public override object Clone()
{
var p = new BacktestingProject()
{
Name = Name,
Memo = Memo,
IsUnlimited = IsUnlimited,
AnalyseGrade = AnalyseGrade,
AnalyseStartTime = AnalyseStartTime,
CurrentDataSource = CurrentDataSource.Clone() as IDataSource,
CurrentTradeGate = CurrentTradeGate,
Fine = Fine,
Grade = Grade,
ProjectStartTime = ProjectStartTime,
RiskPolicy = RiskPolicy.Clone() as IRiskControl,
Status = Status,
TargetPortfolio = TargetPortfolio.Clone() as IPortfolio,
TestStrategy = TestStrategy.Clone() as IStrategy,
TestCurrentTime = TestCurrentTime,
TestEndTime = TestEndTime,
TestStartTime = TestStartTime,
TestStepDelayMS = TestStepDelayMS,
};
ConditionList.ForEach(v => p.ConditionList.Add(v.Clone() as ICondition));
InstrumentList.ForEach(v => p.InstrumentList.Add(v.Clone() as IInstrument));
return(p);
}
static void RunFoxHunt()
{
Stopwatch sw = new Stopwatch();
sw.Start();
using (var sim = new QuantumSimulator())
{
var foxSurvives = 0;
var hunterWins = 0;
for (int i = 0; i < 1000; i++)
{
var result = (Result)(TestStrategy.Run(sim).Result);
if (result == Result.Zero)
{
foxSurvives++;
}
else
{
hunterWins++;
}
}
Console.WriteLine($"Fox survives: \t{foxSurvives}");
Console.WriteLine($"Hunter wins: \t{hunterWins}");
}
sw.Stop();
Console.WriteLine($"Experiment finished. " +
$"Time spent: {sw.ElapsedMilliseconds / 1000} seconds");
}
public override void SaveOriginalStatus()
{
CurrentDataSource.SaveOriginalStatus();
ConditionList.ForEach(v => v.SaveOriginalStatus());
TargetPortfolio.SaveOriginalStatus();
TestStrategy.SaveOriginalStatus();
CurrentTradeGate.SaveOriginalStatus();
RiskPolicy.SaveOriginalStatus();
}
public void TestChangeValidationStrategy()
{
var vm = new TestViewModel();
var strat = new TestStrategy();
vm.ValidationStrategy = strat;
Assert.AreSame(strat, vm.ValidationStrategy);
}
public override void FinishWork()
{
TestCurrentTime = TestEndTime;
TargetPortfolio.FinishWork();
ConditionList.ForEach(v => v.FinishWork());
//SensorList.ForEach(v => v.FinishWork());
CurrentTradeGate.FinishWork();
CurrentDataSource.FinishWork();
TestStrategy.FinishWork();
RiskPolicy.FinishWork();
}
private static void AssertGetsActuals(string columnName, string headerName) {
var table = new DataTable();
table.Columns.Add(columnName, typeof (string));
DataRow row = table.NewRow();
row[columnName] = "hi";
var strategy = new TestStrategy(new Parse("tr", string.Empty,
new Parse("td", headerName, null, null), null));
TypedValue[] values = strategy.ActualValues(row);
Assert.AreEqual(1, values.Length);
Assert.AreEqual(typeof(string), values[0].Type);
Assert.AreEqual("hi", values[0].Value);
}
public override void LoadOriginalStatus()
{
if (Status != ProjectStatus.Stopped)
{
Stop();
}
CurrentDataSource.LoadOriginalStatus();
ConditionList.ForEach(v => v.LoadOriginalStatus());
TargetPortfolio.LoadOriginalStatus();
TestStrategy.LoadOriginalStatus();
CurrentTradeGate.LoadOriginalStatus();
RiskPolicy.LoadOriginalStatus();
}
public void StrategyBase_Ctor()
{
// Arrange ...
var options = new OptionsWrapper <StrategyOptions>(new StrategyOptions());
// Act ...
var result = new TestStrategy(options);
// Assert ...
Assert.IsTrue(
result.GetPropertyValue("Options", true) != null,
"The Options property wasn't initialized by the ctor."
);
}
private static void AssertGetsActuals(string columnName, string headerName)
{
var table = new DataTable();
table.Columns.Add(columnName, typeof(string));
DataRow row = table.NewRow();
row[columnName] = "hi";
var strategy = new TestStrategy(new Parse("tr", string.Empty,
new Parse("td", headerName, null, null), null));
TypedValue[] values = strategy.ActualValues(row);
Assert.AreEqual(1, values.Length);
Assert.AreEqual(typeof(string), values[0].Type);
Assert.AreEqual("hi", values[0].Value);
}
public List <IPlayStrategy> BuildAll()
{
var result = new List <IPlayStrategy>();
result.Add(new TeachOnlyShowStrategy(_speaker, _listener));
result.Add(new TeachWriteStrategy(_speaker, _listener));
var testEnglishToRussian = new TestStrategy(3, new EnglishToRussian(), _speaker, _listener);
result.Add(testEnglishToRussian);
var testRussianToEnglish = new TestStrategy(3, new RussianToEnglish(), _speaker, _listener);
result.Add(testRussianToEnglish);
return(result);
}
public void GetsDataRowActuals()
{
var table = new DataTable();
table.Columns.Add("test", typeof (bool));
table.Columns.Add("other_test", typeof (string));
DataRow row = table.NewRow();
row["test"] = true;
row["other_test"] = "hi";
var strategy = new TestStrategy(new Parse("tr", string.Empty,
new Parse("td", "test", null,
new Parse("td", "\"other_test\"", null, null)), null));
TypedValue[] values = strategy.ActualValues(row);
Assert.AreEqual(2, values.Length);
Assert.AreEqual(typeof(bool), values[0].Type);
Assert.AreEqual(true, values[0].Value);
Assert.AreEqual(typeof(string), values[1].Type);
Assert.AreEqual("hi", values[1].Value);
}
public async Task It_Decorates_Using_Local()
{
var testString = "";
var s1 = new TestStrategy(() => testString += "1");
var s2 = new TestStrategy(() => testString += "2");
var s3 = new TestStrategy(() => testString += "3");
var factory = new DynamicCommandBuilderFactory();
var command = factory.CreateFromAction(DefaultCommandName, () => { })
.WithStrategy(s1)
.WithStrategy(s2)
.WithStrategy(s3)
.Build();
await command.Execute();
testString.Should().Be("123");
}
public async Task It_applies_strategies_in_order2()
{
var testString = "";
var s1 = new TestStrategy(() => testString += "1");
var s2 = new TestStrategy(() => testString += "2");
var s3 = new TestStrategy(() => testString += "3");
var factory = new DynamicCommandBuilderFactory(b => b
.WithStrategy(s2)
);
var command = factory.CreateFromAction(DefaultCommandName, () => { })
.WithStrategy(s3)
.WithStrategy(s1, wrapExisting: true)
.Build();
await command.Execute();
testString.Should().Be("123");
}
public void SimpleWriteRoundtrip()
{
var strategy = new TestStrategy();
var setup = Compose(strategy);
setup.AddOrUpdateEntity(1, "test");
setup.AddOrUpdateSingleton(() => 1, i => 1);
AssertContents(setup);
var memStore = new MemoryStorageConfig();
var mem = memStore.CreateNuclear(strategy);
mem.CopyFrom(setup, strategy.GetEntityBucket<string>(), strategy.GetEntityBucket<int>());
AssertContents(mem);
setup.Container.Reset(strategy.GetEntityBucket<string>());
setup.Container.Reset(strategy.GetEntityBucket<int>());
setup.CopyFrom(mem, strategy.GetEntityBucket<string>(), strategy.GetEntityBucket<int>());
AssertContents(setup);
}
/// <summary>
/// Test an archive for integrity/validity
/// </summary>
/// <param name="testData">Perform low level data Crc check</param>
/// <param name="strategy">The <see cref="TestStrategy"></see> to apply.</param>
/// <param name="resultHandler">The <see cref="ZipTestResultHandler"></see> handler to call during testing.</param>
/// <returns>true if all tests pass, false otherwise</returns>
/// <exception cref="ObjectDisposedException">The object has already been closed.</exception>
public bool TestArchive(bool testData, TestStrategy strategy, ZipTestResultHandler resultHandler)
{
if (isDisposed_) {
throw new ObjectDisposedException("ZipFile");
}
TestStatus status = new TestStatus(this);
if ( resultHandler != null ) {
resultHandler(status, null);
}
HeaderTest test = testData ? (HeaderTest.Header | HeaderTest.Extract) : HeaderTest.Header;
bool testing = true;
try {
int entryIndex = 0;
while ( testing && (entryIndex < Count) ) {
if ( resultHandler != null ) {
status.SetEntry(this[entryIndex]);
status.SetOperation(TestOperation.EntryHeader);
resultHandler(status, null);
}
try {
TestLocalHeader(this[entryIndex], test);
}
catch(ZipException ex) {
status.AddError();
if ( resultHandler != null ) {
resultHandler(status,
string.Format("Exception during test - '{0}'", ex.Message));
}
if ( strategy == TestStrategy.FindFirstError ) {
testing = false;
}
}
if ( testing && testData && this[entryIndex].IsFile ) {
if ( resultHandler != null ) {
status.SetOperation(TestOperation.EntryData);
resultHandler(status, null);
}
Crc32 crc = new Crc32();
using (Stream entryStream = this.GetInputStream(this[entryIndex]))
{
byte[] buffer = new byte[4096];
long totalBytes = 0;
int bytesRead;
while ((bytesRead = entryStream.Read(buffer, 0, buffer.Length)) > 0)
{
crc.Update(buffer, 0, bytesRead);
if (resultHandler != null)
{
totalBytes += bytesRead;
status.SetBytesTested(totalBytes);
resultHandler(status, null);
}
}
}
if (this[entryIndex].Crc != crc.Value) {
status.AddError();
if ( resultHandler != null ) {
resultHandler(status, "CRC mismatch");
}
if ( strategy == TestStrategy.FindFirstError ) {
testing = false;
}
}
if (( this[entryIndex].Flags & (int)GeneralBitFlags.Descriptor) != 0 ) {
ZipHelperStream helper = new ZipHelperStream(baseStream_);
DescriptorData data = new DescriptorData();
helper.ReadDataDescriptor(this[entryIndex].LocalHeaderRequiresZip64, data);
if (this[entryIndex].Crc != data.Crc) {
status.AddError();
}
if (this[entryIndex].CompressedSize != data.CompressedSize) {
status.AddError();
}
if (this[entryIndex].Size != data.Size) {
status.AddError();
}
}
}
if ( resultHandler != null ) {
status.SetOperation(TestOperation.EntryComplete);
resultHandler(status, null);
}
entryIndex += 1;
}
if ( resultHandler != null ) {
status.SetOperation(TestOperation.MiscellaneousTests);
resultHandler(status, null);
}
// TODO: the 'Corrina Johns' test where local headers are missing from
// the central directory. They are therefore invisible to many archivers.
}
catch (Exception ex) {
status.AddError();
if ( resultHandler != null ) {
resultHandler(status, string.Format("Exception during test - '{0}'", ex.Message));
}
}
if ( resultHandler != null ) {
status.SetOperation(TestOperation.Complete);
status.SetEntry(null);
resultHandler(status, null);
}
return (status.ErrorCount == 0);
}
public static analysis.analysisResult Strategy(analysis.workData data, string strategyCode)
{
GenericStrategy strategy;
curStrategyCode = strategyCode;
switch (strategyCode)
{
//Screening
case "SCRPRICE":
{
Parameters p = null;
strategy = new PriceScreening(data, strategyCode, fExportData, curStrategyCode, p);
return(strategy.Execute());
}
case "SCRMACD01":
{
Parameters p = new Parameters(12, 26, 9);
strategy = new BasicMACD(data, strategyCode, fExportData, curStrategyCode, p);
return(strategy.Screening());
}
case "SCRMACD02":
{
Parameters p = new Parameters(12, 26, 9);
strategy = new MACD_HistogramChanged(data, strategyCode, fExportData, curStrategyCode, p);
return(strategy.Screening());
}
case "SCRDMI":
{
Parameters p = new Parameters(14, 14);
strategy = new BasicDMI(data, strategyCode, fExportData, curStrategyCode, p);
return(strategy.Screening());
}
case "SCRSupport":
{
Parameters p = new Parameters(30, 0.01);
strategy = new SupportScreening(data, strategyCode, fExportData, curStrategyCode, p);
return(strategy.Screening());
}
case "SCRResist":
{
Parameters p = new Parameters(30, 0.01);
strategy = new ResistanceScreening(data, strategyCode, fExportData, curStrategyCode, p);
return(strategy.Screening());
}
case "BUYANDHOLD":
{
strategy = new BuyAndHoldStrategy(data, strategyCode, fExportData, curStrategyCode);
return(strategy.Execute());
}
#region SMA Strategy
case "SMAONLY":
{
Parameters p = new Parameters(5, 10);
strategy = new TwoSMA(data, strategyCode, fExportData, curStrategyCode, p);
return(strategy.Execute());
}
case "EMAONLY":
{
Parameters p = new Parameters(5, 10);
strategy = new TwoEMA(data, strategyCode, fExportData, curStrategyCode, p);
return(strategy.Execute());
}
case "WMAONLY":
{
strategy = new BasicWMA_5_10(data, strategyCode, fExportData, curStrategyCode);
return(strategy.Execute());
}
case "SMAPRICE":
{
//strategy = new Price_SMA_5_10(data, strategyCode, fExportData, curStrategyCode);
//return strategy.Execute();
Parameters p = new Parameters(50, 100);
strategy = new PriceTwoSMA(data, strategyCode, fExportData, curStrategyCode, p);
return(strategy.Execute());
}
case "SMAVFIL":
{
Parameters p = new Parameters(5, 10, 50000);
strategy = new TwoSMA_VolumeFilter(data, strategyCode, fExportData, curStrategyCode, p);
return(strategy.Execute());
}
case "3SMAPRICE":
{
Parameters p = new Parameters(5, 10, 20);
strategy = new BasicPrice_3SMA(data, strategyCode, fExportData, curStrategyCode, p);
return(strategy.Execute());
}
case "3SMANEW":
{
Parameters p = new Parameters(10, 20, 30);
strategy = new BasicPrice_3SMA(data, strategyCode, fExportData, curStrategyCode, p);
return(strategy.Execute());
}
case "SMARIRW":
{
Parameters p = new Parameters(5, 10, 20);
strategy = new Price_3SMA_Risk_Reward(data, strategyCode, fExportData, curStrategyCode, p);
return(strategy.Execute());
}
case "SMAMID":
{
Parameters p = new Parameters(20, 50);
strategy = new PriceTwoSMA(data, strategyCode, fExportData, curStrategyCode, p);
return(strategy.Execute());
//strategy = new Price_SMA_20_50(data, strategyCode, fExportData, curStrategyCode);
//return strategy.Execute();
}
case "SMAM50_100":
{
Parameters p = new Parameters(50, 100);
strategy = new PriceTwoSMA(data, strategyCode, fExportData, curStrategyCode, p);
return(strategy.Execute());
}
#endregion
//Statistic
case "AVERAGE":
{
Parameters p = new Parameters(30, -15, 10);
strategy = new AverageStrategy(data, strategyCode, fExportData, curStrategyCode, p);
return(strategy.Execute());
}
//Statistic
case "AVERAGE1":
{
Parameters p = new Parameters(30, -15, 15);
strategy = new AverageStrategy(data, strategyCode, fExportData, curStrategyCode, p);
return(strategy.Execute());
}
case "RAND":
{
Parameters p = null;
strategy = new RandomStrategy(data, strategyCode, fExportData, curStrategyCode, p);
return(strategy.Execute());
}
//Statistic
case "MARKOV":
{
Parameters p = null;
strategy = new SimpleMarkov(data, strategyCode, fExportData, curStrategyCode, p);
return(strategy.Execute());
}
#region MACD strategy
//MACD strategy
case "MACDBAS":
{
Parameters p = new Parameters(12, 26, 9);
strategy = new BasicMACD(data, strategyCode, fExportData, curStrategyCode, p);
return(strategy.Execute());
}
case "MACD1":
{
strategy = new MACD_Line_Cut(data, strategyCode, fExportData, curStrategyCode);
return(strategy.Execute());
}
case "MACD2":
{
Parameters p = new Parameters(12, 26, 9);
strategy = new MACD_HistogramChanged(data, strategyCode, fExportData, curStrategyCode, p);
return(strategy.Execute());
}
case "MACD_CL":
{
strategy = new MACD_HistogramChanged_CutLoss(data, strategyCode, fExportData, curStrategyCode);
return(strategy.Execute());
}
#endregion
//Strategy with DMI indicator
case "DMI":
{
Parameters p = new Parameters(14, 14);
strategy = new BasicDMI(data, strategyCode, fExportData, curStrategyCode, p);
return(strategy.Execute());
}
case "DMI_CL":
{
Parameters p = new Parameters(14, 14, -5);
strategy = new BasicDMI(data, strategyCode, fExportData, curStrategyCode, p);
return(strategy.Execute_CutLoss());
}
//Strategy with Stochastic
case "STOCHFAST":
{
Parameters p = new Parameters(14, 3);
strategy = new StochasticFast(data, strategyCode, fExportData, curStrategyCode, p);
return(strategy.Execute());
}
//Strategy with Stochastic
case "STOCHSLOW":
{
Parameters p = new Parameters(15, 5, 3);
strategy = new StochasticSlow(data, strategyCode, fExportData, curStrategyCode, p);
return(strategy.Execute());
}
//Strategy with pattern
case "PATERN32":
{
const int CONSECUTIVE_UP = 4;
const int CONSECUTIVE_DOWN = 3;
Parameters p = new Parameters(CONSECUTIVE_DOWN, CONSECUTIVE_UP);
strategy = new Pattern_Consecutive_UpAndDown(data, strategyCode, fExportData, curStrategyCode, p);
return(strategy.Execute());
}
#region Hybrid strategy
////Hybrid strategy
case "RSI":
{
int RSI_LOWER_LEVEL = 30;
int RSI_UPPER_LEVEL = 70;
double[] d = { 14, 26, 12, 9, RSI_LOWER_LEVEL, RSI_UPPER_LEVEL };
Parameters p = new Parameters(d);
strategy = new RSI_MACD_Histogram(data, strategyCode, fExportData, curStrategyCode, p);
return(strategy.Execute());
}
case "SMASTOCH":
{
double[] d = { 5, 10, 15, 5, 3 };
Parameters p = new Parameters(d);;
strategy = new SMA_Stochastic(data, strategyCode, fExportData, curStrategyCode, p);
return(strategy.Execute());
}
case "MACDSTOC":
{
double[] d = { 20, 12, 26, 9, 15, 5, 3 };
Parameters p = new Parameters(d);
strategy = new MACD_Stochastic(data, strategyCode, fExportData, curStrategyCode, p);
return(strategy.Execute());
}
case "MS_BOTTOM":
{
Parameters p = null;
strategy = new MACD_Stochastic_Bottom(data, strategyCode, fExportData, curStrategyCode, p);
return(strategy.Execute());
}
case "MS_BOTv1":
{
Parameters p = null;
strategy = new MACD_Stochastic_Bottom_v1(data, strategyCode, fExportData, curStrategyCode, p);
return(strategy.Execute());
}
case "TEST":
{
Parameters p = new Parameters(5, 10, 1.5);
strategy = new TestStrategy(data, strategyCode, fExportData, curStrategyCode, p);
return(strategy.Execute());
}
#endregion
default:
return(null);
}
}
public static analysis.analysisResult Strategy(analysis.workData data, string strategyCode)
{
GenericStrategy strategy;
curStrategyCode = strategyCode;
switch (strategyCode)
{
//Screening
case "SCRPRICE":
{
Parameters p = null;
strategy = new PriceScreening(data, strategyCode, fExportData, curStrategyCode, p);
return strategy.Execute();
}
case "SCRMACD01":
{
Parameters p = new Parameters(12, 26, 9);
strategy = new BasicMACD(data, strategyCode, fExportData, curStrategyCode, p);
return strategy.Screening();
}
case "SCRMACD02":
{
Parameters p = new Parameters(12, 26, 9);
strategy = new MACD_HistogramChanged(data, strategyCode, fExportData, curStrategyCode, p);
return strategy.Screening();
}
case "SCRDMI":
{
Parameters p = new Parameters(14, 14);
strategy = new BasicDMI(data, strategyCode, fExportData, curStrategyCode, p);
return strategy.Screening();
}
case "SCRSupport":
{
Parameters p = new Parameters(30, 0.01);
strategy = new SupportScreening(data, strategyCode, fExportData, curStrategyCode, p);
return strategy.Screening();
}
case "SCRResist":
{
Parameters p = new Parameters(30, 0.01);
strategy = new ResistanceScreening(data, strategyCode, fExportData, curStrategyCode, p);
return strategy.Screening();
}
case "BUYANDHOLD":
{
strategy = new BuyAndHoldStrategy(data, strategyCode, fExportData, curStrategyCode);
return strategy.Execute();
}
#region SMA Strategy
case "SMAONLY":
{
Parameters p = new Parameters(5, 10);
strategy = new TwoSMA(data, strategyCode, fExportData, curStrategyCode, p);
return strategy.Execute();
}
case "EMAONLY":
{
Parameters p = new Parameters(5, 10);
strategy = new TwoEMA(data, strategyCode, fExportData, curStrategyCode,p);
return strategy.Execute();
}
case "WMAONLY":
{
strategy = new BasicWMA_5_10(data, strategyCode, fExportData, curStrategyCode);
return strategy.Execute();
}
case "SMAPRICE":
{
//strategy = new Price_SMA_5_10(data, strategyCode, fExportData, curStrategyCode);
//return strategy.Execute();
Parameters p = new Parameters(50, 100);
strategy = new PriceTwoSMA(data, strategyCode, fExportData, curStrategyCode, p);
return strategy.Execute();
}
case "SMAVFIL":
{
Parameters p = new Parameters(5, 10, 50000);
strategy = new TwoSMA_VolumeFilter(data, strategyCode, fExportData, curStrategyCode, p);
return strategy.Execute();
}
case "3SMAPRICE":
{
Parameters p = new Parameters(5, 10, 20);
strategy = new BasicPrice_3SMA(data, strategyCode, fExportData, curStrategyCode, p);
return strategy.Execute();
}
case "3SMANEW":
{
Parameters p = new Parameters(10, 20, 30);
strategy = new BasicPrice_3SMA(data, strategyCode, fExportData, curStrategyCode, p);
return strategy.Execute();
}
case "SMARIRW":
{
Parameters p = new Parameters(5, 10, 20);
strategy = new Price_3SMA_Risk_Reward(data, strategyCode, fExportData, curStrategyCode,p);
return strategy.Execute();
}
case "SMAMID":
{
Parameters p = new Parameters(20, 50);
strategy = new PriceTwoSMA(data, strategyCode, fExportData, curStrategyCode, p);
return strategy.Execute();
//strategy = new Price_SMA_20_50(data, strategyCode, fExportData, curStrategyCode);
//return strategy.Execute();
}
case "SMAM50_100":
{
Parameters p = new Parameters(50, 100);
strategy = new PriceTwoSMA(data, strategyCode, fExportData, curStrategyCode, p);
return strategy.Execute();
}
#endregion
//Statistic
case "AVERAGE":
{
Parameters p = new Parameters(30, -15, 10);
strategy = new AverageStrategy(data, strategyCode, fExportData, curStrategyCode, p);
return strategy.Execute();
}
//Statistic
case "AVERAGE1":
{
Parameters p = new Parameters(30, -15, 15);
strategy = new AverageStrategy(data, strategyCode, fExportData, curStrategyCode, p);
return strategy.Execute();
}
case "RAND":
{
Parameters p = null;
strategy = new RandomStrategy(data, strategyCode, fExportData, curStrategyCode, p);
return strategy.Execute();
}
//Statistic
case "MARKOV":
{
Parameters p = null;
strategy = new SimpleMarkov(data, strategyCode, fExportData, curStrategyCode, p);
return strategy.Execute();
}
#region MACD strategy
//MACD strategy
case "MACDBAS":
{
Parameters p = new Parameters(12, 26, 9);
strategy = new BasicMACD(data, strategyCode, fExportData, curStrategyCode, p);
return strategy.Execute();
}
case "MACD1":
{
strategy = new MACD_Line_Cut(data, strategyCode, fExportData, curStrategyCode);
return strategy.Execute();
}
case "MACD2":
{
Parameters p = new Parameters(12, 26, 9);
strategy = new MACD_HistogramChanged(data, strategyCode, fExportData, curStrategyCode,p);
return strategy.Execute();
}
case "MACD_CL":
{
strategy = new MACD_HistogramChanged_CutLoss(data, strategyCode, fExportData, curStrategyCode);
return strategy.Execute();
}
#endregion
//Strategy with DMI indicator
case "DMI":
{
Parameters p = new Parameters(14, 14);
strategy = new BasicDMI(data, strategyCode, fExportData, curStrategyCode, p);
return strategy.Execute();
}
case "DMI_CL":
{
Parameters p = new Parameters(14, 14, -5);
strategy = new BasicDMI(data, strategyCode, fExportData, curStrategyCode, p);
return strategy.Execute_CutLoss();
}
//Strategy with Stochastic
case "STOCHFAST":
{
Parameters p = new Parameters(14, 3);
strategy = new StochasticFast(data, strategyCode, fExportData, curStrategyCode, p);
return strategy.Execute();
}
//Strategy with Stochastic
case "STOCHSLOW":
{
Parameters p = new Parameters(15, 5, 3);
strategy = new StochasticSlow(data, strategyCode, fExportData, curStrategyCode, p);
return strategy.Execute();
}
//Strategy with pattern
case "PATERN32":
{
const int CONSECUTIVE_UP = 4;
const int CONSECUTIVE_DOWN = 3;
Parameters p = new Parameters(CONSECUTIVE_DOWN, CONSECUTIVE_UP);
strategy = new Pattern_Consecutive_UpAndDown(data, strategyCode, fExportData, curStrategyCode, p);
return strategy.Execute();
}
#region Hybrid strategy
////Hybrid strategy
case "RSI":
{
int RSI_LOWER_LEVEL = 30;
int RSI_UPPER_LEVEL = 70;
double[] d = { 14, 26, 12, 9, RSI_LOWER_LEVEL, RSI_UPPER_LEVEL };
Parameters p = new Parameters(d);
strategy = new RSI_MACD_Histogram(data, strategyCode, fExportData, curStrategyCode, p);
return strategy.Execute();
}
case "SMASTOCH":
{
double[] d = { 5, 10, 15, 5, 3 };
Parameters p = new Parameters(d); ;
strategy = new SMA_Stochastic(data, strategyCode, fExportData, curStrategyCode, p);
return strategy.Execute();
}
case "MACDSTOC":
{
double[] d = { 20, 12, 26, 9, 15, 5, 3 };
Parameters p = new Parameters(d);
strategy = new MACD_Stochastic(data, strategyCode, fExportData, curStrategyCode, p);
return strategy.Execute();
}
case "MS_BOTTOM":
{
Parameters p = null;
strategy = new MACD_Stochastic_Bottom(data, strategyCode, fExportData, curStrategyCode, p);
return strategy.Execute();
}
case "MS_BOTv1":
{
Parameters p = null;
strategy = new MACD_Stochastic_Bottom_v1(data, strategyCode, fExportData, curStrategyCode, p);
return strategy.Execute();
}
case "TEST":
{
Parameters p = new Parameters(5, 10, 1.5);
strategy = new TestStrategy(data, strategyCode, fExportData, curStrategyCode, p);
return strategy.Execute();
}
#endregion
default:
return null;
}
}
public bool TestArchive(bool testData,
TestStrategy strategy = TestStrategy.FindFirstError,
ZipTestResultHandler resultHandler = null)
{
if (isDisposed_)
{
throw new ObjectDisposedException("ZipFile");
}
TestStatus status = new TestStatus(this);
if (resultHandler != null)
{
resultHandler(status, null);
}
HeaderTest tests = testData ? (HeaderTest.Header | HeaderTest.Extract) : HeaderTest.Header;
bool flag = true;
try
{
for (int i = 0; flag && (i < Count); i++)
{
if (resultHandler != null)
{
status.SetEntry(this[i]);
status.SetOperation(TestOperation.EntryHeader);
resultHandler(status, null);
}
try
{
TestLocalHeader(this[i], tests);
}
catch (ZipException exception)
{
status.AddError();
if (resultHandler != null)
{
resultHandler(status, string.Format("Exception during test - '{0}'", exception.Message));
}
if (strategy == TestStrategy.FindFirstError)
{
flag = false;
}
}
if ((flag && testData) && this[i].IsFile)
{
if (resultHandler != null)
{
status.SetOperation(TestOperation.EntryData);
resultHandler(status, null);
}
Crc32 crc = new Crc32();
using (Stream stream = GetInputStream(this[i]))
{
int num3;
byte[] buffer = new byte[DefaultBufferSize];
long num2 = 0L;
while ((num3 = stream.Read(buffer, 0, buffer.Length)) > 0)
{
crc.Update(buffer, 0, num3);
if (resultHandler != null)
{
num2 += num3;
status.SetBytesTested(num2);
resultHandler(status, null);
}
}
}
if (this[i].Crc != crc.Value)
{
status.AddError();
if (resultHandler != null)
{
resultHandler(status, "CRC mismatch");
}
if (strategy == TestStrategy.FindFirstError)
{
flag = false;
}
}
if ((this[i].Flags & 8) != 0)
{
ZipHelperStream stream2 = new ZipHelperStream(baseStream_);
DescriptorData data = new DescriptorData();
stream2.ReadDataDescriptor(this[i].LocalHeaderRequiresZip64, data);
if (this[i].Crc != data.Crc)
{
status.AddError();
}
if (this[i].CompressedSize != data.CompressedSize)
{
status.AddError();
}
if (this[i].Size != data.Size)
{
status.AddError();
}
}
}
if (resultHandler != null)
{
status.SetOperation(TestOperation.EntryComplete);
resultHandler(status, null);
}
}
if (resultHandler != null)
{
status.SetOperation(TestOperation.MiscellaneousTests);
resultHandler(status, null);
}
}
catch (Exception exception2)
{
status.AddError();
if (resultHandler != null)
{
resultHandler(status, string.Format("Exception during test - '{0}'", exception2.Message));
}
}
if (resultHandler != null)
{
status.SetOperation(TestOperation.Complete);
status.SetEntry(null);
resultHandler(status, null);
}
return (status.ErrorCount == 0);
}
public override void PrepareWork()
{
TargetPortfolio.PrepareWork();
MarketDataList.Clear();
CurrentDataSource.DataList.Clear();
CurrentValueList.Clear();
StandardValueList.Clear();
OrderList.Clear();
DateTime st = TestStartTime;
if (TestStartTime > AnalyseStartTime)
{
st = AnalyseStartTime;
}
CurrentDataSource.CacheStartTime = st;
CurrentDataSource.CacheEndTime = TestEndTime;
TestCurrentTime = TestStartTime;
analyseTime = MarketData.GetNextTime(TestCurrentTime, AnalyseGrade);
_MaxLost = new Money()
{
FxCode = Pnl.FxCode, Number = 0
};
if (UseFirstMarketDataInit)
{
var fdl = new List <IMarketData>();
InstrumentList.ForEach(v =>
{
var d = CurrentDataSource.GetFirstData(v, TestStartTime, TestEndTime, Grade);
if (d != null)
{
fdl.Add(d);
}
});
TargetPortfolio.ProcessMarketData(fdl);
TargetPortfolio.PositionList.ForEach(v =>
{
var d = fdl.FirstOrDefault(m => m.InstrumentTicker == v.InstrumentTicker);
if (d != null)
{
v.Cost = d.Close;
}
});
}
if (IsUnlimited)
{
TargetPortfolio.IsUnlimited = true;
}
standardPortfolio = TargetPortfolio.Clone() as IPortfolio;
testStartValue = TargetPortfolio.CurrentValue;
CurrentDataSource.PrepareWork();
CurrentTradeGate.PrepareWork();
foreach (var condition in ConditionList)
{
condition.PrepareWork();
condition.GetInstrumentList = () => { return(InstrumentList); };
condition.AnalyseDataSource = CurrentDataSource;
}
TestStrategy.CurrentPortfolio = TargetPortfolio;
TestStrategy.PrepareWork();
RiskPolicy.PrepareWork();
}
void TestStep(DateTime start, DateTime end)
{
TestStrategy.CurrentTime = end;
AddInfo("test step, start:" + start.ToString() + ",end:" + end.ToString());
var dl = CurrentDataSource.GetDataList(InstrumentList, start, end, Grade);
AddInfo("got market data ,count is:" + dl.Count.ToString());
if (dl == null || dl.Count == 0)
{
return;
}
TestStrategy.CurrentTime = dl.Max(d => d.Time);
dl.ForEach(v =>
{
var inst = InstrumentList.FirstOrDefault(i => i.Ticker == v.InstrumentTicker);
if (inst != null)
{
AddInfo("update " + inst.Name + " price, value is:" + v.Close.ToString() + "(" + v.Time.ToString() + ")");
inst.CurrentPrice = v.Close;
}
});
MarketDataList.AddRange(dl);
AddInfo("portfolio process market data!");
TargetPortfolio.ProcessMarketData(dl);
AddInfo("standard portfolio process market data!");
standardPortfolio.ProcessMarketData(dl);
AddInfo("strategy process market data!");
TestStrategy.ProcessMarketData(dl);
if (analyseTime <= end)
{
AddInfo("prepare analyse, analyse time is:" + analyseTime.ToString());
AnalyseStep();
analyseTime = MarketData.GetNextTime(end, AnalyseGrade);
var cl = new List <ISignal>();
foreach (var condition in ConditionList)
{
var rl = condition.GetResult();
if (rl != null && rl.Count > 0)
{
cl.AddRange(rl);
}
}
if (cl.Count > 0)
{
AddInfo("got signal, count is " + cl.Count.ToString());
TestStrategy.ProcessSignal(cl);
}
}
AddInfo("strategy process portfolio");
TestStrategy.ProcessPortfolio();
var ol = TestStrategy.GetOrderList();
if (ol.Count > 0)
{
AddInfo("strategy generate order, count is :" + ol.Count.ToString());
List <IOrder> col = new List <IOrder>();
foreach (var o in ol)
{
if (o != null && RiskPolicy.PredictOrder(o, TargetPortfolio))
{
col.Add(o);
}
}
OrderList.AddRange(col);
AddInfo("trade gate process order");
CurrentTradeGate.ProcessorOrder(col);
AddInfo("portfolio info before process order is" + GetPortfolioMemo(TargetPortfolio));
TargetPortfolio.ProcessOrderList(col);
AddInfo("portfolio info after process order is" + GetPortfolioMemo(TargetPortfolio));
}
if (!IsUnlimited)//adjust risk
{
AddInfo("adjust risk");
ol = RiskPolicy.AdjustRisk(TargetPortfolio);
if (ol.Count > 0)
{
AddInfo("risk order generate, count is:" + ol.Count.ToString());
OrderList.AddRange(ol);
List <IOrder> col = ol.Where(v => v != null).ToList();
CurrentTradeGate.ProcessorOrder(col);
TargetPortfolio.ProcessOrderList(col);
}
}
CurrentValueList.Add(new TimeValueObject()
{
Time = dl.Max(v => v.Time), Value = CurrentValue, Memo = GetPortfolioMemo(TargetPortfolio)
});
StandardValueList.Add(new TimeValueObject()
{
Time = dl.Max(v => v.Time), Value = StandardValue, Memo = GetPortfolioMemo(standardPortfolio)
});
if (_MaxLost.Number > Pnl.Number)
{
_MaxLost.Number = Pnl.Number;
}
if (TestStepDelayMS > 0)
{
Thread.Sleep(TestStepDelayMS);
}
}
private void button11_Click(object sender, EventArgs e)
{
TestStrategy.Testar();
}
public TestAssembly(ILaunchSettings launchSettings)
{
this.assemblyPath = launchSettings.Arguments.AssemblyPath;
this.testStrategy = launchSettings.Arguments.TestStratgey;
}
private void button1_Click(object sender, EventArgs e)
{
TestStrategy t = new TestStrategy(settings);
t.Show();
}
