private bool isResultsatisfy(TradingResult fResult) { if (fResult.Profit < MinProfit || fResult.Risk > MaxRisk || fResult.WinRate < MinWinRate) { return(false); } return(true); }
private TradingResult Simulate(TradingRule tradingRule) { TradingResult tradingResult = new TradingResult(); List <SimulatitonPartern> simulateds = new List <SimulatitonPartern>(); POS pOS = new POS(); int index = 1; bool isBuyTradingCommand = false; List <int> tidBP = new List <int>(); if (tradingRule.BP?.TIDSet.Count() > 0) { tidBP.AddRange(tradingRule.BP?.TIDSet); } List <int> tidSP = new List <int>(); if (tradingRule.SP?.TIDSet.Count() > 0) { tidSP.AddRange(tradingRule.SP?.TIDSet); } // // check if exist at least one complete trading order || Sell trading Command and existing sell transactions when buy transaction end. while ((tidBP?.Count > 0 && tidSP?.Count > 0) || (isBuyTradingCommand && tidSP?.Count > 0)) { // generate all Trading order and Hold position SimulatitonPartern sm = new SimulatitonPartern(); sm.TradingOrder = new TradingOrder(); sm.TradingResult = new TradingResult(); sm.HPOS = new POS(); if (index == 1) { sm.No = index; sm.TradingOrder.tc = tradingRule.topPriority == TP.SF ? TradingCommands.Sell : TradingCommands.Buy; sm.TradingOrder.qty = 1; //transaction start at 0-1-2, tid start at 1-2-3 sm.TradingOrder.price = sm.TradingOrder.tc == TradingCommands.Buy ? transactions[tidBP[0] - 1].Price : transactions[tidSP[0] - 1].Price; sm.TID = sm.TradingOrder.tc == TradingCommands.Buy ? tidBP[0] : tidSP[0]; sm.HPOS.mp = sm.TradingOrder.tc == TradingCommands.Buy ? MarketPosition.Long : MarketPosition.Short; sm.HPOS.hqty = 1; sm.HPOS.hprice = sm.TradingOrder.price; // isBuyTradingCommand = sm.TradingOrder.tc == TradingCommands.Buy ? true : false; } else { if (isBuyTradingCommand) { //simutaled trading is sell sm.No = index; sm.TradingOrder.tc = TradingCommands.Sell; sm.TradingOrder.qty = 1; sm.TradingOrder.price = transactions[tidSP[0] - 1].Price; sm.TID = tidSP[0]; sm.HPOS.mp = MarketPosition.Short; sm.HPOS.hqty = 1; sm.HPOS.hprice = sm.TradingOrder.price; isBuyTradingCommand = false; } else { //simutaled trading is buy sm.No = index; sm.TradingOrder.tc = TradingCommands.Buy; sm.TradingOrder.qty = 1; sm.TradingOrder.price = transactions[tidBP[0] - 1].Price; sm.TID = tidBP[0]; sm.HPOS.mp = MarketPosition.Long; sm.HPOS.hqty = 1; sm.HPOS.hprice = sm.TradingOrder.price; isBuyTradingCommand = true; } } if (sm.TradingOrder.tc == TradingCommands.Buy) { if (tidSP[0] == tidBP[0]) { tidSP.RemoveAt(0); } tidBP.RemoveAt(0); } else { // avoid empty buy pattern if (tidBP.Count() > 0 && tidBP[0] == tidSP[0]) { tidBP.RemoveAt(0); } tidSP.RemoveAt(0); } index++; simulateds.Add(sm); } for (int i = 0; i < simulateds.Count; i++) { // set Netprofit // Last record don't have Netprofit simulateds[i].NP = i == (simulateds.Count - 1) ? 0 : simulateds[i].HPOS.mp == MarketPosition.Long ? simulateds[i + 1].HPOS.hprice - simulateds[i].HPOS.hprice - MAX_SPAN * FEE : simulateds[i].HPOS.hprice - simulateds[i + 1].HPOS.hprice - MAX_SPAN * FEE; // set Consecutive loss //Last record don't have Netprofit simulateds[i].CLoss = i == 0 ? simulateds[i].NP : simulateds[i].NP + simulateds[i - 1].CLoss; // Closs could not be positive && Last record don't have Netprofit simulateds[i].CLoss = (simulateds[i].CLoss > 0) || i == (simulateds.Count - 1) ? 0 : simulateds[i].CLoss; // Set Run UP && Draw Down if (i == simulateds.Count - 1) { if (isExistsTID(simulateds[i].TID)) { simulateds[i].DD = simulateds[i].HPOS.mp == MarketPosition.Short ? 0 : i == 0 ? 0 + Math.Min(simulateds[i].HPOS.hprice, GetTransactionPrice(simulateds[i].TID + 1)) - simulateds[i].HPOS.hprice : simulateds[i - 1].CLoss + Math.Min(simulateds[i].HPOS.hprice, GetTransactionPrice(simulateds[i].TID + 1)) - simulateds[i].HPOS.hprice; simulateds[i].RU = simulateds[i].HPOS.mp == MarketPosition.Long ? 0 : i == 0 ? 0 - Math.Max(simulateds[i].HPOS.hprice, GetTransactionPrice(simulateds[i].TID + 1)) + simulateds[i].HPOS.hprice : simulateds[i - 1].CLoss - Math.Max(simulateds[i].HPOS.hprice, GetTransactionPrice(simulateds[i].TID + 1)) + simulateds[i].HPOS.hprice; } } else { simulateds[i].DD = simulateds[i].HPOS.mp == MarketPosition.Short ? 0 : i == 0 ? 0 + Math.Min(simulateds[i].HPOS.hprice, simulateds[i + 1].HPOS.hprice) - simulateds[i].HPOS.hprice : simulateds[i - 1].CLoss + Math.Min(simulateds[i].HPOS.hprice, simulateds[i + 1].HPOS.hprice) - simulateds[i].HPOS.hprice; simulateds[i].RU = simulateds[i].HPOS.mp == MarketPosition.Long ? 0 : i == 0 ? 0 - Math.Max(simulateds[i].HPOS.hprice, simulateds[i + 1].HPOS.hprice) + simulateds[i].HPOS.hprice : simulateds[i - 1].CLoss - Math.Max(simulateds[i].HPOS.hprice, simulateds[i + 1].HPOS.hprice) + simulateds[i].HPOS.hprice; } // Set Profit simulateds[i].TradingResult.Profit = i == (simulateds.Count - 1) ? 0 : simulateds.Sum(o => o.NP); //Set Risk simulateds[i].TradingResult.Risk = i == 0 ? new List <double>() { Absolute(simulateds[i].CLoss), Absolute(simulateds[i].DD), Absolute(simulateds[i].RU) }.Max() : new List <double>() { Absolute(simulateds[i].CLoss), Absolute(simulateds[i].DD), Absolute(simulateds[i].RU), Absolute(simulateds[i - 1].TradingResult.Risk) }.Max(); //Set WinRate simulateds[i].TradingResult.WinRate = i == (simulateds.Count - 1) ? 0 : Math.Round(simulateds.Where(o => o.NP > 0).Count() * 1.0 / simulateds[i].No * 100, 0); } tradingResult.Profit = simulateds[simulateds.Count - 2].TradingResult.Profit; tradingResult.Risk = isExistsTID(simulateds[simulateds.Count - 1].TID) ? simulateds[simulateds.Count - 1].TradingResult.Risk : simulateds[simulateds.Count - 2].TradingResult.Risk; tradingResult.WinRate = simulateds[simulateds.Count - 2].TradingResult.WinRate; return(tradingResult); }
private void GenSP(Pattern BP, Pattern prefix, int index, int interval) { Pattern pre = null; if (prefix != null) { pre = new Pattern(); pre.name = prefix.name; pre.TIDSet = prefix.TIDSet.ToList(); } // pattern X = π₯1(π1) π₯2(π2)β β β π₯π(ππ), where j > 0 and 0 β₯ ππ β₯ (1 β maxspan) if (interval >= MAX_SPAN) { return; } for (int i = index; i < oneItemList.Count; i++) { Pattern SP = new Pattern(); SP.name = oneItemList[i].name; SP.TIDSet = oneItemList[i].TIDSet.ToList(); SP = Shift(SP, interval); SP = Join(pre, SP); //Debug.WriteLine("------------- GenSP ----------------"); //foreach (var item in SP.TIDSet) //{ // Debug.WriteLine(SP.name + " " + item + " "); //} //Debug.WriteLine(""); // check if exist at least one transaction if (SP.TIDSet.Count() >= minSup) { if (ComparePattern(BP, SP) != 1 && BP.TIDSet.Count() > 0 && SP.TIDSet.Count > 0) { List <TradingRule> lstTradingRule = new List <TradingRule>(); lstTradingRule = RuleGenerator(BP, SP); if (BP.name == "A(0)C(-1)") { var x = 0; } foreach (var trRule in lstTradingRule) { TradingResult tradingResult = Simulate(trRule); if (isResultsatisfy(tradingResult)) { trRule.tradingResult = tradingResult; tradingRules.Add(trRule); } } GenSP(BP, SP, i + 1, interval); } } } if (prefix != null) { GenSP(BP, pre, 0, interval + 1); } }