/// <summary>
/// Sets chart's back testing data.
/// </summary>
public void SetChartData()
{
isNotPaint = !Data.IsData || !Data.IsResult || Data.Bars <= Data.FirstBar;
if (isNotPaint)
{
return;
}
showPriceLine = Configs.ShowPriceChartOnAccountChart && Backtester.ExecutedOrders > 0;
isScanPerformed = Backtester.IsScanPerformed;
data.FirstBar = Data.FirstBar;
data.Bars = Data.Bars;
chartBars = Data.Bars - Data.FirstBar;
int maxBalance = Configs.AccountInMoney ? (int)Backtester.MaxMoneyBalance : Backtester.MaxBalance;
int minBalance = Configs.AccountInMoney ? (int)Backtester.MinMoneyBalance : Backtester.MinBalance;
int maxEquity = Configs.AccountInMoney ? (int)Backtester.MaxMoneyEquity : Backtester.MaxEquity;
int minEquity = Configs.AccountInMoney ? (int)Backtester.MinMoneyEquity : Backtester.MinEquity;
if (Configs.AdditionalStatistics)
{
int maxLongBalance = Configs.AccountInMoney
? (int)Backtester.MaxLongMoneyBalance
: Backtester.MaxLongBalance;
int minLongBalance = Configs.AccountInMoney
? (int)Backtester.MinLongMoneyBalance
: Backtester.MinLongBalance;
int maxShortBalance = Configs.AccountInMoney
? (int)Backtester.MaxShortMoneyBalance
: Backtester.MaxShortBalance;
int minShortBalance = Configs.AccountInMoney
? (int)Backtester.MinShortMoneyBalance
: Backtester.MinShortBalance;
int maxLongShortBalance = Math.Max(maxLongBalance, maxShortBalance);
int minLongShortBalance = Math.Min(minLongBalance, minShortBalance);
data.Maximum = Math.Max(Math.Max(maxBalance, maxEquity), maxLongShortBalance) + 1;
data.Minimum = Math.Min(Math.Min(minBalance, minEquity), minLongShortBalance) - 1;
}
else
{
data.Maximum = Math.Max(maxBalance, maxEquity) + 1;
data.Minimum = Math.Min(minBalance, minEquity) - 1;
}
data.Minimum = (int)(Math.Floor(data.Minimum / 10f) * 10);
data.DataMaxPrice = Data.MaxPrice;
data.DataMinPrice = Data.MinPrice;
if (showPriceLine)
{
data.ClosePrice = new double[data.Bars];
Data.Close.CopyTo(data.ClosePrice, 0);
}
if (Configs.AccountInMoney)
{
data.MoneyBalance = new double[data.Bars];
data.MoneyEquity = new double[data.Bars];
}
else
{
data.Balance = new int[data.Bars];
data.Equity = new int[data.Bars];
}
if (Configs.AdditionalStatistics)
{
if (Configs.AccountInMoney)
{
data.LongMoneyBalance = new double[data.Bars];
data.ShortMoneyBalance = new double[data.Bars];
}
else
{
data.LongBalance = new int[data.Bars];
data.ShortBalance = new int[data.Bars];
}
}
for (int bar = data.FirstBar; bar < data.Bars; bar++)
{
if (Configs.AccountInMoney)
{
data.MoneyBalance[bar] = Backtester.MoneyBalance(bar);
data.MoneyEquity[bar] = Backtester.MoneyEquity(bar);
}
else
{
data.Balance[bar] = Backtester.Balance(bar);
data.Equity[bar] = Backtester.Equity(bar);
}
if (Configs.AdditionalStatistics)
{
if (Configs.AccountInMoney)
{
data.LongMoneyBalance[bar] = Backtester.LongMoneyBalance(bar);
data.ShortMoneyBalance[bar] = Backtester.ShortMoneyBalance(bar);
}
else
{
data.LongBalance[bar] = Backtester.LongBalance(bar);
data.ShortBalance[bar] = Backtester.ShortBalance(bar);
}
}
}
data.MarginCallBar = Backtester.MarginCallBar;
if (IsOOS && OOSBar > data.FirstBar)
{
data.NetBalance =
(float)(Configs.AccountInMoney ? Backtester.MoneyBalance(OOSBar) : Backtester.Balance(OOSBar));
data.DataTimeBarOOS = Data.Time[OOSBar];
}
else
{
data.NetBalance = (float)(Configs.AccountInMoney ? Backtester.NetMoneyBalance : Backtester.NetBalance);
}
}
/// <summary>
/// Sets the chart parameters
/// </summary>
private void InitChart(int width, int height)
{
try
{
Chart = new Bitmap(width, height);
if (!Data.IsData || !Data.IsResult || Data.Bars <= Data.FirstBar)
{
return;
}
const int border = 1;
const int space = 2;
int maximum;
int minimum;
int firstBar = Data.FirstBar;
int bars = Data.Bars;
int chartBars = Data.Bars - firstBar;
int maxBalance = Configs.AccountInMoney ? (int)Backtester.MaxMoneyBalance : Backtester.MaxBalance;
int minBalance = Configs.AccountInMoney ? (int)Backtester.MinMoneyBalance : Backtester.MinBalance;
int maxEquity = Configs.AccountInMoney ? (int)Backtester.MaxMoneyEquity : Backtester.MaxEquity;
int minEquity = Configs.AccountInMoney ? (int)Backtester.MinMoneyEquity : Backtester.MinEquity;
if (Configs.AdditionalStatistics)
{
int maxLongBalance = Configs.AccountInMoney
? (int)Backtester.MaxLongMoneyBalance
: Backtester.MaxLongBalance;
int minLongBalance = Configs.AccountInMoney
? (int)Backtester.MinLongMoneyBalance
: Backtester.MinLongBalance;
int maxShortBalance = Configs.AccountInMoney
? (int)Backtester.MaxShortMoneyBalance
: Backtester.MaxShortBalance;
int minShortBalance = Configs.AccountInMoney
? (int)Backtester.MinShortMoneyBalance
: Backtester.MinShortBalance;
int maxLsBalance = Math.Max(maxLongBalance, maxShortBalance);
int minLsBalance = Math.Min(minLongBalance, minShortBalance);
maximum = Math.Max(Math.Max(maxBalance, maxEquity), maxLsBalance) + 1;
minimum = Math.Min(Math.Min(minBalance, minEquity), minLsBalance) - 1;
}
else
{
maximum = Math.Max(maxBalance, maxEquity) + 1;
minimum = Math.Min(minBalance, minEquity) - 1;
}
const int yTop = border + space;
int yBottom = height - border - space;
const int xLeft = border;
int xRight = width - border - space;
float xScale = (xRight - xLeft) / (float)chartBars;
float yScale = (yBottom - yTop) / (float)(maximum - minimum);
var penBorder = new Pen(Data.GetGradientColor(LayoutColors.ColorCaptionBack, -LayoutColors.DepthCaption),
border);
var balancePoints = new PointF[chartBars];
var equityPoints = new PointF[chartBars];
var longBalancePoints = new PointF[chartBars];
var shortBalancePoints = new PointF[chartBars];
int index = 0;
for (int bar = firstBar; bar < bars; bar++)
{
balancePoints[index].X = xLeft + index * xScale;
equityPoints[index].X = xLeft + index * xScale;
if (Configs.AccountInMoney)
{
balancePoints[index].Y = (float)(yBottom - (Backtester.MoneyBalance(bar) - minimum) * yScale);
equityPoints[index].Y = (float)(yBottom - (Backtester.MoneyEquity(bar) - minimum) * yScale);
}
else
{
balancePoints[index].Y = yBottom - (Backtester.Balance(bar) - minimum) * yScale;
equityPoints[index].Y = yBottom - (Backtester.Equity(bar) - minimum) * yScale;
}
if (Configs.AdditionalStatistics)
{
longBalancePoints[index].X = xLeft + index * xScale;
shortBalancePoints[index].X = xLeft + index * xScale;
if (Configs.AccountInMoney)
{
longBalancePoints[index].Y =
(float)(yBottom - (Backtester.LongMoneyBalance(bar) - minimum) * yScale);
shortBalancePoints[index].Y =
(float)(yBottom - (Backtester.ShortMoneyBalance(bar) - minimum) * yScale);
}
else
{
longBalancePoints[index].Y = yBottom - (Backtester.LongBalance(bar) - minimum) * yScale;
shortBalancePoints[index].Y = yBottom - (Backtester.ShortBalance(bar) - minimum) * yScale;
}
}
index++;
}
Graphics g = Graphics.FromImage(Chart);
// Paints the background by gradient
var rectField = new RectangleF(1, 1, width - 2, height - 2);
g.FillRectangle(new SolidBrush(LayoutColors.ColorChartBack), rectField);
// Border
g.DrawRectangle(penBorder, 0, 0, width - 1, height - 1);
// Equity line
g.DrawLines(new Pen(LayoutColors.ColorChartEquityLine), equityPoints);
// Draw Long and Short balance
if (Configs.AdditionalStatistics)
{
g.DrawLines(new Pen(Color.Red), shortBalancePoints);
g.DrawLines(new Pen(Color.Green), longBalancePoints);
}
// Draw the balance line
g.DrawLines(new Pen(LayoutColors.ColorChartBalanceLine), balancePoints);
} catch { }
}
/// <summary>
/// Represents the Strategy as a XmlDocument.
/// </summary>
public static XmlDocument CreateStrategyXmlDoc(Strategy strategy)
{
// Create the XmlDocument.
var xmlDocStrategy = new XmlDocument();
xmlDocStrategy.LoadXml("<strategy></strategy>");
//Create the XML declaration.
XmlDeclaration xmldecl = xmlDocStrategy.CreateXmlDeclaration("1.0", null, null);
//Add new node to the document.
XmlElement root = xmlDocStrategy.DocumentElement;
xmlDocStrategy.InsertBefore(xmldecl, root);
AppendStringElement(xmlDocStrategy, "programName", Data.ProgramName);
AppendStringElement(xmlDocStrategy, "programVersion", Data.ProgramVersion);
AppendStringElement(xmlDocStrategy, "strategyName", strategy.StrategyName);
AppendStringElement(xmlDocStrategy, "instrumentSymbol", strategy.Symbol);
AppendStringElement(xmlDocStrategy, "instrumentPeriod", (int)strategy.DataPeriod);
AppendStringElement(xmlDocStrategy, "sameDirSignalAction", strategy.SameSignalAction.ToString());
AppendStringElement(xmlDocStrategy, "oppDirSignalAction", strategy.OppSignalAction.ToString());
// Add the Permanent Stop Loss
XmlElement newElem = xmlDocStrategy.CreateElement("permanentStopLoss");
newElem.InnerText = strategy.PermanentSL.ToString(CultureInfo.InvariantCulture);
newElem.SetAttribute("usePermanentSL", strategy.UsePermanentSL.ToString(CultureInfo.InvariantCulture));
newElem.SetAttribute("permanentSLType", strategy.PermanentSLType.ToString());
if (xmlDocStrategy.DocumentElement != null)
{
xmlDocStrategy.DocumentElement.AppendChild(newElem);
}
// Add the Permanent Take Profit
newElem = xmlDocStrategy.CreateElement("permanentTakeProfit");
newElem.InnerText = strategy.PermanentTP.ToString(CultureInfo.InvariantCulture);
newElem.SetAttribute("usePermanentTP", strategy.UsePermanentTP.ToString(CultureInfo.InvariantCulture));
newElem.SetAttribute("permanentTPType", strategy.PermanentTPType.ToString());
if (xmlDocStrategy.DocumentElement != null)
{
xmlDocStrategy.DocumentElement.AppendChild(newElem);
}
// Add the Break Even
newElem = xmlDocStrategy.CreateElement("breakEven");
newElem.InnerText = strategy.BreakEven.ToString(CultureInfo.InvariantCulture);
newElem.SetAttribute("useBreakEven", strategy.UseBreakEven.ToString(CultureInfo.InvariantCulture));
if (xmlDocStrategy.DocumentElement != null)
{
xmlDocStrategy.DocumentElement.AppendChild(newElem);
}
AppendStringElement(xmlDocStrategy, "maxOpenLots", strategy.MaxOpenLots);
AppendStringElement(xmlDocStrategy, "useAccountPercentEntry", strategy.UseAccountPercentEntry);
AppendStringElement(xmlDocStrategy, "entryLots", strategy.EntryLots);
AppendStringElement(xmlDocStrategy, "addingLots", strategy.AddingLots);
AppendStringElement(xmlDocStrategy, "reducingLots", strategy.ReducingLots);
AppendStringElement(xmlDocStrategy, "useMartingale", strategy.UseMartingale);
AppendStringElement(xmlDocStrategy, "martingaleMultiplier", strategy.MartingaleMultiplier);
AppendStringElement(xmlDocStrategy, "description", strategy.Description);
// Add the slots.
AppendStringElement(xmlDocStrategy, "openFilters", strategy.OpenFilters);
AppendStringElement(xmlDocStrategy, "closeFilters", strategy.CloseFilters);
for (int slot = 0; slot < strategy.Slots; slot++)
{
IndicatorSlot stratSlot = strategy.Slot[slot];
SlotTypes slType = stratSlot.SlotType;
// Add a slot element.
XmlElement newSlot = xmlDocStrategy.CreateElement("slot");
newSlot.SetAttribute("slotNumber", slot.ToString(CultureInfo.InvariantCulture));
newSlot.SetAttribute("slotType", slType.ToString());
newSlot.SetAttribute("slotStatus", stratSlot.SlotStatus.ToString());
if (slType == SlotTypes.OpenFilter || slType == SlotTypes.CloseFilter)
{
newSlot.SetAttribute("logicalGroup", stratSlot.LogicalGroup);
}
// Add an element.
newElem = xmlDocStrategy.CreateElement("indicatorName");
newElem.InnerText = stratSlot.IndicatorName;
newSlot.AppendChild(newElem);
// Add the list parameters.
for (int param = 0; param < stratSlot.IndParam.ListParam.Length; param++)
{
if (!stratSlot.IndParam.ListParam[param].Enabled)
{
continue;
}
// Add an element.
XmlElement newListElem = xmlDocStrategy.CreateElement("listParam");
newListElem.SetAttribute("paramNumber", param.ToString(CultureInfo.InvariantCulture));
// Add an element.
newElem = xmlDocStrategy.CreateElement("caption");
newElem.InnerText = stratSlot.IndParam.ListParam[param].Caption;
newListElem.AppendChild(newElem);
// Add an element.
newElem = xmlDocStrategy.CreateElement("index");
newElem.InnerText = stratSlot.IndParam.ListParam[param].Index.ToString(CultureInfo.InvariantCulture);
newListElem.AppendChild(newElem);
// Add an element.
newElem = xmlDocStrategy.CreateElement("value");
newElem.InnerText = stratSlot.IndParam.ListParam[param].Text;
newListElem.AppendChild(newElem);
newSlot.AppendChild(newListElem);
}
// Add the num parameters.
for (int param = 0; param < stratSlot.IndParam.NumParam.Length; param++)
{
if (!stratSlot.IndParam.NumParam[param].Enabled)
{
continue;
}
// Add an element.
XmlElement newNumElem = xmlDocStrategy.CreateElement("numParam");
newNumElem.SetAttribute("paramNumber", param.ToString(CultureInfo.InvariantCulture));
// Add an element.
newElem = xmlDocStrategy.CreateElement("caption");
newElem.InnerText = stratSlot.IndParam.NumParam[param].Caption;
newNumElem.AppendChild(newElem);
// Add an element.
newElem = xmlDocStrategy.CreateElement("value");
newElem.InnerText = stratSlot.IndParam.NumParam[param].ValueToString;
newNumElem.AppendChild(newElem);
newSlot.AppendChild(newNumElem);
}
// Add the check parameters.
for (int param = 0; param < stratSlot.IndParam.CheckParam.Length; param++)
{
if (!stratSlot.IndParam.CheckParam[param].Enabled)
{
continue;
}
// Add an element.
XmlElement newCheckElem = xmlDocStrategy.CreateElement("checkParam");
newCheckElem.SetAttribute("paramNumber", param.ToString(CultureInfo.InvariantCulture));
// Add an element.
newElem = xmlDocStrategy.CreateElement("caption");
newElem.InnerText = stratSlot.IndParam.CheckParam[param].Caption;
newCheckElem.AppendChild(newElem);
// Add an element.
newElem = xmlDocStrategy.CreateElement("value");
newElem.InnerText =
stratSlot.IndParam.CheckParam[param].Checked.ToString(CultureInfo.InvariantCulture);
newCheckElem.AppendChild(newElem);
newSlot.AppendChild(newCheckElem);
}
if (xmlDocStrategy.DocumentElement != null)
{
xmlDocStrategy.DocumentElement.AppendChild(newSlot);
}
}
// Add statistics meta data.
string unit = " " + Configs.AccountCurrency;
AppendStringElement(xmlDocStrategy, "AccountBalance", Backtester.NetMoneyBalance.ToString("F2") + unit);
AppendStringElement(xmlDocStrategy, "ProfitPerDay", Backtester.MoneyProfitPerDay.ToString("F2") + unit);
AppendStringElement(xmlDocStrategy, "WinLossRatio", Backtester.WinLossRatio.ToString("F2"));
AppendStringElement(xmlDocStrategy, "AccountStatsParam", String.Join(";", Backtester.AccountStatsParam));
AppendStringElement(xmlDocStrategy, "AccountStatsValue", String.Join(";", Backtester.AccountStatsValue));
AppendStringElement(xmlDocStrategy, "MarketStatsParam", String.Join(";", Data.MarketStatsParam));
AppendStringElement(xmlDocStrategy, "MarketStatsValue", String.Join(";", Data.MarketStatsValue));
// Add chart data
int length = Data.Bars - StatsBuffer.FirstBar;
var balanceLine = new double[length];
var equityLine = new double[length];
for (int bar = 0; bar < length; bar++)
{
balanceLine[bar] = Backtester.MoneyBalance(bar);
equityLine[bar] = Backtester.MoneyEquity(bar);
}
int size = Math.Min(600, length);
string[] balanceList = MathUtils.ArrayToStringArray(MathUtils.ArrayResize(balanceLine, size));
string[] equityList = MathUtils.ArrayToStringArray(MathUtils.ArrayResize(equityLine, size));
AppendStringElement(xmlDocStrategy, "BalanceLine", String.Join(";", balanceList));
AppendStringElement(xmlDocStrategy, "EquityLine", String.Join(";", equityList));
return(xmlDocStrategy);
}