public EquityStats(double startingEquity, TransactionPairs daily, TransactionPairs weekly, TransactionPairs monthly, TransactionPairs yearly)
{
this.daily = new TradeStats(startingEquity, daily);
this.weekly = new TradeStats(startingEquity, weekly);
this.monthly = new TradeStats(startingEquity, monthly);
this.yearly = new TradeStats(startingEquity, yearly);
}
public TradeStats(double startingEquity, TransactionPairs trades) : base(startingEquity, trades)
{
this.trades = trades;
if (trades != null && trades.Count > 0)
{
calculate();
}
}
public void OnInitialize()
{
comboTradesBinary = new TransactionPairsBinary(model.Context.TradeData);
comboTradesBinary.Name = "ComboTrades";
profitLoss = model.Data.SymbolInfo.ProfitLoss;
comboTrades = new TransactionPairs(GetCurrentPrice, profitLoss, comboTradesBinary);
profitLoss.Symbol = model.Data.SymbolInfo;
}
public void CompareTradeCount()
{
TransactionPairs fourTicksRTs = fourTicksStrategy.Performance.ComboTrades;
TransactionPairs fullTicksRTs = fullTicksStrategy.Performance.ComboTrades;
Assert.AreEqual(fourTicksRTs.Count, fullTicksRTs.Count, "trade count");
Assert.AreEqual(471, fullTicksRTs.Count, "trade count");
}
public BaseStats(double startingEquity, TransactionPairs trades)
{
this.beginningBalance = startingEquity;
this.trades = trades;
if (trades != null && trades.Count > 0)
{
calculate();
}
}
public void ProfitLossException()
{
pair = TransactionPairBinary.Create();
using (BinaryStore tradeData = Factory.Engine.PageStore("TradeData")) {
TransactionPairsBinary tradesBinary = new TransactionPairsBinary(tradeData);
tradesBinary.Add(pair);
TransactionPairs trades = new TransactionPairs(null, new ProfitLossCallback(), tradesBinary);
double pnl = trades.CalcProfitLoss(0);
}
}
public void TradeTesting()
{
PerformanceInner manager = TradeTickProcessing(0, 0, 30000);
TransactionPairBinary expected = TransactionPairBinary.Create();
expected.Enter(1, 105.660, new TimeStamp(2005, 2, 8, 11, 57, 22, 429), emptyTime, 1, 0, 0);
expected.Exit(105.670, new TimeStamp(2005, 2, 8, 11, 57, 51, 479), emptyTime, 1, 0, 0);
TransactionPairs rts = manager.ComboTrades;
Assert.AreEqual(-.034, Math.Round(rts.CalcProfitLoss(0), 3), "First Trade PnL");
}
public void WeeklyTesting()
{
Performance manager = TradeTickProcessing(0, 0, 30000);
TransactionPairs weekly = manager.Equity.Weekly;
for (int i = 0; i < weekly.Count; i++)
{
log.Notice(i + ": " + weekly[i]);
}
Assert.AreEqual(6, weekly.Count, "Weekly Count");
Assert.AreEqual(0.0, Math.Round(weekly.OpenProfitLoss, 3), "Final trade completion");
}
public void ProfitLoss()
{
Constructor();
double ProfitLoss = (pair.ExitPrice - pair.EntryPrice) * 1;
using (BinaryStore tradeData = Factory.Engine.PageStore("TradeData")) {
TransactionPairsBinary tradesBinary = new TransactionPairsBinary(tradeData);
tradesBinary.Add(pair);
TransactionPairs trades = new TransactionPairs(null, new ProfitLossCallback(), tradesBinary);
Assert.AreEqual(113096, trades.CalcProfitLoss(0), "ProfitLoss");
}
}
public void MonthlyTesting()
{
Performance manager = TradeTickProcessing(0, 0, 80000);
TransactionPairs monthly = manager.Equity.Monthly;
for (int i = 0; i < monthly.Count; i++)
{
log.Notice(i + ": " + monthly[i]);
}
Assert.AreEqual(5, monthly.Count, "Monthly Count");
Assert.AreEqual(0.0, Math.Round(monthly.OpenProfitLoss, 3), "Final trade completion");
}
public void RoundTurn2()
{
TransactionPairs fourTicksRTs = fourTicksStrategy.Performance.ComboTrades;
TransactionPairs fullTicksRTs = fullTicksStrategy.Performance.ComboTrades;
int i = 2;
TransactionPair fourRT = fourTicksRTs[i];
TransactionPair fullRT = fullTicksRTs[i];
double fourEntryPrice = Math.Round(fourRT.EntryPrice, 2).Round();
double fullEntryPrice = Math.Round(fullRT.EntryPrice, 2).Round();
Assert.AreEqual(fourEntryPrice, fullEntryPrice, "Entry Price for Trade #" + i);
Assert.AreEqual(fourRT.ExitPrice, fullRT.ExitPrice, "Exit Price for Trade #" + i);
}
public void WriteTrades(TransactionPairs transactionPairs, TradeStats stats, bool combo)
{
if (transactionPairs != null && transactionPairs.Count > 0)
{
int year = 0;
double currentBalance = stats.BeginningBalance;
double yearBalance = stats.BeginningBalance;
double ytdProfitLoss = 0;
WriteTradeHeader();
List <string> tableData = new List <string>();
for (int i = 0; i < transactionPairs.Count; i++)
{
if (transactionPairs[i].EntryTime.Year != year)
{
tableData.Add(WriteTradeTitles(year, combo));
yearBalance += ytdProfitLoss;
ytdProfitLoss = 0;
year = transactionPairs[i].EntryTime.Year;
}
double profitLoss = transactionPairs.CalcProfitLoss(i);
string tableRow = "<tr>";
tableRow += "<td class=\"leftcol\">" + i + "</td>";
tableRow += "<td class=\"data\">" + transactionPairs[i].EntryTime + "</td>";
tableRow += "<td class=\"data\">" + transactionPairs[i].ExitTime + "</td>";
tableRow += "<td class=\"data\">" + transactionPairs[i].EntryPrice.ToString(",0.000") + "</td>";
tableRow += "<td class=\"data\">" + transactionPairs[i].EntryBar + "</td>";
tableRow += "<td class=\"data\">" + transactionPairs[i].ExitPrice.ToString(",0.000") + "</td>";
tableRow += "<td class=\"data\">" + transactionPairs[i].ExitBar + "</td>";
tableRow += "<td class=\"data\">" + ((transactionPairs[i].Direction > 0)?"Long":"Short") + " " + Math.Round(Math.Abs(transactionPairs[i].Direction), 2) + "</td>";
tableRow += "<td class=\"data\">" + Math.Round(transactionPairs.CalcMaxAdverse(i), 2) + "</td>";
tableRow += "<td class=\"data\">" + Math.Round(transactionPairs.CalcMaxFavorable(i), 2) + "</td>";
tableRow += "<td class=\"data\">" + Math.Round(profitLoss, 2) + "</td>";
double monthlyReturn = ((currentBalance + profitLoss) / currentBalance) - 1;
tableRow += "<td class=\"data\">" + Math.Round(monthlyReturn * 100, 2) + "%</td>";
ytdProfitLoss += profitLoss;
double ytdReturn = ((yearBalance + ytdProfitLoss) / yearBalance) - 1;
tableRow += "<td class=\"data\">" + Math.Round(ytdReturn * 100, 2) + "%</td>";
currentBalance += profitLoss;
tableRow += "<td class=\"data\">" + Math.Round(currentBalance, 2) + "</td>";
tableRow += "</tr>";
tableData.Add(tableRow);
}
tableData.Add(WriteTradeTitles(year, combo));
for (int i = 0; i < tableData.Count; i++)
{
fwriter.WriteLine(tableData[i]);
}
WriteTradeFooter();
}
}
public void DailyTesting()
{
Performance manager = TradeTickProcessing(0, 0, 6000);
TransactionPairs daily = manager.Equity.Daily;
if (debug)
{
for (int i = 0; i < daily.Count; i++)
{
log.Debug(i + ": " + daily[i]);
}
}
Assert.AreEqual(7, daily.Count, "Daily Count");
Assert.AreEqual(0.0, Math.Round(daily.OpenProfitLoss, 3), "Final trade completion");
}
public void OnPostInitialize()
{
closedEquity = startingEquity;
daily = new TransactionPairs(GetCurrentEquity, equityProfitLoss, dailyBinary);
dailyBinary.Name = "Daily";
weeklyBinary = new TransactionPairsBinary(model.Context.TradeData);
weekly = new TransactionPairs(GetCurrentEquity, equityProfitLoss, weeklyBinary);
weeklyBinary.Name = "Weekly";
monthlyBinary = new TransactionPairsBinary(model.Context.TradeData);
monthly = new TransactionPairs(GetCurrentEquity, equityProfitLoss, monthlyBinary);
monthlyBinary.Name = "Monthly";
yearlyBinary = new TransactionPairsBinary(model.Context.TradeData);
yearly = new TransactionPairs(GetCurrentEquity, equityProfitLoss, yearlyBinary);
yearlyBinary.Name = "Yearly";
if (graphEquity)
{
equity = new IndicatorCommon();
equity.Drawing.IsVisible = true;
equity.Drawing.PaneType = PaneType.Secondary;
equity.Drawing.GraphType = GraphType.FilledLine;
equity.Drawing.Color = Color.Green;
equity.Drawing.GroupName = "SimpleEquity";
equity.Name = "SimpleEquity";
model.AddIndicator(equity);
}
if (enableYearlyStats)
{
model.RequestUpdate(Intervals.Year1);
}
if (enableMonthlyStats)
{
model.RequestUpdate(Intervals.Month1);
}
if (enableWeeklyStats)
{
model.RequestUpdate(Intervals.Week1);
}
if (enableDailyStats)
{
model.RequestUpdate(Intervals.Day1);
}
isInitialized = true;
}
public void VerifyRoundTurn(int pairNum,
string expectedEntryTime,
double expectedEntryPrice,
string expectedExitTime,
double expectedExitPrice)
{
TransactionPairs transactionPairs = strategy.Performance.ComboTrades;
Assert.Greater(transactionPairs.Count, pairNum);
TransactionPair pair = transactionPairs[pairNum];
TimeStamp expEntryTime = new TimeStamp(expectedEntryTime);
Assert.AreEqual(expEntryTime, pair.EntryTime, "Pair " + pairNum + " Entry");
Assert.AreEqual(expectedEntryPrice, pair.EntryPrice, "Pair " + pairNum + " Entry");
Assert.AreEqual(new TimeStamp(expectedExitTime), pair.ExitTime, "Pair " + pairNum + " Exit");
Assert.AreEqual(expectedExitPrice, pair.ExitPrice, "Pair " + pairNum + " Exit");
double direction = pair.Direction;
}
public void WriteDays(TransactionPairs trades, TradeStats stats)
{
if (trades.Count > 0)
{
int year = 0;
double currentBalance = stats.BeginningBalance;
double yearBalance = stats.BeginningBalance;
double ytdProfitLoss = 0;
WriteYearHeader();
List <string> tableData = new List <string>();
for (int i = 0; i < trades.Count; i++)
{
if (trades[i].EntryTime.Year != year)
{
tableData.Add(WriteYearTitles(year));
yearBalance = yearBalance + ytdProfitLoss;
ytdProfitLoss = 0;
year = trades[i].EntryTime.Year;
}
double profitLoss = trades.CalcProfitLoss(i);
string tableRow = "<tr>";
tableRow += "<td class=\"leftcol\">" + trades[i].EntryTime.Month + "/" + trades[i].EntryTime.Day + "/" + year + "</td>";
tableRow += "<td class=\"data\">" + Math.Round(profitLoss, 2) + "</td>";
double monthlyReturn = ((currentBalance + profitLoss) / currentBalance) - 1;
tableRow += "<td class=\"data\">" + Math.Round(monthlyReturn * 100, 2) + "%</td>";
ytdProfitLoss += profitLoss;
double ytdReturn = ((yearBalance + ytdProfitLoss) / yearBalance) - 1;
tableRow += "<td class=\"data\">" + Math.Round(ytdReturn * 100, 2) + "%</td>";
currentBalance += profitLoss;
tableRow += "<td class=\"data\">" + Math.Round(currentBalance, 2) + "</td>";
tableRow += "</tr>";
tableData.Add(tableRow);
}
tableData.Add(WriteYearTitles(year));
for (int i = tableData.Count - 1; i >= 0; i--)
{
fwriter.WriteLine(tableData[i]);
}
WriteYearFooter();
}
}
public void CompareAllRoundTurns()
{
try {
var result = true;
TransactionPairs fourTicksRTs = fourTicksStrategy.Performance.ComboTrades;
TransactionPairs fullTicksRTs = fullTicksStrategy.Performance.ComboTrades;
for (int i = 0; i < fourTicksRTs.Count && i < fullTicksRTs.Count; i++)
{
TransactionPair fourRT = fourTicksRTs[i];
TransactionPair fullRT = fullTicksRTs[i];
double fourEntryPrice = Math.Round(fourRT.EntryPrice, 2).Round();
double fullEntryPrice = Math.Round(fullRT.EntryPrice, 2).Round();
if (fourEntryPrice != fullEntryPrice || fourRT.ExitPrice != fullRT.ExitPrice)
{
log.Error("Expected " + fullRT + " but was " + fourRT);
result = false;
}
}
Assert.IsTrue(result, "trade mismatches. See log file.");
} catch {
testFailed = true;
throw;
}
}
public BaseStats(TransactionPairs trades) : this(6000, trades)
{
}
public TradeStats(TransactionPairs trades) : this(6000, trades)
{
this.trades = trades;
}
public override void Constructor(TransactionPairs trades)
{
equityStats = new EquityStats(trades, trades, trades, trades);
baseStats = tradeStats = equityStats.Daily;
}
public override void Constructor(TransactionPairs trades)
{
tradeStats = new TradeStats(trades);
tradeStats.Name = "Test Strategy";
baseStats = tradeStats;
}
public void Setup()
{
starter = new HistoricalStarter();
random = new RandomCommon();
ProfitLossDefault profitLossLogic = new ProfitLossDefault();
profitLossLogic.Slippage = 0.0140;
profitLossLogic.Commission = 0.010;
// if( trace) log.Trace("RandomTest engine.Formula.Chain="+starter.Model.Chain.ToString());
exits = random.ExitStrategy;
exits.StopLoss = 0.050;
exits.TargetProfit = 0;
starter.EndCount = maxCount;
starter.DataFolder = "Test\\DataCache";
starter.ProjectProperties.Starter.SetSymbols("USD_JPY");
starter.ProjectProperties.Starter.SymbolProperties[0].ProfitLoss = profitLossLogic;
starter.Run(random);
Constructor(random.Performance.ComboTrades);
Assert.IsNotNull(baseStats, "MoneyManagerSupport constructor");
Assert.Greater(random.Performance.ComboTrades.Count, 0, "Need some trades to do this.");
// Uncomment this loop to log the trades and compare to below
// as to what they're supposed to be.
TransactionPairs trades = random.Performance.ComboTrades;
if (log.IsDebugEnabled)
{
for (int i = 0; i < trades.Count; i++)
{
log.Debug(i + ": " + trades[i]);
}
}
// 0: 1,105320,2005-05-02 07:03:15.780,105340,2005-05-02 07:17:13.252,-4
// 1: 1,105290,2005-05-02 07:54:03.050,105350,2005-05-02 08:14:14.963,36
// 2: 1,105360,2005-05-02 08:52:45.785,105310,2005-05-02 09:09:21.169,-74
// 3: 1,105290,2005-05-02 09:17:29.899,105240,2005-05-02 09:20:28.225,-74
// 4: -1,105150,2005-05-02 09:39:43.181,105100,2005-05-02 09:50:51.729,26
// 5: -1,105030,2005-05-02 10:56:39.451,105080,2005-05-02 11:03:35.995,-74
// 6: 1,105200,2005-05-03 08:15:15.668,105150,2005-05-03 08:27:06.849,-74
// 7: -1,105140,2005-05-03 08:28:17.901,105150,2005-05-03 08:50:41.761,-34
// 8: 1,105150,2005-05-03 08:50:41.761,105130,2005-05-03 09:06:53.403,-44
// 9: -1,105130,2005-05-03 09:06:53.403,105130,2005-05-03 09:13:21.062,-24
// 10: 1,105130,2005-05-03 09:13:21.062,105120,2005-05-03 09:13:23.069,-34
// 11: -1,105090,2005-05-03 09:22:26.334,105090,2005-05-03 09:27:19.877,-24
// 12: 1,105090,2005-05-03 09:27:19.877,105130,2005-05-03 09:41:10.694,16
// 13: 1,105170,2005-05-03 09:46:34.495,105120,2005-05-03 10:00:54.735,-74
// 14: -1,105030,2005-05-03 10:35:11.274,105080,2005-05-03 10:40:38.072,-74
// 15: 1,105080,2005-05-03 10:41:02.126,105030,2005-05-03 10:45:26.821,-74
// 16: -1,105020,2005-05-03 10:57:16.127,105020,2005-05-03 10:59:47.711,-24
// 17: 1,105020,2005-05-03 10:59:47.711,104560,2005-05-04 07:00:08.015,-484
// 18: -1,104580,2005-05-04 07:14:00.252,104550,2005-05-04 07:35:09.332,6
// 19: -1,104570,2005-05-04 07:36:17.436,104360,2005-05-04 08:37:57.786,186
// 20: 1,104350,2005-05-04 08:55:14.192,104380,2005-05-04 08:57:09.379,6
// 21: 1,104390,2005-05-04 08:58:04.483,104360,2005-05-04 09:14:58.643,-54
// 22: -1,104360,2005-05-04 09:14:58.643,104410,2005-05-04 10:04:56.162,-74
// 23: 1,104370,2005-05-04 10:05:56.490,104350,2005-05-04 10:09:10.388,-44
// 24: -1,104330,2005-05-04 10:16:46.307,104380,2005-05-04 10:19:28.029,-74
// 25: 1,104370,2005-05-04 10:39:09.740,104320,2005-05-04 11:31:52.298,-74
// 26: -1,104310,2005-05-05 07:15:37.270,104320,2005-05-05 07:17:28.372,-34
// 27: 1,104320,2005-05-05 07:17:28.372,104300,2005-05-05 07:30:10.182,-44
// 28: -1,104300,2005-05-05 07:30:10.182,104280,2005-05-05 07:33:38.448,-4
// 29: 1,104280,2005-05-05 07:33:38.448,104350,2005-05-05 07:49:07.816,46
// 30: -1,104350,2005-05-05 07:49:07.816,104380,2005-05-05 07:58:18.351,-54
// 31: 1,104380,2005-05-05 07:58:18.351,104400,2005-05-05 08:20:17.920,-4
// 32: -1,104440,2005-05-05 08:48:45.249,104480,2005-05-05 08:53:22.514,-64
// 33: 1,104480,2005-05-05 08:53:22.514,104430,2005-05-05 08:58:35.105,-74
// 34: -1,104390,2005-05-05 09:11:35.199,104310,2005-05-05 09:23:22.693,56
// 35: -1,104350,2005-05-05 09:31:55.188,104310,2005-05-05 09:36:50.454,16
// 36: 1,104310,2005-05-05 09:36:50.454,104260,2005-05-05 09:39:34.270,-74
// 37: -1,104330,2005-05-05 09:44:25.264,104380,2005-05-05 10:12:27.183,-74
// 38: 1,104380,2005-05-05 10:17:07.033,104400,2005-05-05 10:25:06.165,-4
// 39: -1,104400,2005-05-05 10:25:06.165,104380,2005-05-05 10:38:55.157,-4
// 40: 1,104380,2005-05-05 10:38:55.157,104400,2005-05-05 10:48:58.981,-4
// 41: -1,104650,2005-05-06 07:01:39.259,104570,2005-05-06 07:28:32.159,56
// 42: 1,104570,2005-05-06 07:28:32.159,104560,2005-05-06 07:29:17.237,-34
// 43: -1,104560,2005-05-06 07:29:17.237,104610,2005-05-06 07:37:44.939,-74
// 44: 1,104630,2005-05-06 07:45:41.450,104640,2005-05-06 07:50:24.819,-14
// 45: -1,104640,2005-05-06 07:50:24.819,104690,2005-05-06 08:20:10.236,-74
// 46: 1,104650,2005-05-06 08:23:44.508,104600,2005-05-06 08:25:20.657,-74
// 47: -1,104670,2005-05-06 08:41:00.760,104670,2005-05-06 08:52:22.779,-24
// 48: 1,104670,2005-05-06 08:52:22.779,104880,2005-05-06 10:05:32.889,186
// 49: -1,104880,2005-05-06 10:05:32.889,104930,2005-05-06 10:07:50.758,-74
// 50: 1,104880,2005-05-06 10:13:17.204,104830,2005-05-06 10:17:29.806,-74
// 51: -1,105340,2005-05-09 07:05:17.394,105330,2005-05-09 07:17:59.670,-14
// 52: -1,105440,2005-05-09 07:57:01.620,105430,2005-05-09 07:58:14.761,-14
// 53: 1,105500,2005-05-09 08:05:47.007,105550,2005-05-09 08:19:47.822,26
// 54: -1,105550,2005-05-09 08:19:47.822,105550,2005-05-09 08:44:05.031,-24
// 55: 1,105550,2005-05-09 08:44:05.031,105560,2005-05-09 08:46:13.252,-14
// 56: -1,105640,2005-05-09 09:40:07.041,105650,2005-05-09 09:42:20.374,-34
// 57: 1,105640,2005-05-09 09:51:28.282,105590,2005-05-09 10:23:27.903,-74
// 58: -1,105580,2005-05-09 10:31:25.122,105450,2005-05-09 10:50:01.571,106
// 59: 1,105500,2005-05-09 10:56:53.779,105450,2005-05-09 11:01:38.771,-74
// 60: -1,105740,2005-05-10 07:11:21.000,105790,2005-05-10 07:15:37.285,-74
// 61: 1,105800,2005-05-10 07:34:23.674,105780,2005-05-10 07:39:13.942,-44
// 62: -1,105750,2005-05-10 07:46:10.319,105680,2005-05-10 07:56:54.954,46
// 63: 1,105670,2005-05-10 08:00:31.695,105650,2005-05-10 08:21:01.701,-44
// 64: -1,105650,2005-05-10 08:21:01.701,105700,2005-05-10 08:24:49.989,-74
// 65: 1,105630,2005-05-10 09:05:32.461,105640,2005-05-10 09:08:21.796,-14
// 66: -1,105690,2005-05-10 09:36:12.151,105680,2005-05-10 09:36:14.159,-14
// 67: 1,105650,2005-05-10 09:40:32.881,105600,2005-05-10 10:20:21.059,-74
// 68: -1,105320,2005-05-11 07:08:37.727,105370,2005-05-11 07:18:52.385,-74
// 69: -1,105340,2005-05-11 07:42:10.367,105390,2005-05-11 08:00:00.540,-74
// 70: -1,105310,2005-05-11 08:55:55.425,105360,2005-05-11 09:04:32.125,-74
// 71: -1,105730,2005-05-11 10:30:08.455,105780,2005-05-11 10:39:14.956,-74
// 72: 1,105790,2005-05-11 10:54:20.286,105780,2005-05-11 10:55:14.459,-34
// 73: -1,106170,2005-05-12 07:42:12.249,106170,2005-05-12 07:43:54.354,-24
// 74: 1,106170,2005-05-12 07:43:54.354,106190,2005-05-12 07:54:52.477,-4
// 75: -1,106190,2005-05-12 07:54:52.477,106240,2005-05-12 08:05:43.074,-74
// 76: 1,106200,2005-05-12 08:58:00.634,106330,2005-05-12 09:25:46.966,106
// 77: -1,106350,2005-05-12 09:25:50.990,106400,2005-05-12 09:30:06.405,-74
// 78: 1,106560,2005-05-12 09:34:38.202,106510,2005-05-12 09:37:45.404,-74
// 79: -1,106540,2005-05-12 09:41:18.723,106590,2005-05-12 09:41:35.848,-74
// 80: 1,106810,2005-05-12 09:51:16.964,106760,2005-05-12 10:00:18.694,-74
// 81: 1,106760,2005-05-12 10:18:24.240,106710,2005-05-12 10:22:12.811,-74
// 82: -1,106710,2005-05-12 10:30:24.395,106660,2005-05-12 10:45:29.119,26
// 83: -1,107150,2005-05-13 07:04:27.764,107110,2005-05-13 07:29:20.582,16
// 84: -1,107140,2005-05-13 07:41:59.288,107130,2005-05-13 07:52:12.783,-14
// 85: -1,107160,2005-05-13 08:19:21.248,107170,2005-05-13 08:22:04.536,-34
// 86: -1,107190,2005-05-13 08:27:09.344,106990,2005-05-13 09:12:49.761,176
// 87: 1,107010,2005-05-13 09:13:18.828,107050,2005-05-13 09:42:06.278,16
// 88: 1,107060,2005-05-13 10:11:03.404,107010,2005-05-13 10:16:29.550,-74
// 89: -1,107000,2005-05-13 10:19:57.488,107000,2005-05-13 10:20:08.546,-24
// 90: 1,107030,2005-05-13 10:29:35.827,106980,2005-05-13 10:48:34.986,-74
// 91: -1,107600,2005-05-16 07:15:10.967,107610,2005-05-16 07:21:01.890,-34
// 92: 1,107610,2005-05-16 07:21:01.890,107650,2005-05-16 07:28:22.086,16
// 93: 1,107690,2005-05-16 07:44:35.337,107640,2005-05-16 08:24:16.973,-74
// 94: 1,107670,2005-05-16 08:43:05.620,107620,2005-05-16 08:48:17.126,-74
// 95: 1,107570,2005-05-16 08:58:13.199,107520,2005-05-16 09:04:11.077,-74
// 96: 1,107500,2005-05-16 09:40:47.135,107550,2005-05-16 09:47:59.110,26
// 97: -1,107550,2005-05-16 09:47:59.110,107580,2005-05-16 09:53:58.018,-54
// 98: -1,107360,2005-05-16 10:27:58.643,107260,2005-05-16 10:53:31.461,76
// 99: -1,107090,2005-05-17 07:12:45.688,107140,2005-05-17 07:40:22.556,-74
// 100: 1,107160,2005-05-17 07:43:11.816,107320,2005-05-17 08:01:22.581,136
// 101: 1,107290,2005-05-17 08:14:02.953,107290,2005-05-17 08:16:20.162,-24
// 102: 1,107220,2005-05-17 08:28:27.371,107280,2005-05-17 08:40:03.957,36
// 103: -1,107280,2005-05-17 08:40:03.957,107330,2005-05-17 08:40:53.166,-74
// 104: 1,107310,2005-05-17 08:58:08.957,107260,2005-05-17 09:08:43.168,-74
// 105: -1,107220,2005-05-17 09:09:25.268,107270,2005-05-17 09:17:34.236,-74
// 106: 1,107330,2005-05-17 09:46:01.885,107280,2005-05-17 09:54:44.600,-74
// 107: -1,107310,2005-05-17 10:05:58.137,107250,2005-05-17 10:30:07.419,36
// 108: 1,107420,2005-05-18 07:07:26.938,107420,2005-05-18 07:16:12.837,-24
// 109: -1,107420,2005-05-18 07:16:12.837,107470,2005-05-18 07:27:53.753,-74
}
public void Trades()
{
TransactionPairs trades = baseStats.Trades;
Assert.AreEqual(trades, baseStats.Trades, "Trades (list)");
}
public virtual void Constructor(TransactionPairs trades)
{
baseStats = new BaseStats(trades);
}
public StrategyStats(TransactionPairs combo)
{
this.comboTrades = new TradeStats(combo);
}
public EquityStats(TransactionPairs daily, TransactionPairs weekly, TransactionPairs monthly, TransactionPairs yearly)
: this(6000, daily, weekly, monthly, yearly)
{
}
public override void Constructor(TransactionPairs trades)
{
strategyStats = new StrategyStats(trades);
equityStats = new EquityStats(trades, trades, trades, trades);
baseStats = tradeStats = strategyStats.ComboTrades;
}
public void WriteChart(string folder, string strategyName, string chartName, TradeStats stats, TransactionPairs daily)
{
if (daily.Count == 0)
{
return;
}
GraphPane myPane = new GraphPane(new RectangleF(0, 0, 640, 480),
chartName, "Date", "Price");
PointPairList ppl = new PointPairList();
double y = stats.BeginningBalance;
ppl.Add(daily[0].EntryTime.ToOADate(), y);
for (int i = 0; i < daily.Count; i++)
{
y += daily.CalcProfitLoss(i);
ppl.Add(daily[i].ExitTime.ToOADate(), y);
}
if (trace)
{
log.Trace("Chart start = " + ppl[0].Y + ", end = " + ppl[ppl.Count - 1].Y);
}
LineItem myCurve = myPane.AddCurve("Profit/Loss Equity Curve", ppl, Color.Blue, SymbolType.None);
myCurve.Line.Fill = new Fill(Color.Blue);
// pretty it up a little
myPane.Chart.Fill = new Fill(Color.White, Color.LightGoldenrodYellow, 45.0f);
myPane.Fill = new Fill(Color.White);
myPane.Border.IsVisible = false;
myPane.Title.FontSpec.Size = 20.0f;
myPane.XAxis.Type = AxisType.DateAsOrdinal;
myPane.XAxis.Title.FontSpec.Size = 14.0f;
myPane.XAxis.Scale.FontSpec.Size = 14.0f;
myPane.XAxis.Title.IsOmitMag = true;
myPane.YAxis.Title.FontSpec.Size = 14.0f;
myPane.YAxis.Scale.FontSpec.Size = 14.0f;
// myPane.YAxis.Title.IsOmitMag = true;
myPane.Legend.IsVisible = false;
myPane.AxisChange();
string pathName = folder + strategyName + @"\Images\" + chartName + ".gif";
Directory.CreateDirectory(Path.GetDirectoryName(pathName));
myPane.GetImage().Save(pathName, ImageFormat.Gif);
}
