/// <summary>
/// Start the process of analysing the strategy from source code
/// </summary>
/// <param name="startDate">start date of back-testing</param>
/// <param name="endDate">end date of back-testing</param>
/// <param name="monthsInTerm">length of forward contract in months</param>
/// <param name="fxCode">source code for a strategy</param>
/// <returns>Profit Index over time</returns>
public IEnumerable<DateIndex> Execute(DateTime startDate, DateTime endDate, int monthsInTerm, string fxCode)
{
// these objects are created for each execution
// it is to support multi-threading
var fxParser = new StrategyLanguageParser();
var modelTransformer = new ASTToModelTransform.AstTreeToModelTransformer();
var calculationEngine = new ProfitCalculationEngine(_currencyDataSource);
var strategyRunTime = new StrategyInterpreter(_currencyDataSource);
// parse the source code into abstract syntax tree
var strategyAstNode = fxParser.Parse(fxCode);
// transform the abstract syntax tree to the model
var strategyModel = modelTransformer.Transform(strategyAstNode);
// execute the model
strategyRunTime.Clear();
strategyRunTime.Execute(strategyModel, startDate, endDate);
// calculate profit based on the position records
calculationEngine.Evaluate(
strategyRunTime.PositionSetTable.Values.SelectMany(v => v.Positions).ToList(),
startDate,endDate,
new PeriodicTimeDefinition(monthsInTerm, PeriodicType.Month));
return calculationEngine.IndexOverTime.Select(
i => new DateIndex(){
Date = i.Time,
Index = i.Value
});
}
public void CalculationTest()
{
FXEntities.FXEntities fxEntities = new FXEntities.FXEntities();
CurrencyDataSource currencyDataSource = new CurrencyDataSource(fxEntities);
StrategyInterpreter target = new StrategyInterpreter(fxEntities, currencyDataSource);
TradingStrategy tradingStrategy = ConstructTradingStrategy();
DateTime startDate = new DateTime(2000, 1, 4);
DateTime endDate = new DateTime(2002, 1, 1);
target.Execute(tradingStrategy, startDate, endDate);
ProfitCalculationEngine calEngine = new ProfitCalculationEngine(
currencyDataSource
);
calEngine.Evaluate(target.PositionSetTable["ShortPositions"].Positions,
startDate,
endDate, new PeriodicTimeDefinition(3, PeriodicType.Month)
);
//calEngine.Analyze(target.PositionSetTable["LongPositions"].Positions
// .Union(target.PositionSetTable["ShortPositions"].Positions).ToList(),
// startDate,
// endDate, new PeriodicTimeDefinition(3, PeriodicType.Month)
// );
List<TimeSeriesData> returnOverTime = calEngine.ReturnOverTime;
string dest = @"C:\temp\ReturnOverTime.txt";
WriteToFile(returnOverTime, dest);
WriteToFile(calEngine.IndexOverTime, @"C:\temp\IndexOverTime.txt");
}
