public static TestSummary Merge(TestSummary[] tests)
{
//some initial error checking, train dates must all be the same to make sense of performance results in train and test periods
if (tests.Select(x => x.EndTrainDate).Distinct().Count() != 1)
{
throw new Exception("Can only merge trades that have the same end train date!");
}
else if (tests.Length == 0)
{
return(null);
}
//merges an array of TestSummaries back into one ie. for combining seperate asset sets back into one for analysis
TestSummary merged = new TestSummary();
foreach (TestSummary ts in tests)
{
merged.testSets.AddRange(ts.TestSets);
}
//copy across the dates to the new testsummary
merged.StartDate = tests.Min(x => x.StartDate);
merged.EndDate = tests.Max(x => x.EndDate);
merged.EndTrainDate = tests.FirstOrDefault().EndTrainDate;
return(merged);
}
private void Copy(TestSummary original, TestSummary newObject)
{
newObject.StartDate = original.StartDate;
newObject.EndDate = original.EndDate;
newObject.EndTrainDate = original.EndTrainDate;
newObject.ReduceCorrelatedParams = original.ReduceCorrelatedParams;
newObject.ReduceByRankParams = original.ReduceByRankParams;
newObject.TradeDataLabels = original.TradeDataLabels;
}
public void OnCompleteTest(TestSet testSet)
{
TestSummary.Add(testSet);
int completed = TestSummary.TestSets.Length;
MessageDelegate?.Invoke("Completed " + completed + " of " + tasksRequired, MessageType.Update);
//All optimisations have been done
if (completed == tasksRequired)
{
MessageDelegate?.Invoke("\nComplete backtest took: " + (DateTime.Now - start).TotalMinutes.ToString("0.00") + " minutes");
OnComplete.Invoke(TestSummary);
}
}
public static TestSummary Load(string filename)
{
TestSummary ts = null;
if (File.Exists(filename))
{
Stream openFileStream = File.OpenRead(filename);
System.Runtime.Serialization.Formatters.Binary.BinaryFormatter deserializer = new System.Runtime.Serialization.Formatters.Binary.BinaryFormatter();
if (openFileStream.Length > 0)
{
ts = (TestSummary)deserializer.Deserialize(openFileStream);
}
openFileStream.Close();
}
return(ts);
}
public void Run(string strategyName, string strategiesDLL, bool optimise = false)
{
start = DateTime.Now;
TestSummary = new TestSummary();
Optimise = optimise;
//Get the strategy
Strategy strategy = Strategy.Load(strategyName, strategiesDLL);
//Copy across the strategy back test setup
if (strategy.StartDate != null)
{
TestSummary.StartDate = strategy.StartDate;
}
if (strategy.EndDate != null)
{
TestSummary.EndDate = strategy.EndDate;
}
TestSummary.ReduceCorrelatedParams = strategy.ReduceCorrelatedParams;
TestSummary.ReduceByRankParams = strategy.ReduceByRankParams;
TestSummary.TradeDataLabels = strategy.TradeDataLabels;
//Get all the possible variants from this strategies parameters
StrategyVariant[] variants;
if (optimise)
{
variants = StrategyVariant.BruteForceGeneration(strategy.OptimiseParameters.ToArray());
}
else
{
variants = new StrategyVariant[] { StrategyVariant.Default(strategy.Parameters.ToArray()) }
};
threadTasks = new Queue <BackTestTask> [strategy.Cpus];
//Load in the asset details and add these to the strategy if selected in TradeAssetList
Dictionary <string, Asset> assetDetails = Asset.LoadAssetFile(strategy.AssetDetailsFile);
foreach (string assetName in strategy.TradeAssetList)
{
Asset asset = assetDetails[assetName];
MessageDelegate?.Invoke("Loading in data " + assetName);
//load in the data before we start
foreach (ExternalFeatureData externalFeature in strategy.ExternalFeatures)
{
if (!asset.Data.ContainsKey(externalFeature.Timeframe))
{
DataBuilder.LoadExternalFeatureBinary(asset, externalFeature, MessageDelegate);
}
}
//Read all the bytes from the datapath from the 1 min timeframe if the data is not already loaded
//this is very fast about 0.9 seconds for 10 years of minute data
if (asset.Dataset == null)
{
asset.Dataset = DataBuilder.LoadBinary(asset.DataPath);
}
}
tasksRequired = 0;
int threadIndex = 0;
foreach (string assetName in strategy.TradeAssetList)
{
foreach (StrategyVariant currentVariant in variants)
{
Strategy localStrategy = Strategy.Load(strategyName, strategiesDLL);
Asset asset = assetDetails[assetName];
localStrategy.Assets.Add(assetName, asset);
//set the strategy parameters
for (int pIndex = 0; pIndex < localStrategy.Parameters.Count; pIndex++)
{
localStrategy.SetParameter(localStrategy.Parameters[pIndex].Name, currentVariant.Parameters[pIndex]);
}
localStrategy.Description = asset.Name + " " + currentVariant.ToString();
if (threadIndex >= threadTasks.Length)
{
threadIndex = 0;
}
BackTestTask btt = new BackTestTask(asset, localStrategy);
if (threadTasks[threadIndex] == null)
{
threadTasks[threadIndex] = new Queue <BackTestTask>();
}
threadTasks[threadIndex].Enqueue(btt);
tasksRequired++;
threadIndex++;
}
}
MessageDelegate?.Invoke("Starting " + tasksRequired + " tests ...");
foreach (Queue <BackTestTask> threadQueue in threadTasks)
{
if (threadQueue != null)
{
if (threadQueue.Count > 0)
{
Thread thread = new Thread(() => Test(threadQueue, OnCompleteTest));
thread.Start();
}
}
}
}
public BackTest()
{
TestSummary = new TestSummary();
}
//makes a copy of the test summary but filters out the tests that relate to the passed assetName
public TestSummary(TestSummary original, string assetName)
{
Copy(original, this);
Description = assetName;
testSets = new List <TestSet>(original.TestSets.Where(x => x.Asset == assetName).ToArray());
}
public TestSummary(TestSummary original)
{
Copy(original, this);
testSets = new List <TestSet>(original.TestSets);
}
public static TestSummary ReduceCorrelated(TestSummary testSummary)
{
//Work out the percentage of trades to use to train
DateTime startDate = (DateTime)testSummary.StartDate;
DateTime endDate = (DateTime)testSummary.EndDate;
double trainDays = (endDate - startDate).TotalDays * ((double)testSummary.ReduceCorrelatedParams.TrainTestSplit / 100);
DateTime endTrain = startDate.AddDays(trainDays);
testSummary.EndTrainDate = endTrain;
//Create a copy of the testSummary so we don't modify the original testSummary when we reduce the testsets
TestSummary filteredTestSummary = new TestSummary(testSummary);
//remove any non-performing sets
List <TestSet> nonPerformers = new List <TestSet>();
int totalProfitable = 0;
foreach (TestSet t in testSummary.TestSets)
{
double p = PerformanceResult.CalculateProfitFactor(t.Trades.Where(x => x.CloseTime <= filteredTestSummary.EndTrainDate).ToArray());
if (p > 1)
{
totalProfitable++;
}
if (p < testSummary.ReduceCorrelatedParams.MinMetric)
{
filteredTestSummary.Remove(t);
}
}
//remove all the test sets if at least half are profitable
double pProfitable = (double)totalProfitable / (double)testSummary.TestSets.Length;
if (pProfitable < 0.5)
{
foreach (TestSet t in testSummary.TestSets)
{
filteredTestSummary.Remove(t);
}
}
//Calcualte weekly profit for every week so we can do a correlation based on weekly profits
Dictionary <string, KeyValuePair <int, double>[]> WeeklyProfits = new Dictionary <string, KeyValuePair <int, double>[]>();
foreach (TestSet ts in testSummary.TestSets)
{
//get all the trades in the train period and calculate weekly profit
var result =
from s in ts.Trades.Where(x => x.CloseTime <= endTrain)
group s by new { week = (s.OpenTime.Year - startDate.Year) * 52 + (s.OpenTime.DayOfYear / 7) } into g
select new KeyValuePair <int, double>(g.Key.week, g.Sum(x => x.Profit));
WeeklyProfits.Add(ts.Description, result.ToArray());
}
//Create a grid of r2 values by comparing each testset with each other test set
Dictionary <Pair, double> r2Values = new Dictionary <Pair, double>();
foreach (KeyValuePair <string, KeyValuePair <int, double>[]> wpRow in WeeklyProfits)
{
foreach (KeyValuePair <string, KeyValuePair <int, double>[]> wpColumn in WeeklyProfits)
{
//skip identical resuklt sets
if (wpColumn.Key == wpRow.Key)
{
continue;
}
//calculate the r2 value from these lists
//Line up the weeks to get an x and y for the current pair
Dictionary <int, Point> list = new Dictionary <int, Point>();
foreach (KeyValuePair <int, double> res in wpRow.Value)
{
list.Add(res.Key, new Point(res.Value, 0, wpRow.Key, null));
}
foreach (KeyValuePair <int, double> res in wpColumn.Value)
{
if (!list.ContainsKey(res.Key))
{
list.Add(res.Key, new Point(0, res.Value, null, wpColumn.Key));
}
else
{
list[res.Key].Y = res.Value;
list[res.Key].YLabel = wpColumn.Key;
}
}
double[] x = list.Select(v => v.Value.X).ToArray();
double[] y = list.Select(v => v.Value.Y).ToArray();
//calculate the r2 and store in dictionary with the testset description pair as the Key
r2Values.Add(new Pair(wpRow.Key, wpColumn.Key), Stat.R2(x, y));
}
}
foreach (KeyValuePair <Pair, double> res in r2Values)
{
//if too corelated remove the worst performer
if (res.Value > testSummary.ReduceCorrelatedParams.R2Cutoff)
{
//get the train set of trades only
Trade[] xTrades = filteredTestSummary.GetTradeSet(Convert.ToString(res.Key.P1), TestSummary.TradeSet.Train);
Trade[] yTrades = filteredTestSummary.GetTradeSet(Convert.ToString(res.Key.P2), TestSummary.TradeSet.Train);
//if both exist in our filtered test sets remove worst performer - it may have already been removed from previous pair r2 comparisons
if (xTrades != null && yTrades != null)
{
double xMetric = PerformanceResult.CalculateProfitFactor(xTrades);
double yMetric = PerformanceResult.CalculateProfitFactor(yTrades);
if (xMetric > yMetric)
{
filteredTestSummary.Remove(Convert.ToString(res.Key.P2));
}
else
{
filteredTestSummary.Remove(Convert.ToString(res.Key.P1));
}
}
}
}
return(filteredTestSummary);
}
public static TestSummary ReduceByRank(TestSummary testSummary)
{
//dn't filter anymore if there is less than 2 testSets
if (testSummary.TestSets.Count() < 2)
{
return(testSummary);
}
//copy the original test summary so we don't modify it directily
TestSummary filteredTestSummary = new TestSummary(testSummary);
//cycle through this process of deleteing the worst average ranking test set until the remaining test sets have no real rank differentation
//These test sets should have already been reduced to remove correlated test sets so we should end up with a number of uncorrelated test sets that all perform about the same
double rankDiff = 0;
do
{
//setup the dates for starting the train and test periods
DateTime startDate = (DateTime)testSummary.StartDate;
DateTime endDate = (DateTime)testSummary.EndTrainDate; // this is set in the remove correlated method
DateTime testStartDate = startDate;
DateTime testEndDate = testStartDate.AddDays(testSummary.ReduceByRankParams.PeriodDays);
//keep a list of rankings of each test set compared to the other parameter sets for each cycle
Dictionary <string, OptimisePerformanceRank> ranks = new Dictionary <string, OptimisePerformanceRank>();
//cycle through the dates until the end of the train set
while (testStartDate < endDate)
{
//compile an dictonary of the results for this cycle the key is the parameter set string
Dictionary <string, double> testResults = new Dictionary <string, double>();
//Calcualte a profit factor for each of the test sets between the current cycle dates
foreach (TestSet ts in filteredTestSummary.TestSets)
{
Trade[] trades = ts.Trades.Where(x => x.OpenTime > testStartDate && x.CloseTime <= testEndDate).ToArray();
testResults.Add(ts.Description, PerformanceResult.CalculateProfitFactor(trades));
}
//rank the test sets
var ordered = testResults.OrderByDescending(x => x.Value);
int rank = 1;
foreach (KeyValuePair <string, double> result in ordered)
{
if (!ranks.ContainsKey(result.Key))
{
ranks.Add(result.Key, new OptimisePerformanceRank());
}
ranks[result.Key].Add(rank);
rank++;
}
//move the dates along
testStartDate = testStartDate.AddDays(testSummary.ReduceByRankParams.PeriodDays);
testEndDate = testEndDate.AddDays(testSummary.ReduceByRankParams.PeriodDays);
if (testEndDate > endDate)
{
testEndDate = endDate;
}
}
//Print out the table of the parameter sets ranked for each cycle and the average overall rank
var orderedRanks = ranks.OrderBy(x => x.Value.Average).ToDictionary(t => t.Key, t => t.Value);
//calcaulte the maximum difference in rank between the test sets - we exit the loop if this difference is small enough
rankDiff = orderedRanks.Max(x => x.Value.Average) - orderedRanks.Min(x => x.Value.Average);
//copy the original test summary so we don't modify it directily
filteredTestSummary = new TestSummary(filteredTestSummary);
//remove the lowest ranking test set
filteredTestSummary.Remove(orderedRanks.LastOrDefault().Key);
} while (testSummary.ReduceByRankParams.MaxRankDifference > 0 && rankDiff > testSummary.ReduceByRankParams.MaxRankDifference);
return(filteredTestSummary);
}
