public ExperimentResult(Thresholds thresholds, double xirr, int tradeCount, int slipCount)
{
Thresholds = thresholds;
XIrr = xirr;
TradeCount = tradeCount;
SlipCount = slipCount;
}
static ExperimentResult RunExperiment(IReadOnlyList <Day> history, Thresholds thresholds, Action <string> logger = null)
{
var tradeCount = 0;
var slipCount = 0;
var cash = 0m;
var depo = new List <decimal>();
var flowDates = new List <DateTime>();
var flowValues = new List <decimal>();
for (var i = 2; i < history.Count; i++)
{
var isLastDay = i == history.Count - 1;
var day = history[i];
var date = day.Date.ToString("yyyy-MM-dd");
var price = day.Close;
var candidate = new TurnCandidate(history, i - 1);
if (!isLastDay && candidate.IsDip(thresholds.Low))
{
var buyCount = 1;
var requiredCash = buyCount * price;
if (cash < requiredCash)
{
var topup = requiredCash - cash;
flowDates.Add(day.Date);
flowValues.Add(topup);
cash += topup;
logger?.Invoke($"{date} Top-up {topup}");
}
cash -= requiredCash;
depo.AddRange(Enumerable.Repeat(price, buyCount));
tradeCount++;
logger?.Invoke($"{date} Buy {buyCount} x {price}");
}
if (isLastDay || candidate.IsPeak(thresholds.High))
{
if (depo.Any())
{
var sellCount = depo.Count;
var investedValue = depo.Take(sellCount).Sum();
var currentValue = sellCount * price;
var earning = currentValue - investedValue;
if (isLastDay || earning > 0)
{
cash += currentValue;
depo.RemoveRange(0, sellCount);
tradeCount++;
logger?.Invoke($"{date} Sell {sellCount} x {price}, earn {earning}");
}
else
{
logger?.Invoke($"{date} Hold");
}
}
else
{
slipCount++;
logger?.Invoke($"{date} Nothing to sell");
}
}
}
if (depo.Any())
{
throw new Exception();
}
var xirr = 0d;
if (flowValues.Any())
{
flowDates.Add(history.Last().Date);
flowValues.Add(-cash);
xirr = Excel.FinancialFunctions.Financial.XIrr(flowValues.Select(Convert.ToDouble), flowDates);
}
return(new ExperimentResult(thresholds, xirr, tradeCount, slipCount));
}
