public void AddPlot(PlotHelper plot)
{
if (!_Plots.Contains(plot))
{
_Plots.Add(plot);
}
}
public void Start()
{
if (Started)
{
return;
}
this.BenchmarkStats = new Statistics();
this.BotStats = new Statistics();
Logger.Info($"Backtesting {Algo.Version} from {StartTime} - {EndTime} with configuration:\n" + JObject.FromObject(algoConfig).ToString());
Stopwatch sw = new Stopwatch();
sw.Start();
Started = true;
this.Algo.Start(true).Wait();
int steps = 1;
decimal BalancePeak = 0;
var startingBal = -1m;
var currentBenchmarkVal = 0.0;
while (MarketSimulator.NextTick() && MarketSimulator.Time < EndTime)
{
if (startingBal < 0)
{
startingBal = MarketSimulator.GetEquity(BaseAsset);
}
Algo.OnTickAsync().Wait();
steps++;
//---- update equity and benchmark ----------
if (steps % 30 == 0)
{
var balance = MarketSimulator.GetEquity(BaseAsset);
BotStats.Update(MarketSimulator.Time, (double)balance);
//--- calculate benchmark change
double changeSum = 0;
int changeCount = 0;
foreach (var symData in Algo.SymbolsData.Values)
{
if (symData.Feed != null && symData.Feed.Ask > 0 && symData.Feed.Bid > 0)
{
var sk = symData.Feed.Symbol.Key;
if (symData.Feed != null && LastPrices.ContainsKey(sk))
{
changeCount++;
changeSum += (symData.Feed.Bid - LastPrices[sk]) / LastPrices[sk];
}
LastPrices[sk] = symData.Feed.Ask;
}
}
if (changeCount > 0)
{
currentBenchmarkVal += changeSum * 100 / changeCount;
BenchmarkStats.Update(MarketSimulator.Time, currentBenchmarkVal);
}
}
}
var totalBal = MarketSimulator.GetEquity(BaseAsset);
//get the total fee paid calculated on commission asset
var feeList = MarketSimulator.Trades.Select(
tr =>
{
if (tr.Symbol.EndsWith(tr.CommissionAsset))
{
return(tr.Commission);
}
else
{
return(tr.Commission * tr.Price);
}
});
var lostInFee = feeList.Sum();
//get profit
sw.Stop();
Logger.Info($"Test terminated in {sw.ElapsedMilliseconds} ms.");
Logger.Info($"Balance: {totalBal} - Trades:{MarketSimulator.Trades.Count()} - Lost in fee:{lostInFee}");
var operations = Algo.ActiveOperations.Concat(Algo.ClosedOperations).Where(o => o.AmountInvested > 0).ToList();
if (operations.Count > 0)
{
Logger.Info($"Algorithm => Profit/MDD: {BotStats.Profit / BotStats.MaxDrowDown} - MaxDrawDown: {BotStats.MaxDrowDown} - Profit/oper: {BotStats.Profit / operations.Count:F8} ");
Logger.Info($"BenchMark => Profit/MDD: {BenchmarkStats.Profit / BenchmarkStats.MaxDrowDown} - MaxDrawDown: {BenchmarkStats.MaxDrowDown} ");
}
foreach (var p in Algo.Plots)
{
ShowPlotCallback?.Invoke(p);
}
if (Config.PlotResults)
{
PlotHelper plot = new PlotHelper("Equity");
int skipCount = (BotStats.EquityHistory.Count + 2000) / 2000;
List <IndicatorDataPoint> botPoints = new List <IndicatorDataPoint>();
List <IndicatorDataPoint> benchPoints = new List <IndicatorDataPoint>();
for (int i = 0; i < BotStats.EquityHistory.Count; i += skipCount)
{
var e = BotStats.EquityHistory[i];
botPoints.Add(new IndicatorDataPoint(e.Time, e.Value));
if (BenchmarkStats.EquityHistory.Count > i)
{
e = BenchmarkStats.EquityHistory[i];
benchPoints.Add(new IndicatorDataPoint(e.Time, e.Value));
}
}
plot.PlotLine(botPoints, ARGBColors.Purple);
plot.PlotLine(benchPoints, ARGBColors.MediumPurple, "asdasd");
plot.InitialView = (Config.StartTime, Config.EndTime);
ShowPlotCallback?.Invoke(plot);
}
}
