private void ShowDDCharts(SystemStateSummary summary)
{
const string SimulationDDTooltipFormat = "#VALX{N2}%, Length: #VAL";
chartDDTicks.LoadData(SystemDrawDown2PointChartMapper.Map(summary.DDTicks), SimulationDDTooltipFormat);
chartDDPositions.LoadData(SystemDrawDown2PointChartMapper.Map(summary.DDClosedPositions), SimulationDDTooltipFormat);
}
private void ShowSimulationResult(SystemState systemState, SystemStateSummary summary)
{
DisplaySummary(summary);
ShowPositions(systemState);
ShowEquityCharts(systemState);
ShowDDCharts(summary);
ShowProfitCharts(systemState);
}
private static void CalcProbabilities(SystemStateSummary summary)
{
if (summary.ClosedPositionsCount == 0)
{
return;
}
summary.WinProbability = summary.Wins / (float)summary.ClosedPositionsCount;
summary.LossProbability = summary.Losses / (float)summary.ClosedPositionsCount;
}
public static void Calculate(SystemStateSummary summary, SystemState systemState)
{
summary.ProcessedTicks = systemState.Equity.Count;
summary.ClosedPositionsCount = systemState.PositionsClosed.Count;
SumWinsLossesAndCalcAvgs(summary, systemState);
CalcProbabilities(summary);
summary.ExpectedPositionValue = ExpectedValue(summary.WinProbability, summary.AvgWin, summary.AvgLoss);
summary.ExpectedUnitReturn = ExpectedValue(summary.WinProbability, summary.AvgWinLossRatio, 1);
}
public static SystemStateSummary Calculate(SystemState systemState)
{
SystemStateSummary summary = CreateNewSummary();
GetSystemValues(summary, systemState);
ProcessWinsLosses(summary, systemState);
CalculateDrawDowns(summary, systemState);
CalculateEquityDistribution(summary, systemState);
return(summary);
}
private static void GetSystemValues(SystemStateSummary summary, SystemState systemState)
{
summary.StartTS = systemState.Equity.FirstOrDefault().TS;
summary.StopTS = systemState.Equity.LastOrDefault().TS;
summary.InitialValue = systemState.InitialCash;
summary.FinalValueOnLastTick = systemState.Equity.LastOrDefault().Value;
summary.FinalValueOnClosedPositions = systemState.ClosedPositionsEquity.LastOrDefault().Value;
double yearsOfSim = (summary.StopTS - summary.StartTS).TotalDays / 365.0;
summary.CummYProfitPcntOnTicks = (float)Math.Pow(summary.FinalValueOnLastTick / summary.InitialValue, 1 / yearsOfSim) - 1f;
}
private static void SumWinsLossesAndCalcAvgs(SystemStateSummary summary, SystemState systemState)
{
float sumPcntWins = 0;
float sumPcntLosses = 0;
systemState.PositionsClosed.ForEach(p =>
{
float value = p.Value();
if (value > 0)
{
summary.Wins++;
summary.SumWins += value;
sumPcntWins += value / p.OpenValue();
}
else
{
summary.Losses++;
summary.SumLosses -= value;
sumPcntLosses += value / p.OpenValue();
}
});
if (summary.Wins > 0)
{
summary.AvgWin = summary.SumWins / summary.Wins;
summary.AvgPcntWin = sumPcntWins / summary.Wins;
}
if (summary.Losses > 0)
{
summary.AvgLoss = summary.SumLosses / summary.Losses;
summary.AvgPcntLoss = sumPcntLosses / summary.Losses;
}
if (summary.AvgLoss != 0)
{
summary.AvgWinLossRatio = summary.AvgWin / summary.AvgLoss;
}
}
private void DisplaySummary(SystemStateSummary summary)
{
lblSDRStartTS.Text = summary.StartTS.ToDisplay();
lblSDRStopTS.Text = summary.StopTS.ToDisplay();
lblSDRProcessedTicks.Text = summary.ProcessedTicks.ToDisplay();
lblSDRInitialValue.Text = summary.InitialValue.ToDisplay();
lblSDRFinalValueOnClosedPositions.Text = summary.FinalValueOnClosedPositions.ToDisplay();
lblSDRFinalValueOnLastTick.Text = summary.FinalValueOnLastTick.ToDisplay();
lblSDRProfitPcntOnTicks.Text = summary.CummYProfitPcntOnTicks.ToDisplayPcnt();
lblSDRClosedPositionsCount.Text = summary.ClosedPositionsCount.ToDisplay();
lblSDRWins.Text = summary.Wins.ToDisplay();
lblSDRWinProbability.Text = summary.WinProbability.ToDisplay();
lblSDRLosses.Text = summary.Losses.ToDisplay();
lblSDRLossProbability.Text = summary.LossProbability.ToDisplay();
lblSDRSumWins.Text = summary.SumWins.ToDisplay();
lblSDRAvgWin.Text = summary.AvgWin.ToDisplay();
lblSDRAvgPcntWin.Text = summary.AvgPcntWin.ToDisplayPcnt();
lblSDRSumLosses.Text = summary.SumLosses.ToDisplay();
lblSDRAvgLoss.Text = summary.AvgLoss.ToDisplay();
lblSDRAvgPcntLoss.Text = summary.AvgPcntLoss.ToDisplayPcnt();
lblSDRAvgWinLossRatio.Text = summary.AvgLoss != 0 ? summary.AvgWinLossRatio.ToDisplay() : "---";
lblSDRExpectedUnitReturn.Text = summary.AvgLoss != 0 ? summary.ExpectedUnitReturn.ToDisplay() : "---";
lblSDRExpectedPositionValue.Text = summary.AvgLoss != 0 ? summary.ExpectedPositionValue.ToDisplay() : "---";
lblSDRMaxDDOnTicks.Text = summary.DDTicks.MaxDD().ToDisplayPcnt();
lblSDRMaxDDOnPositions.Text = summary.DDClosedPositions.MaxDD().ToDisplayPcnt();
lblSDREqDistrAvg.Text = summary.EquityDistribution.Average.ToDisplay(4);
lblSDREqDistrStdDev.Text = summary.EquityDistribution.StdDev.ToDisplay(4);
edtMonteCarloWinProb.Value = (decimal)summary.WinProbability;
edtMonteCarloAvgPcntWin.Value = (decimal)(100f * summary.AvgPcntWin);
edtMonteCarloAvgPcntLoss.Value = (decimal)(100f * summary.AvgPcntLoss);
}
private async void btnSim_Click(object sender, EventArgs e)
{
if (_currentSimSystemDef == null)
{
_msgDisplay.Error("System definition not loaded.");
return;
}
edtSimDataLog.Clear();
while (tcSimulationCharts.TabCount > 2)
{
tcSimulationCharts.TabPages.RemoveAt(tcSimulationCharts.TabCount - 1);
}
paramsSim.SaveParams(_currentSimSystemDef.SystemParams);
//using (var frm = new FormLongLastingWork())
// await frm.Execute("Processing simulation...", "Simulation error", () =>
// {
// _currentSimSystemState = new SystemState() { InitialCash = (float)edtInitialCash.Value, Cash = (float)edtInitialCash.Value };
// SystemRunner runner = new SystemRunner(_dataProvider, _systemDataLoader);
// runner.Run(_currentSimSystemDef, _currentSimSystemState, dtpSimFrom.Value.Date, dtpSimTo.Value.Date);
// _currentSimSystemSummary = SystemStateSummaryCalculator.Calculate(_currentSimSystemState);
// //ShowSimulationResult(_currentSimSystemState, _currentSimSystemSummary);
// });
//ShowSimulationResult(_currentSimSystemState, _currentSimSystemSummary);
_currentSimSystemState = new SystemState()
{
InitialCash = (float)edtInitialCash.Value, Cash = (float)edtInitialCash.Value
};
SystemRunner runner = new SystemRunner(_dataProvider, _systemDataLoader);
runner.Run(_currentSimSystemDef, _currentSimSystemState, dtpSimFrom.Value.Date, dtpSimTo.Value.Date);
_currentSimSystemSummary = SystemStateSummaryCalculator.Calculate(_currentSimSystemState);
ShowSimulationResult(_currentSimSystemState, _currentSimSystemSummary);
}
public void SetUp()
{
_state = new SystemState();
_summary = new SystemStateSummary();
}
private static void CalculateEquityDistribution(SystemStateSummary summary, SystemState systemState)
{
summary.EquityDistribution = EquityDistributionCalculator.Calculate(systemState.Equity);
}
private static void CalculateDrawDowns(SystemStateSummary summary, SystemState systemState)
{
summary.DDTicks = DrawDownsCalculator.Calculate(systemState.Equity);
summary.DDClosedPositions = DrawDownsCalculator.Calculate(systemState.ClosedPositionsEquity);
}
private static void ProcessWinsLosses(SystemStateSummary summary, SystemState systemState) => WinsLossesCalculator.Calculate(summary, systemState);
