private static void RunBacktest(BacktestConfig backtest, Func <IStrategy> strategyFactory)
{
var files = LoadAllFiles(backtest.DirectoryPath, backtest.FilePattern);
if (backtest.SkipFiles.HasValue)
{
files = files.Skip(backtest.SkipFiles.Value).ToArray();
}
if (backtest.LimitFiles.HasValue)
{
files = files.Take(backtest.LimitFiles.Value).ToArray();
}
if (!files.Any())
{
return;
}
Console.WriteLine();
Console.WriteLine("=====================================================================");
Console.WriteLine($" Running for {files.Length} files from dir '{backtest.DirectoryPath}' and pattern: '{backtest.FilePattern}'");
var builderTop = new StringBuilder();
var builder = new StringBuilder();
foreach (var maxInventory in backtest.MaxInventory)
{
RangeBarModel lastBar = null;
var strategy = strategyFactory();
var computer = new ProfitComputer(strategy, backtest, maxInventory);
foreach (var file in files)
{
var bars = LoadBars(backtest, file);
computer.ProcessBars(bars);
lastBar = bars.LastOrDefault();
}
if (lastBar != null)
{
computer.ProcessLastBar(lastBar);
}
var report = computer.GetReport();
builderTop.AppendLine(report.ToString());
builder.AppendLine(
$"==== MAX INV: {maxInventory} {new string('=', 133)}");
builder.AppendLine();
builder.AppendLine(report.ToString());
Console.WriteLine($" {report}");
var reportDays = new List <ProfitInfo>();
var perMonth = computer.GetReportByMonth();
foreach (var month in perMonth)
{
builder.AppendLine($" {month.Report}");
if (month.Month == null)
{
builderTop.AppendLine($"{month.Report}");
continue;
}
var perDay = computer.GetReportPerDays(month.Year.Value, month.Month.Value);
reportDays.AddRange(perDay.Where(x => x.Day != null));
foreach (var day in perDay)
{
builder.AppendLine($" {day.Report}");
}
}
//var totalReportAllDays = computer.GetTotalReport(reportDays.ToArray());
//builderTop.AppendLine($"{totalReportAllDays.Report}");
//builderTop.AppendLine();
builder.AppendLine();
builder.AppendLine();
Visualize(backtest, computer, strategy, maxInventory, report,
reportDays.ToArray(),
perMonth.Where(x => x.Month.HasValue).ToArray());
}
var mergedReport = $"{builderTop}{Environment.NewLine}{builder}";
SaveTextReport(mergedReport, backtest, strategyFactory());
Console.WriteLine();
}
private static void RunBacktest(BacktestConfig backtest, Func <IStrategy> strategyFactory)
{
var files = LoadAllFiles(backtest.DirectoryPath, backtest.FilePattern);
if (backtest.SkipFiles.HasValue)
{
files = files.Skip(backtest.SkipFiles.Value).ToArray();
}
if (backtest.LimitFiles.HasValue)
{
files = files.Take(backtest.LimitFiles.Value).ToArray();
}
if (!files.Any())
{
return;
}
Console.WriteLine();
Console.WriteLine("=====================================================================");
Console.WriteLine($" Running for {files.Length} files from dir '{backtest.DirectoryPath}' and pattern: '{backtest.FilePattern}'");
var builderTop = new StringBuilder();
var builder = new StringBuilder();
foreach (var maxInventory in backtest.MaxInventory)
{
RangeBarModel lastBar = null;
var strategy = strategyFactory();
var computer = new ProfitComputer(strategy, backtest, maxInventory);
foreach (var file in files)
{
var bars = LoadBars(backtest, file);
computer.ProcessBars(bars);
lastBar = bars.LastOrDefault();
}
if (lastBar != null)
{
computer.ProcessLastBar(lastBar);
}
var primaryReport = computer.GetReport();
var perMonth = computer.GetReportByMonth();
var reportDays = new List <ProfitInfo>();
var maxTotalPnl = maxInventory * computer.InitialPrice;
var minTotalPnl = maxTotalPnl;
var totalPnl = maxTotalPnl;
foreach (var month in perMonth)
{
if (month.Month == null)
{
continue;
}
var perDay = computer.GetReportPerDays(month.Year.Value, month.Month.Value, ref maxTotalPnl, ref minTotalPnl, ref totalPnl);
reportDays.AddRange(perDay.Where(x => x.Day != null));
month.MaxDrawdownPercentage = perDay.Min(x => x.MaxDrawdownPercentage);
month.SubProfits = perDay;
}
primaryReport.MaxDrawdownPercentage = perMonth.Min(x => x.MaxDrawdownPercentage);
builderTop.AppendLine(primaryReport.ToString());
builder.AppendLine(
$"==== MAX INV: {maxInventory} {new string('=', 133)}");
builder.AppendLine();
builder.AppendLine(primaryReport.ToString());
var consoleDefaultColor = Console.ForegroundColor;
var reportColor = Console.ForegroundColor;
var pnl = backtest.DisplayFee != null && backtest.DisplayFee.Value ? primaryReport.PnlWithFee : primaryReport.Pnl;
if (pnl < 0)
{
reportColor = ConsoleColor.DarkRed;
}
else if (pnl > 0 && primaryReport.MaxDrawdownPercentage >= -0.03)
{
reportColor = ConsoleColor.Green;
}
else if (pnl > 0)
{
reportColor = ConsoleColor.DarkGreen;
}
Console.ForegroundColor = reportColor;
Console.WriteLine($" {primaryReport}");
Console.ForegroundColor = consoleDefaultColor;
foreach (var month in perMonth)
{
if (month.Month == null)
{
builder.AppendLine($" {month.Report}");
builderTop.AppendLine($"{month.Report}");
continue;
}
builder.AppendLine($" {month.Report}");
foreach (var day in month.SubProfits)
{
builder.AppendLine($" {day.Report}");
}
}
//var totalReportAllDays = computer.GetTotalReport(reportDays.ToArray());
//builderTop.AppendLine($"{totalReportAllDays.Report}");
//builderTop.AppendLine();
builder.AppendLine();
builder.AppendLine();
Visualize(backtest, computer, strategy, maxInventory, primaryReport,
reportDays.ToArray(),
perMonth.Where(x => x.Month.HasValue).ToArray());
}
var mergedReport = $"{builderTop}{Environment.NewLine}{builder}";
SaveTextReport(mergedReport, backtest, strategyFactory());
Console.WriteLine();
}
