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 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");
}
}
private void calcProfitLoss()
{
profitLoss = 0;
for (int i = 0; i < trades.Count; i++)
{
profitLoss += trades.CalcProfitLoss(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 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);
}
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();
}
}
