public async Task <BackTestResult> TrySettings(string market, List <Candle> candlesContent, TraderSettings settings)
{
_market = market;
if (candlesContent == null)
{
_candles = (await _fakeBittrexApi.GetCandlesAsync((_market), TickInterval.OneMinute)).Content;
}
else
{
_candles = candlesContent;
}
var strategy = new HoldUntilPriceDropsStrategy {
Settings = settings
};
var coinTrader = await RunHistoryData(strategy);
var budget = await coinTrader.FinishTest();
var backTestResult = new BackTestResult
{
Budget = budget,
Settings = strategy.Settings
};
return(backTestResult);
}
public async Task <List <BackTestResult> > FindBestSettings(string market, List <Candle> candlesContent = null)
{
_market = market;
var candlesResponse = await _fakeBittrexApi.GetCandlesAsync(_market, TickInterval.OneHour);
_hourlyCandles = candlesResponse.Content;
if (candlesContent == null)
{
_candles = (await _fakeBittrexApi.GetCandlesAsync((_market), TickInterval.OneMinute)).Content;
}
else
{
_candles = candlesContent;
}
var firstOrderBuyLowerRange = new List <decimal> {
-1, 0
};
var buyLowerRange = new List <decimal> {
-3, -2, -1, -0.5M
};
var minimumTakeProfitRange = new List <decimal> {
0, 0.5M, 1
};
var highStopLossRange = new List <decimal> {
-10, -5, -1
};
var stopLossRange = new List <decimal> {
-25, -6, -4, -2
};
var buyTriggerRange = new List <decimal> {
-4, -2, -1
};
var expirationRange = new List <TimeSpan>
{
TimeSpan.FromHours(1),
TimeSpan.FromHours(24)
};
var it = 0;
var total = 0;
var bestProfit = -1000M;
var strategies = new List <HoldUntilPriceDropsStrategy>();
foreach (var firstBuy in firstOrderBuyLowerRange)
{
foreach (var buy in buyLowerRange)
{
foreach (var highStopLoss in highStopLossRange)
{
foreach (var stopLoss in stopLossRange)
{
foreach (var trigger in buyTriggerRange)
{
foreach (var expiration in expirationRange)
{
foreach (var minProfit in minimumTakeProfitRange)
{
if (stopLoss <= trigger)
{
continue;
}
total++;
var strategy = new HoldUntilPriceDropsStrategy();
strategy.Settings = new TraderSettings
{
FirstBuyLowerPercentage = firstBuy,
BuyLowerPercentage = buy,
HighStopLossPercentage = highStopLoss,
StopLoss = stopLoss,
BuyTrigger = trigger,
MinimumTakeProfit = minProfit,
TradingBudget = TraderSettings.Default.TradingBudget,
ExpirationTime = expiration
};
strategies.Add(strategy);
}
}
}
}
}
}
}
int oldPercentage = -1;
var results = new List <BackTestResult>();
Parallel.ForEach(strategies.Take(1), (strategy) =>
{
try
{
it++;
strategy.Settings = TraderSettings.Default;
var coinTrader = RunHistoryData(strategy).Result;
var budget = coinTrader.FinishTest().Result;
var backTestResult = new BackTestResult
{
Budget = budget,
Settings = strategy.Settings
};
results.Add(backTestResult);
var percentage = (it * 100) / total;
if (percentage != oldPercentage)
{
oldPercentage = percentage;
if (bestProfit < budget.Profit)
{
bestProfit = budget.Profit;
}
Console.WriteLine($"Current iteration: {it}/{total}\t{percentage}%\t\t{bestProfit}%");
}
}
catch (Exception e)
{
Console.WriteLine(e);
}
});
results = results.OrderByDescending(r => r.Budget.Profit).ToList();
var uniqueProfits = results.GroupBy(r => r.Budget.Profit).OrderByDescending(r => r.Key).Select(s => s.FirstOrDefault()).ToList();
Console.WriteLine($"{uniqueProfits.Count}/{results.Count}");
foreach (var result in uniqueProfits.Take(50))
{
Console.WriteLine($"{result.Budget.Profit}% - {result.Settings}\t{result.Budget.Invested}\t{result.Budget.Earned}");
}
return(uniqueProfits);
}
