public static string CalculateWorstPLForTimeline(int timelineId, List <TradeRecord> trades)
{
if (trades.Count > 0)
{
var startDate = new DateTime();
var endDate = new DateTime();
if (timelineId == (int)TimeLineEnum.Overall) //timelineid= 45
{
startDate = Dates.SecondsToDate(trades[0].OpenTime).Date;
}
else
{
startDate = Dates.GetStartDateByTimeLineID(timelineId, DateTime.Today.AddDays(-1).Date);
}
if (Timelines.timelinesTillToday.Contains(timelineId))
{
endDate = DateTime.Today.AddDays(-1).Date;
}
else
{
endDate = Dates.GetEndDateByTimeLineID(timelineId, startDate);
}
var startSeconds = (uint)(Int32)(startDate.Subtract(new DateTime(1970, 1, 1))).TotalSeconds;
var endSeconds = (uint)(Int32)(endDate.Subtract(new DateTime(1970, 1, 1))).TotalSeconds;
var worstBuyTrades = trades.Where(x => (x.OpenTime >= startSeconds && x.OpenTime < endSeconds) && x.Cmd == TradeCommand.Buy).OrderBy(x => x.Profit).FirstOrDefault();
var worstSellTrades = trades.Where(x => (x.OpenTime >= startSeconds && x.OpenTime < endSeconds) && x.Cmd == TradeCommand.Sell).OrderBy(x => x.Profit).FirstOrDefault();
if (worstBuyTrades == null && worstSellTrades == null)
{
return("0");
}
else if (worstBuyTrades == null && worstSellTrades != null)
{
return(Math.Round(worstSellTrades.Profit, 2).ToString());
}
else if (worstBuyTrades != null && worstSellTrades == null)
{
return(Math.Round(worstBuyTrades.Profit, 2).ToString());
}
else
{
return(worstBuyTrades.Profit > worstSellTrades.Profit ? Math.Round(worstSellTrades.Profit, 2).ToString() : Math.Round(worstBuyTrades.Profit, 2).ToString());
}
}
else
{
return("0");
}
}
public static double CalculateWINForTimeline(int timelineId, List <TradeRecord> trades)
{
if (trades.Count > 0)
{
var startDate = new DateTime();
var endDate = new DateTime();
if (timelineId == (int)TimeLineEnum.Overall) //timelineid= 45
{
startDate = Dates.SecondsToDate(trades[0].OpenTime).Date;
}
else
{
startDate = Dates.GetStartDateByTimeLineID(timelineId, DateTime.Today.AddDays(-1).Date);
}
if (Timelines.timelinesTillToday.Contains(timelineId))
{
endDate = DateTime.Today.AddDays(-1).Date;
}
else
{
endDate = Dates.GetEndDateByTimeLineID(timelineId, startDate);
}
var startSeconds = (uint)(Int32)(startDate.Subtract(new DateTime(1970, 1, 1))).TotalSeconds;
var endSeconds = (uint)(Int32)(endDate.Subtract(new DateTime(1970, 1, 1))).TotalSeconds;
var buyTrades = trades.Where(x => (x.OpenTime >= startSeconds && x.OpenTime < endSeconds) && x.Cmd == TradeCommand.Buy).Count();
var sellTrades = trades.Where(x => (x.OpenTime >= startSeconds && x.OpenTime < endSeconds) && x.Cmd == TradeCommand.Sell).Count();
var positiveBuyTrades = trades.Where(x => (x.OpenTime >= startSeconds && x.OpenTime < endSeconds) && x.Cmd == TradeCommand.Buy && x.Profit > 0).Count();
var positiveSellTrades = trades.Where(x => (x.OpenTime >= startSeconds && x.OpenTime < endSeconds) && x.Cmd == TradeCommand.Sell && x.Profit > 0).Count();
var winRate = new double();
if (buyTrades == 0 && sellTrades == 0)
{
winRate = 0;
}
else
{
winRate = Math.Round((Convert.ToDouble(positiveSellTrades + positiveBuyTrades) / Convert.ToDouble(buyTrades + sellTrades)) * 100, 2);
}
return(winRate);
}
else
{
return(0);
}
}
public static double CalculateAvgTradesForTimeline(int timelineId, List <TradeRecord> trades)
{
if (trades.Count > 0)
{
var startDate = new DateTime();
var endDate = new DateTime();
if (timelineId == (int)TimeLineEnum.Overall) //timelineid= 45
{
startDate = Dates.SecondsToDate(trades[0].OpenTime).Date;
}
else
{
startDate = Dates.GetStartDateByTimeLineID(timelineId, DateTime.Today.AddDays(-1).Date);
}
if (Timelines.timelinesTillToday.Contains(timelineId))
{
endDate = DateTime.Today.AddDays(-1).Date;
}
else
{
endDate = Dates.GetEndDateByTimeLineID(timelineId, startDate);
}
var startSeconds = (uint)(Int32)(startDate.Subtract(new DateTime(1970, 1, 1))).TotalSeconds;
var endSeconds = (uint)(Int32)(endDate.Subtract(new DateTime(1970, 1, 1))).TotalSeconds;
var buyTrades = trades.Where(x => (x.OpenTime >= startSeconds && x.OpenTime < endSeconds) && x.Cmd == TradeCommand.Buy).Count();
var sellTrades = trades.Where(x => (x.OpenTime >= startSeconds && x.OpenTime < endSeconds) && x.Cmd == TradeCommand.Sell).Count();
var numberOfDays = (endDate - startDate).TotalDays;
var avgTrades = Math.Round(((buyTrades + sellTrades) / numberOfDays), 2);
return(avgTrades);
}
else
{
return(0);
}
}
public static double GetProfitLossByTimeline(int timelineId, DailyEquity dailyEquity, List <TradeRecord> trades)
{
if (trades.Count > 0)
{
var startDate = new DateTime();
var endDate = new DateTime();
if (timelineId == (int)TimeLineEnum.Overall) //timelineid= 45
{
startDate = Dates.SecondsToDate(trades[0].OpenTime).Date;
}
else
{
startDate = Dates.GetStartDateByTimeLineID(timelineId, DateTime.Today.AddDays(-1).Date);
}
if (Timelines.timelinesTillToday.Contains(timelineId))
{
endDate = DateTime.Today.AddDays(-1).Date;
}
else
{
endDate = Dates.GetEndDateByTimeLineID(timelineId, startDate);
}
var startSeconds = (uint)(Int32)(startDate.Subtract(new DateTime(1970, 1, 1))).TotalSeconds;
var endSeconds = (uint)(Int32)(endDate.Subtract(new DateTime(1970, 1, 1))).TotalSeconds;
var buyTrades = trades.Where(x => (x.OpenTime >= startSeconds && x.OpenTime < endSeconds) && x.Cmd == TradeCommand.Buy).Sum(x => x.Profit);
var sellTrades = trades.Where(x => (x.OpenTime >= startSeconds && x.OpenTime < endSeconds) && x.Cmd == TradeCommand.Sell).Sum(x => x.Profit);
var profitLoss = buyTrades + sellTrades;
return(profitLoss);
}
else
{
return(0);
}
}
public static double GetStartingBalanceByTimeline(int timelineId, DailyEquity dailyEquity, List <TradeRecord> trades)
{
if (dailyEquity != null && dailyEquity.EquityByDate.Count > 0)
{
var startDate = new DateTime();
var endDate = new DateTime();
if (timelineId == (int)TimeLineEnum.Overall) //timelineid= 45
{
startDate = Dates.SecondsToDate(trades[0].OpenTime).Date;
}
else
{
startDate = Dates.GetStartDateByTimeLineID(timelineId, DateTime.Today.AddDays(-1).Date);
}
var startingBalance = dailyEquity.EquityByDate.Where(x => x.date == startDate.ToString()).Select(x => x.Equity).FirstOrDefault();
return(startingBalance);
}
else
{
return(0);
}
}
public static double CalculateROIForTimeline(int timelineId, DailyEquity dailyEquity, List <TradeRecord> trades)
{
if (trades.Count > 0 && dailyEquity.EquityByDate.Count > 0)
{
var startDate = new DateTime();
var endDate = new DateTime();
if (timelineId == (int)TimeLineEnum.Overall) //timelineid= 45
{
startDate = Convert.ToDateTime(dailyEquity.EquityByDate[0].date);
}
else
{
startDate = Dates.GetStartDateByTimeLineID(timelineId, DateTime.Today.AddDays(-1).Date);
}
if (Timelines.timelinesTillToday.Contains(timelineId))
{
endDate = DateTime.Today.AddDays(-1).Date;
}
else
{
endDate = Dates.GetEndDateByTimeLineID(timelineId, startDate);
}
var startingBalance = new double();
if (dailyEquity.EquityByDate.Where(x => x.date == startDate.AddDays(-1).ToString()).FirstOrDefault() == null)
{
startingBalance = dailyEquity.EquityByDate[0].EquityWithoutWithdrawn;
startDate = Convert.ToDateTime(dailyEquity.EquityByDate[0].date).AddDays(1).Date;
}
else
{
startingBalance = dailyEquity.EquityByDate.Where(x => x.date == startDate.AddDays(-1).ToString()).Select(x => x.EquityWithoutWithdrawn).FirstOrDefault();
}
var startSeconds = (uint)(Int32)(startDate.Subtract(new DateTime(1970, 1, 1))).TotalSeconds;
var endSeconds = (uint)(Int32)(endDate.Subtract(new DateTime(1970, 1, 1))).TotalSeconds;
var buyTrades = trades.Where(x => (x.OpenTime >= startSeconds && x.OpenTime < endSeconds) && x.Cmd == TradeCommand.Buy).Sum(x => x.Profit);
var sellTrades = trades.Where(x => (x.OpenTime >= startSeconds && x.OpenTime < endSeconds) && x.Cmd == TradeCommand.Sell).Sum(x => x.Profit);
var Deposits = trades.Where(x => (x.OpenTime >= startSeconds && x.OpenTime < endSeconds) && (x.Cmd == TradeCommand.Balance || x.Cmd == TradeCommand.Credit) &&
x.Profit > 0).Sum(x => x.Profit);
var tradesAndDeposits = Deposits + buyTrades + sellTrades;
var endingBalance = startingBalance + tradesAndDeposits;
var roi = Math.Round(((endingBalance - (startingBalance + Deposits)) / (startingBalance + Deposits)) * 100, 2);
if (startingBalance == 0)
{
return(0);
}
else
{
return(roi);
}
}
else
{
return(0);
}
}
public static double CalculateDDForTimeline(int timelineId, DailyEquity dailyEquity, List <TradeRecord> trades)
{
if (dailyEquity.EquityByDate.Count > 0)
{
if (dailyEquity.AccountNumber == 442842)
{
var a = "";
}
var startDate = new DateTime();
var endDate = new DateTime();
if (timelineId == (int)TimeLineEnum.Overall) //timelineid= 45
{
startDate = Convert.ToDateTime(dailyEquity.EquityByDate[0].date);
}
else
{
startDate = Dates.GetStartDateByTimeLineID(timelineId, DateTime.Today.AddDays(-1).Date);
}
if (Timelines.timelinesTillToday.Contains(timelineId))
{
endDate = DateTime.Today.AddDays(-1).Date;
}
else
{
endDate = Dates.GetEndDateByTimeLineID(timelineId, startDate);
}
var firstTradeTime = trades.Where(x => x.Cmd == TradeCommand.Buy || x.Cmd == TradeCommand.Sell).OrderBy(x => x.OpenTime).Select(x => x.OpenTime).FirstOrDefault();
var firstTradeDate = new DateTime(1970, 1, 1, 0, 0, 1, 0).AddSeconds(firstTradeTime).Date;
if (timelineId == (int)TimeLineEnum.Overall) //timelineid= 45
{
if (startDate != firstTradeDate)
{
startDate = firstTradeDate;
}
}
else
{
if (startDate < firstTradeDate && firstTradeDate < endDate)
{
startDate = firstTradeDate;
}
}
var startIndex = dailyEquity.EquityByDate.Where(x => x.date == startDate.AddDays(-1).ToString()).FirstOrDefault() == null ? 0 :
dailyEquity.EquityByDate.IndexOf(dailyEquity.EquityByDate.Where(x => x.date == startDate.ToString()).FirstOrDefault());
var endIndex = dailyEquity.EquityByDate.IndexOf(dailyEquity.EquityByDate.Where(x => x.date == endDate.ToString()).FirstOrDefault()) < 0 ? 0 :
dailyEquity.EquityByDate.IndexOf(dailyEquity.EquityByDate.Where(x => x.date == endDate.ToString()).FirstOrDefault());
var NavsByTimeline = dailyEquity.EquityByDate.Skip(dailyEquity.EquityByDate.Where(x => x.date == startDate.AddDays(-1).ToString()).FirstOrDefault() == null ? 0 : startIndex + 1).Take(endIndex - startIndex).ToList();
var lowestNav = NavsByTimeline.OrderBy(x => x.EquityWithoutWithdrawn).FirstOrDefault();
var lowestIndex = NavsByTimeline.IndexOf(lowestNav);
var dd = new double();
if (lowestIndex > 0)
{
var NAVBeforeLowestIndex = NavsByTimeline.Take(lowestIndex + 1);
var highestNAV = NAVBeforeLowestIndex.OrderByDescending(x => x.EquityWithoutWithdrawn).FirstOrDefault();
if (highestNAV.EquityWithoutWithdrawn != 0)
{
dd = Math.Round(((lowestNav.EquityWithoutWithdrawn - highestNAV.EquityWithoutWithdrawn) / highestNAV.EquityWithoutWithdrawn) * 100, 2);
}
else
{
dd = 0;
}
}
else
{
dd = 0;
}
return(dd);
}
else
{
return(0);
}
}
public static double CalculateSharpRatioForTimeline(int timelineId, DailyEquity dailyEquity, ObjectId datasourceId, Datasource datasource, List <TradeRecord> trades)
{
if (dailyEquity.EquityByDate.Count > 0)
{
var startDate = new DateTime();
var endDate = new DateTime();
if (timelineId == (int)TimeLineEnum.Overall) //timelineid= 45
{
startDate = Convert.ToDateTime(dailyEquity.EquityByDate[0].date);
}
else
{
startDate = Dates.GetStartDateByTimeLineID(timelineId, DateTime.Today.AddDays(-1).Date);
}
if (Timelines.timelinesTillToday.Contains(timelineId))
{
endDate = DateTime.Today.AddDays(-1).Date;
}
else
{
endDate = Dates.GetEndDateByTimeLineID(timelineId, startDate).AddDays(-1);
}
var firstTradeTime = trades.Where(x => x.Cmd == TradeCommand.Buy || x.Cmd == TradeCommand.Sell).OrderBy(x => x.OpenTime).Select(x => x.OpenTime).FirstOrDefault();
var firstTradeDate = new DateTime(1970, 1, 1, 0, 0, 1, 0).AddSeconds(firstTradeTime).Date;
if (timelineId == (int)TimeLineEnum.Overall) //timelineid= 45
{
if (startDate != firstTradeDate)
{
startDate = firstTradeDate;
}
}
else
{
if (startDate < firstTradeDate && firstTradeDate < endDate)
{
startDate = firstTradeDate;
}
}
var riskFreeRate = Timelines.MasterTimelines.Any(x => x == timelineId) ? datasource.RateOfReturns.Where(x => x.TimelineId == timelineId).FirstOrDefault().RateOfReturn
: Convert.ToDouble(ConfigurationManager.AppSettings["RiskFreeRateForSharpeRatio"]);
var NavsForStatndardDeviaition = dailyEquity.EquityByDate.Where(x => Convert.ToDateTime(x.date) >= startDate && Convert.ToDateTime(x.date) <= endDate)
.Select(x => x.SharpeRatioReturn).ToList();
var startingNav = dailyEquity.EquityByDate.Where(x => x.date == startDate.ToString()).Select(x => x.EquityWithoutWithdrawn).FirstOrDefault() == 0 ?
dailyEquity.EquityByDate.Where(x => x.date == endDate.ToString()).Select(x => x.EquityWithoutWithdrawn).FirstOrDefault() == 0 ? 0 : dailyEquity.EquityByDate[0].EquityWithoutWithdrawn :
dailyEquity.EquityByDate.Where(x => x.date == startDate.ToString()).Select(x => x.EquityWithoutWithdrawn).FirstOrDefault();
var endingNav = dailyEquity.EquityByDate.Where(x => x.date == endDate.ToString()).Select(x => x.EquityWithoutWithdrawn).FirstOrDefault() == 0 ? 0 :
dailyEquity.EquityByDate.Where(x => x.date == endDate.ToString()).Select(x => x.EquityWithoutWithdrawn).FirstOrDefault();
if (startingNav == 0 || startingNav == endingNav || NavsForStatndardDeviaition.Count == 0)
{
return(0);
}
else
{
var portfolioReturn = (endingNav - startingNav) / startingNav;
//var standardDev = calculateStandardDeviation(new List<double> { startingNav, endingNav });
var standardDev = calculateStandardDeviation(NavsForStatndardDeviaition);
var sharpeRatio = Math.Round((portfolioReturn - (Convert.ToDouble(riskFreeRate) / 100)) / standardDev, 2);
return(sharpeRatio);
}
}
else
{
return(0);
}
}