcursion:N1}";
AverageMaximumFavourableExcursion = double.IsNaN(stats.AverageMaximumFavourableExcursion)
? "---"
: $"{stats.AverageMaximumFavourableExcursion:N1}";
AverageDrawdown = double.IsNaN(stats.AverageDrawdown)
? "---"
: $"{stats.AverageDrawdown:P}";
AverageRealisedProfitPercentage = double.IsNaN(stats.AverageRealisedProfitPercentage)
? "---"
: $"{stats.AverageRealisedProfitPercentage:P}";
AverageRiskRewardRatio = double.IsNaN(stats.AverageRiskRewardRatio)
? "---"
: $"{stats.AverageRiskRewardRatio:N1}";
AverageResultInR = double.IsNaN(stats.AverageResultInR)
? "---"
: $"{stats.AverageResultInR:N1}";
AverageWin = double.IsNaN(stats.AveragePointsWin) || double.IsNaN(stats.AverageCashWin)
? "---"
: $"{stats.AveragePointsWin:N1} Points / {stats.AverageCashWin:C}";
AverageLoss = double.IsNaN(stats.AveragePointsLoss) || double.IsNaN(stats.AverageCashLoss)
? "---"
: $"{stats.AveragePointsLoss:N1} Points / {stats.AverageCashLoss:C}";
AverageUnrealisedProfit = double.IsNaN(stats.AverageUnrealisedProfitPoints) ||
double.IsNaN(stats.AverageUnrealisedProfitCash)
? "---"
: $"{stats.AverageUnrealisedProfitPoints:N1} Points / {stats.AverageUnrealisedProfitCash:C}";
WinProbability = double.IsNaN(stats.WinProbability)
? "---"
: $"{stats.WinProbability:P}";
ProfitFactor = double.IsNaN(stats.ProfitFactor) ||
double.IsInfinity(stats.ProfitFactor)
? "---"
: $"{stats.ProfitFactor:N1}";
Expectancy = double.IsNaN(stats.PointsExpectancy) || double.IsNaN(stats.CashExpectancy)
? "---"
: $"{stats.PointsExpectancy:N1} Points / {stats.CashExpectancy:C}";
var gain = stats.CashProfit / _accountStartSize;
Gain = $"{gain:P}";
}
public StrategyResultsStatsViewModel(StrategyStats stats, string name = "Strategy Statistics")
{
_accountStartSize = stats.StartBalance;
Name = name;
AssignData(stats);
}
