public async Task ScriptIsProfitableOrNot()
{
//Get All Candles according to
MAStrategy mAStrategy = new MAStrategy();
var symbolService = new SymbolService();
var userSessionService = new UserSessionService();
var symbol = await symbolService.GetAsync(21108);
var userSession = await userSessionService.GetCurrentSession();
PositionTestModel positionTestModel = null;
if (userSession != null)
{
var zeropdhaService = new ZerodhaBroker(new UserSessionModel()
{
AccessToken = userSession.AccessToken,
ApiKey = userSession.ApiKey,
AppSecret = userSession.AppSecret,
PublicToken = userSession.PublicToken,
UserId = userSession.UserId
});
var candles = zeropdhaService.GetData(
symbol, mAStrategy._HistoricalDataTimeframe,
DateTime.Now.AddDays(-7),
DateTime.Now.AddDays(-2), false);
positionTestModel = GetProfitOfDay(symbol, candles);
}
Assert.IsTrue(positionTestModel.Profit > 1, "Symbol is Not Profitable");
}
public async Task WeeklyWatchlistIsProfitableOrNot()
{
List <PositionTestModel> positionWeekTestModels = new List <PositionTestModel>();
//Get All Candles according to
MAStrategy mAStrategy = new MAStrategy();
var watchlistService = new WatchlistService();
var userSessionService = new UserSessionService();
var symbols = await watchlistService.GetSymbols(1);
var userSession = await userSessionService.GetCurrentSession();
var weekStart = 5;
if (userSession != null)
{
var zeropdhaService = new ZerodhaBroker(new UserSessionModel()
{
AccessToken = userSession.AccessToken,
ApiKey = userSession.ApiKey,
AppSecret = userSession.AppSecret,
PublicToken = userSession.PublicToken,
UserId = userSession.UserId
});
for (int i = 0; i < 5; i++)
{
List <PositionTestModel> positionTestModels = new List <PositionTestModel>();
Parallel.ForEach(symbols.Take(50), symbol =>
{
var candles = zeropdhaService.GetData(
symbol, mAStrategy._HistoricalDataTimeframe,
new DateTime(2018, 3, weekStart + i, 18, 0, 0).AddDays(mAStrategy._HistoricalDataInDays),
//DateTime.Now
new DateTime(2018, 3, weekStart + i, 18, 0, 0),
false);
positionTestModels.Add(GetProfitOfDay(symbol, candles));
});
positionWeekTestModels.Add(new PositionTestModel()
{
dateTime = new DateTime(2018, 3, weekStart + i, 0, 0, 0),
NoOfPositions = positionTestModels.Where(x => x != null).Sum(x => x.NoOfPositions),
NoOfProfitable = positionTestModels.Where(x => x != null).Sum(x => x.NoOfProfitable),
NoOfStopHit = positionTestModels.Where(x => x != null).Sum(x => x.NoOfStopHit),
Profit = positionTestModels.Where(x => x != null).Sum(x => x.Profit)
});
}
}
Assert.IsTrue(positionWeekTestModels.Where(x => x != null).Sum(x => x.Profit) > 1, "Week is Not Profitable");
}
private PositionTestModel GetProfitOfDay(Symbol symbol, IEnumerable <Candle> candles, MAStrategy mAStrategy = null)
{
PositionTestModel positionTestModel = null;
if (mAStrategy == null)
{
mAStrategy = new MAStrategy();
}
BrokerOrderModel brokerOrder = null;
if (candles != null && symbol != null)
{
var lastDay = candles.LastOrDefault().DateTime.Day;
for (int candleIndex = 0; candleIndex < candles.Count(); candleIndex++)
{
var currentCandle = candles.ElementAt(candleIndex);
if (currentCandle.DateTime.Day == lastDay && currentCandle.DateTime.TimeOfDay > mAStrategy.marketStart && currentCandle.DateTime.TimeOfDay < mAStrategy.marketEnd)
{
if (brokerOrder == null)
{
var scanResult = mAStrategy.Scan(symbol, candles.Take(candleIndex), false);
if (scanResult != null)
{
brokerOrder = scanResult;
if (positionTestModel == null)
{
positionTestModel = new PositionTestModel()
{
NoOfPositions = 1, TradingSymbol = symbol.TradingSymbol
}
}
;
else
{
positionTestModel.NoOfPositions += 1;
}
}
}
else if (brokerOrder.TransactionType == Constants.TRANSACTION_TYPE_BUY)
{
//Stop Loss Hit
if (currentCandle.Low <= brokerOrder.TriggerPrice.Value)
{
positionTestModel.Profit -= (brokerOrder.StoplossValue.Value * brokerOrder.Quantity);
positionTestModel.NoOfStopHit += 1;
brokerOrder = null;
}
else if (currentCandle.High >= (brokerOrder.Price.Value + brokerOrder.SquareOffValue.Value))
{
positionTestModel.Profit += (brokerOrder.SquareOffValue.Value * brokerOrder.Quantity);
positionTestModel.NoOfProfitable += 1;
brokerOrder = null;
}
}
else if (brokerOrder.TransactionType == Constants.TRANSACTION_TYPE_SELL)
{
//Stop Loss Hit
if (currentCandle.High >= brokerOrder.TriggerPrice.Value)
{
positionTestModel.Profit -= (brokerOrder.StoplossValue.Value * brokerOrder.Quantity);
positionTestModel.NoOfStopHit += 1;
brokerOrder = null;
}
else if (currentCandle.Low <= (brokerOrder.Price.Value - brokerOrder.SquareOffValue.Value))
{
positionTestModel.Profit += (brokerOrder.SquareOffValue.Value * brokerOrder.Quantity);
positionTestModel.NoOfProfitable += 1;
brokerOrder = null;
}
}
}
}
}
return(positionTestModel);
}
public async Task RegressionMonthlyWatchlistIsProfitableOrNot()
{
List <PositionTestModel> positionWeekTestModels = new List <PositionTestModel>();
//Get All Candles according to
MAStrategy mAStrategy = new MAStrategy();
var watchlistService = new WatchlistService();
var userSessionService = new UserSessionService();
var symbols = await watchlistService.GetSymbols(1);
var userSession = await userSessionService.GetCurrentSession();
var weekStart = new DateTime(2018, 2, 5, 9, 0, 0).StartOfWeek(DayOfWeek.Monday);
IList <PositionTestModel> positionTestModels = new List <PositionTestModel>();
for (int emaShortPeriodCounter = 3; emaShortPeriodCounter < 20; emaShortPeriodCounter++)
{
for (int emaLongPeriodCounter = emaShortPeriodCounter += 1; emaLongPeriodCounter < 25; emaLongPeriodCounter++)
{
mAStrategy._EmaShortPeriod = emaShortPeriodCounter;
mAStrategy._EmaLongPeriod = emaLongPeriodCounter;
for (int weekCounter = 0; weekCounter < 4; weekCounter++)
{
DateTime tempWeekStart = weekStart.AddDays(weekCounter * 7);
if (userSession != null)
{
var zeropdhaService = new ZerodhaBroker(new UserSessionModel()
{
AccessToken = userSession.AccessToken,
ApiKey = userSession.ApiKey,
AppSecret = userSession.AppSecret,
PublicToken = userSession.PublicToken,
UserId = userSession.UserId
});
for (int dayCounter = 0; dayCounter < 5; dayCounter++)
{
Parallel.ForEach(symbols.Take(50), symbol =>
{
var candles = zeropdhaService.GetData(
symbol, mAStrategy._HistoricalDataTimeframe,
new DateTime(2018, 3, tempWeekStart.Day + dayCounter, 9, 0, 0).AddDays(mAStrategy._HistoricalDataInDays),
//DateTime.Now
new DateTime(2018, 3, tempWeekStart.Day + dayCounter, 18, 0, 0),
false);
positionTestModels.Add(GetProfitOfDay(symbol, candles, mAStrategy));
});
positionWeekTestModels.Add(new PositionTestModel()
{
EMA = emaShortPeriodCounter + ", " + emaLongPeriodCounter,
Period = mAStrategy._HistoricalDataTimeframe,
dateTime = new DateTime(2018, 3, tempWeekStart.Day + dayCounter, 0, 0, 0),
NoOfPositions = positionTestModels.Where(x => x != null).Sum(x => x.NoOfPositions),
NoOfProfitable = positionTestModels.Where(x => x != null).Sum(x => x.NoOfProfitable),
NoOfStopHit = positionTestModels.Where(x => x != null).Sum(x => x.NoOfStopHit),
Profit = positionTestModels.Where(x => x != null).Sum(x => x.Profit)
});
}
}
}
}
}
positionWeekTestModels.WriteCSV(@"D:\Work\Autotrading\Results\RegressionMonth-" + mAStrategy._HistoricalDataTimeframe + ".csv");
Assert.IsTrue(positionWeekTestModels.Where(x => x != null).Sum(x => x.Profit) > 1, "Week is Not Profitable");
}
