public static ReturnIndicator GetIndicatorsUSDTBackTest(List <indicators.IIndicator> listIndicators, DataTable dt, String coin, Int64 begin = 0, Int64 end = 0, int period = 300)
{
try
{
ReturnIndicator returnIndicator = new ReturnIndicator();
DataRow[] rows = dt.Select("date >= " + begin + " and date <= " + end);
double[] arrayPriceClose = new double[rows.Length];
double[] arrayPriceHigh = new double[rows.Length];
double[] arrayPriceLow = new double[rows.Length];
double[] arrayPriceOpen = new double[rows.Length];
double[] arrayVolume = new double[rows.Length];
int i = 0;
foreach (DataRow row in rows)
{
arrayPriceClose[i] = double.Parse(row["close"].ToString());
arrayPriceHigh[i] = double.Parse(row["high"].ToString());
arrayPriceLow[i] = double.Parse(row["low"].ToString());
arrayPriceOpen[i] = double.Parse(row["open"].ToString());
arrayVolume[i] = double.Parse(row["volume"].ToString());
i++;
}
returnIndicator.priceClose = decimal.Parse(arrayPriceClose[arrayPriceClose.Length - 1].ToString().Replace(".", ","));
int pointBuy = 0;
int pointSell = 0;
int pointNothing = 0;
foreach (var indicator in listIndicators)
{
Operation operation = indicator.GetOperation(arrayPriceOpen, arrayPriceClose, arrayPriceLow, arrayPriceHigh, arrayVolume);
if (operation == Operation.buy)
{
pointBuy++;
}
if (operation == Operation.sell)
{
pointSell++;
}
if (operation == Operation.nothing)
{
pointNothing++;
}
}
if (pointNothing > pointBuy && pointNothing > pointSell)
{
returnIndicator.operation = Operation.nothing;
returnIndicator.percentOperation = (pointNothing * 100) / listIndicators.Count;
}
else if (pointBuy > pointNothing && pointBuy > pointSell)
{
returnIndicator.operation = Operation.buy;
returnIndicator.percentOperation = (pointBuy * 100) / listIndicators.Count;
}
else if (pointSell > pointNothing && pointSell > pointBuy)
{
returnIndicator.operation = Operation.sell;
returnIndicator.percentOperation = (pointSell * 100) / listIndicators.Count;
}
else
{
returnIndicator.operation = Operation.nothing;
}
return(returnIndicator);
}
catch (Exception ex)
{
return(null);
}
}
public static void backtest(String pair, DateTime _begin, DateTime _end, decimal _total, decimal totalOrder, int stopLoss, decimal profit, string strategy)
{
String coin = pair;
DateTime begin = _begin;
DateTime beginOriginal = begin;
DateTime endFinal = _end;
decimal totalUSDT = _total;
decimal totalOrderUSDT = totalOrder;
decimal totalOrderUSDTOriginal = totalOrderUSDT;
DateTime end = begin.AddMinutes(2000);
Int32 unixTimestamp = (Int32)(begin.Subtract(new DateTime(1970, 1, 1))).TotalSeconds;
Int32 unixTimestampEnd = (Int32)(endFinal.Subtract(new DateTime(1970, 1, 1))).TotalSeconds;
Logger.log("Get Poloniex candles...");
String json = null;
while (json == null)
{
json = Http.get("https://poloniex.com/public?command=returnChartData¤cyPair=" + coin + "&start=" + unixTimestamp + "&end=" + unixTimestampEnd + "&period=" + 300);
System.Threading.Thread.Sleep(1000);
}
DataTable dt = (DataTable)JsonConvert.DeserializeObject(json, (typeof(DataTable)));
Logger.log("OK!");
decimal totalUSDTOriginal = totalUSDT;
decimal totalCoin = 0;
int buyCorrect = 0;
int buyWrong = 0;
List <IIndicator> lst = new List <IIndicator>();
string[] listStrategy = strategy.Split(';');
for (int i = 0; i < listStrategy.Length; i++)
{
if (listStrategy[i] == "CCI")
{
lst.Add(new IndicatorCCI());
}
if (listStrategy[i] == "CHAIKIN")
{
lst.Add(new IndicatorChaikin());
}
if (listStrategy[i] == "MACD")
{
lst.Add(new IndicatorMACD());
}
if (listStrategy[i] == "MFI")
{
lst.Add(new IndicatorMFI());
}
if (listStrategy[i] == "ROC")
{
lst.Add(new IndicatorROC());
}
if (listStrategy[i] == "RSI")
{
lst.Add(new IndicatorRSI());
}
if (listStrategy[i] == "STOCH")
{
lst.Add(new IndicatorSTOCH());
}
if (listStrategy[i] == "STOCHRSI")
{
lst.Add(new IndicatorSTOCHRSI());
}
if (listStrategy[i] == "TRIX")
{
lst.Add(new IndicatorTRIX());
}
if (listStrategy[i] == "WILLR")
{
lst.Add(new IndicatorWILLR());
}
}
String descriptionStrategy = "";
foreach (var item in listStrategy)
{
descriptionStrategy += item + "_";
}
Logger.prefix = coin + descriptionStrategy;
totalUSDT = totalUSDTOriginal;
begin = beginOriginal;
end = begin.AddMinutes(2000);
Logger.log("");
Logger.log("BEGIN");
Logger.log("*** Strategy " + descriptionStrategy);
Logger.log("");
List <OrderDetails> listOrders = new List <OrderDetails>();
List <OrderDetails> listComplete = new List <OrderDetails>();
decimal lastPriceClose = 0;
while (true)
{
try
{
Int64 unixbegin = (Int64)(begin.Subtract(new DateTime(1970, 1, 1))).TotalSeconds;
Int64 unixend = (Int64)(end.Subtract(new DateTime(1970, 1, 1))).TotalSeconds;
ReturnIndicator returnIndicator = GetIndicatorsUSDTBackTest(lst, dt, coin, unixbegin, unixend, 300);
lastPriceClose = returnIndicator.priceClose;
Console.Title = descriptionStrategy + " - " + coin + "|" + end.ToString() + "|USDT " + totalUSDT + "|PRICE " + returnIndicator.priceClose + "|Orders " + listOrders.Count;
if (returnIndicator.operation == Operation.buy && returnIndicator.percentOperation >= 100)
{
if (returnIndicator.percentOperation < 100)
{
totalOrderUSDT = (returnIndicator.percentOperation * 100) / totalOrderUSDT;
}
if (totalUSDT > 0 && totalUSDT > totalOrderUSDT)
{
totalUSDT -= totalOrderUSDT;
OrderDetails order = new OrderDetails();
order.operation = "buy";
order.priceSell = ((returnIndicator.priceClose * profit) / 100) + returnIndicator.priceClose;
order.totalCoin = totalOrderUSDT / returnIndicator.priceClose;
order.priceStop = returnIndicator.priceClose - ((returnIndicator.priceClose * stopLoss) / 100);;
order.dateBuy = end;
order.priceBuy = returnIndicator.priceClose;
order.totalOrder = totalOrderUSDT;
listOrders.Add(order);
totalOrderUSDT = totalOrderUSDTOriginal;
totalCoin += order.totalCoin;
end = end.AddMinutes(5);
Logger.log("COMPRA " + end.ToString() + "|PRICE " + returnIndicator.priceClose + "|USDT " + totalUSDT + "|COIN " + totalCoin);
}
totalOrderUSDT = totalOrderUSDTOriginal;
}
List <OrderDetails> excludeOrders = new List <OrderDetails>();
foreach (var order in listOrders)
{
if (order.operation == "buy")
{
if (returnIndicator.priceClose >= order.priceSell || (order.priceStop >= returnIndicator.priceClose))
{
if (order.totalCoin > 0)
{
totalUSDT += order.totalCoin * returnIndicator.priceClose;
totalCoin -= order.totalCoin;
if ((order.priceStop >= returnIndicator.priceClose))
{
Logger.log("STOP LOSS " + end.ToString() + " | PRICE " + returnIndicator.priceClose + " | USDT " + totalUSDT + " | COIN " + totalCoin);
buyWrong++;
order.operation = "stop";
}
else
{
Logger.log("SELL " + end.ToString() + " | PRICE " + returnIndicator.priceClose + " | USDT " + totalUSDT + " | COIN " + totalCoin);
buyCorrect++;
order.operation = "sell";
}
excludeOrders.Add(order);
order.priceSell = returnIndicator.priceClose;
order.dateSell = end;
listComplete.Add(order);
end = end.AddMinutes(5);
}
}
}
}
foreach (var item in excludeOrders)
{
listOrders.Remove(item);
}
begin = begin.AddMinutes(5);
end = end.AddMinutes(5);
if (end >= endFinal)
{
break;
}
}
catch
{
}
}
foreach (var order in listOrders)
{
totalUSDT += order.totalCoin * lastPriceClose;
}
Logger.log("Result: " + descriptionStrategy);
Logger.log("Trade OK " + buyCorrect);
Logger.log("Trade NOK " + buyWrong);
Logger.log("Trade Pend " + listOrders.Count);
Logger.log(" = Trades =");
foreach (var item in listComplete)
{
Logger.log("D. buy " + item.dateBuy.ToString().PadRight(18, ' ') + "|buy " + item.priceBuy.ToString().PadRight(18, ' ') + "|D. sell " + item.dateSell.ToString().PadRight(18, ' ') + "|sell " + item.priceSell.ToString().PadRight(18, ' ') + "|perc " + (((item.priceSell * 100) / item.priceBuy) - 100).ToString().PadRight(40, ' ') + "% |time avg " + (item.dateSell - item.dateBuy).TotalMinutes.ToString().PadRight(6, ' ') + "m |op " + item.operation);
}
Logger.log("Total $ " + Convert.ToString(totalUSDT) + " | Porcentagem " + Convert.ToString(((totalUSDT * 100) / totalUSDTOriginal) - 100));
Logger.log("END");
Logger.log("");
}