private TradingResult PerformBackTesting( SystemResult systemResult )
{
if ( systemResult.Prices.Empty() || systemResult.Signals.Empty() )
{
return null;
}
const int InitialCash = 10000;
var tradingLog = new TradingLog();
var portfolio = new Portfolio( InitialCash, Broker, tradingLog );
foreach ( var signal in systemResult.Signals )
{
if ( signal.Value.Type == SignalType.Buy )
{
var price = systemResult.Prices[ signal.Time ];
portfolio.Buy( signal.Time, price.Value );
}
else if ( signal.Value.Type == SignalType.Sell )
{
var price = systemResult.Prices[ signal.Time ];
portfolio.Sell( signal.Time, price.Value );
}
}
return new TradingResult( systemResult )
{
TradingTimeSpan = systemResult.Prices.Last().Time - systemResult.Prices.First().Time,
TradingLog = tradingLog,
InitialCash = InitialCash,
PortfolioValue = portfolio.GetValue( systemResult.Prices.Last().Value )
};
}
public BasicSystemReport( string systemName, DateTime dateUnderUnderAnalysis, SystemResult result )
: base(systemName, "Analyis of system: " + result.Stock.Name)
{
SystemResult = result;
AddSections( dateUnderUnderAnalysis );
}
public BasicSystemReport(string systemName, DateTime dateUnderUnderAnalysis, SystemResult result)
: base(systemName, "Analyis of system: " + result.Stock.Name)
{
SystemResult = result;
AddSections(dateUnderUnderAnalysis);
}
public GenericChartSection Generate(SystemResult result)
{
var chart = new StockPriceChart(result.System, result.Stock, result.Prices);
chart.Signals = result.Signals;
var section = new GenericChartSection("Chart", chart);
return(section);
}
public SystemResult Evaluate( StockHandle stock, DateTime dateUnderAnalysis )
{
var indicatorResult = EvaluateIndicator( stock, dateUnderAnalysis );
var systemResult = new SystemResult( Name, stock, Prices.ForStock( stock ), indicatorResult );
var report = CreateReport( dateUnderAnalysis, systemResult );
report.SystemDetails.Indicator = indicatorResult;
systemResult.Report = report;
AddReports( report );
report.Sections.Add( myChartGenerator.Generate( systemResult ) );
return systemResult;
}
public SystemResult Evaluate(StockHandle stock, DateTime dateUnderAnalysis)
{
var indicatorResult = EvaluateIndicator(stock, dateUnderAnalysis);
var systemResult = new SystemResult(Name, stock, Prices.ForStock(stock), indicatorResult);
var report = CreateReport(dateUnderAnalysis, systemResult);
report.SystemDetails.Indicator = indicatorResult;
systemResult.Report = report;
AddReports(report);
report.Sections.Add(myChartGenerator.Generate(systemResult));
return(systemResult);
}
protected virtual BasicSystemReport CreateReport(DateTime dateUnderAnalysis, SystemResult systemResult)
{
return(new BasicSystemReport(Name, dateUnderAnalysis, systemResult));
}
public GenericChartSection Generate( SystemResult result )
{
var chart = new StockPriceChart( result.System, result.Stock, result.Prices );
chart.Signals = result.Signals;
var section = new GenericChartSection( "Chart", chart );
return section;
}
protected virtual BasicSystemReport CreateReport( DateTime dateUnderAnalysis, SystemResult systemResult )
{
return new BasicSystemReport( Name, dateUnderAnalysis, systemResult );
}
public TradingResult( SystemResult systemResult )
{
mySystemResult = systemResult;
}