/// <summary>
/// Inits the values from already calculated statistics.
/// </summary>
/// <param name="stats">Other stattistics object.</param>
public void InitFromStrategyTickerPairStatistics(StrategyTickerPairStatistics stats)
{
WinPercent = stats.WinPercent;
LossPercent = stats.LossPercent;
ProfitTargetPercent = stats.ProfitTargetPercent;
StopLossPercent = stats.StopLossPercent;
LengthExceededPercent = stats.LengthExceededPercent;
Gain = stats.Gain;
NumberOfOrders = stats.NumberOfOrders;
LargestWinner = stats.LargestWinner;
LargestWinnerBuyDate = stats.LargestWinnerBuyDate;
LargestLoser = stats.LargestLoser;
LargestLoserBuyDate = stats.LargestLoserBuyDate;
MostConsecutiveLosers = stats.MostConsecutiveLosers;
MostConsecutiveLosersDate = stats.MostConsecutiveLosersDate;
MaxDrawdown = stats.MaxDrawdown;
MaxDrawdownDate = stats.MaxDrawdownDate;
ProfitFactor = stats.ProfitFactor;
ProfitFactorLargest = stats.ProfitFactorLargest;
LongWinPercent = stats.LongWinPercent;
LongLossPercent = stats.LongLossPercent;
LongProfitTargetPercent = stats.LongProfitTargetPercent;
LongStopLossPercent = stats.LongStopLossPercent;
LongLengthExceededPercent = stats.LongLengthExceededPercent;
LongNumberOfOrders = stats.LongNumberOfOrders;
LongWinAvg = stats.LongWinAvg;
LongWinAvgPercent = stats.LongWinAvgPercent;
LongLossAvg = stats.LongLossAvg;
LongLossAvgPercent = stats.LongLossAvgPercent;
ShortWinPercent = stats.ShortWinPercent;
ShortLossPercent = stats.ShortLossPercent;
ShortProfitTargetPercent = stats.ShortProfitTargetPercent;
ShortStopLossPercent = stats.ShortStopLossPercent;
ShortLengthExceededPercent = stats.ShortLengthExceededPercent;
ShortNumberOfOrders = stats.ShortNumberOfOrders;
ShortWinAvg = stats.ShortWinAvg;
ShortWinAvgPercent = stats.ShortWinAvgPercent;
ShortLossAvg = stats.ShortLossAvg;
ShortLossAvgPercent = stats.ShortLossAvgPercent;
AverageOrderLength = stats.AverageOrderLength;
AverageProfitOrderLength = stats.AverageProfitOrderLength;
AverageStopOrderLength = stats.AverageStopOrderLength;
}
/// <summary>
/// Outputs the all the statistics for all strategies and the overall stats for each.
/// </summary>
void OutputStrategyStats()
{
if (Simulator.Config.UseAbbreviatedOutput == true)
{
return;
}
ConcurrentBag<StrategyStatistics> allStrategyStatistics = new ConcurrentBag<StrategyStatistics>();
#if DEBUG
foreach (KeyValuePair<int, ConcurrentBag<Order>> strategy in Simulator.Orders.StrategyDictionary)
#else
Parallel.ForEach(Simulator.Orders.StrategyDictionary, strategy =>
#endif
{
string jsonOutput;
string folderName;
string filename;
ConcurrentBag<Order> orders = strategy.Value;
if (orders.Count > Simulator.Config.MinRequiredOrders)
{
// Get the strategy name but skip the main strategy as it gets process differently.
string strategyName = orders.First().StrategyName;
if (strategyName == "MainStrategy")
{
#if DEBUG
continue;
#else
return;
#endif
}
Dictionary<int, StrategyTickerPairStatistics> tickersForThisStrategy = new Dictionary<int, StrategyTickerPairStatistics>();
StrategyStatistics stratStats = new StrategyStatistics(strategyName, orders.First().Type);
// Catagorize and total all the orders for this strategy by the ticker they are associated with.
foreach (Order order in orders)
{
int tickerHash = order.Ticker.TickerAndExchange.GetHashCode();
string tickerName = order.Ticker.TickerAndExchange.ToString();
// If we haven't created the output for this ticker then create it.
if (!tickersForThisStrategy.ContainsKey(tickerHash))
{
tickersForThisStrategy[tickerHash] = new StrategyTickerPairStatistics(strategyName, tickerName, order.DependentIndicatorNames);
}
tickersForThisStrategy[tickerHash].AddOrder(order);
stratStats.AddOrder(order);
}
stratStats.CalculateStatistics();
allStrategyStatistics.Add(stratStats);
// Output the info about each ticker for this strategy.
List<StrategyStatistics> overallList = new List<StrategyStatistics>();
foreach (KeyValuePair<int, StrategyTickerPairStatistics> item in tickersForThisStrategy)
{
// This hasn't been calculated yet.
item.Value.CalculateStatistics();
// Save the info for this strategy by the ticker.
jsonOutput = JsonConvert.SerializeObject(item.Value);
folderName = _outputFolder + "strategies\\" + strategyName;
filename = folderName + "\\" + item.Value.TickerName + ".json";
Directory.CreateDirectory(folderName);
File.WriteAllText(filename, jsonOutput);
// Save for the overall stats to be outputted later.
// Order type doesn't matter for tickers and will get ignored in the web display.
StrategyStatistics tickerStats = new StrategyStatistics(item.Value.TickerName, Order.OrderType.Long);
tickerStats.InitFromStrategyTickerPairStatistics(item.Value);
overallList.Add(tickerStats);
}
// Output the overall stats for this strategy.
jsonOutput = JsonConvert.SerializeObject(overallList);
folderName = _outputFolder + "strategies\\" + strategyName;
filename = folderName + "\\overall.json";
Directory.CreateDirectory(folderName);
File.WriteAllText(filename, jsonOutput);
}
#if DEBUG
}
#else
});
#endif
string overallJsonOutput = JsonConvert.SerializeObject(allStrategyStatistics.ToArray());
string overallFilename = _outputFolder + "overall-strategies.json";
File.WriteAllText(overallFilename, overallJsonOutput);
}