public static void AddStrategyHoldings(this Plotter plotter, SimulatorCore sim, Instrument asset)
{
var pcnt = asset.Position * asset.Close[0] / sim.NetAssetValue[0];
plotter.SelectChart("Exposure vs Time", "date");
plotter.SetX(sim.SimTime[0]);
plotter.Plot(asset.Symbol, pcnt);
}
/// <summary>
/// Add new row with strategy holdings to plotter. This method should
/// be called at least once per simulated trading day.
/// </summary>
/// <param name="plotter"></param>
/// <param name="sim"></param>
/// <param name="asset"></param>
public static void AddStrategyHoldings(this Plotter plotter, SimulatorCore sim, Instrument asset)
{
var pcnt = asset.Position * asset.Close[0] / sim.NetAssetValue[0];
plotter.SelectChart(Plotter.SheetNames.EXPOSURE_VS_TIME, "date");
plotter.SetX(sim.SimTime[0]);
plotter.Plot(asset.Symbol, pcnt);
}
public static void AddStrategyHoldings(this Plotter plotter, SimulatorCore sim, IEnumerable <Instrument> assets)
{
plotter.SelectChart(Plotter.SheetNames.EXPOSURE_VS_TIME, "date");
plotter.SetX(sim.SimTime[0]);
foreach (var i in assets)
{
var pcnt = i.Position * i.Close[0] / sim.NetAssetValue[0];
plotter.Plot(i.Symbol, pcnt);
}
//plotter.Plot("Total", sim.Positions.Sum(p => Math.Abs(p.Value * p.Key.Close[0] / sim.NetAssetValue[0])));
}
public static void AddPnLHoldTime(this Plotter plotter, SimulatorCore sim)
{
var tradeLog = LogAnalysis
.GroupPositions(sim.Log, true)
.OrderBy(i => i.Entry.BarOfExecution.Time);
plotter.SelectChart(Plotter.SheetNames.PNL_HOLD_TIME, "Days Held");
foreach (var trade in tradeLog)
{
var pnl = (trade.Quantity > 0 ? 100.0 : -100.0) * (trade.Exit.FillPrice / trade.Entry.FillPrice - 1.0);
var label = pnl > 0.0 ? "Profit" : "Loss";
plotter.SetX((trade.Exit.BarOfExecution.Time - trade.Entry.BarOfExecution.Time).TotalDays);
plotter.Plot(label, pnl);
}
}
public static void AddOrderLog(this Plotter plotter, SimulatorCore sim)
{
plotter.SelectChart("Order Log", "date");
foreach (LogEntry entry in sim.Log)
{
plotter.SetX(string.Format("{0:MM/dd/yyyy}", entry.BarOfExecution.Time));
plotter.Plot("action", entry.Action);
plotter.Plot("type", entry.InstrumentType);
plotter.Plot("instr", entry.Symbol);
plotter.Plot("qty", entry.OrderTicket.Quantity);
plotter.Plot("fill", entry.FillPrice);
plotter.Plot("gross", -entry.OrderTicket.Quantity * entry.FillPrice);
plotter.Plot("commission", -entry.Commission);
plotter.Plot("net", -entry.OrderTicket.Quantity * entry.FillPrice - entry.Commission);
plotter.Plot("comment", entry.OrderTicket.Comment ?? "");
}
}
public static void AddMfeMae(this Plotter plotter, SimulatorCore sim)
{
var tradeLog = LogAnalysis
.GroupPositions(sim.Log, true)
.OrderBy(i => i.Entry.BarOfExecution.Time);
plotter.SelectChart(Plotter.SheetNames.PNL_MFE_MAE, "Max Excursion");
foreach (var trade in tradeLog)
{
var pnl = 100.0 * (trade.Exit.FillPrice / trade.Entry.FillPrice - 1.0);
var label = pnl > 0.0 ? "Profit" : "Loss";
plotter.SetX(100.0 * (trade.HighestHigh / trade.Entry.FillPrice - 1.0));
plotter.Plot(label, pnl);
plotter.SetX(100.0 * (trade.LowestLow / trade.Entry.FillPrice - 1.0));
plotter.Plot(label, pnl);
}
}
public static void AddPositionLog(this Plotter plotter, SimulatorCore sim)
{
var tradeLog = LogAnalysis
.GroupPositions(sim.Log, true)
.OrderBy(i => i.Entry.BarOfExecution.Time);
plotter.SelectChart("Position Log", "entry date");
foreach (var trade in tradeLog)
{
plotter.SetX(string.Format("{0:MM/dd/yyyy}", trade.Entry.BarOfExecution.Time));
plotter.Plot("exit date", string.Format("{0:MM/dd/yyyy}", trade.Exit.BarOfExecution.Time));
plotter.Plot("days held", (trade.Exit.BarOfExecution.Time - trade.Entry.BarOfExecution.Time).TotalDays);
plotter.Plot("Symbol", trade.Symbol);
plotter.Plot("Quantity", trade.Quantity);
plotter.Plot("% Profit", Math.Round((trade.Quantity > 0 ? 100.0 : -100.0) * (trade.Exit.FillPrice / trade.Entry.FillPrice - 1.0), 2));
plotter.Plot("Exit", trade.Exit.OrderTicket.Comment ?? "");
//plotter.Plot("$ Profit", trade.Quantity * (trade.Exit.FillPrice - trade.Entry.FillPrice));
}
}
public static double CalcFitness(this SimulatorCore sim)
{
#if true
double cagr = Math.Exp(252.0 / Math.Max(1, sim.TradingDays)
* Math.Log(sim.NetAssetValue[0] / Globals.INITIAL_CAPITAL)) - 1.0;
double mdd = Math.Max(0.01, sim.NetAssetValueMaxDrawdown);
return(cagr / mdd);
#else
// calculate Keller ratio
double R = Math.Exp(
252.0 / sim.TradingDays * Math.Log(sim.NetAssetValue[0] / Globals.INITIAL_FUNDS));
double K50 = sim.NetAssetValueMaxDrawdown <0.5 && R> 0.0
? R * (1.0 - sim.NetAssetValueMaxDrawdown / (1.0 - sim.NetAssetValueMaxDrawdown))
: 0.0;
double K25 = sim.NetAssetValueMaxDrawdown <0.25 && R> 0.0
? R * (1.0 - 2.0 * sim.NetAssetValueMaxDrawdown / (1.0 - 2 * sim.NetAssetValueMaxDrawdown))
: 0.0;
return(K25);
#endif
}
