public void TestBuyThenCloseTradeWithTransactionFee()
{
var runner = new StrategyRunner(_fakeBrokersCandlesService, _broker, 10000M);
var strategy = new StrategyBuyThenClose();
var trades = runner.Run(strategy);
Assert.AreEqual(1, trades.Count);
Assert.AreEqual(3030M, trades[0].EntryPrice);
Assert.AreEqual(5020M, trades[0].ClosePrice);
//total = amount + (amount * fee)
// = amount * (1 + fee)
var bought = trades[0].EntryQuantity.Value * trades[0].EntryPrice.Value;
var buyFee = bought * 0.01m;
Assert.AreEqual(10000M, bought + buyFee);
var sold = trades[0].ClosePrice.Value * trades[0].EntryQuantity.Value;
var sellFee = sold * 0.01m;
Assert.AreEqual(sold - bought - buyFee - sellFee, trades[0].NetProfitLoss);
Assert.AreEqual(runner.Balance, 10000M + trades[0].NetProfitLoss);
Assert.IsFalse(strategy.Trades.AnyOpen);
Assert.IsFalse(strategy.Trades.AnyOrders);
Assert.AreEqual(1, strategy.Trades.ClosedTrades.Count());
}
public void TestTotalValue()
{
var runner = new StrategyRunner(_fakeBrokersCandlesService, _broker, 10000M);
var s = new StrategyTotalValue();
var trades = runner.Run(s);
var trade1Cost = (s.Trade1.EntryPrice.Value * s.Trade1.EntryQuantity) + (s.Trade1.EntryPrice.Value * s.Trade1.EntryQuantity) * 0.001M;
var trade2Cost = (s.Trade2.EntryPrice.Value * s.Trade2.EntryQuantity) + (s.Trade2.EntryPrice.Value * s.Trade2.EntryQuantity) * 0.001M;
Func <decimal, decimal> trade1Value = p => (s.Trade1.EntryQuantity.Value * p) - (s.Trade1.EntryQuantity.Value * p) * 0.001M;
Func <decimal, decimal> trade2Value = p => (s.Trade2.EntryQuantity.Value * p) - (s.Trade2.EntryQuantity.Value * p) * 0.001M;
Assert.AreEqual(2, trades.Count);
Assert.AreEqual(10000M, s.TotalValuesBeforeTrades[3500]);
Assert.AreEqual(10000M - trade1Cost + trade1Value(3020M), s.TotalValuesAfterTrades[3500]);
var price = 4020M;
Assert.AreEqual(10000M - trade1Cost + trade1Value(price), s.TotalValuesBeforeTrades[4500]);
Assert.AreEqual(10000M - trade1Cost + trade1Value(price) - trade2Cost + trade2Value(price), s.TotalValuesAfterTrades[4500]);
price = 7020M;
Assert.AreEqual(10000M - trade1Cost + trade1Value(price) - trade2Cost + trade2Value(price), s.TotalValuesBeforeTrades[7500]);
Assert.AreEqual(10000M - trade1Cost + trade1Value(price) - trade2Cost + trade2Value(price), s.TotalValuesAfterTrades[7500]);
}
public void TestCalcBar()
{
var runner = new StrategyRunner <MyStrategy>();
Assert.False(runner.Strategy.CalcBarCalled);
runner.CalcBar();
Assert.True(runner.Strategy.CalcBarCalled);
}
public void TestStartCalc()
{
var runner = new StrategyRunner <MyStrategy>();
Assert.False(runner.Strategy.StartCalcCalled);
runner.StartCalc();
Assert.True(runner.Strategy.StartCalcCalled);
}
public void TestBuyWithIndicator()
{
var runner = new StrategyRunner(_fakeBrokersCandlesService, _broker, 10000M);
var strategy = new StrategyBuyWithIndicator();
var trades = runner.Run(strategy);
Assert.AreEqual(1, trades.Count);
Assert.AreEqual(5030M, trades[0].EntryPrice);
Assert.IsTrue(strategy.Trades.AnyOpen);
Assert.IsFalse(strategy.Trades.AnyOrders);
Assert.AreEqual(0, strategy.Trades.ClosedTrades.Count());
}
public void TestBuyThenCloseTrade()
{
var runner = new StrategyRunner(_fakeBrokersCandlesService, _broker, 10000M);
var strategy = new StrategyBuyThenClose();
var trades = runner.Run(strategy);
Assert.AreEqual(1, trades.Count);
Assert.AreEqual(3030M, trades[0].EntryPrice);
Assert.AreEqual(5020M, trades[0].ClosePrice);
Assert.AreEqual(((5020M * 10000M) / 3030M) - 10000M, trades[0].NetProfitLoss);
Assert.IsFalse(strategy.Trades.AnyOpen);
Assert.IsFalse(strategy.Trades.AnyOrders);
Assert.AreEqual(1, strategy.Trades.ClosedTrades.Count());
}
public void TestBuyWithLimit()
{
var runner = new StrategyRunner(_fakeBrokersCandlesService, _broker, 10000M);
var strategy = new StrategyBuyWithLimit();
var trades = runner.Run(strategy);
Assert.AreEqual(1, trades.Count);
Assert.AreEqual(3030M, trades[0].EntryPrice);
Assert.AreEqual(7000M, trades[0].ClosePrice);
Assert.AreEqual(8000M, trades[0].CloseDateTime.Value.Ticks);
Assert.AreEqual((Math.Round((7000M * 10000M) / 3030M) - 10000M), Math.Round(trades[0].NetProfitLoss.Value));
Assert.IsFalse(strategy.Trades.AnyOpen);
Assert.IsFalse(strategy.Trades.AnyOrders);
Assert.AreEqual(1, strategy.Trades.ClosedTrades.Count());
}
public void TestExpiredOrder()
{
var runner = new StrategyRunner(_fakeBrokersCandlesService, _broker, 10000M);
var strategy = new StrategyBuyWithExpiredOrder(3000);
var trades = runner.Run(strategy);
Assert.AreEqual(1, trades.Count);
Assert.AreEqual(null, trades[0].EntryPrice);
Assert.AreEqual(null, trades[0].EntryDateTime);
Assert.IsFalse(strategy.Trades.AnyOpen);
Assert.IsFalse(strategy.Trades.AnyOrders);
Assert.AreEqual(1, strategy.Trades.ClosedTrades.Count());
Assert.IsTrue(strategy.Trades.AllTrades.All(x => x.Trade.EntryPrice == null));
Assert.AreEqual(10000M, runner.Balance);
}
public void TestBuyWithOrder()
{
var runner = new StrategyRunner(_fakeBrokersCandlesService, _broker, 10000M);
var strategy = new StrategyBuyWithOrder();
var trades = runner.Run(strategy);
Assert.AreEqual(1, trades.Count);
Assert.AreEqual(6000M, trades[0].EntryPrice);
Assert.AreEqual(7000, trades[0].EntryDateTime.Value.Ticks);
Assert.IsTrue(strategy.Trades.AnyOpen);
Assert.IsFalse(strategy.Trades.AnyOrders);
Assert.AreEqual(0, strategy.Trades.ClosedTrades.Count());
Assert.IsTrue(strategy.Trades.AllTrades.All(x => x.Trade.EntryPrice != null));
Assert.AreNotEqual(10000M, runner.Balance);
}
public void TestBuyCloseTwoMarkets()
{
var runner = new StrategyRunner(_fakeBrokersCandlesService, _broker, 10000M);
var strategy = new StrategyBuyCloseTwoMarkets();
var trades = runner.Run(strategy);
Assert.AreEqual(2, trades.Count);
Assert.AreEqual(8030M, trades[0].EntryPrice);
Assert.AreEqual(7000M, trades[0].ClosePrice);
Assert.AreEqual(4030M, trades[1].EntryPrice);
Assert.AreEqual(6000M, trades[1].ClosePrice);
Assert.IsFalse(strategy.Trades.AnyOpen);
Assert.IsFalse(strategy.Trades.AnyOrders);
Assert.AreEqual(2, strategy.Trades.ClosedTrades.Count());
}
/// <summary>
/// Subscribes to the given chart and starts trading.
/// </summary>
/// <param name="bars">The chart to subscribe to.</param>
public void Start(IEnumerable <IMonitoredInstrument> bars)
{
if (Runner is object)
{
throw new InvalidOperationException("AutoTrader is already running.");
}
Manager.OrderValidated += OnOrderValidated;
Manager.OrderCanceled += OnOrderCanceled;
Bars = new List <IMonitoredInstrument>(bars);
Runner = new StrategyRunner <T>(Bars, OrderCreator, Output, StrategyInfo);
Runner.Create();
Runner.StartCalc();
// We only send orders based on the primary chart. The secondary charts are
// used for reference within the strategy.
PrimaryChart.Updated += OnBarsUpdated;
}
public void TestStrategyReferencesBars()
{
var bars = new LoadableBars();
var runner = new StrategyRunner <MyStrategy>(bars.ToSingleDataStream());
bars.AddBar(new Bar()
{
High = 10
});
Assert.Equal(10, runner.Strategy.CurrentHigh);
bars.AddBar(new Bar()
{
High = 7
});
Assert.Equal(7, runner.Strategy.CurrentHigh);
bars.AddBar(new Bar()
{
High = 20
});
Assert.Equal(20, runner.Strategy.CurrentHigh);
}
static void Main(string[] args)
{
System.Console.WriteLine("Welcome to the Kaplan-Meier estimator program!");
SetParams();
var patientReader = new ExcelPatientReader(Path.Combine(Directory.GetCurrentDirectory(), PatientFileName), PatientSheetName, hasHeader: true);
patientReader.RegisterParser(@"Patientnummer", (value, patient) => patient.Id = int.Parse(value));
patientReader.RegisterParser(@"EventFreeSurvival_event (metastasis or death)", (value, patient) => patient.CensorEvent = (EventFreeSurvival)Enum.Parse(typeof(EventFreeSurvival), value));
patientReader.RegisterParser(@"reg_t_fu_months", (value, patient) => patient.CensorEventTime = (int)Math.Floor(double.Parse(value)));
var geneReader = new CSVGeneReader(Path.Combine(Directory.GetCurrentDirectory(), GeneFileName));
var patients = patientReader.ReadToEnd().ToDictionary(patient => patient.Id);
var genes = geneReader.GetGenes().ToList();
ISplitStrategy[] splitStrategies = null;
if (Time == "before")
{
splitStrategies = new ISplitStrategy[] { new T0_TopNPercentSplitStrategy(Percentile, patients) };
}
if (Time == "after")
{
splitStrategies = new ISplitStrategy[] { new T2_TopNPercentSplitStrategy(Percentile, patients) };
}
if (Time == "diff")
{
splitStrategies = new ISplitStrategy[] { new T0T2Diff_TopNPercentSplitStrategy(Percentile, patients) };
}
string currentDir = Directory.GetCurrentDirectory();
foreach (var strategy in splitStrategies)
{
if (Directory.Exists(Path.Combine(currentDir, strategy.Name)))
{
Directory.Delete(Path.Combine(currentDir, strategy.Name), true);
}
DirectoryInfo targetDir = Directory.CreateDirectory(Path.Combine(currentDir, strategy.Name));
if (!targetDir.Exists)
{
targetDir.Create();
}
StrategyRunner runner = new StrategyRunner(strategy);
var orderedResults = runner.Run(genes).ToArray();
int resultsCount = orderedResults.Length;
for (int index = 0; index < resultsCount; index++)
{
var result = orderedResults[index];
result.FDR = (result.Estimate.PValue * resultsCount) / (index + 1);
}
File.WriteAllText(Path.Combine(targetDir.FullName, "Results.csv"), "Illumina ID, P-Value, -Log(P-Value), FDR, GroupSize" + Environment.NewLine);
File.AppendAllLines(Path.Combine(targetDir.FullName, "Results.csv"), orderedResults.Select((result, index) => string.Format("{0}, {1:E}, {2}, {3}, {4}", result.GeneId, result.Estimate.PValue, -Math.Log10(result.Estimate.PValue), (result.Estimate.PValue * resultsCount) / (index + 1), result.GroupSize)));
var logRankDir = targetDir.CreateSubdirectory("Results_LogRank");
ExcelWritter excelOutput = new ExcelWritter(logRankDir, orderedResults, result => - Math.Log10(result.Estimate.PValue));
excelOutput.WriteExcelFiles();
orderedResults = orderedResults.OrderBy(result => result.FDR).ToArray();
var fdrRankDir = targetDir.CreateSubdirectory("Results_FDR");
excelOutput = new ExcelWritter(fdrRankDir, orderedResults, result => result.FDR);
excelOutput.WriteExcelFiles();
System.Console.WriteLine("Output is ready at {0}", targetDir.FullName);
System.Console.ReadLine();
}
}
