public void PositionAccountTest()
{
ForexSecurity ts = new ForexSecurity(s);
PortfolioManager portfolio = new TradingPortfolio();
IAccount account = new SimAccount("TEST");
portfolio.SetAccount(account);
portfolio.Securities.AddSecurity(ts);
TradeImpl t = new TradeImpl("TST", 100, 100);
t.Account = account;
t.Security = ts;
TradeImpl t2 = new TradeImpl("TST", 200, 200);
Assert.True(t.IsValid);
Assert.True(t2.IsValid);
t2.AccountName = "HIM";
PositionImpl p = new PositionImpl(t);
p.Adjust(t);
bool failed = false;
try
{
p.Adjust(t2);
}
catch (Exception) { failed = true; }
Assert.True(failed);
}
public void UsingTrades()
{
// long
string s = "IBM";
ForexSecurity ts = new ForexSecurity(s);
ts.LotSize = 1;
ts.PipValue = 1;
ts.PipSize = 1;
PortfolioManager portfolio = new TradingPortfolio();
IAccount account = new SimAccount("TEST");
portfolio.SetAccount(account);
portfolio.Securities.AddSecurity(ts);
TradeImpl t1 = new TradeImpl(s, 80, 100, dt);
t1.Account = account;
t1.Security = ts;
PositionImpl p = new PositionImpl(t1);
Assert.True(p.IsLong);
Assert.True(p.Size == 100);
TradeImpl t2 = new TradeImpl(s, 84, -100, dt);
t2.Account = account;
t2.Security = ts;
decimal pl = p.Adjust(t2);
Assert.True(p.IsFlat);
Assert.Equal((84 - 80) * 100, pl);
// short
TradeImpl t3 = new TradeImpl(s, 84, -100, dt);
t3.Account = account;
t3.Security = ts;
p = new PositionImpl(t3);
Assert.True(!p.IsLong);
Assert.True(p.Size == -100);
TradeImpl t4 = new TradeImpl(s, 80, 100, dt);
t4.Account = account;
t4.Security = ts;
pl = p.Adjust(new TradeImpl(t4));
Assert.True(pl == (84 - 80) * 100);
Assert.True(p.IsFlat);
}
private static PortfolioManager Get(string symbol)
{
//Initialize
TradingPortfolio np = new TradingPortfolio();
//ADD INITIAL SECURITIES
ForexSecurity security = new ForexSecurity(symbol);
security.LotSize = 100000; //Lots
security.PipSize = 0.0001M; //PipSize in 4 decimal places
security.TickSize = 0.00001M; //Size of one tick
security.PipValue = 1M; //PipValue, if unable to calculate to base currency
security.Digits = 5;
var account = new SimAccount("SIMULATED", "Sim account for backtesting", 10000, 100, "SIM");
np.SetAccount(account);
np.Securities.AddSecurity(security);
//ADD AGENT AND INJECT TEMPLATES
np.InjectAgent <ExampleTradingAgent>();
//Set streams
TradingAgent agent = (TradingAgent)np.Agents[0];
agent.AgentId = 115230;
agent.TimeFrame = TimeSpan.FromSeconds(TimeFrameInSeconds);
OHLCBarStream ls = new OHLCBarStream(np.Securities[symbol], np.Agents[0].TimeFrame);
agent.SetDefaultStream(ls);
ls.Initialize();
agent.Initialize();
agent.Start();
SimpleBacktester.OnMessage += SimpleBacktester_OnMessage;
SimpleBacktester.OnProgress += SimpleBacktester_OnProgress;
return(np);
}
public void FlipSideInOneTrade()
{
// this is illegal on the exchanges, but supported by certain
// retail brokers so we're going to allow Quantler to support it
// BE CAREFUL WITH THIS FEATURE. make sure you won't be fined for doing this, before you do it.
string s = "IBM";
ForexSecurity ts = new ForexSecurity(s);
ts.LotSize = 1;
ts.PipValue = 1;
ts.PipSize = 1;
PortfolioManager portfolio = new TradingPortfolio();
IAccount account = new SimAccount("TEST");
portfolio.SetAccount(account);
portfolio.Securities.AddSecurity(ts);
// long position
var t = new TradeImpl(s, 100m, 200);
t.Account = account;
t.Security = ts;
decimal cpl = portfolio.Positions.Adjust(t);
Assert.Equal(cpl, 0);
// sell more than we've got to change sides
TradeImpl flip = new TradeImpl(s, 99, -400);
flip.Account = account;
flip.Security = ts;
cpl = portfolio.Positions.Adjust(flip);
// make sure we captured close of trade
Assert.Equal(-200, cpl);
// make sure we captured new side and price
Assert.Equal(-200, portfolio.Positions[s].Size);
Assert.Equal(99, portfolio.Positions[s].AvgPrice);
}
public void AdjustedDateTime()
{
// long
string s = "IBM";
ForexSecurity ts = new ForexSecurity(s);
ts.LotSize = 1;
ts.PipValue = 1;
ts.PipSize = 1;
PortfolioManager portfolio = new TradingPortfolio();
IAccount account = new SimAccount("TEST");
portfolio.SetAccount(account);
portfolio.Securities.AddSecurity(ts);
TradeImpl t1 = new TradeImpl(s, 80, 100, dt);
t1.Account = account;
t1.Security = ts;
PositionImpl p = new PositionImpl(t1);
p.LastModified.Should().BeAfter(DateTime.MinValue);
}
public void KeyRatios()
{
EquitySecurity ts = new EquitySecurity(sym);
ts.LotSize = 1;
ts.PipValue = 1;
ts.PipSize = 1;
PortfolioManager portfolio = new TradingPortfolio();
IAccount account = new SimAccount("TEST");
portfolio.SetAccount(account);
account.Securities.AddSecurity(ts);
rt = new Results(.01m, portfolio);
// get some trades
List <Trade> fills = new List <Trade>(new Trade[] {
// go long
new TradeImpl(sym, p, s)
{
Security = ts, Account = account, Commission = 1
}, // 100 @ $100
// increase bet
new TradeImpl(sym, p + inc, s * 2)
{
Security = ts, Account = account, Commission = 2
}, // 300 @ $100.066666
// take some profits
new TradeImpl(sym, p + inc * 2, s * -1)
{
Security = ts, Account = account, Commission = 1
}, // 200 @ 100.0666 (profit = 100 * (100.20 - 100.0666) = 13.34) / maxMIU(= 300*100.06666) = .04% ret
// go flat (round turn)
new TradeImpl(sym, p + inc * 2, s * -2)
{
Security = ts, Account = account, Commission = 2
}, // 0 @ 0
// go short
new TradeImpl(sym, p, s * -2)
{
Security = ts, Account = account, Commission = 2
}, // -200 @ 100
// decrease bet
new TradeImpl(sym, p, s)
{
Security = ts, Account = account, Commission = 1
}, // -100 @100
// exit (round turn)
new TradeImpl(sym, p + inc, s)
{
Security = ts, Account = account, Commission = 1
}, // 0 @ 0 (gross profit = -0.10*100 = -$10)
// do another entry
new TradeImpl(sym, p, s)
{
Security = ts, Account = account, Commission = 1
} // 100 @ 100
});
//fill all trades
foreach (var t in fills)
{
portfolio.Positions.Adjust(t);
}
// check ratios
#if DEBUG
Console.WriteLine(rt.ToString());
#endif
Assert.Equal(0.0238M, Math.Round(rt.PortfolioPctReturns.Average() * 100, 4));
Assert.Equal(0.1028M, Math.Round(Calc.StdDev(rt.PortfolioPctReturns) * 100, 4));
Assert.Equal(-9.496M, rt.SharpeRatio);
Assert.Equal(-27.164M, rt.SortinoRatio);
Assert.Equal(2.060M, rt.ProfitFactor);
Assert.Equal(1100, rt.SharesTraded);
Assert.Equal(11, Math.Round(rt.Commissions));
Assert.Equal(19, Math.Round(rt.NetPL));
Assert.Equal(10000, rt.InitialCapital);
Assert.Equal(10019, Math.Round(rt.Balance));
Assert.Equal(0.0019M, Math.Round(rt.ROI, 4));
Assert.Equal(-0.0015M, Math.Round(rt.MaxDDPortfolio, 4));
}
public void RoundTurnStat()
{
ForexSecurity ts = new ForexSecurity(sym);
ts.LotSize = 1;
ts.PipSize = 1;
PortfolioManager portfolio = new TradingPortfolio();
IAccount account = new SimAccount("TEST");
portfolio.SetAccount(account);
portfolio.Securities.AddSecurity(ts);
rt = new Results(.01m, portfolio);
// get some trades
List <Trade> fills = new List <Trade>(new Trade[] {
// go long
new TradeImpl(sym, p, s)
{
Security = ts, Account = account
},
// increase bet
new TradeImpl(sym, p + inc, s * 2)
{
Security = ts, Account = account
},
// take some profits
new TradeImpl(sym, p + inc * 2, s * -1)
{
Security = ts, Account = account
},
// go flat (round turn)
new TradeImpl(sym, p + inc * 2, s * -2)
{
Security = ts, Account = account
},
// go short
new TradeImpl(sym, p, s * -2)
{
Security = ts, Account = account
},
// decrease bet
new TradeImpl(sym, p, s)
{
Security = ts, Account = account
},
// exit (round turn)
new TradeImpl(sym, p + inc, s)
{
Security = ts, Account = account
},
// do another entry
new TradeImpl(sym, p, s)
{
Security = ts, Account = account
}
});
//fill all trades
foreach (var t in fills)
{
portfolio.Positions.Adjust(t);
}
// check trade count
Assert.Equal(fills.Count, rt.Trades);
// check round turn count
Assert.Equal(2, rt.RoundTurns);
// verify trade winners
Assert.Equal(2, rt.Winners);
// verify round turn winners
Assert.Equal(1, rt.RoundWinners);
// verify round turn losers
Assert.Equal(1, rt.RoundLosers);
}
