static bool ActOnSignal(Bar yesterdayBar, Bar bar, double prediction, VAccount account, string symbol)
{
var shouldBuy = prediction > 0;
if (shouldBuy)
{
var numShares = account.MaxSharesAtPrice(yesterdayBar.Close);
account.Buy(symbol, numShares, yesterdayBar.Close);
account.Sell(symbol, numShares, bar.Close);
return(yesterdayBar.Close < bar.Close);
}
else
{
var numShares = account.MaxSharesAtPrice(yesterdayBar.Close);
account.Short(symbol, numShares, yesterdayBar.Close);
account.Cover(symbol, numShares, bar.Close);
return(yesterdayBar.Close > bar.Close);
}
}
public static List <Day> Backtest(Database db, Mixture mixture, string symbol, DateTime startDate, DateTime endDate,
double initialEquity, double marginFactor, double tradeCost)
{
var preloadStart = startDate.AddYears(-1);
var allBars = new DataSeries <Bar>(symbol, db.QueryAll <DbBar>(x => x.Symbol == symbol, "Timestamp")
.Select(DataPreprocessing.DbBarToBar));
var bars = DataPreprocessing.TrimToWindow(allBars, DataPreprocessing.GetWindow(preloadStart, endDate, allBars));
var data = DataPreprocessing.LoadTrainingSet(db, symbol, preloadStart, endDate, Signals.Null);
var predictor = new MixturePredictor(mixture, data);
Debug.Assert(bars.Length == data.Input.ColumnCount);
var backtestStartIndex = bars.ToList().FindIndex(x => x.Timestamp >= startDate);
// preload
for (int t = 0; t < backtestStartIndex; t++)
{
predictor.Predict(t);
}
int totalPredictions = 0;
int correctPredictions = 0;
// backtest
var account = new VAccount(initialEquity, marginFactor, tradeCost);
for (int t = backtestStartIndex + 1; t < bars.Length; t++)
{
var prediction = predictor.Predict(t - 1);
Debug.Assert(prediction != 0);
var wasCorrect = ActOnSignal(bars[t - 1], bars[t], prediction, account, symbol);
totalPredictions++;
if (wasCorrect)
{
correctPredictions++;
}
}
double correctPct = (double)correctPredictions / totalPredictions;
return(null);
}
