public void Initialize(
EvaluationResultContext context,
IDictionary <ParameterAttribute, object> parameterValues,
DateTime startDate,
DateTime endDate,
TradeMetric metric)
{
if (context == null || parameterValues == null || metric == null)
{
throw new ArgumentNullException();
}
var serializableParameterValues = new SerializableParameterValues();
serializableParameterValues.Initialize(parameterValues);
for (var i = 0; i < serializableParameterValues.Parameters.Length; ++i)
{
_parameterValueProperties[i].SetValue(this, serializableParameterValues.Parameters[i].Value);
}
for (var i = 0; i < metric.ERatios.Length; ++i)
{
_eRatioProperties[i].SetValue(this, metric.ERatios[i]);
}
StartDate = startDate;
EndDate = endDate;
InitialEquity = metric.InitialEquity;
FinalEquity = metric.FinalEquity;
NetProfit = metric.NetProfit;
ProfitRatio = metric.ProfitRatio;
AnnualProfitRatio = metric.AnnualProfitRatio;
TotalTradingTimes = metric.TotalTradingTimes;
ProfitTimesRatio = metric.ProfitTimesRatio;
AverageProfitPerTrading = metric.AverageProfitPerTrading;
AverageLossPerTrading = metric.AverageLossPerTrading;
MaxDrawDown = metric.MaxDrawDown;
MaxDrawDownRatio = metric.MaxDrawDownRatio;
Mar = metric.Mar;
Expectation = ProfitTimesRatio * AverageProfitPerTrading - (1.0 - ProfitTimesRatio) * AverageLossPerTrading;
var b = AverageProfitPerTrading / AverageLossPerTrading;
BestFactor = (b * ProfitTimesRatio - (1.0 - ProfitTimesRatio)) / b;
ContextId = context.ContextId;
ContextDirectory = context.RootDirectory;
}
public EvaluationResultContext CreateNewContext()
{
++_contextId;
var contextRootDirectory = Path.Combine(_rootDirectory, _contextId.ToString(CultureInfo.InvariantCulture));
if (!Directory.Exists(contextRootDirectory))
{
Directory.CreateDirectory(contextRootDirectory);
}
var context = new EvaluationResultContext(_contextId, contextRootDirectory);
return(context);
}
