public static void AddPnLHoldTime(this Plotter plotter, SimulatorCore sim)
{
var tradeLog = LogAnalysis
.GroupPositions(sim.Log, true)
.OrderBy(i => i.Entry.BarOfExecution.Time);
plotter.SelectChart(Plotter.SheetNames.PNL_HOLD_TIME, "Days Held");
foreach (var trade in tradeLog)
{
var pnl = (trade.Quantity > 0 ? 100.0 : -100.0) * (trade.Exit.FillPrice / trade.Entry.FillPrice - 1.0);
var label = pnl > 0.0 ? "Profit" : "Loss";
plotter.SetX((trade.Exit.BarOfExecution.Time - trade.Entry.BarOfExecution.Time).TotalDays);
plotter.Plot(label, pnl);
}
}
public static void AddMfeMae(this Plotter plotter, SimulatorCore sim)
{
var tradeLog = LogAnalysis
.GroupPositions(sim.Log, true)
.OrderBy(i => i.Entry.BarOfExecution.Time);
plotter.SelectChart(Plotter.SheetNames.PNL_MFE_MAE, "Max Excursion");
foreach (var trade in tradeLog)
{
var pnl = 100.0 * (trade.Exit.FillPrice / trade.Entry.FillPrice - 1.0);
var label = pnl > 0.0 ? "Profit" : "Loss";
plotter.SetX(100.0 * (trade.HighestHigh / trade.Entry.FillPrice - 1.0));
plotter.Plot(label, pnl);
plotter.SetX(100.0 * (trade.LowestLow / trade.Entry.FillPrice - 1.0));
plotter.Plot(label, pnl);
}
}
public static void AddPositionLog(this Plotter plotter, SimulatorCore sim)
{
var tradeLog = LogAnalysis
.GroupPositions(sim.Log, true)
.OrderBy(i => i.Entry.BarOfExecution.Time);
plotter.SelectChart("Position Log", "entry date");
foreach (var trade in tradeLog)
{
plotter.SetX(string.Format("{0:MM/dd/yyyy}", trade.Entry.BarOfExecution.Time));
plotter.Plot("exit date", string.Format("{0:MM/dd/yyyy}", trade.Exit.BarOfExecution.Time));
plotter.Plot("days held", (trade.Exit.BarOfExecution.Time - trade.Entry.BarOfExecution.Time).TotalDays);
plotter.Plot("Symbol", trade.Symbol);
plotter.Plot("Quantity", trade.Quantity);
plotter.Plot("% Profit", Math.Round((trade.Quantity > 0 ? 100.0 : -100.0) * (trade.Exit.FillPrice / trade.Entry.FillPrice - 1.0), 2));
plotter.Plot("Exit", trade.Exit.OrderTicket.Comment ?? "");
//plotter.Plot("$ Profit", trade.Quantity * (trade.Exit.FillPrice - trade.Entry.FillPrice));
}
}
public override void Run()
{
//========== initialization ==========
StartTime = DateTime.Parse("01/01/2008");
EndTime = DateTime.Now.Date - TimeSpan.FromDays(5);
foreach (var n in UNIVERSE)
{
AddDataSource(n);
}
AddDataSource(BENCHMARK);
Deposit(INITIAL_CAPITAL);
CommissionPerShare = 0.015;
//========== simulation loop ==========
foreach (var s in SimTimes)
{
//----- find instruments
_benchmark = _benchmark ?? FindInstrument(BENCHMARK);
var universe = Instruments
.Where(i => i != _benchmark)
.ToList();
//----- calculate indicators
// make sure to calculate indicators for the
// full universe on every single bar
var indicators = universe
.ToDictionary(
i => i,
i => new
{
rsi = i.Close.RSI(3),
roc = i.Close.Momentum(200),
});
var smaBand = _benchmark.Close.SMA(200).Multiply(0.98); // 2% below 200-day SMA
// filter universe to potential candidates
var filtered = universe
.Where(i => _benchmark.Close[0] > smaBand[0] &&
indicators[i].rsi[0] < MAX_RSI)
.ToList();
if (NextSimTime.DayOfWeek < SimTime[0].DayOfWeek) // open positions on Monday
{
// sort candidates by ROC to find entries
var entries = filtered
.OrderByDescending(i => indicators[i].roc[0])
.Take(MAX_ENTRIES)
.ToList();
foreach (var i in universe)
{
int targetShares = entries.Contains(i)
? (int)Math.Floor(NetAssetValue[0] / MAX_ENTRIES / i.Close[0])
: 0;
i.Trade(targetShares - i.Position);
}
}
//----- output
if (!IsOptimizing)
{
// plot to chart
_plotter.SelectChart(Name + ": " + OptimizerParamsAsString, "date");
_plotter.SetX(SimTime[0]);
_plotter.Plot("nav", NetAssetValue[0]);
_plotter.Plot(_benchmark.Symbol, _benchmark.Close[0]);
// placeholder, to make sure positions land on sheet 2
_plotter.SelectChart(Name + " positions", "entry date");
// additional indicators
_plotter.SelectChart(Name + " extra", "date");
_plotter.SetX(SimTime[0]);
_plotter.Plot("leverage", Instruments.Sum(i => i.Position * i.Close[0]) / NetAssetValue[0]);
}
}
//========== post processing ==========
//----- print position log, grouped as LIFO
if (!IsOptimizing)
{
var tradeLog = LogAnalysis
.GroupPositions(Log, true)
.OrderBy(i => i.Entry.BarOfExecution.Time);
_plotter.SelectChart(Name + " positions", "entry date");
foreach (var trade in tradeLog)
{
_plotter.SetX(trade.Entry.BarOfExecution.Time);
_plotter.Plot("exit date", trade.Exit.BarOfExecution.Time);
_plotter.Plot("Symbol", trade.Symbol);
_plotter.Plot("Quantity", trade.Quantity);
_plotter.Plot("% Profit", (trade.Quantity > 0 ? 1.0 : -1.0) * (trade.Exit.FillPrice / trade.Entry.FillPrice - 1.0));
_plotter.Plot("Exit", trade.Exit.OrderTicket.Comment ?? "");
//_plotter.Plot("$ Profit", trade.Quantity * (trade.Exit.FillPrice - trade.Entry.FillPrice));
}
}
//----- optimization objective
double cagr = Math.Exp(252.0 / Math.Max(1, TradingDays) * Math.Log(NetAssetValue[0] / INITIAL_CAPITAL)) - 1.0;
FitnessValue = cagr / Math.Max(1e-10, Math.Max(0.01, NetAssetValueMaxDrawdown));
if (!IsOptimizing)
{
Output.WriteLine("CAGR = {0:P2}, DD = {1:P2}, Fitness = {2:F4}", cagr, NetAssetValueMaxDrawdown, FitnessValue);
}
}
public override void Run()
{
//========== initialization ==========
StartTime = DateTime.Parse("01/01/2008");
EndTime = DateTime.Now.Date - TimeSpan.FromDays(5);
foreach (var n in UNIVERSE)
{
AddDataSource(n);
}
AddDataSource(BENCHMARK);
Deposit(INITIAL_CAPITAL);
CommissionPerShare = 0.015;
var entryParameters = Enumerable.Empty <Instrument>()
.ToDictionary(
i => i,
i => new
{
entryDate = default(DateTime),
entryPrice = default(double),
stopLoss = default(double),
profitTarget = default(double),
});
//========== simulation loop ==========
foreach (var s in SimTimes)
{
//----- find instruments
_benchmark = _benchmark ?? FindInstrument(BENCHMARK);
var universe = Instruments
.Where(i => i != _benchmark)
.ToList();
//----- calculate indicators
// make sure to calculate indicators for the
// full universe on every single bar
var indicators = universe
.ToDictionary(
i => i,
i => new
{
sma150 = i.Close.SMA(SMA_DAYS),
adx7 = i.ADX(7),
atr10 = i.TrueRange().Divide(i.Close).SMA(10),
rsi3 = i.Close.RSI(3),
});
// filter universe to potential candidates
var filtered = universe
.Where(i =>
(ENTRY_DIR > 0
? i.Close[0] > indicators[i].sma150[0] // long: above sma
: i.Close[0] > i.Close[1] && i.Close[1] > i.Close[2]) && // short: 2 up-days
indicators[i].adx7[0] > MIN_ADX &&
indicators[i].atr10[0] > MIN_ATR / 10000.0 &&
(ENTRY_DIR > 0
? indicators[i].rsi3[0] < MINMAX_RSI // long: maximum
: indicators[i].rsi3[0] > MINMAX_RSI)) // short: minimum
.ToList();
//----- manage existing positions
int numOpenPositions = Positions.Keys.Count();
foreach (var pos in Positions.Keys)
{
// time-based exit
if (entryParameters[pos].entryDate <= SimTime[MAX_HOLD_DAYS - 1])
{
pos.Trade(-pos.Position, OrderType.closeThisBar).Comment = "time exit";
numOpenPositions--;
}
else if (ENTRY_DIR > 0
? pos.Close[0] >= entryParameters[pos].profitTarget // long
: pos.Close[0] <= entryParameters[pos].profitTarget) // short
{
pos.Trade(-pos.Position,
OrderType.openNextBar)
.Comment = "profit target";
numOpenPositions--;
}
else
{
pos.Trade(-pos.Position,
OrderType.stopNextBar,
entryParameters[pos].stopLoss)
.Comment = "stop loss";
}
}
//----- open new positions
if (NextSimTime.DayOfWeek < SimTime[0].DayOfWeek) // open positions on Monday
{
// sort candidates by RSI to find entries
var entries = ENTRY_DIR > 0
? filtered // long
.Where(i => i.Position == 0)
.OrderBy(i => indicators[i].rsi3[0])
.Take(MAX_ENTRIES - numOpenPositions)
.ToList()
: filtered // short
.Where(i => i.Position == 0)
.OrderByDescending(i => indicators[i].rsi3[0])
.Take(MAX_ENTRIES - numOpenPositions)
.ToList();
foreach (var i in entries)
{
// save our entry parameters, so that we may access
// them later to manage exits
double entryPrice = ENTRY_DIR > 0
? i.Close[0] * (1.0 - MIN_ATR / 10000.0) // long
: i.Close[0]; // short
double stopLoss = ENTRY_DIR > 0
? entryPrice * (1.0 - STOP_LOSS / 100.0 * indicators[i].atr10[0]) // long
: entryPrice * (1.0 + STOP_LOSS / 100.0 * indicators[i].atr10[0]); // short
double profitTarget = ENTRY_DIR > 0
? entryPrice * (1.0 + PROFIT_TARGET / 10000.0) // long
: entryPrice * (1.0 - PROFIT_TARGET / 10000.0); // short
entryParameters[i] = new
{
entryDate = NextSimTime,
entryPrice,
stopLoss,
profitTarget,
};
// calculate target shares in two ways:
// * fixed-fractional risk (with entry - stop-loss = "risk"), and
// * fixed percentage of total equity
double riskPerShare = ENTRY_DIR > 0
? Math.Max(0.10, entryPrice - stopLoss) // long
: Math.Max(0.10, stopLoss - entryPrice); // short
int sharesRiskLimited = (int)Math.Floor(MAX_RISK / 100.0 / MAX_ENTRIES * NetAssetValue[0] / riskPerShare);
int sharesCapLimited = (int)Math.Floor(MAX_CAP / 100.0 / MAX_ENTRIES * NetAssetValue[0] / entryParameters[i].entryPrice);
int targetShares = (ENTRY_DIR > 0 ? 1 : -1) * Math.Min(sharesRiskLimited, sharesCapLimited);
// enter positions with limit order
i.Trade(targetShares,
OrderType.limitNextBar,
entryParameters[i].entryPrice);
}
}
//----- output
if (!IsOptimizing)
{
// plot to chart
_plotter.SelectChart(Name + ": " + OptimizerParamsAsString, "date");
_plotter.SetX(SimTime[0]);
_plotter.Plot("nav", NetAssetValue[0]);
_plotter.Plot(_benchmark.Symbol, _benchmark.Close[0]);
// placeholder, to make sure positions land on sheet 2
_plotter.SelectChart(Name + " positions", "entry date");
// additional indicators
_plotter.SelectChart(Name + " extra", "date");
_plotter.SetX(SimTime[0]);
_plotter.Plot("leverage", Instruments.Sum(i => i.Position * i.Close[0]) / NetAssetValue[0]);
}
}
//========== post processing ==========
//----- print position log, grouped as LIFO
if (!IsOptimizing)
{
var tradeLog = LogAnalysis
.GroupPositions(Log, true)
.OrderBy(i => i.Entry.BarOfExecution.Time);
_plotter.SelectChart(Name + " positions", "entry date");
foreach (var trade in tradeLog)
{
_plotter.SetX(trade.Entry.BarOfExecution.Time);
_plotter.Plot("exit date", trade.Exit.BarOfExecution.Time);
_plotter.Plot("Symbol", trade.Symbol);
_plotter.Plot("Quantity", trade.Quantity);
_plotter.Plot("% Profit", (ENTRY_DIR > 0 ? 1.0 : -1.0) * (trade.Exit.FillPrice / trade.Entry.FillPrice - 1.0));
_plotter.Plot("Exit", trade.Exit.OrderTicket.Comment ?? "");
//_plotter.Plot("$ Profit", trade.Quantity * (trade.Exit.FillPrice - trade.Entry.FillPrice));
}
}
//----- optimization objective
double cagr = Math.Exp(252.0 / Math.Max(1, TradingDays) * Math.Log(NetAssetValue[0] / INITIAL_CAPITAL)) - 1.0;
FitnessValue = cagr / Math.Max(1e-10, Math.Max(0.01, NetAssetValueMaxDrawdown));
if (!IsOptimizing)
{
Output.WriteLine("CAGR = {0:P2}, DD = {1:P2}, Fitness = {2:F4}", cagr, NetAssetValueMaxDrawdown, FitnessValue);
}
}
public override void Run()
{
//---------- initialization
// set simulation time frame
WarmupStartTime = DateTime.Parse("01/01/2005", CultureInfo.InvariantCulture);
StartTime = DateTime.Parse("01/01/2008", CultureInfo.InvariantCulture);
EndTime = DateTime.Now.Date - TimeSpan.FromDays(5);
// set account value
Deposit(INITIAL_FUNDS);
CommissionPerShare = 0.015;
// add instruments
AddDataSource(BENCHMARK);
foreach (string nickname in UNIVERSE)
{
AddDataSource(nickname);
}
//---------- simulation
// loop through all bars
foreach (DateTime simTime in SimTimes)
{
// determine active instruments
var activeInstruments = Instruments
.Where(i => UNIVERSE.Contains(i.Nickname) &&
i.Time[0] == simTime)
.ToList();
// calculate indicators
// store to list, to make sure indicators are evaluated
// exactly once per bar
var instrumentEvaluation = activeInstruments
.Select(i => new
{
instrument = i,
regression = i.Close.LogRegression(MOM_PERIOD),
maxMove = i.Close.LogReturn().AbsValue().Highest(MOM_PERIOD),
avg100 = i.Close.EMA(INSTR_FLT),
atr20 = i.AverageTrueRange(ATR_PERIOD),
})
.ToList();
// 1) rank instruments by volatility-adjusted momentum
// 2) determine position size with risk equal to 10-basis points
// of NAV per instrument, based on 20-day ATR
// 3) disqualify instruments, when
// - trading below 100-day moving average
// - negative momentum
// - maximum move > 15%
var instrumentRanking = instrumentEvaluation
.OrderByDescending(e => e.regression.Slope[0] * e.regression.R2[0])
.Select(e => new
{
instrument = e.instrument,
positionSize = (e.maxMove[0] < Math.Log(MAX_MOVE / 100.0) &&
e.instrument.Close[0] > e.avg100[0] &&
e.regression.Slope[0] > 0.0)
? 0.001 / e.atr20[0] * e.instrument.Close[0]
: 0.0,
})
.ToList();
// assign equity, until we run out of cash,
// or we are no longer in the top-ranking 20%
var instrumentEquity = Enumerable.Range(0, instrumentRanking.Count)
.ToDictionary(
i => instrumentRanking[i].instrument,
i => i <= TOP_PCNT / 100.0 * instrumentRanking.Count
? Math.Min(
instrumentRanking[i].positionSize,
Math.Max(0.0, 1.0 - instrumentRanking.Take(i).Sum(r => r.positionSize)))
: 0.0);
// index filter: only buy any shares, while S&P-500 is trading above its 200-day moving average
var indexFilter = FindInstrument(BENCHMARK).Close
.Divide(FindInstrument(BENCHMARK).Close.EMA(INDEX_FLT));
// trade once per week
// this is a slight simplification from Clenow's suggestion to change positions
// every week, and adjust position sizes only every other week
if (SimTime[0].DayOfWeek >= DayOfWeek.Wednesday && SimTime[1].DayOfWeek < DayOfWeek.Wednesday)
{
foreach (Instrument instrument in instrumentEquity.Keys)
{
int currentShares = instrument.Position;
int targetShares = (int)Math.Round(NetAssetValue[0] * instrumentEquity[instrument] / instrument.Close[0]);
if (indexFilter[0] < 0.0)
{
targetShares = Math.Min(targetShares, currentShares);
}
instrument.Trade(targetShares - currentShares);
}
string message = instrumentEquity
.Where(i => i.Value != 0.0)
.Aggregate(string.Format("{0:MM/dd/yyyy}: ", SimTime[0]),
(prev, next) => prev + string.Format("{0}={1:P2} ", next.Key.Symbol, next.Value));
if (!IsOptimizing)
{
Output.WriteLine(message);
}
}
// create plots on Sheet 1
if (TradingDays > 0)
{
_plotter.SelectChart(Name, "date");
_plotter.SetX(SimTime[0]);
_plotter.Plot("NAV", NetAssetValue[0]);
_plotter.Plot(BENCHMARK, FindInstrument(BENCHMARK).Close[0]);
}
}
//----- post processing
// print position log, grouped as LIFO
var tradeLog = LogAnalysis
.GroupPositions(Log, true)
.OrderBy(i => i.Entry.BarOfExecution.Time);
_plotter.SelectChart(Name + " positions", "entry date");
foreach (var trade in tradeLog)
{
_plotter.SetX(trade.Entry.BarOfExecution.Time.Date);
_plotter.Plot("exit date", trade.Exit.BarOfExecution.Time.Date);
_plotter.Plot("Symbol", trade.Symbol);
_plotter.Plot("Quantity", trade.Quantity);
_plotter.Plot("% Profit", trade.Exit.FillPrice / trade.Entry.FillPrice - 1.0);
_plotter.Plot("Exit", trade.Exit.OrderTicket.Comment ?? "");
//_plotter.Plot("$ Profit", trade.Quantity * (trade.Exit.FillPrice - trade.Entry.FillPrice));
}
}
public override void Run()
{
//========== initialization ==========
StartTime = DateTime.Parse("01/01/1990");
EndTime = DateTime.Now.Date - TimeSpan.FromDays(5);
AddDataSource(MARKET);
Deposit(INITIAL_CAPITAL);
CommissionPerShare = 0.015;
//========== simulation loop ==========
var entryPrices = new Dictionary <Instrument, double>();
foreach (var s in SimTimes)
{
_market = _market ?? FindInstrument(MARKET);
double percentToBuySell = Rules(_market);
//----- entries
if (_market.Position == 0 && percentToBuySell != 0.0 ||
_market.Position > 0 && percentToBuySell > 0 ||
_market.Position < 0 && percentToBuySell < 0)
{
int sharesToBuySell = (int)(Math.Sign(percentToBuySell) * Math.Floor(
Math.Abs(percentToBuySell) * NetAssetValue[0] / _market.Close[0]));
_market.Trade(sharesToBuySell, OrderType.closeThisBar);
}
//----- exits
if (_market.Position > 0 && percentToBuySell < 0 ||
_market.Position < 0 && percentToBuySell > 0)
{
// none of the algorithms attempt to gradually
// exit positions, so this is good enough
_market.Trade(-_market.Position, OrderType.closeThisBar);
}
//----- output
if (!IsOptimizing)
{
// plot to chart
_plotter.SelectChart(Name, "date");
_plotter.SetX(SimTime[0]);
_plotter.Plot("nav", NetAssetValue[0]);
_plotter.Plot(_market.Symbol, _market.Close[0]);
// placeholder for 2nd sheet
_plotter.SelectChart(Name + " positions", "entry date");
_plotter.SelectChart(Name + " % invested", "entry date");
_plotter.SetX(SimTime[0]);
_plotter.Plot("% long", Positions.Keys.Sum(i => Math.Max(0, i.Position) * i.Close[0]) / NetAssetValue[0]);
_plotter.Plot("% short", Positions.Keys.Sum(i => - Math.Min(0, i.Position) * i.Close[0]) / NetAssetValue[0]);
_plotter.Plot("% total", Positions.Keys.Sum(i => Math.Abs(i.Position) * i.Close[0]) / NetAssetValue[0]);
}
}
//========== post processing ==========
//----- print position log, grouped as LIFO
if (!IsOptimizing)
{
var tradeLog = LogAnalysis
.GroupPositions(Log, true)
.OrderBy(i => i.Entry.BarOfExecution.Time);
_plotter.SelectChart(Name + " positions", "entry date");
foreach (var trade in tradeLog)
{
_plotter.SetX(trade.Entry.BarOfExecution.Time);
_plotter.Plot("exit date", trade.Exit.BarOfExecution.Time);
_plotter.Plot("Symbol", trade.Symbol);
_plotter.Plot("Quantity", trade.Quantity);
_plotter.Plot("% Profit", (trade.Quantity > 0 ? 1.0 : -1.0) * (trade.Exit.FillPrice / trade.Entry.FillPrice - 1.0));
_plotter.Plot("Exit", trade.Exit.OrderTicket.Comment ?? "");
//_plotter.Plot("$ Profit", trade.Quantity * (trade.Exit.FillPrice - trade.Entry.FillPrice));
}
}
//----- optimization objective
double cagr = Math.Exp(252.0 / Math.Max(1, TradingDays) * Math.Log(NetAssetValue[0] / INITIAL_CAPITAL)) - 1.0;
FitnessValue = cagr / Math.Max(1e-10, Math.Max(0.01, NetAssetValueMaxDrawdown));
if (!IsOptimizing)
{
Output.WriteLine("CAGR = {0:P2}, DD = {1:P2}, Fitness = {2:F4}", cagr, NetAssetValueMaxDrawdown, FitnessValue);
}
}
public override void Run()
{
//========== initialization ==========
StartTime = DateTime.Parse("01/01/1990");
EndTime = DateTime.Now.Date - TimeSpan.FromDays(5);
AddDataSource(MARKET);
AddDataSource(VOLATILITY);
#if INCLUDE_TRIN_STRATEGY
AddDataSource(TRIN);
#endif
Deposit(INITIAL_CAPITAL);
CommissionPerShare = 0.015;
//========== simulation loop ==========
foreach (var s in SimTimes)
{
_market = _market ?? FindInstrument(MARKET);
_volatility = _volatility ?? FindInstrument(VOLATILITY);
#if INCLUDE_TRIN_STRATEGY
_trin = _trin ?? FindInstrument(TRIN);
#endif
int buySell = Rules();
//----- enter positions
if (_market.Position == 0 && buySell != 0)
{
int numShares = buySell * (int)Math.Floor(NetAssetValue[0] / _market.Close[0]);
_market.Trade(numShares, OrderType.closeThisBar);
}
//----- exit positions
else if (_market.Position != 0 && buySell != 0)
{
_market.Trade(-_market.Position, OrderType.closeThisBar);
}
//----- output
if (!IsOptimizing)
{
// plot to chart
_plotter.SelectChart(Name + ": " + OptimizerParamsAsString, "date");
_plotter.SetX(SimTime[0]);
_plotter.Plot("nav", NetAssetValue[0]);
_plotter.Plot(_market.Symbol, _market.Close[0]);
}
}
//========== post processing ==========
//----- print position log, grouped as LIFO
if (!IsOptimizing)
{
var tradeLog = LogAnalysis
.GroupPositions(Log, true)
.OrderBy(i => i.Entry.BarOfExecution.Time);
_plotter.SelectChart(Name + " positions", "entry date");
foreach (var trade in tradeLog)
{
_plotter.SetX(trade.Entry.BarOfExecution.Time);
_plotter.Plot("exit date", trade.Exit.BarOfExecution.Time);
_plotter.Plot("Symbol", trade.Symbol);
_plotter.Plot("Quantity", trade.Quantity);
_plotter.Plot("% Profit", (trade.Quantity > 0 ? 1.0 : -1.0) * (trade.Exit.FillPrice / trade.Entry.FillPrice - 1.0));
_plotter.Plot("Exit", trade.Exit.OrderTicket.Comment ?? "");
//_plotter.Plot("$ Profit", trade.Quantity * (trade.Exit.FillPrice - trade.Entry.FillPrice));
}
}
//----- optimization objective
double cagr = Math.Exp(252.0 / Math.Max(1, TradingDays) * Math.Log(NetAssetValue[0] / INITIAL_CAPITAL)) - 1.0;
FitnessValue = cagr / Math.Max(1e-10, Math.Max(0.01, NetAssetValueMaxDrawdown));
if (!IsOptimizing)
{
Output.WriteLine("CAGR = {0:P2}, DD = {1:P2}, Fitness = {2:F4}", cagr, NetAssetValueMaxDrawdown, FitnessValue);
}
}
