public void TestBollingerStrategy()
{
var bolStrategy = new TradeStrategyLib.Models.BollingerStrategy(25, 2, 2, 1000000.00, 150);
var backtest = new StrategyBacktester(bolStrategy, _data);
backtest.Compute();
var pnlHistory = backtest.GetPnLHistory();
var totalPnl = backtest.GetTotalPnl();
var maxDD = backtest.GetMaximumDrawdown();
var vol = backtest.GetStrategyVol();
// Check if results are empty
// NOTE FRZ: This test should be more rigorous with expected results to test
// but I don't have the time.
Assert.IsNotNull(pnlHistory);
Assert.IsNotNull(totalPnl);
Assert.IsNotNull(maxDD);
Assert.IsNotNull(vol);
}
/// <summary>
/// Callback method for Launch MA Test button.
/// Launches the MA strategy backtest.
/// </summary>
/// <param name="control">Exposes method to ribbon</param>
public void TestBollinger(CustomUI.IRibbonControl control)
{
#region TestBollinger sanity checks
// --> On imported data
var importer = DataImporter.DataImporter.Instance;
List <DataTypes.Quote> data = importer.GetData();
if (data == null)
{
MessageBox.Show("Please import data before lauching test");
return;
}
// --> On strategy parameters
if (this._bolAmount == null)
{
MessageBox.Show("Please input amount to invest in strategy");
return;
}
if (this._bolShortLevel == null)
{
MessageBox.Show("Please input Moving Average Short Level parameter");
return;
}
if (this._bolUpperBound == null)
{
MessageBox.Show("Please input Upper Bound coefficient parameter");
return;
}
if (this._bolLowerBound == null)
{
MessageBox.Show("Please input Lower Bound coefficient parameter");
return;
}
if (this._bolTakeProfitInBps == null)
{
MessageBox.Show("Please input Moving Average Take Profit parameter");
return;
}
#endregion
// Compute the backtest and get the results
var bol_Strategy = new TradeStrategyLib.Models.BollingerStrategy((int)this._bolShortLevel, (double)this._bolUpperBound,
(double)this._bolLowerBound, (double)this._bolAmount,
(double)this._bolTakeProfitInBps);
var bol_Backtest = new StrategyBacktester(bol_Strategy, data);
bol_Backtest.Compute();
List <double> bol_pnlHistory = bol_Backtest.GetPnLHistory();
if (!bol_pnlHistory.Any())
{
MessageBox.Show("Bollinger strategy did not generate any trades on this " +
"time interval");
return;
}
List <DateTime> bol_dates = bol_Backtest.GetDates();
double bol_totalPnl = bol_Backtest.GetTotalPnl();
double? maxDD = bol_Backtest.GetMaximumDrawdown();
double vol = bol_Backtest.GetStrategyVol();
// Write the results
DataWriter.WriteBacktestResults("Bollinger", bol_totalPnl, maxDD, vol, bol_pnlHistory, bol_dates);
// Ensure all COM objects are realeased
GC.Collect();
GC.WaitForPendingFinalizers();
}