public IEnumerable <SimulationState> Evaluate(
IStrategy strategy,
Investor investor,
DateTime?endDate = null,
ProgressBar progress = null)
{
var state = new SimulationState();
var remaining = _dataCache.Count - _dataCache.BacktestingIndex;
using var childProgress = ProgressBarProvider.Create(progress, remaining, $"Evaluating: {strategy.StrategyType.GetDescription()}");
foreach (var data in _dataCache.TakeFrom(Configuration.BacktestingDate, endDate))
{
Optimise(strategy);
var shouldBuy = _simulationCache.GetOrCreate((strategy, data.Date), () => ShouldBuy(strategy, data));
state = state.UpdateState(data, shouldBuy);
state.AddFunds(investor.DailyFunds);
state.ExecuteOrders();
if (state.ShouldBuy)
{
var funds = strategy.GetStake(data.Date, state.TotalFunds);
state.AddBuyOrder(investor.OrderBrokerage, investor.OrderDelayDays, funds);
}
childProgress?.Tick();
yield return(state);
}
}
public void Evaluate(DateTime fromDate, DateTime toDate)
{
var marketData = _marketDataCache.TakeFrom(fromDate, toDate)
.Select(x => x.DeltaPercent / 100)
.Split(x => x <= 0);
var profit = marketData.TrueSet.ToArray();
var loss = marketData.FalseSet.ToArray();
if (profit.Length == 0)
{
_fraction = 0;
return;
}
if (loss.Length == 0)
{
_fraction = 1;
return;
}
var avgProfit = -profit.Average();
var avgLoss = loss.Average();
var probability = (decimal)profit.Length / (profit.Length + loss.Length);
var tradeValue = avgProfit / avgLoss;
var fraction = probability - ((1 - probability) / tradeValue);
_fraction = fraction.Clamp(0, 1);
}
public void Evaluate(DateTime fromDate, DateTime toDate)
{
var marketData = _marketDataCache.TakeFrom(fromDate, toDate).ToArray();
var histogram = ((ProbabilityParameters)_strategy.Parameters).Histogram;
var currentPrice = Convert.ToInt32(marketData.Last().DeltaPercent);
var tradeValue = (decimal)histogram[currentPrice].Average();
var total = (decimal)histogram.Select(x => x.Value).Count();
var probability = histogram[currentPrice].Count / total;
var fraction = probability - (1 - probability) / tradeValue;
_fraction = fraction.Clamp(0, 1);
}
public void Evaluate(DateTime fromDate, DateTime toDate)
{
var marketData = _marketDataCache.TakeFrom(fromDate, toDate)
.Select(x => x.DeltaPercent / 100)
.Where(_ =>
{
var found = _simulationCache.TryGet((_strategy, toDate), out var shouldBuy);
if (!found)
{
return(false);
}
return(shouldBuy);
})
.Split(x => x <= 0);
var profit = marketData.TrueSet.ToArray();
var loss = marketData.FalseSet.ToArray();
if (profit.Length == 0)
{
_fraction = 0;
return;
}
if (loss.Length == 0)
{
_fraction = 1;
return;
}
var avgProfit = -profit.Average();
var avgLoss = loss.Average();
var probability = (decimal)profit.Length / (profit.Length + loss.Length);
var tradeValue = avgProfit / avgLoss;
var fraction = probability - (1 - probability) / tradeValue;
_fraction = fraction.Clamp(0, 1);
}