/// <summary>
/// Set the Algorithm instance for ths result.
/// </summary>
/// <param name="algorithm">Algorithm we're working on.</param>
/// <param name="startingPortfolioValue">Algorithm starting capital for statistics calculations</param>
/// <remarks>While setting the algorithm the backtest result handler.</remarks>
public virtual void SetAlgorithm(IAlgorithm algorithm, decimal startingPortfolioValue)
{
Algorithm = algorithm;
StartingPortfolioValue = startingPortfolioValue;
PreviousUtcSampleTime = Algorithm.UtcTime;
DailyPortfolioValue = StartingPortfolioValue;
CumulativeMaxPortfolioValue = StartingPortfolioValue;
AlgorithmCurrencySymbol = Currencies.GetCurrencySymbol(Algorithm.AccountCurrency);
_capacityEstimate = new CapacityEstimate(Algorithm);
//Get the resample period:
var totalMinutes = (algorithm.EndDate - algorithm.StartDate).TotalMinutes;
var resampleMinutes = totalMinutes < MinimumSamplePeriod * Samples ? MinimumSamplePeriod : totalMinutes / Samples; // Space out the sampling every
ResamplePeriod = TimeSpan.FromMinutes(resampleMinutes);
Log.Trace("BacktestingResultHandler(): Sample Period Set: " + resampleMinutes.ToStringInvariant("00.00"));
//Setup the sampling periods:
_jobDays = Algorithm.Securities.Count > 0
? Time.TradeableDates(Algorithm.Securities.Values, algorithm.StartDate, algorithm.EndDate)
: Convert.ToInt32((algorithm.EndDate.Date - algorithm.StartDate.Date).TotalDays) + 1;
//Set the security / market types.
var types = new List <SecurityType>();
foreach (var kvp in Algorithm.Securities)
{
var security = kvp.Value;
if (!types.Contains(security.Type))
{
types.Add(security.Type);
}
}
SecurityType(types);
ConfigureConsoleTextWriter(algorithm);
}
/// <summary>
/// Gets the algorithm runtime statistics
/// </summary>
protected Dictionary <string, string> GetAlgorithmRuntimeStatistics(Dictionary <string, string> summary,
Dictionary <string, string> runtimeStatistics = null, CapacityEstimate capacityEstimate = null)
{
if (runtimeStatistics == null)
{
runtimeStatistics = new Dictionary <string, string>();
}
if (summary.ContainsKey("Probabilistic Sharpe Ratio"))
{
runtimeStatistics["Probabilistic Sharpe Ratio"] = summary["Probabilistic Sharpe Ratio"];
}
else
{
runtimeStatistics["Probabilistic Sharpe Ratio"] = "0%";
}
var accountCurrencySymbol = Currencies.GetCurrencySymbol(Algorithm.AccountCurrency);
runtimeStatistics["Unrealized"] = accountCurrencySymbol + Algorithm.Portfolio.TotalUnrealizedProfit.ToStringInvariant("N2");
runtimeStatistics["Fees"] = $"-{accountCurrencySymbol}{Algorithm.Portfolio.TotalFees.ToStringInvariant("N2")}";
runtimeStatistics["Net Profit"] = accountCurrencySymbol + Algorithm.Portfolio.TotalProfit.ToStringInvariant("N2");
runtimeStatistics["Return"] = GetNetReturn().ToStringInvariant("P");
runtimeStatistics["Equity"] = accountCurrencySymbol + Algorithm.Portfolio.TotalPortfolioValue.ToStringInvariant("N2");
runtimeStatistics["Holdings"] = accountCurrencySymbol + Algorithm.Portfolio.TotalHoldingsValue.ToStringInvariant("N2");
runtimeStatistics["Volume"] = accountCurrencySymbol + Algorithm.Portfolio.TotalSaleVolume.ToStringInvariant("N2");
if (capacityEstimate != null)
{
runtimeStatistics["Capacity"] = accountCurrencySymbol + capacityEstimate.Capacity.RoundToSignificantDigits(2).ToFinancialFigures();
}
return(runtimeStatistics);
}
/// <summary>
/// Will generate the statistics results and update the provided runtime statistics
/// </summary>
protected StatisticsResults GenerateStatisticsResults(Dictionary <string, Chart> charts,
SortedDictionary <DateTime, decimal> profitLoss = null, CapacityEstimate estimatedStrategyCapacity = null)
{
var statisticsResults = new StatisticsResults();
if (profitLoss == null)
{
profitLoss = new SortedDictionary <DateTime, decimal>();
}
try
{
//Generates error when things don't exist (no charting logged, runtime errors in main algo execution)
const string strategyEquityKey = "Strategy Equity";
const string equityKey = "Equity";
const string dailyPerformanceKey = "Daily Performance";
const string benchmarkKey = "Benchmark";
// make sure we've taken samples for these series before just blindly requesting them
if (charts.ContainsKey(strategyEquityKey) &&
charts[strategyEquityKey].Series.ContainsKey(equityKey) &&
charts[strategyEquityKey].Series.ContainsKey(dailyPerformanceKey) &&
charts.ContainsKey(benchmarkKey) &&
charts[benchmarkKey].Series.ContainsKey(benchmarkKey))
{
var equity = charts[strategyEquityKey].Series[equityKey].Values;
var performance = charts[strategyEquityKey].Series[dailyPerformanceKey].Values;
var totalTransactions = Algorithm.Transactions.GetOrders(x => x.Status.IsFill()).Count();
var benchmark = charts[benchmarkKey].Series[benchmarkKey].Values;
var trades = Algorithm.TradeBuilder.ClosedTrades;
statisticsResults = StatisticsBuilder.Generate(trades, profitLoss, equity, performance, benchmark,
StartingPortfolioValue, Algorithm.Portfolio.TotalFees, totalTransactions, estimatedStrategyCapacity);
}
}
catch (Exception err)
{
Log.Error(err, "BaseResultsHandler.GenerateStatisticsResults(): Error generating statistics packet");
}
return(statisticsResults);
}
/// <summary>
/// Gets the algorithm runtime statistics
/// </summary>
protected SortedDictionary <string, string> GetAlgorithmRuntimeStatistics(Dictionary <string, string> summary, CapacityEstimate capacityEstimate = null)
{
var runtimeStatistics = new SortedDictionary <string, string>();
lock (RuntimeStatistics)
{
foreach (var pair in RuntimeStatistics)
{
runtimeStatistics.Add(pair.Key, pair.Value);
}
}
if (summary.ContainsKey("Probabilistic Sharpe Ratio"))
{
runtimeStatistics["Probabilistic Sharpe Ratio"] = summary["Probabilistic Sharpe Ratio"];
}
else
{
runtimeStatistics["Probabilistic Sharpe Ratio"] = "0%";
}
runtimeStatistics["Unrealized"] = AlgorithmCurrencySymbol + Algorithm.Portfolio.TotalUnrealizedProfit.ToStringInvariant("N2");
runtimeStatistics["Fees"] = $"-{AlgorithmCurrencySymbol}{Algorithm.Portfolio.TotalFees.ToStringInvariant("N2")}";
runtimeStatistics["Net Profit"] = AlgorithmCurrencySymbol + Algorithm.Portfolio.TotalProfit.ToStringInvariant("N2");
runtimeStatistics["Return"] = GetNetReturn().ToStringInvariant("P");
runtimeStatistics["Equity"] = AlgorithmCurrencySymbol + Algorithm.Portfolio.TotalPortfolioValue.ToStringInvariant("N2");
runtimeStatistics["Holdings"] = AlgorithmCurrencySymbol + Algorithm.Portfolio.TotalHoldingsValue.ToStringInvariant("N2");
runtimeStatistics["Volume"] = AlgorithmCurrencySymbol + Algorithm.Portfolio.TotalSaleVolume.ToStringInvariant("N2");
if (capacityEstimate != null)
{
runtimeStatistics["Capacity"] = AlgorithmCurrencySymbol + capacityEstimate.Capacity.RoundToSignificantDigits(2).ToFinancialFigures();
}
return(runtimeStatistics);
}