public BacktestResult(IDictionary <string, Chart> charts, IDictionary <int, Order> orders, IDictionary <DateTime, decimal> profitLoss, IDictionary <string, string> statistics, Dictionary <string, AlgorithmPerformance> rollingWindow, AlgorithmPerformance totalPerformance = null)
{
Charts = charts;
Orders = orders;
ProfitLoss = profitLoss;
Statistics = statistics;
RollingWindow = rollingWindow;
TotalPerformance = totalPerformance;
}
public static Dictionary <string, decimal> Transform(AlgorithmPerformance performance, IDictionary <string, string> summary)
{
var list = performance.PortfolioStatistics.GetType().GetProperties().ToDictionary(k => k.Name, v => (decimal)v.GetValue(performance.PortfolioStatistics));
list.Add("TotalNumberOfTrades", int.Parse(summary["Total Trades"]));
list.Add("TotalFees", decimal.Parse(summary["Total Fees"].Substring(1)));
return(list);
}
public static Dictionary <string, decimal> Transform(AlgorithmPerformance performance)
{
var list = performance.PortfolioStatistics.GetType().GetProperties().ToDictionary(k => k.Name, v => (decimal)v.GetValue(performance.PortfolioStatistics));
list.Add("TotalNumberOfTrades", performance.TradeStatistics.TotalNumberOfTrades);
list.Add("TotalFees", performance.TradeStatistics.TotalFees);
return(list);
}
/// <summary>
/// Constructor for the result class using dictionary objects.
/// </summary>
public BacktestResult(BacktestResultParameters parameters)
{
Charts = parameters.Charts;
Orders = parameters.Orders;
ProfitLoss = parameters.ProfitLoss;
Statistics = parameters.Statistics;
RuntimeStatistics = parameters.RuntimeStatistics;
RollingWindow = parameters.RollingWindow;
TotalPerformance = parameters.TotalPerformance;
AlphaRuntimeStatistics = parameters.AlphaRuntimeStatistics;
}
public static AlgorithmPerformance RunAlgorithmForAllArrays(int algorithmIndex)
{
AlgorithmPerformance currentPerformance = new AlgorithmPerformance(algorithmNames[algorithmIndex]);
for (int i = 0; i < sortedArrays.Count; i++)
{
long elapsedTicks = RunAlgorithmForArray(algorithmIndex, i);
currentPerformance.AddResult(i, elapsedTicks);
if (log)
{
Console.WriteLine("Sorting array " + i + " took " + FormatTimeFromTicks(elapsedTicks) + " (" + elapsedTicks + " ticks)");
}
}
return(currentPerformance);
}
/// <summary>
/// Creates a new instance
/// </summary>
public BacktestResultParameters(IDictionary <string, Chart> charts,
IDictionary <int, Order> orders,
IDictionary <DateTime, decimal> profitLoss,
IDictionary <string, string> statistics,
IDictionary <string, string> runtimeStatistics,
Dictionary <string, AlgorithmPerformance> rollingWindow,
List <OrderEvent> orderEvents,
AlgorithmPerformance totalPerformance = null,
AlphaRuntimeStatistics alphaRuntimeStatistics = null)
{
Charts = charts;
Orders = orders;
ProfitLoss = profitLoss;
Statistics = statistics;
RuntimeStatistics = runtimeStatistics;
RollingWindow = rollingWindow;
OrderEvents = orderEvents;
TotalPerformance = totalPerformance;
AlphaRuntimeStatistics = alphaRuntimeStatistics;
}
public static AlgorithmPerformance RunAlgorithm(int algorithmIndex)
{
if (log)
{
Console.WriteLine("Calling algorithm \"" + algorithmNames[algorithmIndex] + "\"");
}
stopWatch.Reset();
ResetSortedArrays();
AlgorithmPerformance currentPerformance = RunAlgorithmForAllArrays(algorithmIndex);
if (log)
{
Console.WriteLine("Before reset");
PrintArrays(sortedArrays);
ResetSortedArrays();
Console.WriteLine("After reset");
PrintArrays(sortedArrays);
}
return(currentPerformance);
}