public static Equity Transform(this Equity sourceEquity, PeriodOption targetPeriod)
{
if (sourceEquity.Period == targetPeriod)
{
return(sourceEquity);
}
if (!IsTransformationValid(sourceEquity.Period, targetPeriod))
{
throw new InvalidTransformationException(sourceEquity.Period, targetPeriod);
}
var candles = new List <Candle>();
var periodInstance = targetPeriod.CreateInstance();
DateTime startTime = sourceEquity.First().DateTime;
while (startTime <= sourceEquity.Last().DateTime)
{
var nextStartTime = periodInstance.NextTimestamp(startTime);
if (periodInstance.IsTimestamp(startTime))
{
var candle = ComputeCandle(sourceEquity, startTime, nextStartTime);
if (candle != null)
{
candles.Add(candle);
}
}
startTime = nextStartTime;
}
return(new Equity(sourceEquity.Name, candles, targetPeriod));
}
public void AddChange(double change, DateTime?dt = null)
{
if (Equity.Count == 0)
{
Returns.Add(0);
Equity.Add(change);
}
else
{
Returns.Add(Equity.Last() != 0 ? change / Equity.Last() : 0);
Equity.Add(Equity[Equity.Count - 1] + change);
}
Changes.Add(change);
_maxEquity = Math.Max(_maxEquity, Equity.Last());
DrawdownPct.Add(_maxEquity == 0 ? 0 : Equity.Last() / _maxEquity - 1);
DrawdownAmt.Add(Equity.Last() - _maxEquity);
if (dt != null)
{
AddDrawdownLengths(dt.Value);
}
Dates.Add(dt);
}
public void AddValue(double value, DateTime?dt = null)
{
if (Equity.Count == 0)
{
Returns.Add(0);
Changes.Add(0);
}
else
{
Returns.Add(Equity.Last() != 0 ? value / Equity.Last() - 1 : 0);
Changes.Add(value - Equity[Equity.Count - 1]);
}
Equity.Add(value);
_maxEquity = Math.Max(_maxEquity, value);
DrawdownPct.Add(_maxEquity == 0 ? 0 : value / _maxEquity - 1);
DrawdownAmt.Add(Equity.Last() - _maxEquity);
if (dt != null)
{
AddDrawdownLengths(dt.Value);
}
Dates.Add(dt);
}
/// <summary>
///
/// </summary>
/// <param name="ret">Net Return</param>
public void AddReturn(double ret, DateTime?dt = null)
{
if (Equity.Count == 0)
{
Equity.Add(1);
Changes.Add(0);
}
else
{
Equity.Add(Equity.Last() * (1 + ret));
Changes.Add(Equity[Equity.Count - 1] - Equity[Equity.Count - 2]);
}
_maxEquity = Math.Max(_maxEquity, Equity.Last());
Returns.Add(ret);
DrawdownPct.Add(_maxEquity == 0 ? 0 : Equity.Last() / _maxEquity - 1);
DrawdownAmt.Add(Equity.Last() - _maxEquity);
if (dt != null)
{
AddDrawdownLengths(dt.Value);
}
Dates.Add(dt);
}