public void BetterThan()
{
IAnalysisCriterion criterion = new RewardRiskRatioCriterion();
Assert.IsTrue(criterion.BetterThan(3.5, 2.2));
Assert.IsFalse(criterion.BetterThan(1.5, 2.7));
}
public void BetterThan()
{
AbstractAnalysisCriterion criterion = new RewardRiskRatioCriterion();
Assert.IsTrue(criterion.BetterThan(3.5M, 2.2M));
Assert.IsFalse(criterion.BetterThan(1.5M, 2.7M));
}
public void WithOneTrade()
{
MockTimeSeries series = new MockTimeSeries(100, 95, 95, 100, 90, 95, 80, 120);
Trade trade = new Trade(Order.buyAt(0, series), Order.sellAt(1, series));
RewardRiskRatioCriterion ratioCriterion = new RewardRiskRatioCriterion();
Assert.AreEqual((95M / 100) / ((1M - 0.95M)), ratioCriterion.Calculate(series, trade));
}
public void WithOneTrade()
{
var trade = new Trade(Order.BuyAt(0), Order.SellAt(1));
var series = GenerateTimeSeries.From(100, 95, 95, 100, 90, 95, 80, 120);
var ratioCriterion = new RewardRiskRatioCriterion();
Assert.AreEqual((95d / 100) / ((1d - 0.95d)), TaTestsUtils.TaOffset, ratioCriterion.Calculate(series, trade));
}
public void ToStringMethod()
{
AbstractAnalysisCriterion c1 = new AverageProfitCriterion();
Assert.AreEqual("Average Profit", c1.ToString());
AbstractAnalysisCriterion c2 = new BuyAndHoldCriterion();
Assert.AreEqual("Buy And Hold", c2.ToString());
AbstractAnalysisCriterion c3 = new RewardRiskRatioCriterion();
Assert.AreEqual("Reward Risk Ratio", c3.ToString());
}
public void SetUp()
{
_rrc = new RewardRiskRatioCriterion();
}
public void QuickStart()
{
// Getting a time series (from any provider: CSV, web service, etc.)
var series = CsvTradesLoader.LoadBitstampSeries();
// Getting the close price of the ticks
var firstClosePrice = series.GetTick(0).ClosePrice;
Console.WriteLine("First close price: " + firstClosePrice.ToDouble());
// Or within an indicator:
var closePrice = new ClosePriceIndicator(series);
// Here is the same close price:
Console.WriteLine(firstClosePrice.IsEqual(closePrice.GetValue(0))); // equal to firstClosePrice
// Getting the simple moving average (SMA) of the close price over the last 5 ticks
var shortSma = new SmaIndicator(closePrice, 5);
// Here is the 5-ticks-SMA value at the 42nd index
Console.WriteLine("5-ticks-SMA value at the 42nd index: " + shortSma.GetValue(42).ToDouble());
// Getting a longer SMA (e.g. over the 30 last ticks)
var longSma = new SmaIndicator(closePrice, 30);
// Ok, now let's building our trading rules!
// Buying rules
// We want to buy:
// - if the 5-ticks SMA crosses over 30-ticks SMA
// - or if the price goes below a defined price (e.g $800.00)
var buyingRule = (new CrossedUpIndicatorRule(shortSma, longSma))
.Or(new CrossedDownIndicatorRule(closePrice, Decimal.ValueOf("800")));
// Selling rules
// We want to sell:
// - if the 5-ticks SMA crosses under 30-ticks SMA
// - or if if the price looses more than 3%
// - or if the price earns more than 2%
var sellingRule = (new CrossedDownIndicatorRule(shortSma, longSma))
//.Or(new CrossedDownIndicatorRule(new TrailingStopLossIndicator(closePrice, Decimal.ValueOf("30")), closePrice ))
.Or(new StopLossRule(closePrice, Decimal.ValueOf("3")))
.Or(new StopGainRule(closePrice, Decimal.ValueOf("2")));
// Running our juicy trading strategy...
var tradingRecord = series.Run(new Strategy(buyingRule, sellingRule));
Console.WriteLine("Number of trades for our strategy: " + tradingRecord.TradeCount);
// Analysis
// Getting the cash flow of the resulting trades
var cashFlow = new CashFlow(series, tradingRecord);
// Getting the profitable trades ratio
IAnalysisCriterion profitTradesRatio = new AverageProfitableTradesCriterion();
Console.WriteLine("Profitable trades ratio: " + profitTradesRatio.Calculate(series, tradingRecord));
// Getting the reward-risk ratio
IAnalysisCriterion rewardRiskRatio = new RewardRiskRatioCriterion();
Console.WriteLine("Reward-risk ratio: " + rewardRiskRatio.Calculate(series, tradingRecord));
// Total profit of our strategy
// vs total profit of a buy-and-hold strategy
IAnalysisCriterion vsBuyAndHold = new VersusBuyAndHoldCriterion(new TotalProfitCriterion());
Console.WriteLine("Our profit vs buy-and-hold profit: " + vsBuyAndHold.Calculate(series, tradingRecord));
// Your turn!
}
