/// <summary>
/// Callback method for Launch MA Test button.
/// Launches the MA strategy backtest.
/// </summary>
/// <param name="control">Exposes method to ribbon</param>
public void TestMovingAverage(CustomUI.IRibbonControl control)
{
#region TestMovingAverage sanity checks
// --> On imported data
var importer = DataImporter.DataImporter.Instance;
List <DataTypes.Quote> data = importer.GetData();
if (data == null)
{
MessageBox.Show("Please import data before lauching test");
return;
}
// --> On strategy parameters
if (this._maAmount == null)
{
MessageBox.Show("Please input amount to invest in strategy");
return;
}
if (this._maLongLevel == null)
{
MessageBox.Show("Please input Moving Average Long Level in strategy");
return;
}
if (this._maShortLevel == null)
{
MessageBox.Show("Please input Moving Average Short Level parameter");
return;
}
if (this._maTakeProfitInBps == null)
{
MessageBox.Show("Please input Moving Average Take Profit parameter");
return;
}
#endregion
// Compute the backtest and get the results
var strategy = new TradeStrategyLib.Models.MAStrategy((int)this._maShortLevel, (int)this._maLongLevel,
(double)this._maAmount, (double)this._maTakeProfitInBps);
var backtest = new StrategyBacktester(strategy, data);
backtest.Compute();
List <double> pnlHistory = backtest.GetPnLHistory();
if (!pnlHistory.Any())
{
MessageBox.Show("Moving average strategy did not generate any trades on this" +
" time interval");
return;
}
List <DateTime> dates = backtest.GetDates();
double totalPnl = backtest.GetTotalPnl();
double? maxDD = backtest.GetMaximumDrawdown();
double vol = backtest.GetStrategyVol();
// Write the results
DataWriter.WriteBacktestResults("Moving Average", totalPnl, maxDD, vol, pnlHistory, dates);
// Ensure all COM objects are released
GC.Collect();
GC.WaitForPendingFinalizers();
}
public void TestMAStrategy()
{
var maStrategy = new TradeStrategyLib.Models.MAStrategy(25, 100, 1000000.00, 150);
var backtest = new StrategyBacktester(maStrategy, _data);
backtest.Compute();
var pnlHistory = backtest.GetPnLHistory();
var totalPnl = backtest.GetTotalPnl();
var maxDD = backtest.GetMaximumDrawdown();
var vol = backtest.GetStrategyVol();
// Check if results are empty
// NOTE FRZ: This test should be more rigorous with expected results to test
// but I don't have the time.
Assert.IsNotNull(pnlHistory);
Assert.IsNotNull(totalPnl);
Assert.IsNotNull(maxDD);
Assert.IsNotNull(vol);
}
/// <summary>
/// Callback method for Launch MA Test button.
/// Launches the MA strategy backtest.
/// </summary>
/// <param name="control">Exposes method to ribbon</param>
public void TestParabolicSAR(CustomUI.IRibbonControl control)
{
#region TestParabolicSAR sanity checks
// --> On imported data
var importer = DataImporter.DataImporter.Instance;
List <DataTypes.Quote> data = importer.GetData();
if (data == null)
{
MessageBox.Show("Please import data before lauching test");
return;
}
// --> On strategy parameters
if (this._SARAmount == null)
{
MessageBox.Show("Please input amount to invest in strategy");
return;
}
if (this._SARAccFactorLevel == null)
{
MessageBox.Show("Please input Accelerator Factor parameter");
return;
}
if (this._SARMaxAccFactorLevel == null)
{
MessageBox.Show("Please input Maximum Accelerator Factor parameter");
return;
}
if (this._SARTakeProfitInBps == null)
{
MessageBox.Show("Please input SAR Take Profit parameter");
return;
}
#endregion
// Compute the backtest and get the results
var Strategy = new TradeStrategyLib.Models.ParabolicSARStrategy((double)this._SARAccFactorLevel,
(double)this._SARMaxAccFactorLevel,
(double)this._SARAccFactorStep,
(double)this._SARAmount,
(double)this._SARTakeProfitInBps);
var Backtest = new StrategyBacktester(Strategy, data);
Backtest.Compute();
List <double> pnlHistory = Backtest.GetPnLHistory();
if (!pnlHistory.Any())
{
MessageBox.Show("Parabolic SAR strategy did not generate any trades " +
"in this time interval.");
return;
}
List <DateTime> dates = Backtest.GetDates();
double totalPnl = Backtest.GetTotalPnl();
double? maxDD = Backtest.GetMaximumDrawdown();
double vol = Backtest.GetStrategyVol();
// Write the results
DataWriter.WriteBacktestResults("Parabolic SAR", totalPnl, maxDD, vol, pnlHistory, dates);
// Ensure COM objects are released
GC.Collect();
GC.WaitForPendingFinalizers();
}