public bool IsCriteriaFulfilled()
{
// Criterion Max Ambiguous Bars
if (chbAmbiguousBars.Checked && Backtester.AmbiguousBars > nudAmbiguousBars.Value)
{
return(false);
}
// Criterion Min Profit per Day
if (chbMinProfitPerDay.Checked && Backtester.MoneyProfitPerDay < (double)nudMinProfitPerDay.Value)
{
return(false);
}
// Criterion Max Equity Drawdown
double maxEquityDrawdown = Configs.AccountInMoney
? Backtester.MaxMoneyEquityDrawdown
: Backtester.MaxEquityDrawdown;
if (chbMaxDrawdown.Checked && maxEquityDrawdown > (double)nudMaxDrawdown.Value)
{
return(false);
}
// Criterion Max Equity percent drawdown
if (chbEquityPercent.Checked && Backtester.MoneyEquityPercentDrawdown > (double)nudEquityPercent.Value)
{
return(false);
}
// Criterion Min Trades
if (chbMinTrades.Checked && Backtester.ExecutedOrders < nudMinTrades.Value)
{
return(false);
}
// Criterion Max Trades
if (chbMaxTrades.Checked && Backtester.ExecutedOrders > nudMaxTrades.Value)
{
return(false);
}
// Criterion Win / Loss ratio
if (chbWinLossRatio.Checked && Backtester.WinLossRatio < (double)nudWinLossRatio.Value)
{
return(false);
}
// Criterion Minimum Sharpe ratio
if (chbMinSharpeRatio.Checked && Backtester.SharpeRatio < (double)nudMinSharpeRatio.Value)
{
return(false);
}
// Max consecutive losses
if (chbMaxConsecLosses.Checked && Backtester.MaxConsecutiveLosses > nudMaxConsecLosses.Value)
{
return(false);
}
// Criterion Red/Green Deviation
if (chbMaxRedGreenDeviation.Checked &&
Backtester.RedGreenBalanceDev > (double)nudMaxRedGreenDeviation.Value)
{
return(false);
}
// OOS Pattern filter
if (chbOOSPatternFilter.Checked && OOSTesting)
{
int netBalance = Backtester.NetBalance;
int oosBalance = Backtester.Balance(BarOOS);
var targetBalance = (int)(oosBalance * TargetBalanceRatio);
var minBalance = (int)(targetBalance * (1 - nudoosPatternPercent.Value / 100));
if (netBalance < oosBalance || netBalance < minBalance)
{
return(false);
}
}
// Smooth Balance Line
if (chbSmoothBalanceLines.Checked)
{
var checkPoints = (int)nudSmoothBalanceCheckPoints.Value;
var maxPercentDeviation = (double)(nudSmoothBalancePercent.Value / 100);
for (int i = 1; i <= checkPoints; i++)
{
int firstBar = Data.FirstBar;
int bar = Data.FirstBar + i * (Data.Bars - firstBar) / (checkPoints + 1);
double netBalance = Backtester.NetMoneyBalance;
double startBalance = Backtester.MoneyBalance(firstBar);
double checkPointBalance = Backtester.MoneyBalance(bar);
double targetBalance = startBalance + i * (netBalance - startBalance) / (checkPoints + 1);
double minBalance = targetBalance * (1 - maxPercentDeviation);
double maxBalance = targetBalance * (1 + maxPercentDeviation);
if (checkPointBalance < minBalance || checkPointBalance > maxBalance)
{
return(false);
}
// Long balance line
netBalance = Backtester.NetLongMoneyBalance;
checkPointBalance = Backtester.LongMoneyBalance(bar);
startBalance = Backtester.LongMoneyBalance(firstBar);
targetBalance = startBalance + i * (netBalance - startBalance) / (checkPoints + 1);
minBalance = targetBalance * (1 - maxPercentDeviation);
maxBalance = targetBalance * (1 + maxPercentDeviation);
if (checkPointBalance < minBalance || checkPointBalance > maxBalance)
{
return(false);
}
// Short balance line
netBalance = Backtester.NetShortMoneyBalance;
checkPointBalance = Backtester.ShortMoneyBalance(bar);
startBalance = Backtester.ShortMoneyBalance(firstBar);
targetBalance = startBalance + i * (netBalance - startBalance) / (checkPoints + 1);
minBalance = targetBalance * (1 - maxPercentDeviation);
maxBalance = targetBalance * (1 + maxPercentDeviation);
if (checkPointBalance < minBalance || checkPointBalance > maxBalance)
{
return(false);
}
}
}
return(true);
}
/// <summary>
/// Check the strategy limitations
/// </summary>
private bool IsLimitationsFulfilled()
{
// The calculated strategy has higher profit
// or the same profit but lower number of slots
Backtester.CalculateAccountStats();
// Limitation Max Ambiguous Bars
if (ChbAmbiguousBars.Checked && Backtester.AmbiguousBars > NUDAmbiguousBars.Value)
{
return(false);
}
// Limitation Max Equity Drawdown
double maxEquityDrawdown = Configs.AccountInMoney
? Backtester.MaxMoneyEquityDrawdown
: Backtester.MaxEquityDrawdown;
if (ChbMaxDrawdown.Checked && maxEquityDrawdown > (double)NUDMaxDrawdown.Value)
{
return(false);
}
// Limitation Max Equity percent drawdown
if (ChbEquityPercent.Checked && Backtester.MoneyEquityPercentDrawdown > (double)NUDEquityPercent.Value)
{
return(false);
}
// Limitation Min Trades
if (ChbMinTrades.Checked && Backtester.ExecutedOrders < NUDMinTrades.Value)
{
return(false);
}
// Limitation Max Trades
if (ChbMaxTrades.Checked && Backtester.ExecutedOrders > NUDMaxTrades.Value)
{
return(false);
}
// Limitation Win / Loss ratio
if (ChbWinLossRatio.Checked && Backtester.WinLossRatio < (double)NUDWinLossRatio.Value)
{
return(false);
}
// OOS Pattern filter
if (ChbOOSPatternFilter.Checked && ChbOutOfSample.Checked)
{
int netBalance = Backtester.NetBalance;
int ooSbalance = Backtester.Balance(_barOOS);
var targetBalance = (int)(ooSbalance * _targetBalanceRatio);
var minBalance = (int)(targetBalance * (1 - NUDOOSPatternPercent.Value / 100));
if (netBalance < ooSbalance || netBalance < minBalance)
{
return(false);
}
}
// Smooth Balance Line
if (ChbSmoothBalanceLines.Checked)
{
var checkPoints = (int)NUDSmoothBalanceCheckPoints.Value;
var maxPercentDeviation = (double)(NUDSmoothBalancePercent.Value / 100);
for (int i = 1; i <= checkPoints; i++)
{
int firstBar = Data.FirstBar;
int bar = Data.FirstBar + i * (Data.Bars - firstBar) / (checkPoints + 1);
double netBalance = Backtester.NetMoneyBalance;
double startBalance = Backtester.MoneyBalance(firstBar);
double checkPointBalance = Backtester.MoneyBalance(bar);
double targetBalance = startBalance + i * (netBalance - startBalance) / (checkPoints + 1);
double minBalance = targetBalance * (1 - maxPercentDeviation);
double maxBalance = targetBalance * (1 + maxPercentDeviation);
if (checkPointBalance < minBalance || checkPointBalance > maxBalance)
{
return(false);
}
if (Configs.AdditionalStatistics)
{
// Long balance line
netBalance = Backtester.NetLongMoneyBalance;
checkPointBalance = Backtester.LongMoneyBalance(bar);
startBalance = Backtester.LongMoneyBalance(firstBar);
targetBalance = startBalance + i * (netBalance - startBalance) / (checkPoints + 1);
minBalance = targetBalance * (1 - maxPercentDeviation);
maxBalance = targetBalance * (1 + maxPercentDeviation);
if (checkPointBalance < minBalance || checkPointBalance > maxBalance)
{
return(false);
}
// Short balance line
netBalance = Backtester.NetShortMoneyBalance;
checkPointBalance = Backtester.ShortMoneyBalance(bar);
startBalance = Backtester.ShortMoneyBalance(firstBar);
targetBalance = startBalance + i * (netBalance - startBalance) / (checkPoints + 1);
minBalance = targetBalance * (1 - maxPercentDeviation);
maxBalance = targetBalance * (1 + maxPercentDeviation);
if (checkPointBalance < minBalance || checkPointBalance > maxBalance)
{
return(false);
}
}
}
}
return(true);
}