protected internal override void OnStatistics(PortfolioStatisticsItem statistics)
{
var changed = false;
if (statistics.Type == PortfolioStatisticsType.GrossProfit)
{
this.grossProfit = statistics;
changed = true;
}
if (statistics.Type == PortfolioStatisticsType.GrossLoss)
{
this.grossLoss = statistics;
changed = true;
}
if (changed)
{
this.longValue = this.shortValue = this.totalValue = 0;
if (this.grossProfit != null)
{
this.longValue += this.grossProfit.LongValue;
this.shortValue += this.grossProfit.ShortValue;
this.totalValue += this.grossProfit.TotalValue;
}
if (this.grossLoss != null)
{
this.longValue += this.grossLoss.LongValue;
this.shortValue += this.grossLoss.ShortValue;
this.totalValue += this.grossLoss.TotalValue;
}
LongValues.Add(Clock.DateTime, this.longValue);
ShortValues.Add(Clock.DateTime, this.shortValue);
TotalValues.Add(Clock.DateTime, this.totalValue);
Emit();
}
}
protected internal override void OnStatistics(PortfolioStatisticsItem statistics)
{
if (statistics.Type == this.type)
{
bool changed = false;
if (statistics.LongValues.Count > LongValues.Count)
{
this.longAvg = (this.longAvg * LongValues.Count + statistics.LongValue) / (LongValues.Count + 1);
this.longValue = GetStdDev(statistics.LongValues, this.longAvg);
LongValues.Add(Clock.DateTime, LongValue);
changed = true;
}
if (statistics.ShortValues.Count > this.shortValues.Count)
{
this.shortAvg = (this.shortAvg * this.shortValues.Count + statistics.ShortValue) / (ShortValues.Count + 1);
this.shortValue = GetStdDev(statistics.ShortValues, this.shortAvg);
ShortValues.Add(Clock.DateTime, this.shortValue);
changed = true;
}
if (statistics.TotalValues.Count > this.totalValues.Count)
{
this.totalAvg = (this.totalAvg * this.totalValues.Count + statistics.TotalValue) / (TotalValues.Count + 1);
this.totalValue = GetStdDev(statistics.TotalValues, this.totalAvg);
TotalValues.Add(Clock.DateTime, this.totalValue);
changed = true;
}
if (changed)
{
Emit();
}
}
}
public void OnInit(string name)
{
this.name = name;
this.portfolio = Framework.Current.PortfolioManager[name];
if (this.portfolio == null)
{
return;
}
this.ltvStatistics.BeginUpdate();
this.ltvStatistics.Groups.Clear();
this.ltvStatistics.Items.Clear();
for (int index = 0; index < this.portfolio.Statistics.Items.Count; ++index)
{
PortfolioStatisticsItem statistics = this.portfolio.Statistics.Items[index];
if (statistics.Show)
{
if (this.ltvStatistics.Groups[statistics.Category] == null)
{
this.ltvStatistics.Groups.Add(statistics.Category, statistics.Category);
}
StatisticsViewItem statisticsViewItem = new StatisticsViewItem(statistics);
statisticsViewItem.Group = this.ltvStatistics.Groups[statistics.Category];
this.ltvStatistics.Items.Add((ListViewItem)statisticsViewItem);
}
}
this.ltvStatistics.EndUpdate();
}
protected internal override void OnStatistics(PortfolioStatisticsItem statistics)
{
if (statistics.Type == this.type)
{
bool changed = false;
if (statistics.LongValues.Count > this.longValues.Count)
{
this.longValue = (this.longValue * this.longValues.Count + statistics.LongValue) / (this.longValues.Count + 1);
this.longValues.Add(Clock.DateTime, this.longValue);
changed = true;
}
if (statistics.ShortValues.Count > this.shortValues.Count)
{
this.shortValue = (this.shortValue * this.shortValues.Count + statistics.ShortValue) / (this.shortValues.Count + 1);
this.shortValues.Add(Clock.DateTime, this.shortValue);
changed = true;
}
if (statistics.TotalValues.Count > this.totalValues.Count)
{
this.totalValue = (this.totalValue * this.totalValues.Count + statistics.TotalValue) / (this.totalValues.Count + 1);
this.totalValues.Add(base.Clock.DateTime, this.totalValue);
changed = true;
}
if (changed)
{
Emit();
}
}
}
protected internal override void OnStatistics(PortfolioStatisticsItem statistics)
{
if (statistics.Type == this.type)
{
bool changed = false;
if (statistics.LongValues.Count > this.longValues.Count)
{
this.longValue = (this.longValue * this.longValues.Count + statistics.LongValue) / (this.longValues.Count + 1);
this.longValues.Add(Clock.DateTime, this.longValue);
changed = true;
}
if (statistics.ShortValues.Count > this.shortValues.Count)
{
this.shortValue = (this.shortValue * this.shortValues.Count + statistics.ShortValue) / (this.shortValues.Count + 1);
this.shortValues.Add(Clock.DateTime, this.shortValue);
changed = true;
}
if (statistics.TotalValues.Count > this.totalValues.Count)
{
this.totalValue = (this.totalValue * this.totalValues.Count + statistics.TotalValue) / (this.totalValues.Count + 1);
this.totalValues.Add(base.Clock.DateTime, this.totalValue);
changed = true;
}
if (changed)
{
Emit();
}
}
}
public static void Change(this StatisticsManager manager, int type, PortfolioStatisticsItem statisticsItem)
{
var i = (ICustomStatisticsType)statisticsItem;
i.SetStatisticsType(type);
manager.Add(statisticsItem);
}
protected internal override void OnStatistics(PortfolioStatisticsItem statistics)
{
if (statistics.Type == this.type)
{
bool changed = false;
if (statistics.LongValues.Count > LongValues.Count)
{
this.longAvg = (this.longAvg * LongValues.Count + statistics.LongValue) / (LongValues.Count + 1);
this.longValue = GetStdDev(statistics.LongValues, this.longAvg);
LongValues.Add(Clock.DateTime, LongValue);
changed = true;
}
if (statistics.ShortValues.Count > this.shortValues.Count)
{
this.shortAvg = (this.shortAvg * this.shortValues.Count + statistics.ShortValue) / (ShortValues.Count + 1);
this.shortValue = GetStdDev(statistics.ShortValues, this.shortAvg);
ShortValues.Add(Clock.DateTime, this.shortValue);
changed = true;
}
if (statistics.TotalValues.Count > this.totalValues.Count)
{
this.totalAvg = (this.totalAvg * this.totalValues.Count + statistics.TotalValue) / (TotalValues.Count + 1);
this.totalValue = GetStdDev(statistics.TotalValues, this.totalAvg);
TotalValues.Add(Clock.DateTime, this.totalValue);
changed = true;
}
if (changed)
{
Emit();
}
}
}
protected internal override void OnStatistics(PortfolioStatisticsItem statistics)
{
var changed = false;
if (statistics.Type == PortfolioStatisticsType.GrossProfit)
{
this.grossProfit = statistics;
changed = true;
}
if (statistics.Type == PortfolioStatisticsType.GrossLoss)
{
this.grossLoss = statistics;
changed = true;
}
if (changed)
{
this.longValue = this.shortValue = this.totalValue = 0;
if (this.grossProfit != null)
{
this.longValue += this.grossProfit.LongValue;
this.shortValue += this.grossProfit.ShortValue;
this.totalValue += this.grossProfit.TotalValue;
}
if (this.grossLoss != null)
{
this.longValue += this.grossLoss.LongValue;
this.shortValue += this.grossLoss.ShortValue;
this.totalValue += this.grossLoss.TotalValue;
}
LongValues.Add(Clock.DateTime, this.longValue);
ShortValues.Add(Clock.DateTime, this.shortValue);
TotalValues.Add(Clock.DateTime, this.totalValue);
Emit();
}
}
public StatisticsViewItem(PortfolioStatisticsItem statistics)
: base(new string[4])
{
this.Statistics = statistics;
this.UseItemStyleForSubItems = false;
this.SubItems[0].Text = this.Statistics.Name;
this.Update();
}
private void UpdateSubItem(int index, PortfolioStatisticsItem statistics)
{
this.SubItems[index].Text = statistics.TotalValue.ToString(statistics.Format);
if (statistics.TotalValue < 0.0)
this.SubItems[index].ForeColor = Color.Red;
else
this.SubItems[index].ForeColor = Color.Black;
}
public StatisticsViewItem(PortfolioStatisticsItem statistics)
: base(new string[4])
{
this.Statistics = statistics;
this.UseItemStyleForSubItems = false;
this.SubItems[0].Text = this.Statistics.Name;
this.Update();
}
protected override void OnStatistics(PortfolioStatisticsItem statistics)
{
if (statistics.Type == PortfolioStatisticsType.DailyNumOfWinTrades)
{
bool isEmit = false;
if (statistics.LongValue != this.longLossTrades)
{
this.longLossTrades = statistics.LongValue;
base.longValues.Add(base.Clock.DateTime, ++base.longValue);
isEmit = true;
}
if (statistics.ShortValue != this.shortLossTrades)
{
this.shortLossTrades = statistics.ShortValue;
base.shortValues.Add(base.Clock.DateTime, ++base.shortValue);
isEmit = true;
}
if (statistics.TotalValue != this.totalLossTrades)
{
this.totalLossTrades = statistics.TotalValue;
base.totalValues.Add(base.Clock.DateTime, ++base.totalValue);
isEmit = true;
}
if (isEmit)
{
base.Emit();
}
}
if (statistics.Type == PortfolioStatisticsType.DailyNumOfLossTrades)
{
bool isEmit = false;
if (statistics.LongValue != this.longWinTrades)
{
this.longWinTrades = statistics.LongValue;
base.longValue = 0.0;
base.longValues.Add(base.Clock.DateTime, base.longValue);
isEmit = true;
}
if (statistics.ShortValue != this.shortWinTrades)
{
this.shortWinTrades = statistics.ShortValue;
base.shortValue = 0.0;
base.shortValues.Add(base.Clock.DateTime, base.shortValue);
isEmit = true;
}
if (statistics.TotalValue != this.totalWinTrades)
{
this.totalWinTrades = statistics.TotalValue;
base.totalValue = 0.0;
base.totalValues.Add(base.Clock.DateTime, base.totalValue);
isEmit = true;
}
if (isEmit)
{
base.Emit();
}
}
}
protected internal override void OnStatistics(PortfolioStatisticsItem statistics)
{
if (statistics.Type == PortfolioStatisticsType.NumOfWinTrades)
{
bool changed = false;
if (statistics.LongValue > this.longWinTrades)
{
this.longWinTrades = statistics.LongValue;
LongValues.Add(Clock.DateTime, this.longValue += 1.0);
changed = true;
}
if (statistics.ShortValue > this.shortWinTrades)
{
this.shortWinTrades = statistics.ShortValue;
ShortValues.Add(Clock.DateTime, this.shortValue += 1.0);
changed = true;
}
if (statistics.TotalValue > this.totalWinTrades)
{
this.totalWinTrades = statistics.TotalValue;
TotalValues.Add(Clock.DateTime, this.totalValue += 1.0);
changed = true;
}
if (changed)
{
Emit();
}
}
if (statistics.Type == PortfolioStatisticsType.NumOfLossTrades)
{
bool changed = false;
if (statistics.LongValue > this.longLossTrades)
{
this.longLossTrades = statistics.LongValue;
this.longValue = 0;
LongValues.Add(Clock.DateTime, 0);
changed = true;
}
if (statistics.ShortValue > this.shortLossTrades)
{
this.shortLossTrades = statistics.ShortValue;
this.shortValue = 0;
ShortValues.Add(Clock.DateTime, 0);
changed = true;
}
if (statistics.TotalValue > this.totalLossTrades)
{
this.totalLossTrades = statistics.TotalValue;
this.totalValue = 0;
TotalValues.Add(Clock.DateTime, 0);
changed = true;
}
if (changed)
{
Emit();
}
}
}
protected internal override void OnStatistics(PortfolioStatisticsItem statistics)
{
if (statistics.Type == PortfolioStatisticsType.AnnualReturn)
{
this.totalValue = Pow(1 + Enumerable.Range(0, statistics.TotalValues.Count).Sum(i => statistics.TotalValues[i]) / this.initial, 1.0 / statistics.TotalValues.Count) - 1;
TotalValues.Add(Clock.DateTime, this.totalValue);
Emit();
}
}
protected internal override void OnStatistics(PortfolioStatisticsItem statistics)
{
if (statistics.Type == PortfolioStatisticsType.AnnualReturn)
{
this.totalValue = Pow(1 + Enumerable.Range(0, statistics.TotalValues.Count).Sum(i => statistics.TotalValues[i]) / this.initial, 1.0 / statistics.TotalValues.Count) - 1;
TotalValues.Add(Clock.DateTime, this.totalValue);
Emit();
}
}
protected internal override void OnStatistics(PortfolioStatisticsItem statistics)
{
if (statistics.Type == PortfolioStatisticsType.DailyDownsideRisk)
{
this.totalValue = AnnualizedFactor * statistics.TotalValue;
TotalValues.Add(Clock.DateTime, this.totalValue);
Emit();
}
}
protected internal override void OnStatistics(PortfolioStatisticsItem statistics)
{
if (statistics.Type == PortfolioStatisticsType.DailyReturnPercentStdDev)
{
this.totalValue = this.AnnualizedFactor * statistics.TotalValue;
TotalValues.Add(Clock.DateTime, this.totalValue);
Emit();
}
}
protected internal override void OnStatistics(PortfolioStatisticsItem statistics)
{
if (statistics.Type == 66)
{
this.totalValue = statistics.TotalValue * AnnualizedFactor;
TotalValues.Add(Clock.DateTime, this.totalValue);
Emit();
}
}
protected internal override void OnStatistics(PortfolioStatisticsItem statistics)
{
if (statistics.Type == PortfolioStatisticsType.DailyDownsideRisk)
{
this.totalValue = AnnualizedFactor * statistics.TotalValue;
TotalValues.Add(Clock.DateTime, this.totalValue);
Emit();
}
}
private void UpdateSubItem(int index, PortfolioStatisticsItem statistics)
{
this.SubItems[index].Text = statistics.TotalValue.ToString(statistics.Format);
if (statistics.TotalValue < 0.0)
{
this.SubItems[index].ForeColor = Color.Red;
}
else
{
this.SubItems[index].ForeColor = Color.Black;
}
}
protected internal override void OnStatistics(PortfolioStatisticsItem statistics)
{
if (statistics.Type == this.type)
{
this.longValue = Max(this.longValue, statistics.LongValue);
LongValues.Add(Clock.DateTime, this.longValue);
this.shortValue = Max(this.shortValue, statistics.ShortValue);
ShortValues.Add(Clock.DateTime, this.shortValue);
this.totalValue = Max(this.totalValue, statistics.TotalValue);
TotalValues.Add(Clock.DateTime, this.totalValue);
Emit();
}
}
protected internal override void OnStatistics(PortfolioStatisticsItem statistics)
{
if (statistics.Type == this.type)
{
this.longValue = Min(this.longValue, statistics.LongValue);
LongValues.Add(Clock.DateTime, this.longValue);
this.shortValue = Min(this.shortValue, statistics.ShortValue);
ShortValues.Add(Clock.DateTime, this.shortValue);
this.totalValue = Min(this.totalValue, statistics.TotalValue);
TotalValues.Add(Clock.DateTime, this.totalValue);
Emit();
}
}
protected internal override void OnStatistics(PortfolioStatisticsItem statistics)
{
if (statistics.Type != this.type)
{
return;
}
this.longValue = Math.Max(this.longValue, statistics.longValue);
this.shortValue = Math.Max(this.shortValue, statistics.shortValue);
this.totalValue = Math.Max(this.totalValue, statistics.totalValue);
this.longValues.Add(this.Clock.DateTime, this.longValue);
this.shortValues.Add(this.Clock.DateTime, this.shortValue);
this.totalValues.Add(this.Clock.DateTime, this.totalValue);
this.Emit();
}
private void ltvStatistics_SelectedIndexChanged(object sender, EventArgs e)
{
if (this.ltvStatistics.SelectedIndices.Count <= 0)
{
return;
}
StatisticsViewItem statisticsViewItem = this.ltvStatistics.Items[this.ltvStatistics.SelectedIndices[0]] as StatisticsViewItem;
if (statisticsViewItem == null)
{
return;
}
this.selectedItem = statisticsViewItem.Statistics;
this.Invoke((Action)(() => this.Reset()));
}
protected internal override void OnStatistics(PortfolioStatisticsItem statistics)
{
if (statistics.Type == PortfolioStatisticsType.NetProfit)
{
if (!this.method_0(statistics.TotalValue))
{
this.pnls.Add(statistics.TotalValue);
}
int num = this.pnls.Count - (int)(this.Level * (double)this.pnls.Count / 100.0) - 1;
if (num >= 0 && num <= this.pnls.Count - 1)
{
this.totalValue = this.pnls[num];
this.totalValues.Add(Clock.DateTime, this.totalValue);
Emit();
}
}
}
protected internal override void OnStatistics(PortfolioStatisticsItem statistics)
{
if (statistics.Type == PortfolioStatisticsType.DailyReturnPercent)
{
this.sumsq += Pow(Max(0, statistics.TotalValue - Threshold), 2);
if (statistics.TotalValue < 0)
{
this.count++;
}
if (this.count > 0)
{
this.totalValue = Sqrt(this.sumsq / this.count);
TotalValues.Add(Clock.DateTime, this.totalValue);
Emit();
}
}
}
protected internal override void OnStatistics(PortfolioStatisticsItem statistics)
{
if (statistics.Type == PortfolioStatisticsType.NetProfit)
{
if (!this.method_0(statistics.TotalValue))
{
this.pnls.Add(statistics.TotalValue);
}
int num = this.pnls.Count - (int)(this.Level * (double)this.pnls.Count / 100.0) - 1;
if (num >= 0 && num <= this.pnls.Count - 1)
{
this.totalValue = this.pnls[num];
this.totalValues.Add(Clock.DateTime, this.totalValue);
Emit();
}
}
}
public static void AddStatisticsItem(this StatisticsManager manager, PortfolioStatisticsItem statisticsItem)
{
var i = (ICustomStatisticsType)statisticsItem;
if (i != null)
{
var max = 0;
foreach (var item in manager.Statistics)
{
if (item.GetType() == statisticsItem.GetType())
{
return;
}
max = Math.Max(max, item.Type);
}
i.SetStatisticsType(max + 1);
}
manager.Add(statisticsItem);
}
protected internal override void OnStatistics(PortfolioStatisticsItem statistics)
{
bool changed = false;
if (statistics.Type == PortfolioStatisticsType.AvgAnnualReturnPercent)
{
this.avgReturnPercent = statistics;
changed = true;
}
if (statistics.Type == PortfolioStatisticsType.AnnualDownsideRisk)
{
this.downsideRisk = statistics;
changed = true;
}
if (changed && this.avgReturnPercent != null && this.downsideRisk != null && this.downsideRisk.TotalValue != 0)
{
this.totalValue = (this.avgReturnPercent.TotalValue - RiskFreeReturn) / this.downsideRisk.TotalValue;
TotalValues.Add(Clock.DateTime, this.totalValue);
Emit();
}
}
protected internal override void OnStatistics(PortfolioStatisticsItem statistics)
{
var changed = false;
if (statistics.Type == PortfolioStatisticsType.CompoundAnnualGrowthRate)
{
this.cagr = statistics;
changed = true;
}
if (statistics.Type == PortfolioStatisticsType.MaxDrawdownPercent)
{
this.maxDrawdownPercent = statistics;
changed = true;
}
if (changed && this.cagr != null && this.maxDrawdownPercent != null && this.maxDrawdownPercent.TotalValue != 0)
{
this.totalValue = Abs(this.cagr.TotalValue / this.maxDrawdownPercent.TotalValue);
TotalValues.Add(Clock.DateTime, this.totalValue);
Emit();
}
}
protected internal override void OnStatistics(PortfolioStatisticsItem statistics)
{
bool changed = false;
if (statistics.Type == PortfolioStatisticsType.GrossProfit)
{
this.grossProfit = statistics;
changed = true;
}
if (statistics.Type == PortfolioStatisticsType.GrossLoss)
{
this.grossLoss = statistics;
changed = true;
}
if (changed && this.grossProfit != null && this.grossLoss != null)
{
bool updated = false;
if (this.grossLoss.LongValue != 0)
{
this.longValue = this.grossProfit.LongValue / -this.grossLoss.LongValue;
LongValues.Add(base.Clock.DateTime, this.longValue);
updated = true;
}
if (this.grossLoss.ShortValue != 0)
{
this.shortValue = this.grossProfit.ShortValue / -this.grossLoss.ShortValue;
ShortValues.Add(Clock.DateTime, this.shortValue);
updated = true;
}
if (this.grossLoss.TotalValue != 0.0)
{
this.totalValue = this.grossProfit.TotalValue / -this.grossLoss.TotalValue;
TotalValues.Add(Clock.DateTime, this.totalValue);
updated = true;
}
if (updated)
{
Emit();
}
}
}
protected internal override void OnStatistics(PortfolioStatisticsItem statistics)
{
bool changed = false;
if (statistics.Type == PortfolioStatisticsType.NumOfWinTrades)
{
this.numOfWinTrades = statistics;
changed = true;
}
if (statistics.Type == PortfolioStatisticsType.NumOfTrades)
{
this.numOfTrades = statistics;
changed = true;
}
if (changed && this.numOfWinTrades != null && this.numOfTrades != null)
{
bool updated = false;
if (this.numOfTrades.LongValue != 0)
{
this.longValue = this.numOfWinTrades.LongValue / this.numOfTrades.LongValue;
LongValues.Add(Clock.DateTime, this.longValue);
updated = true;
}
if (this.numOfTrades.ShortValues.Count != 0)
{
this.shortValue = this.numOfWinTrades.ShortValue / this.numOfTrades.ShortValue;
ShortValues.Add(Clock.DateTime, this.shortValue);
updated = true;
}
if (this.numOfTrades.TotalValues.Count != 0)
{
this.totalValue = this.numOfWinTrades.TotalValue / this.numOfTrades.TotalValue;
TotalValues.Add(Clock.DateTime, this.totalValue);
updated = true;
}
if (updated)
{
Emit();
}
}
}
protected internal override void OnStatistics(PortfolioStatisticsItem statistics)
{
bool changed = false;
if (statistics.Type == PortfolioStatisticsType.NetProfit)
{
this.netProfit = statistics;
changed = true;
}
if (statistics.Type == PortfolioStatisticsType.MaxDrawdown)
{
this.maxDrawdown = statistics;
changed = true;
}
if (changed && this.netProfit != null && this.maxDrawdown != null)
{
bool updated = false;
if (this.maxDrawdown.LongValue != 0)
{
this.longValue = Abs(this.netProfit.LongValue / this.maxDrawdown.LongValue);
LongValues.Add(Clock.DateTime, this.longValue);
updated = true;
}
if (this.maxDrawdown.ShortValue != 0)
{
this.shortValue = Abs(this.netProfit.ShortValue / this.maxDrawdown.ShortValue);
ShortValues.Add(Clock.DateTime, this.shortValue);
updated = true;
}
if (this.maxDrawdown.TotalValue != 0)
{
this.totalValue = Math.Abs(this.netProfit.TotalValue / this.maxDrawdown.TotalValue);
TotalValues.Add(Clock.DateTime, this.totalValue);
updated = true;
}
if (updated)
{
Emit();
}
}
}
protected internal override void OnStatistics(PortfolioStatisticsItem statistics)
{
bool changed = false;
if (statistics.Type == PortfolioStatisticsType.AvgWinTrade)
{
this.avgWinTrades = statistics;
changed = true;
}
if (statistics.Type == PortfolioStatisticsType.AvgLossTrade)
{
this.avgLossTrades = statistics;
changed = true;
}
if (changed && this.avgWinTrades != null && this.avgLossTrades != null)
{
bool updated = false;
if (this.avgLossTrades.LongValue != 0)
{
this.longValue = Abs(this.avgWinTrades.LongValue / this.avgLossTrades.LongValue);
LongValues.Add(Clock.DateTime, this.longValue);
updated = true;
}
if (this.avgLossTrades.ShortValue != 0.0)
{
this.shortValue = Math.Abs(this.avgWinTrades.ShortValue / this.avgLossTrades.ShortValue);
ShortValues.Add(Clock.DateTime, this.shortValue);
updated = true;
}
if (this.avgLossTrades.TotalValue != 0.0)
{
this.totalValue = Abs(this.avgWinTrades.TotalValue / this.avgLossTrades.TotalValue);
TotalValues.Add(Clock.DateTime, this.totalValue);
updated = true;
}
if (updated)
{
Emit();
}
}
}
protected internal override void OnStatistics(PortfolioStatisticsItem statistics)
{
var changed = false;
if (statistics.Type == PortfolioStatisticsType.CompoundAnnualGrowthRate)
{
this.cagr = statistics;
changed = true;
}
if (statistics.Type == PortfolioStatisticsType.MaxDrawdownPercent)
{
this.maxDrawdownPercent = statistics;
changed = true;
}
if (changed && this.cagr != null && this.maxDrawdownPercent != null && this.maxDrawdownPercent.TotalValue != 0)
{
this.totalValue = Abs(this.cagr.TotalValue / this.maxDrawdownPercent.TotalValue);
TotalValues.Add(Clock.DateTime, this.totalValue);
Emit();
}
}
protected override void OnStrategyInit()
{
bars86400 = new BarSeries("Bars86400");
int n = N;
if (StrategyType.RangeBreak == strategyType)
{
n = 1;
}
HH = new PriceChannel(bars86400, n, PriceChannel.CalcType.Max, PriceChannel.IncludeLast.Yes, BarData.High);
HC = new PriceChannel(bars86400, n, PriceChannel.CalcType.Max, PriceChannel.IncludeLast.Yes, BarData.Close);
LC = new PriceChannel(bars86400, n, PriceChannel.CalcType.Min, PriceChannel.IncludeLast.Yes, BarData.Close);
LL = new PriceChannel(bars86400, n, PriceChannel.CalcType.Min, PriceChannel.IncludeLast.Yes, BarData.Low);
dailyNumOfLossTrades = Portfolio.Statistics.Get(QuantBox.Demo.Statistics.PortfolioStatisticsType.DailyNumOfLossTrades);
dailyConsecutiveLossTrades = Portfolio.Statistics.Get(QuantBox.Demo.Statistics.PortfolioStatisticsType.DailyConsecutiveLossTrades);
AddGroups();
}
protected internal override void OnStatistics(PortfolioStatisticsItem statistics)
{
bool changed = false;
if (statistics.Type == PortfolioStatisticsType.AvgAnnualReturnPercent)
{
this.avgReturnPercent = statistics;
changed = true;
}
if (statistics.Type == PortfolioStatisticsType.AnnualReturnPercentStdDev)
{
this.stdDev = statistics;
changed = true;
}
if (changed && this.avgReturnPercent != null && this.stdDev != null && this.stdDev.TotalValue != 0)
{
this.totalValue = (this.avgReturnPercent.TotalValue - RiskFreeReturn) / this.stdDev.TotalValue;
this.totalValues.Add(Clock.DateTime, this.totalValue);
Emit();
}
}
protected internal override void OnStatistics(PortfolioStatisticsItem statistics)
{
bool changed = false;
if (statistics.Type == PortfolioStatisticsType.NumOfWinTrades)
{
this.numOfWinTrades = statistics;
changed = true;
}
if (statistics.Type == PortfolioStatisticsType.NumOfTrades)
{
this.numOfTrades = statistics;
changed = true;
}
if (changed && this.numOfWinTrades != null && this.numOfTrades != null)
{
bool updated = false;
if (this.numOfTrades.LongValue != 0)
{
this.longValue = this.numOfWinTrades.LongValue / this.numOfTrades.LongValue;
LongValues.Add(Clock.DateTime, this.longValue);
updated = true;
}
if (this.numOfTrades.ShortValues.Count != 0)
{
this.shortValue = this.numOfWinTrades.ShortValue / this.numOfTrades.ShortValue;
ShortValues.Add(Clock.DateTime, this.shortValue);
updated = true;
}
if (this.numOfTrades.TotalValues.Count != 0)
{
this.totalValue = this.numOfWinTrades.TotalValue / this.numOfTrades.TotalValue;
TotalValues.Add(Clock.DateTime, this.totalValue);
updated = true;
}
if (updated)
{
Emit();
}
}
}
protected internal override void OnStatistics(PortfolioStatisticsItem statistics)
{
bool changed = false;
if (statistics.Type == PortfolioStatisticsType.AvgWinTrade)
{
this.avgWinTrades = statistics;
changed = true;
}
if (statistics.Type == PortfolioStatisticsType.AvgLossTrade)
{
this.avgLossTrades = statistics;
changed = true;
}
if (changed && this.avgWinTrades != null && this.avgLossTrades != null)
{
bool updated = false;
if (this.avgLossTrades.LongValue != 0)
{
this.longValue = Abs(this.avgWinTrades.LongValue / this.avgLossTrades.LongValue);
LongValues.Add(Clock.DateTime, this.longValue);
updated = true;
}
if (this.avgLossTrades.ShortValue != 0.0)
{
this.shortValue = Math.Abs(this.avgWinTrades.ShortValue / this.avgLossTrades.ShortValue);
ShortValues.Add(Clock.DateTime, this.shortValue);
updated = true;
}
if (this.avgLossTrades.TotalValue != 0.0)
{
this.totalValue = Abs(this.avgWinTrades.TotalValue / this.avgLossTrades.TotalValue);
TotalValues.Add(Clock.DateTime, this.totalValue);
updated = true;
}
if (updated)
{
Emit();
}
}
}
protected internal override void OnStatistics(PortfolioStatisticsItem statistics)
{
bool changed = false;
if (statistics.Type == PortfolioStatisticsType.NetProfit)
{
this.netProfit = statistics;
changed = true;
}
if (statistics.Type == PortfolioStatisticsType.MaxDrawdown)
{
this.maxDrawdown = statistics;
changed = true;
}
if (changed && this.netProfit != null && this.maxDrawdown != null)
{
bool updated = false;
if (this.maxDrawdown.LongValue != 0)
{
this.longValue = Abs(this.netProfit.LongValue / this.maxDrawdown.LongValue);
LongValues.Add(Clock.DateTime, this.longValue);
updated = true;
}
if (this.maxDrawdown.ShortValue != 0)
{
this.shortValue = Abs(this.netProfit.ShortValue / this.maxDrawdown.ShortValue);
ShortValues.Add(Clock.DateTime, this.shortValue);
updated = true;
}
if (this.maxDrawdown.TotalValue != 0)
{
this.totalValue = Math.Abs(this.netProfit.TotalValue / this.maxDrawdown.TotalValue);
TotalValues.Add(Clock.DateTime, this.totalValue);
updated = true;
}
if (updated)
{
Emit();
}
}
}
protected internal override void OnStatistics(PortfolioStatisticsItem statistics)
{
bool changed = false;
if (statistics.Type == PortfolioStatisticsType.GrossProfit)
{
this.grossProfit = statistics;
changed = true;
}
if (statistics.Type == PortfolioStatisticsType.GrossLoss)
{
this.grossLoss = statistics;
changed = true;
}
if (changed && this.grossProfit != null && this.grossLoss != null)
{
bool updated = false;
if (this.grossLoss.LongValue != 0)
{
this.longValue = this.grossProfit.LongValue / -this.grossLoss.LongValue;
LongValues.Add(base.Clock.DateTime, this.longValue);
updated = true;
}
if (this.grossLoss.ShortValue != 0)
{
this.shortValue = this.grossProfit.ShortValue / -this.grossLoss.ShortValue;
ShortValues.Add(Clock.DateTime, this.shortValue);
updated = true;
}
if (this.grossLoss.TotalValue != 0.0)
{
this.totalValue = this.grossProfit.TotalValue / -this.grossLoss.TotalValue;
TotalValues.Add(Clock.DateTime, this.totalValue);
updated = true;
}
if (updated)
{
Emit();
}
}
}
protected override void OnStatistics(PortfolioStatisticsItem statistics)
{
if (statistics.Type == this.type)
{
if (IsNewDay)
{
// 减去昨天最后的数据
base.longValue = statistics.LongValue - longTrades_Last;
base.shortValue = statistics.ShortValue - shortTrades_Last;
base.totalValue = statistics.TotalValue - totalTrades_Last;
// 本天初始化的数量
this.longTrades_Begin = statistics.LongValue;
this.shortTrades_Begin = statistics.ShortValue;
this.totalTrades_Begin = statistics.TotalValue;
}
else
{
// 当天第一轮的后几个
base.longValue = statistics.LongValue - longTrades_Begin;
base.shortValue = statistics.ShortValue - shortTrades_Begin;
base.totalValue = statistics.TotalValue - totalTrades_Begin;
}
IsNewDay = false;
// 一直更新，第二天早上要用
longTrades_Last = statistics.LongValue;
shortTrades_Last = statistics.ShortValue;
totalTrades_Last = statistics.TotalValue;
base.longValues.Add(base.Clock.DateTime, base.longValue);
base.shortValues.Add(base.Clock.DateTime, base.shortValue);
base.totalValues.Add(base.Clock.DateTime, base.totalValue);
base.Emit();
}
}
public void Update()
{
for (int index = 0; index < this.Portfolio.Statistics.Items.Count; ++index)
{
PortfolioStatisticsItem statistics = this.Portfolio.Statistics.Items[index];
switch (statistics.Name)
{
case "Net Profit":
this.UpdateSubItem(1, statistics);
break;
case "Gross Profit":
this.UpdateSubItem(2, statistics);
break;
case "Gross Loss":
this.UpdateSubItem(3, statistics);
break;
case "Average Drawdown %":
this.UpdateSubItem(4, statistics);
break;
case "Maximum Drawdown %":
this.UpdateSubItem(5, statistics);
break;
case "Profit Factor":
this.UpdateSubItem(6, statistics);
break;
case "Recovery Factor":
this.UpdateSubItem(7, statistics);
break;
}
}
}
protected internal override void OnStatistics(PortfolioStatisticsItem statistics)
{
if (statistics.Type == PortfolioStatisticsType.NumOfLossTrades)
{
bool changed = false;
if (statistics.LongValue > this.longLossTrades)
{
this.longLossTrades = statistics.LongValue;
LongValues.Add(Clock.DateTime, this.longValue += 1);
changed = true;
}
if (statistics.ShortValue > this.shortLossTrades)
{
this.shortLossTrades = statistics.ShortValue;
ShortValues.Add(Clock.DateTime, this.shortValue += 1.0);
changed = true;
}
if (statistics.TotalValue > this.totalLossTrades)
{
this.totalLossTrades = statistics.TotalValue;
TotalValues.Add(Clock.DateTime, this.totalValue += 1.0);
changed = true;
}
if (changed)
{
Emit();
}
}
if (statistics.Type == PortfolioStatisticsType.NumOfWinTrades)
{
bool changed = false;
if (statistics.LongValue > this.longWinTrades)
{
this.longWinTrades = statistics.LongValue;
this.longValue = 0;
LongValues.Add(Clock.DateTime, 0);
changed = true;
}
if (statistics.ShortValue > this.shortWinTrades)
{
this.shortWinTrades = statistics.ShortValue;
this.shortValue = 0;
ShortValues.Add(Clock.DateTime, 0);
changed = true;
}
if (statistics.TotalValue > this.totalWinTrades)
{
this.totalWinTrades = statistics.TotalValue;
this.totalValue = 0;
TotalValues.Add(Clock.DateTime, 0);
changed = true;
}
if (changed)
{
Emit();
}
}
}
protected internal override void OnStatistics(PortfolioStatisticsItem statistics)
{
if (statistics.Type == PortfolioStatisticsType.DailyReturnPercentStdDev)
{
this.totalValue = this.AnnualizedFactor * statistics.TotalValue;
TotalValues.Add(Clock.DateTime, this.totalValue);
Emit();
}
}
private void ltvStatistics_SelectedIndexChanged(object sender, EventArgs e)
{
if (this.ltvStatistics.SelectedIndices.Count <= 0)
return;
StatisticsViewItem statisticsViewItem = this.ltvStatistics.Items[this.ltvStatistics.SelectedIndices[0]] as StatisticsViewItem;
if (statisticsViewItem == null)
return;
this.selectedItem = statisticsViewItem.Statistics;
this.Invoke((Action) (() => this.Reset()));
}
public void Add(PortfolioStatisticsItem item) => Statistics.Add(item);
protected internal override void OnStatistics(PortfolioStatisticsItem statistics)
{
if (statistics.Type == PortfolioStatisticsType.DailyReturnPercent)
{
this.sumsq += Pow(Max(0, statistics.TotalValue - Threshold), 2);
if (statistics.TotalValue < 0)
{
this.count++;
}
if (this.count > 0)
{
this.totalValue = Sqrt(this.sumsq / this.count);
TotalValues.Add(Clock.DateTime, this.totalValue);
Emit();
}
}
}
protected internal override void OnStatistics(PortfolioStatisticsItem statistics)
{
if (statistics.Type == 66)
{
this.totalValue = statistics.TotalValue * AnnualizedFactor;
TotalValues.Add(Clock.DateTime, this.totalValue);
Emit();
}
}