public virtual IBacktestResult GetResult()
{
var tradeEngine = Robot.Trade;
var trades = tradeEngine.Trades.ToList();
var result = new BacktestResult
{
TotalTradesNumber = trades.Count,
LongTradesNumber = trades.Where(iTrade => iTrade.Order.TradeType == TradeType.Buy).Count(),
ShortTradesNumber = trades.Where(iTrade => iTrade.Order.TradeType == TradeType.Sell).Count(),
NetProfit = trades.Select(iTrade => iTrade.Order.NetProfit).Sum(),
WinningRate = trades.Count > 0 ? trades.Where(iTrade => iTrade.Order.NetProfit > 0).Count() / (double)trades.Count * 100 : 0,
};
var grossProfit = trades.Where(iTrade => iTrade.Order.GrossProfit > 0).Sum(iTrade => iTrade.Order.GrossProfit);
var grossLoss = trades.Where(iTrade => iTrade.Order.GrossProfit < 0).Sum(iTrade => Math.Abs(iTrade.Order.GrossProfit));
result.ProfitFactor = grossLoss > 0 ? grossProfit / grossLoss : grossProfit;
result.MaxEquityDrawdown = MaxDrawdownCalculator.GetMaxDrawdown(Robot.Account.EquityChanges);
result.MaxBalanceDrawdown = MaxDrawdownCalculator.GetMaxDrawdown(Robot.Account.BalanceChanges);
result.Commission = trades.Sum(iTrade => iTrade.Order.Commission);
if (Robot.Account.CurrentBalance > 0)
{
var depositTransaction = Robot.Account.Transactions.FirstOrDefault(iTransaction => iTransaction.Amount > 0);
if (depositTransaction != null && trades.Any())
{
var initialDeposit = depositTransaction.Amount;
var tradeData = trades.Select(iTrade => iTrade.Order.NetProfit);
result.SharpeRatio = SharpeRatioCalculator.GetSharpeRatio(tradeData);
result.SortinoRatio = SortinoRatioCalculator.GetSortinoRatio(tradeData);
}
}
var winningTrades = trades.Where(iTrade => iTrade.Order.NetProfit > 0);
var losingTrades = trades.Where(iTrade => iTrade.Order.NetProfit < 0);
result.AverageProfit = winningTrades.Count() > 0 ? winningTrades.Average(iTrade => iTrade.Order.NetProfit) : 0;
result.AverageLoss = losingTrades.Count() > 0 ? losingTrades.Average(iTrade => iTrade.Order.NetProfit) : 0;
result.AverageReturn = trades.Count > 0 ? trades.Average(iTrade => iTrade.Order.NetProfit) : 0;
if (trades.Any())
{
var durationAverageInHours = trades.Select(iTrade => iTrade.Duration.TotalHours).Average();
result.AverageTradeDuration = TimeSpan.FromHours(durationAverageInHours);
result.AverageBarsPeriod = trades.Select(iTrade => iTrade.BarsPeriod).Average();
}
return(result);
}
public override void CloseMarketOrder(MarketOrder order, CloseReason closeReason)
{
if (_orders.Contains(order))
{
_orders.Remove(order);
}
var exitPrice = order.TradeType == TradeType.Buy ? order.Symbol.GetPrice(TradeType.Sell) :
order.Symbol.GetPrice(TradeType.Buy);
var barsPeriod = order.Symbol.Bars.Time.Where(iBarTime => iBarTime >= order.OpenTime).Count();
var tradingEvent = new TradingEvent(Server.CurrentTime, TradingEventType.MarketOrderClosed, order, string.Empty);
_journal.Add(tradingEvent);
Account.ChangeMargin(-order.MarginUsed, Server.CurrentTime, string.Empty, AccountChangeType.Trading);
Account.ChangeBalance(order.NetProfit, Server.CurrentTime, string.Empty, AccountChangeType.Trading);
var tradeData = Trades.Select(iTrade => iTrade.Order.NetProfit);
var sharpeRatio = SharpeRatioCalculator.GetSharpeRatio(tradeData);
var sortinoRatio = SortinoRatioCalculator.GetSortinoRatio(tradeData);
var equityMaxDrawDown = MaxDrawdownCalculator.GetMaxDrawdown(Account.EquityChanges);
var balanceMaxDrawDown = MaxDrawdownCalculator.GetMaxDrawdown(Account.BalanceChanges);
var id = _trades.Count + 1;
var tradeParameters = new TradeParameters
{
Id = id,
Order = order,
ExitTime = Server.CurrentTime,
ExitPrice = exitPrice,
Balance = Account.CurrentBalance,
Equity = Account.Equity,
BalanceMaxDrawDown = balanceMaxDrawDown,
EquityMaxDrawDown = equityMaxDrawDown,
BarsPeriod = barsPeriod,
CloseReason = closeReason,
SharpeRatio = sharpeRatio,
SortinoRatio = sortinoRatio
};
var trade = new Trade(tradeParameters);
_trades.Add(trade);
}
public void GetMaxDrawdownZeroTest()
{
var changes = new List <IAccountChange>
{
new AccountChange(1000, 100, DateTimeOffset.Now.AddDays(-10), string.Empty, AccountChangeType.Deposit),
new AccountChange(1100, 100, DateTimeOffset.Now.AddDays(-9), string.Empty, AccountChangeType.Trading),
new AccountChange(1200, 100, DateTimeOffset.Now.AddDays(-8), string.Empty, AccountChangeType.Trading),
};
var actualDrawdown = MaxDrawdownCalculator.GetMaxDrawdown(changes);
var expectedDrawdown = 0;
Assert.AreEqual(expectedDrawdown, actualDrawdown);
}
