/// <summary> /// Calculates things like win/loss percent, gain, etc. for the strategy used on the ticker. /// </summary> /// <param name="strategyName">Name of the strategy the statistics are for</param> /// <param name="orderType">Type of orders placed with this strategy (long or short)</param> /// <param name="tickerAndExchange">Ticker the strategy used</param> /// <param name="currentBar">Current bar of the simulation</param> /// <param name="maxBarsAgo">Maximum number of bars in the past to consider for calculating</param> /// <returns>Class holding the statistics calculated</returns> public StrategyStatistics GetStrategyStatistics(string strategyName, double orderType, TickerExchangePair tickerAndExchange, int currentBar, int maxBarsAgo) { // Orders that started less than this bar will not be considered. int cutoffBar = currentBar - maxBarsAgo; if (cutoffBar < 0) { cutoffBar = 0; } // Get the list of orders to search. StrategyStatistics stats = new StrategyStatistics(strategyName, orderType); List <Order> orderList = null; if (strategyName.Length > 0 && tickerAndExchange == null) { int strategyKey = strategyName.GetHashCode(); if (StrategyDictionary.ContainsKey(strategyKey)) { orderList = StrategyDictionary[strategyKey].ToList(); } } else if (tickerAndExchange != null) { int tickerHash = tickerAndExchange.GetHashCode(); if (TickerDictionary.ContainsKey(tickerHash)) { orderList = TickerDictionary[tickerHash]; } } if (orderList != null) { for (int i = orderList.Count - 1; i >= 0; i--) { Order order = orderList[i]; if (order.IsFinished() && order.StrategyName == strategyName && order.BuyBar >= cutoffBar && order.Type == orderType && stats.NumberOfOrders < Simulator.Config.MaxLookBackOrders) { stats.AddOrder(order); } } } if (stats.NumberOfOrders > Simulator.Config.MinRequiredOrders) { stats.CalculateStatistics(); } else { stats = new StrategyStatistics(strategyName, orderType); } return(stats); }
/// <summary> /// Calculates things like win/loss percent, gain, etc. for the ticker. /// </summary> /// <param name="tickerAndExchange">Ticker to calculate for</param> /// <param name="currentBar">Current bar of the simulation</param> /// <param name="maxBarsAgo">Maximum number of bars in the past to consider for calculating</param> /// <returns>Class holding the statistics calculated</returns> public StrategyStatistics GetTickerStatistics(TickerExchangePair tickerAndExchange, int currentBar, int maxBarsAgo) { // Orders that started less than this bar will not be considered. int cutoffBar = currentBar - maxBarsAgo; if (cutoffBar < 0) { cutoffBar = 0; } // Order type doesn't matter here since we are just using this class to // output overall ticker info which could be from any order type. It will // get ignored on the web output display. StrategyStatistics stats = new StrategyStatistics(tickerAndExchange.ToString(), Order.OrderType.Long); int tickerHash = tickerAndExchange.GetHashCode(); if (TickerDictionary.ContainsKey(tickerHash)) { List <Order> tickerOrders = TickerDictionary[tickerHash]; for (int i = tickerOrders.Count - 1; i >= 0; i--) { Order order = tickerOrders[i]; if (order.BuyBar >= cutoffBar) { stats.AddOrder(order); } } } // Only count the statistics if we have a bit more data to deal with. // We want to avoid having a strategy say it's 100% correct when it // only has 1 winning trade. if (stats.NumberOfOrders > Simulator.Config.MinRequiredOrders) { stats.CalculateStatistics(); } else { // For the same reasons as earlier in this function, order type doesn't matter here. stats = new StrategyStatistics(tickerAndExchange.ToString(), Order.OrderType.Long); } return(stats); }