public override void RunStrategy()
{
Assert.Ignore();
CleanupFiles(null, null);
StartGUIThread();
try {
Starter starter = new HistoricalStarter();
// Set run properties as in the GUI.
starter.ProjectProperties.Starter.StartTime = new TimeStamp(1800, 1, 1);
starter.ProjectProperties.Starter.EndTime = new TimeStamp(2010, 1, 1);
starter.DataFolder = "Test";
starter.ProjectProperties.Starter.SetSymbols("USD/JPY");
starter.CreateChartCallback = new CreateChartCallback(HistoricalCreateChart);
starter.ShowChartCallback = new ShowChartCallback(HistoricalShowChart);
// Run the loader.
ExampleCustomBarsLoader loader = new ExampleCustomBarsLoader();
starter.Run(loader);
// Get the stategy
strategy = loader.TopModel as ExampleReversalStrategy;
LoadTransactions();
LoadTrades();
LoadBarData();
} catch (Exception ex) {
log.Error("Setup error.", ex);
throw;
}
}
public override void RunStrategy()
{
CleanupFiles(null, null);
StartGUIThread();
try {
Starter starter = new HistoricalStarter();
// Set run properties as in the GUI.
starter.ProjectProperties.Starter.StartTime = new TimeStamp(1800, 1, 1);
starter.ProjectProperties.Starter.EndTime = new TimeStamp(1990, 1, 1);
starter.DataFolder = "Test";
starter.ProjectProperties.Starter.SetSymbols("Daily4Sim");
starter.ProjectProperties.Starter.IntervalDefault = Intervals.Day1;
starter.CreateChartCallback = new CreateChartCallback(HistoricalCreateChart);
starter.ShowChartCallback = new ShowChartCallback(HistoricalShowChart);
// Run the loader.
ExampleLimitOrderLoader loader = new ExampleLimitOrderLoader();
starter.Run(loader);
// Get the stategy
strategy = loader.TopModel as ExampleOrderStrategy;
LoadTransactions();
LoadTrades();
LoadBarData();
} catch (Exception ex) {
log.Error("Setup error.", ex);
throw;
}
}
public override void RunStrategy()
{
CleanupFiles();
StartGUIThread();
try {
Starter starter = new HistoricalStarter();
// Set run properties as in the GUI.
starter.ProjectProperties.Starter.StartTime = new TimeStamp(1800, 1, 1);
starter.ProjectProperties.Starter.EndTime = new TimeStamp(2010, 1, 1);
starter.DataFolder = "Test\\DataCache";
starter.ProjectProperties.Starter.SetSymbols("USD/JPY");
starter.ProjectProperties.Starter.IntervalDefault = Intervals.Minute1;
starter.CreateChartCallback = new CreateChartCallback(HistoricalCreateChart);
starter.ShowChartCallback = new ShowChartCallback(HistoricalShowChart);
// Run the loader.
ExampleBreakoutStopsLoader loader = new ExampleBreakoutStopsLoader();
starter.Run(loader);
// Get the stategy
strategy = loader.TopModel as ExampleBreakoutStops;
LoadTransactions();
LoadTrades();
LoadBarData();
} catch (Exception ex) {
log.Error("Setup error.", ex);
throw;
}
}
public override void RunStrategy()
{
Assert.Ignore();
CleanupFiles();
StartGUIThread();
Starter starter = new HistoricalStarter();
// Set run properties as in the GUI.
starter.ProjectProperties.Starter.StartTime = new TimeStamp(2009, 8, 3);
starter.ProjectProperties.Starter.EndTime = new TimeStamp(2009, 8, 4);
starter.DataFolder = "Test\\DataCache";
starter.ProjectProperties.Starter.SetSymbols("TXF.Test");
starter.ProjectProperties.Starter.IntervalDefault = Intervals.Minute1;
starter.CreateChartCallback = new CreateChartCallback(HistoricalCreateChart);
starter.ShowChartCallback = new ShowChartCallback(HistoricalShowChart);
// Run the loader.
ExampleReversalLoader loader = new ExampleReversalLoader();
starter.Run(loader);
// Get the stategy
strategy = loader.TopModel as ExampleReversalStrategy;
IList <DiagramAttribute> aspects = DiagramHelper.GetAspectsByCalls();
for (int i = 0; i < aspects.Count && i < 100; i++)
{
var aspect = aspects[i];
log.Notice(aspect.TypeName + "." + aspect.MethodSignature + ": " + aspect.CallCount);
}
}
public void Ticket123()
{
Starter starter = new HistoricalStarter();
starter.DataFolder = "Test";
starter.ProjectProperties.Starter.SetSymbols("spyTestBars");
Interval intervalDefault = Intervals.Minute1;
starter.ProjectProperties.Starter.IntervalDefault = intervalDefault;
// No charting setup for these tests. Running without charts.
starter.CreateChartCallback = new CreateChartCallback(HistoricalCreateChart);
starter.ShowChartCallback = new ShowChartCallback(HistoricalShowChart);
ModelLoaderInterface loader = new MQ_BadFakeTickLoader();
starter.Run(loader);
Portfolio portfolio = loader.TopModel as Portfolio;
MQ_BadFakeTick_0 mq0 = (MQ_BadFakeTick_0)portfolio.Strategies[0];
MQ_BadFakeTick_1 mq1 = (MQ_BadFakeTick_1)portfolio.Strategies[1];
MQ_BadFakeTick_2 mq2 = (MQ_BadFakeTick_2)portfolio.Strategies[2];
double mq0Net = mq0.Performance.Equity.CurrentEquity - mq0.Performance.Equity.StartingEquity;
double mq1Net = mq1.Performance.Equity.CurrentEquity - mq1.Performance.Equity.StartingEquity;
double mq2Net = mq2.Performance.Equity.CurrentEquity - mq2.Performance.Equity.StartingEquity;
double total = mq0Net + mq1Net + mq2Net;
Assert.AreEqual(26.00, Math.Round(mq0.Performance.ComboTrades.CalcProfitLoss(0), 2));
Assert.AreEqual(-27.5, Math.Round(mq1.Performance.ComboTrades.CalcProfitLoss(0), 2));
Assert.AreEqual(-14.5, Math.Round(mq2.Performance.ComboTrades.CalcProfitLoss(0), 2));
Assert.AreEqual(-9.00, Math.Round(portfolio.Performance.ComboTrades.CalcProfitLoss(0), 2));
Assert.AreEqual(-16.00, Math.Round(portfolio.Performance.Equity.CurrentEquity - portfolio.Performance.Equity.StartingEquity, 2));
}
public void TestOneGeneticPass()
{
var starter = new HistoricalStarter();
starter.ProjectProperties.Starter.StartTime = (TimeStamp) new DateTime(2005,1,1);
starter.ProjectProperties.Starter.EndTime = (TimeStamp) new DateTime(2006,2,1);
starter.ProjectProperties.Starter.IntervalDefault = Intervals.Hour1;
starter.DataFolder = "Test\\DataCache";
starter.ProjectProperties.Starter.SetSymbols("USD_JPY");
starter.Run(new GeneticLoader());
// Assert.IsTrue(FileCompare(storageFolder+@"\Statistics\optimizeResults.csv",@"..\..\Platform\TickZoomTesting\Startup\geneticResults.csv"));
}
public void TickProcessing()
{
strategy = new RandomCommon();
strategy.IntervalDefault = Intervals.Day1;
Starter starter = new HistoricalStarter();
starter.EndCount = 2048;
starter.ProjectProperties.Starter.SetSymbols("USD_JPY_YEARS");
starter.DataFolder = "Test\\DataCache";
starter.Run(strategy);
}
public void WeekProcessingSetup()
{
logic = new StrategySupportMock();
weeklogic = new StrategySupportMock();
Starter starter = new HistoricalStarter();
starter.ProjectProperties.Starter.SetSymbols("USD_JPY");
starter.ProjectProperties.Starter.SymbolInfo[0].SessionStart = new Elapsed(6, 20, 0);
starter.ProjectProperties.Starter.SymbolInfo[0].SessionEnd = new Elapsed(15, 0, 0);
starter.DataFolder = "Test\\DataCache";
starter.Run(weeklogic);
}
public void TickProcessing()
{
strategy = new RandomCommon();
Starter starter = new HistoricalStarter();
starter.ProjectProperties.Starter.StartTime = new TimeStamp(2004, 1, 1, 0, 0, 0);
starter.ProjectProperties.Starter.EndTime = new TimeStamp(2007, 1, 1, 0, 0, 0);
starter.EndCount = 2049;
starter.ProjectProperties.Starter.SetSymbols("USD_JPY_YEARS");
starter.DataFolder = "Test\\DataCache";
starter.Run(strategy);
}
public void InitializeTick()
{
logic = new StrategySupportMock();
Starter starter = new HistoricalStarter();
starter.EndCount = 1;
starter.ProjectProperties.Starter.SetSymbols(symbol);
Elapsed start = new Elapsed(6, 0, 0);
Elapsed end = new Elapsed(15, 0, 0);
starter.DataFolder = "Test\\DataCache";
starter.Run(logic);
}
public void TestHistorical()
{
Starter starter = new HistoricalStarter();
starter.ProjectProperties.Starter.StartTime = (TimeStamp) new DateTime(2005,1,1);
starter.ProjectProperties.Starter.EndTime = (TimeStamp) new DateTime(2006,2,1);
starter.DataFolder = "Test\\DataCache";
starter.ProjectProperties.Starter.SetSymbols("USD_JPY");
Interval intervalDefault = Intervals.Hour1;
starter.ProjectProperties.Starter.IntervalDefault = intervalDefault;
// No charting setup for these tests. Running without charts.
ModelLoaderInterface loader = new OptimizeLoader();
starter.Run(loader);
Portfolio strategy = loader.TopModel as Portfolio;
Assert.AreEqual(39,strategy.Performance.ComboTrades.Count);
}
public void DataSeriesSetup()
{
Strategy logic = new Strategy();
ExitStrategy exit = logic.ExitStrategy;
Starter starter = new HistoricalStarter();
starter.EndCount = 1;
starter.ProjectProperties.Starter.SetSymbols("USD_JPY_YEARS");
starter.ProjectProperties.Starter.IntervalDefault = Intervals.Hour1;
starter.DataFolder = "Test";
starter.Run(logic);
Assert.AreSame(logic.Hours, logic.Hours, "Exit Signal before entry");
Assert.AreSame(logic.Ticks, logic.Ticks, "Exit Signal before entry");
Assert.AreEqual(1, logic.Hours.Count, "Number of hour bars ");
Assert.AreEqual(1, logic.Ticks.Count, "Number of tick bars ");
}
public void RunStrategy()
{
Starter starter = new HistoricalStarter();
// Set run properties as in the GUI.
starter.ProjectProperties.Starter.StartTime = new TimeStamp(1800, 1, 1);
starter.ProjectProperties.Starter.EndTime = new TimeStamp(1990, 5, 28);
starter.DataFolder = "Test\\DataCache";
starter.ProjectProperties.Starter.SetSymbols("FullTick");
starter.ProjectProperties.Starter.IntervalDefault = Intervals.Day1;
// Run the loader.
ExampleMultiStrategyLoader loader = new ExampleMultiStrategyLoader();
starter.Run(loader);
// Get the stategy
strategy = loader.TopModel as ExampleMultiStrategy;
}
public PerformanceInner TradeTickProcessing(int stop, int target, int count)
{
// Creation.
RandomCommon random = new RandomCommon();
PerformanceInner performance = new PerformanceInner(random);
var symbol = Factory.Symbol.LookupSymbol("USD_JPY_YEARS");
ProfitLossDefault profitLossLogic = new ProfitLossDefault(symbol);
profitLossLogic.Slippage = 0.0140;
profitLossLogic.Commission = 0.010;
random.Performance = performance;
random.Performance.Equity.EnableMonthlyStats = true;
random.Performance.Equity.EnableWeeklyStats = true;
// Stops
random.ExitStrategy.StopLoss = stop;
Starter starter = new HistoricalStarter();
starter.StartCount = 0;
starter.EndCount = starter.StartCount + count + 1;
starter.ProjectProperties.Starter.SetSymbols("USD_JPY_YEARS");
starter.ProjectProperties.Starter.SymbolProperties[0].ProfitLoss = profitLossLogic;
starter.DataFolder = "Test";
starter.Run(random);
Assert.AreEqual(performance, random.Performance);
Assert.AreEqual(performance.tradingSignalTest, random.Performance.Position);
// Signal Times BEFORE applying stops or target
// 0: 1: time: 2004-07-22 08:02:08.757 bid: 109440 ask: 109440
// 1: 0: time: 2004-07-22 08:17:22.292 bid: 109500 ask: 109500
// 2: 1: time: 2004-07-22 08:53:46.250 bid: 109500 ask: 109500
// 3: 0: time: 2004-07-22 09:13:55.649 bid: 109440 ask: 109440
// 4: 1: time: 2004-07-22 09:52:09.466 bid: 109510 ask: 109510
// 5: 0: time: 2004-07-22 10:15:41.148 bid: 109480 ask: 109480
// 6: 1: time: 2004-07-22 10:17:15.545 bid: 109460 ask: 109460
// 7: 0: time: 2004-07-22 10:25:51.115 bid: 109430 ask: 109430
// 8: -1: time: 2004-07-22 10:39:44.278 bid: 109300 ask: 109300
// 9: 0: time: 2004-07-22 10:50:38.874 bid: 109440 ask: 109440
// 10: -1: time: 2004-07-22 11:56:52.119 bid: 109650 ask: 109650
// 11: 0: time: 2004-07-22 12:00:06.510 bid: 109640 ask: 109640
// 12: -1: time: 2004-07-23 08:01:04.984 bid: 110140 ask: 110140
// 13: 0: time: 2004-07-23 08:59:47.208 bid: 110060 ask: 110060
// 14: 1: time: 2004-07-23 09:15:11.005 bid: 110040 ask: 110040
// 15: -1: time: 2004-07-23 09:27:48.083 bid: 110030 ask: 110030
// 16: 1: time: 2004-07-23 09:50:06.263 bid: 110040 ask: 110040
// 17: -1: time: 2004-07-23 10:06:45.265 bid: 110030 ask: 110030
// 18: 1: time: 2004-07-23 10:12:18.754 bid: 110010 ask: 110010
// 19: 0: time: 2004-07-23 10:13:04.936 bid: 109980 ask: 109980
// 20: -1: time: 2004-07-23 10:22:03.758 bid: 110030 ask: 110030
// 21: 1: time: 2004-07-23 10:27:12.674 bid: 110020 ask: 110020
// 22: 0: time: 2004-07-23 10:40:50.220 bid: 109990 ask: 109990
// 23: 1: time: 2004-07-23 10:46:57.644 bid: 109990 ask: 109990
// 24: -1: time: 2004-07-23 11:34:50.614 bid: 110060 ask: 110060
// 25: 1: time: 2004-07-23 11:40:56.003 bid: 109970 ask: 109970
// 26: -1: time: 2004-07-23 11:57:13.950 bid: 110050 ask: 110050
// 27: 1: time: 2004-07-23 11:59:46.275 bid: 110080 ask: 110080
// 28: 0: time: 2004-07-23 12:00:06.336 bid: 110100 ask: 110100
// 29: -1: time: 2004-07-27 08:14:04.988 bid: 109800 ask: 109800
// 30: 1: time: 2004-07-27 08:17:55.551 bid: 109820 ask: 109820
// 31: -1: time: 2004-07-27 08:30:10.289 bid: 109860 ask: 109860
// 32: 1: time: 2004-07-27 08:33:25.932 bid: 109930 ask: 109930
// 33: -1: time: 2004-07-27 08:48:41.252 bid: 109940 ask: 109940
// 34: 1: time: 2004-07-27 08:58:40.535 bid: 109960 ask: 109960
// 35: 0: time: 2004-07-27 09:19:58.806 bid: 110240 ask: 110240
// 36: -1: time: 2004-07-27 09:48:02.851 bid: 110310 ask: 110310
// 37: 1: time: 2004-07-27 09:53:33.746 bid: 110330 ask: 110330
// 38: -1: time: 2004-07-27 10:10:49.768 bid: 110600 ask: 110600
// 39: 0: time: 2004-07-27 10:23:21.270 bid: 110660 ask: 110660
// 40: -1: time: 2004-07-27 10:31:54.263 bid: 110700 ask: 110700
// 41: 1: time: 2004-07-27 10:36:49.036 bid: 110810 ask: 110810
// 42: -1: time: 2004-07-27 10:44:22.552 bid: 110850 ask: 110850
// 43: 1: time: 2004-07-27 11:16:57.432 bid: 110910 ask: 110910
// 44: -1: time: 2004-07-27 11:26:19.378 bid: 110930 ask: 110930
// 45: 1: time: 2004-07-27 11:38:49.009 bid: 110970 ask: 110970
// 46: 0: time: 2004-07-27 11:48:44.955 bid: 111040 ask: 111040
// 47: -1: time: 2004-07-28 08:01:47.851 bid: 111410 ask: 111410
// 48: 1: time: 2004-07-28 08:28:33.049 bid: 111610 ask: 111610
// 49: -1: time: 2004-07-28 08:29:08.191 bid: 111600 ask: 111600
// 50: 1: time: 2004-07-28 08:45:35.197 bid: 111200 ask: 111200
// 51: -1: time: 2004-07-28 08:49:55.338 bid: 111270 ask: 111270
// 52: 1: time: 2004-07-28 09:23:09.808 bid: 111350 ask: 111350
// 53: -1: time: 2004-07-28 09:41:02.790 bid: 111330 ask: 111330
// 54: 1: time: 2004-07-28 09:52:19.965 bid: 111460 ask: 111460
// 55: -1: time: 2004-07-28 11:05:27.532 bid: 111650 ask: 111650
// 56: 1: time: 2004-07-28 11:13:15.674 bid: 111870 ask: 111870
// 57: 0: time: 2004-07-28 12:00:00.645 bid: 111740 ask: 111740
// 58: -1: time: 2004-07-29 08:05:02.825 bid: 112200 ask: 112200
// 59: 0: time: 2004-07-29 08:17:55.727 bid: 112230 ask: 112230
// 60: -1: time: 2004-07-29 08:56:59.034 bid: 112110 ask: 112110
// 61: 0: time: 2004-07-29 08:57:16.116 bid: 112130 ask: 112130
// 62: 1: time: 2004-07-29 09:05:49.077 bid: 112210 ask: 112210
// 63: -1: time: 2004-07-29 09:19:57.343 bid: 112270 ask: 112270
// 64: 1: time: 2004-07-29 09:43:32.387 bid: 112220 ask: 112220
// 65: 0: time: 2004-07-29 09:46:14.921 bid: 112220 ask: 112220
// performance.TickConsoleWrite();
//
// for( int i = 0; i< manager.Trades.Count; i++) {
// TickConsole.WriteLine(i + ": " + manager.Trades[i]);
// }
// for( int i=0; i< random.Ticks.Count; i++) {
// log.Info(random.Ticks[i]);
// }
return((PerformanceInner)random.Performance);
}