public void CalculateScore_idealLoss()
{
var trades = new List <Trade>
{
new Trade {
ProfitLoss = -2, TotalFees = 1, EntryTime = new DateTime(2018, 01, 01), ExitTime = new DateTime(2018, 02, 01)
},
new Trade {
ProfitLoss = -2, TotalFees = 1, EntryTime = new DateTime(2018, 03, 01), ExitTime = new DateTime(2018, 04, 01)
},
new Trade {
ProfitLoss = -2, TotalFees = 1, EntryTime = new DateTime(2018, 05, 01), ExitTime = new DateTime(2018, 06, 01)
},
new Trade {
ProfitLoss = -2, TotalFees = 1, EntryTime = new DateTime(2018, 07, 01), ExitTime = new DateTime(2019, 01, 01)
}
};
double score = TrackViewModel.CalculateScore(trades);
Assert.IsTrue(score == -1);
}
public void CalculateScore_breakeven()
{
var trades = new List <Trade>
{
new Trade {
ProfitLoss = 5, EntryTime = new DateTime(2018, 01, 01), ExitTime = new DateTime(2018, 02, 01)
},
new Trade {
ProfitLoss = 3, EntryTime = new DateTime(2018, 03, 01), ExitTime = new DateTime(2018, 04, 01)
},
new Trade {
ProfitLoss = -5, EntryTime = new DateTime(2018, 05, 01), ExitTime = new DateTime(2018, 06, 01)
},
new Trade {
ProfitLoss = -3, EntryTime = new DateTime(2018, 07, 01), ExitTime = new DateTime(2019, 01, 01)
}
};
double score = TrackViewModel.CalculateScore(trades);
Assert.IsTrue(score == 0);
}
public void CalculateScore_chartpoint_profit()
{
List <ChartPoint> trades = new List <ChartPoint>
{
new ChartPoint {
x = (long)Time.DateTimeToUnixTimeStamp(new DateTime(2018, 01, 01)), y = 10000
},
new ChartPoint {
x = (long)Time.DateTimeToUnixTimeStamp(new DateTime(2018, 03, 01)), y = 11000
},
new ChartPoint {
x = (long)Time.DateTimeToUnixTimeStamp(new DateTime(2018, 05, 01)), y = 13000
},
new ChartPoint {
x = (long)Time.DateTimeToUnixTimeStamp(new DateTime(2019, 01, 01)), y = 16000
},
};
double score = TrackViewModel.CalculateScore(trades);
Assert.IsTrue(Math.Abs(score - 0.7698) < 0.0001);
}
public void CalculateScore_chartpoint_breakeven()
{
List <ChartPoint> trades = new List <ChartPoint>
{
new ChartPoint {
x = (long)Time.DateTimeToUnixTimeStamp(new DateTime(2018, 01, 01)), y = 10000
},
new ChartPoint {
x = (long)Time.DateTimeToUnixTimeStamp(new DateTime(2018, 03, 01)), y = 9000
},
new ChartPoint {
x = (long)Time.DateTimeToUnixTimeStamp(new DateTime(2018, 05, 01)), y = 8000
},
new ChartPoint {
x = (long)Time.DateTimeToUnixTimeStamp(new DateTime(2019, 01, 01)), y = 10000
},
};
double score = TrackViewModel.CalculateScore(trades);
Assert.IsTrue(score == 0);
}
public void CalculateScore_loss()
{
var trades = new List <Trade>
{
new Trade {
ProfitLoss = -5, MAE = -4, EntryTime = new DateTime(2018, 01, 01), ExitTime = new DateTime(2018, 02, 01)
},
new Trade {
ProfitLoss = -3, EntryTime = new DateTime(2018, 03, 01), ExitTime = new DateTime(2018, 04, 01)
},
new Trade {
ProfitLoss = -2, EntryTime = new DateTime(2018, 05, 01), ExitTime = new DateTime(2018, 06, 01)
},
new Trade {
ProfitLoss = 2, EntryTime = new DateTime(2018, 07, 01), ExitTime = new DateTime(2019, 01, 01)
}
};
double score = TrackViewModel.CalculateScore(trades);
Assert.IsTrue(Math.Abs(score + 0.2193) < 0.0001);
}
public void CalculateScore_profit()
{
var trades = new List <Trade>
{
new Trade {
ProfitLoss = 5, MAE = -4, TotalFees = 1, EntryTime = new DateTime(2018, 01, 01), ExitTime = new DateTime(2018, 02, 01)
},
new Trade {
ProfitLoss = 3, TotalFees = 1, EntryTime = new DateTime(2018, 03, 01), ExitTime = new DateTime(2018, 04, 01)
},
new Trade {
ProfitLoss = 2, TotalFees = 1, EntryTime = new DateTime(2018, 05, 01), ExitTime = new DateTime(2018, 06, 01)
},
new Trade {
ProfitLoss = 2, TotalFees = 1, EntryTime = new DateTime(2018, 07, 01), ExitTime = new DateTime(2019, 01, 01)
}
};
double score = TrackViewModel.CalculateScore(trades);
Assert.IsTrue(Math.Abs(score - 0.3120) < 0.0001);
}
public void CalculateScoreTest_chartpoint_idealProfit()
{
List <ChartPoint> trades = new List <ChartPoint>
{
new ChartPoint {
x = (long)Time.DateTimeToUnixTimeStamp(new DateTime(2018, 01, 01)), y = 10000
},
new ChartPoint {
x = (long)Time.DateTimeToUnixTimeStamp(new DateTime(2018, 03, 01)), y = 11000
},
new ChartPoint {
x = (long)Time.DateTimeToUnixTimeStamp(new DateTime(2018, 05, 01)), y = 12000
},
new ChartPoint {
x = (long)Time.DateTimeToUnixTimeStamp(new DateTime(2019, 01, 01)), y = 13000
},
};
double score = TrackViewModel.CalculateScore(trades);
Assert.IsTrue(score == 1);
}
