/// <summary>
/// Initializes a new instance of the TradeSystem class.
/// </summary>
/// <param name="buyCondition">Buy conditions for the trade system</param>
/// <param name="sellCondition">Sell conditions for the trade system</param>
/// <param name="startDate">Date to start trading</param>
/// <param name="endDate">Date to stop trading</param>
/// <param name="financialSettings">Financial settings for the trade system</param>
/// <param name="shorts">Short trades are allowed.</param>
/// <param name="longs">Long trades are allowed.</param>
public TradeSystem(
TradeCondition buyCondition,
TradeCondition sellCondition,
DateTime startDate,
DateTime endDate,
FinancialSettings financialSettings,
bool shorts,
bool longs)
{
this.BuyCondition = buyCondition;
this.SellCondition = sellCondition;
this.StartDate = startDate;
this.EndDate = endDate;
this.FinancialSettings = financialSettings;
this.Shorts = shorts;
this.Longs = longs;
}
private bool[] GetValues(TradeCondition tradeCondition)
{
IEnumerable<TradeRule> tRules = tradeCondition.TradeRules.GroupBy(tr => tr.Name)
.Select(g => g.First())
.Where(tr => !this.Data.ContainsKey(tr.Name));
if(tRules.Any())
{
SetTradeRules(tRules);
}
double[][] data = tradeCondition.TradeRules.Select(tr => this.Data[tr.Name]).ToArray();
return Enumerable.Range(0, this.IndicatorLibraryAdapter.DataCount)
.Select(e => EvaluateResult(data.Select(d => d[e]).ToArray(), tradeCondition.RuleJoinTypes))
.ToArray();
}
public Trades EvalTrades(TradeSystem tradeSystem, TradeCondition buyCondition, TradeCondition sellCondition, double stopOutValue, bool log = false)
{
object[] logRowData = null;
if (log)
{
int logIndex = -1;
this.LogTables = new DataTable("LogTable");
this.LogTables.Columns.Add("Date");
this.LogTables.Columns.Add("Time");
this.LogTables.Columns.Add("Open");
this.LogTables.Columns.Add("High");
this.LogTables.Columns.Add("Low");
this.LogTables.Columns.Add("Close");
this.LogTables.Columns.Add("Volume");
this.LogTables.Columns.Add("StopOut");
this.LogTables.Columns.Add("Buy Signal");
this.LogTables.Columns.Add("Sell Signal");
TradeRule tr;
for (int i = 0; i < buyCondition.TradeRules.Count; i++)
{
tr = buyCondition.TradeRules[i];
logIndex++;
this.LogTables.Columns.Add(string.Format("{0} {1} {2} -BR{3}", tr.IndicatorName1, tr.CompareType.ToString(), tr.IndicatorName2, logIndex));
this.LogTables.Columns.Add(string.Format("Result -BR{0}", logIndex));
this.LogTables.Columns.Add(string.Format("JoinType -BR{0}", logIndex));
}
logIndex = 0;
for (int i = 0; i < sellCondition.TradeRules.Count; i++)
{
tr = sellCondition.TradeRules[i];
logIndex++;
this.LogTables.Columns.Add(string.Format("{0} {1} {2} -SR{3}", tr.IndicatorName1, tr.CompareType.ToString(), tr.IndicatorName2, logIndex));
this.LogTables.Columns.Add(string.Format("Result -SR{0}", logIndex));
this.LogTables.Columns.Add(string.Format("JoinType -SR{0}", logIndex));
}
logRowData = GetEmptyArray(this.LogTables.Columns.Count);
}
bool stopout = stopOutValue != double.MaxValue;
DateTime startDate = tradeSystem.StartDate;
DateTime endDate = tradeSystem.EndDate;
TradeType? tradeType = null;
if(tradeSystem.Longs && ! tradeSystem.Shorts)
{
tradeType = TradeType.longTrade;
}
else if (!tradeSystem.Longs && tradeSystem.Shorts)
{
tradeType = TradeType.shortTrade;
}
this.Winners = 0;
this.Losers = 0;
this.StopOuts = 0;
this.Trades = new Trades();
this.Capital = tradeSystem.FinancialSettings.InitialCapital;
bool[] buys = GetValues(buyCondition);
bool[] sells = GetValues(sellCondition);
List<int> endOfDaysIndexes = this.IndicatorLibraryAdapter.EndOfDayIndex;
bool buySignal;
bool sellSignal;
bool longEntered = false;
bool shortEntered = false;
double maxDrawDown = tradeSystem.FinancialSettings.MaxDrawdown;
double dollarsPerPoint = tradeSystem.FinancialSettings.DollarsPerPoint;
double roundTripCommision = tradeSystem.FinancialSettings.RoundTripCommission;
double currentCapital = tradeSystem.FinancialSettings.InitialCapital;
double equityPerContract = tradeSystem.FinancialSettings.EquityPerContract;
int maxContracts = tradeSystem.FinancialSettings.MaxContracts;
int counter = 0;
Trade trade = null;
StockPoint stockPoint = null;
DateTime currentDateTime;
#region Enter/Exit and Log Trade Func
int stopOutCounter = 0;
Action EnterLog = () =>
{
StockPoint point = StockPoints[counter];
logRowData[0] = point.Date;
logRowData[1] = point.Time;
logRowData[2] = point.Open.ToString("0.00");
logRowData[3] = point.High.ToString("0.00");
logRowData[4] = point.Low.ToString("0.00");
logRowData[5] = point.Close.ToString("0.00");
logRowData[6] = point.Volume.ToString();
if (stopOutCounter != this.StopOuts)
{
stopOutCounter = this.StopOuts;
this.LogTables.Rows[this.LogTables.Rows.Count - 1][7] = "1";
}
logRowData[7] = "0";
if (endOfDaysIndexes.Contains(counter))
{
logRowData[8] = "end of day";
logRowData[9] = "end of day";
}
else
{
logRowData[8] = buys[counter] ? "1" : "0";
logRowData[9] = sells[counter] ? "1" : "0";
}
int logIndex = 9;
TradeRule tr;
double[] evalData;
for (int i = 0; i < buyCondition.TradeRules.Count; i++)
{
tr = buyCondition.TradeRules[i];
evalData = this.Data[tr.Name];
logRowData[++logIndex] = string.Format("{0} {1} {2}",
this.IndicatorLibraryAdapter.Data[tr.IndicatorName1][counter].ToString(),
tr.CompareType.ToString(),
tr.IndicatorName2.Contains("#")
? tr.IndicatorName2.Replace("#", "")
: Convert.ToString(this.IndicatorLibraryAdapter.Data[tr.IndicatorName2][counter]));
logRowData[++logIndex] = evalData[counter].ToString("0");
logRowData[++logIndex] = buyCondition.RuleJoinTypes[i].ToString();
}
for (int i = 0; i < sellCondition.TradeRules.Count; i++)
{
tr = sellCondition.TradeRules[i];
evalData = this.Data[tr.Name];
logRowData[++logIndex] = string.Format("{0} {1} {2}",
this.IndicatorLibraryAdapter.Data[tr.IndicatorName1][counter],
tr.CompareType.ToString(),
tr.IndicatorName2.Contains("#")
? tr.IndicatorName2.Replace("#", "")
: Convert.ToString(this.IndicatorLibraryAdapter.Data[tr.IndicatorName2][counter]));
logRowData[++logIndex] = evalData[counter].ToString("0");
logRowData[++logIndex] = sellCondition.RuleJoinTypes[i].ToString();
}
this.LogTables.Rows.Add(logRowData);
logRowData = GetEmptyArray(this.LogTables.Columns.Count);
};
// returns if entry point is the last point
Action<TradeType> EnterTrade = (entryTradeType) =>
{
longEntered = entryTradeType == TradeType.longTrade;
shortEntered = entryTradeType == TradeType.shortTrade;
trade = new Trade(maxDrawDown, dollarsPerPoint, roundTripCommision, currentCapital);
trade.Enter(this.StockPoints[counter + 1], entryTradeType, Math.Min((int)(currentCapital / equityPerContract), maxContracts));
};
// returns if the needs to exit
Func<bool, int, int, bool> ExitTrade = (isStopped, indexIncreamentvalue, decrement) =>
{
trade.Exit(this.StockPoints[counter + indexIncreamentvalue], decrement, isStopped);
currentCapital = Math.Round(Math.Max(currentCapital + trade.Profit, 0D), 2);
if (trade.Profit > 0)
{
this.Winners++;
}
else if (trade.Profit < 0)
{
this.Losers++;
}
if(isStopped)
{
this.StopOuts++;
}
Trades.Add(trade);
longEntered = false;
shortEntered = false;
return currentCapital < equityPerContract;
};
#endregion Enter/Exit Trade Func
for (counter = 0; counter < this.StockPoints.Count(); counter++)
{
if (this.Cancelled)
{
this.Cancelled = false;
return Trades;
}
buySignal = buys[counter];
sellSignal = sells[counter];
stockPoint = StockPoints[counter];
currentDateTime = stockPoint.PointDateTime;
if (currentDateTime >= endDate)
{
if (longEntered || shortEntered)
{
ExitTrade(false, 0, 0);
}
break;
}
if (currentDateTime < startDate)
{
continue;
}
if (log) EnterLog();
if (currentDateTime.AddMinutes(30).Hour >= 9)
{
if (longEntered || shortEntered)
{
// exit end of day, if long/short entered or beyond specified date
if (endOfDaysIndexes.Contains(counter))
{
if (ExitTrade(false, 0, 0)) break;
}
// exit trade logic
else if ((longEntered && sellSignal) || (shortEntered && buySignal))
{
if (ExitTrade(false, 1, 5)) break;
}
//stopout
else if (stopout && ((trade.TradeType == TradeType.longTrade && trade.EntryPrice - stockPoint.Low >= stopOutValue) ||
(trade.TradeType == TradeType.shortTrade && stockPoint.High - trade.EntryPrice >= stopOutValue)))
{
if (ExitTrade(true, 1, 5)) break;
}
continue;
}
// enter trade logic
if (!(longEntered || shortEntered || endOfDaysIndexes.Contains(counter)))
{
if (buySignal && (tradeType == null || tradeType.Value == TradeType.longTrade))
{
EnterTrade(TradeType.longTrade);
}
else if (sellSignal && (tradeType == null || tradeType.Value == TradeType.shortTrade))
{
EnterTrade(TradeType.shortTrade);
}
}
}
}
return Trades;
}
/// <summary>
/// Creates a copy of this trade system with new trade conditions.
/// </summary>
/// <param name="buyCondition">The buy condition.</param>
/// <param name="sellCondition">The sell condition.</param>
/// <returns>A copy of this trade system with new trade conditions.</returns>
public TradeSystem CloneWithNewRules(TradeCondition buyCondition, TradeCondition sellCondition)
{
TradeSystem clone = this.Clone();
clone.BuyCondition = buyCondition;
clone.SellCondition = sellCondition;
return clone;
}