private bool isResultsatisfy(TradingResult fResult)
{
if (fResult.Profit < MinProfit || fResult.Risk > MaxRisk || fResult.WinRate < MinWinRate)
{
return(false);
}
return(true);
}
private TradingResult Simulate(TradingRule tradingRule)
{
TradingResult tradingResult = new TradingResult();
List <SimulatitonPartern> simulateds = new List <SimulatitonPartern>();
POS pOS = new POS();
int index = 1;
bool isBuyTradingCommand = false;
List <int> tidBP = new List <int>();
if (tradingRule.BP?.TIDSet.Count() > 0)
{
tidBP.AddRange(tradingRule.BP?.TIDSet);
}
List <int> tidSP = new List <int>();
if (tradingRule.SP?.TIDSet.Count() > 0)
{
tidSP.AddRange(tradingRule.SP?.TIDSet);
}
//
// check if exist at least one complete trading order || Sell trading Command and existing sell transactions when buy transaction end.
while ((tidBP?.Count > 0 && tidSP?.Count > 0) || (isBuyTradingCommand && tidSP?.Count > 0))
{
// generate all Trading order and Hold position
SimulatitonPartern sm = new SimulatitonPartern();
sm.TradingOrder = new TradingOrder();
sm.TradingResult = new TradingResult();
sm.HPOS = new POS();
if (index == 1)
{
sm.No = index;
sm.TradingOrder.tc = tradingRule.topPriority == TP.SF ? TradingCommands.Sell : TradingCommands.Buy;
sm.TradingOrder.qty = 1;
//transaction start at 0-1-2, tid start at 1-2-3
sm.TradingOrder.price = sm.TradingOrder.tc == TradingCommands.Buy ? transactions[tidBP[0] - 1].Price : transactions[tidSP[0] - 1].Price;
sm.TID = sm.TradingOrder.tc == TradingCommands.Buy ? tidBP[0] : tidSP[0];
sm.HPOS.mp = sm.TradingOrder.tc == TradingCommands.Buy ? MarketPosition.Long : MarketPosition.Short;
sm.HPOS.hqty = 1;
sm.HPOS.hprice = sm.TradingOrder.price;
//
isBuyTradingCommand = sm.TradingOrder.tc == TradingCommands.Buy ? true : false;
}
else
{
if (isBuyTradingCommand)
{
//simutaled trading is sell
sm.No = index;
sm.TradingOrder.tc = TradingCommands.Sell;
sm.TradingOrder.qty = 1;
sm.TradingOrder.price = transactions[tidSP[0] - 1].Price;
sm.TID = tidSP[0];
sm.HPOS.mp = MarketPosition.Short;
sm.HPOS.hqty = 1;
sm.HPOS.hprice = sm.TradingOrder.price;
isBuyTradingCommand = false;
}
else
{
//simutaled trading is buy
sm.No = index;
sm.TradingOrder.tc = TradingCommands.Buy;
sm.TradingOrder.qty = 1;
sm.TradingOrder.price = transactions[tidBP[0] - 1].Price;
sm.TID = tidBP[0];
sm.HPOS.mp = MarketPosition.Long;
sm.HPOS.hqty = 1;
sm.HPOS.hprice = sm.TradingOrder.price;
isBuyTradingCommand = true;
}
}
if (sm.TradingOrder.tc == TradingCommands.Buy)
{
if (tidSP[0] == tidBP[0])
{
tidSP.RemoveAt(0);
}
tidBP.RemoveAt(0);
}
else
{
// avoid empty buy pattern
if (tidBP.Count() > 0 && tidBP[0] == tidSP[0])
{
tidBP.RemoveAt(0);
}
tidSP.RemoveAt(0);
}
index++;
simulateds.Add(sm);
}
for (int i = 0; i < simulateds.Count; i++)
{
// set Netprofit
// Last record don't have Netprofit
simulateds[i].NP = i == (simulateds.Count - 1) ? 0 : simulateds[i].HPOS.mp == MarketPosition.Long ?
simulateds[i + 1].HPOS.hprice - simulateds[i].HPOS.hprice - MAX_SPAN * FEE :
simulateds[i].HPOS.hprice - simulateds[i + 1].HPOS.hprice - MAX_SPAN * FEE;
// set Consecutive loss
//Last record don't have Netprofit
simulateds[i].CLoss = i == 0 ? simulateds[i].NP : simulateds[i].NP + simulateds[i - 1].CLoss;
// Closs could not be positive && Last record don't have Netprofit
simulateds[i].CLoss = (simulateds[i].CLoss > 0) || i == (simulateds.Count - 1) ? 0 : simulateds[i].CLoss;
// Set Run UP && Draw Down
if (i == simulateds.Count - 1)
{
if (isExistsTID(simulateds[i].TID))
{
simulateds[i].DD = simulateds[i].HPOS.mp == MarketPosition.Short ? 0 :
i == 0 ? 0 + Math.Min(simulateds[i].HPOS.hprice, GetTransactionPrice(simulateds[i].TID + 1)) - simulateds[i].HPOS.hprice :
simulateds[i - 1].CLoss + Math.Min(simulateds[i].HPOS.hprice, GetTransactionPrice(simulateds[i].TID + 1)) - simulateds[i].HPOS.hprice;
simulateds[i].RU = simulateds[i].HPOS.mp == MarketPosition.Long ? 0 :
i == 0 ? 0 - Math.Max(simulateds[i].HPOS.hprice, GetTransactionPrice(simulateds[i].TID + 1)) + simulateds[i].HPOS.hprice :
simulateds[i - 1].CLoss - Math.Max(simulateds[i].HPOS.hprice, GetTransactionPrice(simulateds[i].TID + 1)) + simulateds[i].HPOS.hprice;
}
}
else
{
simulateds[i].DD = simulateds[i].HPOS.mp == MarketPosition.Short ? 0 :
i == 0 ? 0 + Math.Min(simulateds[i].HPOS.hprice, simulateds[i + 1].HPOS.hprice) - simulateds[i].HPOS.hprice :
simulateds[i - 1].CLoss + Math.Min(simulateds[i].HPOS.hprice, simulateds[i + 1].HPOS.hprice) - simulateds[i].HPOS.hprice;
simulateds[i].RU = simulateds[i].HPOS.mp == MarketPosition.Long ? 0 :
i == 0 ? 0 - Math.Max(simulateds[i].HPOS.hprice, simulateds[i + 1].HPOS.hprice) + simulateds[i].HPOS.hprice :
simulateds[i - 1].CLoss - Math.Max(simulateds[i].HPOS.hprice, simulateds[i + 1].HPOS.hprice) + simulateds[i].HPOS.hprice;
}
// Set Profit
simulateds[i].TradingResult.Profit = i == (simulateds.Count - 1) ? 0 : simulateds.Sum(o => o.NP);
//Set Risk
simulateds[i].TradingResult.Risk = i == 0 ? new List <double>()
{
Absolute(simulateds[i].CLoss), Absolute(simulateds[i].DD), Absolute(simulateds[i].RU)
}.Max() :
new List <double>()
{
Absolute(simulateds[i].CLoss), Absolute(simulateds[i].DD), Absolute(simulateds[i].RU), Absolute(simulateds[i - 1].TradingResult.Risk)
}.Max();
//Set WinRate
simulateds[i].TradingResult.WinRate = i == (simulateds.Count - 1) ? 0 : Math.Round(simulateds.Where(o => o.NP > 0).Count() * 1.0 / simulateds[i].No * 100, 0);
}
tradingResult.Profit = simulateds[simulateds.Count - 2].TradingResult.Profit;
tradingResult.Risk = isExistsTID(simulateds[simulateds.Count - 1].TID) ? simulateds[simulateds.Count - 1].TradingResult.Risk : simulateds[simulateds.Count - 2].TradingResult.Risk;
tradingResult.WinRate = simulateds[simulateds.Count - 2].TradingResult.WinRate;
return(tradingResult);
}
private void GenSP(Pattern BP, Pattern prefix, int index, int interval)
{
Pattern pre = null;
if (prefix != null)
{
pre = new Pattern();
pre.name = prefix.name;
pre.TIDSet = prefix.TIDSet.ToList();
}
// pattern X = 𝑥1(𝑖1) 𝑥2(𝑖2)⋅⋅⋅𝑥𝑗(𝑖𝑗), where j > 0 and 0 ≥ 𝑖𝑗 ≥ (1 − maxspan)
if (interval >= MAX_SPAN)
{
return;
}
for (int i = index; i < oneItemList.Count; i++)
{
Pattern SP = new Pattern();
SP.name = oneItemList[i].name;
SP.TIDSet = oneItemList[i].TIDSet.ToList();
SP = Shift(SP, interval);
SP = Join(pre, SP);
//Debug.WriteLine("------------- GenSP ----------------");
//foreach (var item in SP.TIDSet)
//{
// Debug.WriteLine(SP.name + " " + item + " ");
//}
//Debug.WriteLine("");
// check if exist at least one transaction
if (SP.TIDSet.Count() >= minSup)
{
if (ComparePattern(BP, SP) != 1 && BP.TIDSet.Count() > 0 && SP.TIDSet.Count > 0)
{
List <TradingRule> lstTradingRule = new List <TradingRule>();
lstTradingRule = RuleGenerator(BP, SP);
if (BP.name == "A(0)C(-1)")
{
var x = 0;
}
foreach (var trRule in lstTradingRule)
{
TradingResult tradingResult = Simulate(trRule);
if (isResultsatisfy(tradingResult))
{
trRule.tradingResult = tradingResult;
tradingRules.Add(trRule);
}
}
GenSP(BP, SP, i + 1, interval);
}
}
}
if (prefix != null)
{
GenSP(BP, pre, 0, interval + 1);
}
}