Ejemplo n.º 1
0
        public async Task TestIssue70()
        {
            var importer = new AlphaVantageImporter("WUT9R5SC4IHCNA4S", OutputSize.full);
            var fb       = importer.ImportAsync("fb", startTime: new DateTime(2018, 1, 1), period: PeriodOption.PerMinute).Result;

            var importer2 = new AlphaVantageImporter("WUT9R5SC4IHCNA4S", OutputSize.full);
            var wba       = importer2.ImportAsync("xom", startTime: new DateTime(2018, 1, 1), period: PeriodOption.PerMinute).Result;

            var importer3 = new AlphaVantageImporter("WUT9R5SC4IHCNA4S", OutputSize.full);
            var att       = importer3.ImportAsync("t", startTime: new DateTime(2018, 1, 1), period: PeriodOption.PerMinute).Result;

            var buyRule = Rule.Create(c => c.IsMacdBullishCross(12, 26, 9))
                          .And(c => c.IsRsiOversold2());

            var sellRule = Rule.Create(c => c.IsMacdBearishCross(12, 26, 9))
                           .And(c => c.IsRsiOverbought2());

            var runner = new Trady.Analysis.Backtest.Builder()
                         .Add(att, 33).Add(wba, 33).Add(fb, 33)
                         //.Add(wba)
                         .Buy(buyRule)
                         .Sell(sellRule)
                         //.FlatExchangeFeeRate(.05m)
                         .Premium(5)
                         .Build();

            var result = runner.RunAsync(10000, new DateTime(2018, 1, 1)).Result;

            Console.WriteLine($"Transaction count: {result.Transactions.Count():#.##}, P/L ratio: {result.TotalCorrectedProfitLossRatio * 100}%, Principal: {result.TotalPrincipal}, Total: {result.TotalCorrectedBalance}");
        }
Ejemplo n.º 2
0
        public async Task TestIssue70()
        {
            //var importer = new AlphaVantageImporter("WUT9R5SC4IHCNA4S", OutputSize.full);
            //var fb = importer.ImportAsync("fb", startTime: new DateTime(2018, 1, 1), period: PeriodOption.PerMinute).Result;

            var importer2 = new AlphaVantageImporter("WUT9R5SC4IHCNA4S", OutputSize.full);
            var wba       = importer2.ImportAsync("xom", startTime: new DateTime(2018, 1, 1), period: PeriodOption.PerMinute).Result;

            //var importer3 = new AlphaVantageImporter("WUT9R5SC4IHCNA4S", OutputSize.full);
            //var att = importer3.ImportAsync("t", startTime: new DateTime(2018, 1, 1), period: PeriodOption.PerMinute).Result;

            var buyRule = Rule.Create(c => c.IsMacdBullishCross(12, 26, 9))
                          .And(c => c.IsRsiOversold2());

            var sellRule = Rule.Create(c => c.IsMacdBearishCross(12, 26, 9))
                           .And(c => c.IsRsiOverbought2());

            var runner = new Trady.Analysis.Backtest.Builder()
                         //.Add(att, 33).Add(wba, 33).Add(fb, 33)
                         .Add(wba)
                         .Buy(buyRule)
                         .Sell(sellRule)
                         //.FlatExchangeFeeRate(.05m)
                         .FlatExchangeFeeRate(5)
                         //.Premium(5)
                         .Build();

            Assert.ThrowsException <AggregateException>(() => runner.RunAsync(10000, new DateTime(2018, 1, 1)).Result, "The FlatExchangeFee must be set to a value that is greater than equal to zero(>= 0) and less than one(< 1).Example => .25");
            //var result = runner.RunAsync(10000, new DateTime(2018, 1, 1)).Result;

            //Console.WriteLine($"Transaction count: {result.Transactions.Count():#.##}, P/L ratio: {result.TotalCorrectedProfitLossRatio * 100}%, Principal: {result.TotalPrincipal}, Total: {result.TotalCorrectedBalance}");
        }