//Runs the backtest and displays the chart with buy/sell/exit icons.
private string RunBacktest()
{
string ret = string.Empty;
try
{
oScript.ClearRecords();
oBacktest.ClearRecords();
if (!VerifyForm())
{
return(string.Empty);
}
if (!TestScripts())
{
return(string.Empty);
}
if (m_ctlData == null)
{
return(string.Empty);
}
cmdBacktest.Text = "&Stop Backtest";
EnableControls(false);
Periodicity periodicity;
switch (cboPeriodicity.Text)
{
case "Minute":
periodicity = Periodicity.Minutely;
break;
case "Hour":
periodicity = Periodicity.Hourly;
break;
case "Day":
periodicity = Periodicity.Daily;
break;
case "Week":
periodicity = Periodicity.Weekly;
break;
default:
periodicity = Periodicity.Minutely;
break;
}
cmdBacktest.Enabled = false;
Telerik.WinControls.UI.Docking.DockWindow activeDoc = frmMain2.GInstance.radDock2.DocumentManager.ActiveDocument;
//Get the data selection
M4Core.Entities.ChartSelection selection = new M4Core.Entities.ChartSelection
{
Periodicity = (M4Core.Entities.Periodicity)periodicity,
Symbol = txtSymbol.Text,
Interval = Convert.ToInt32(txtInterval.Text),
Bars = Convert.ToInt32(txtBars.Text)
};
m_ctlData.LoadRealTimeCtlPainelChartAsync2(selection, new Action <CtlPainelChart>(chart =>
{
m_chart = chart;
if (m_chart == null)
{
goto Quit;
}
DataManager.BarData[] bars = m_chart.GetDataFromChart();
if (bars.Length < 1)
{
goto Quit;
}
m_chart.Subscribers += 1;
m_chart.RealTimeUpdates = false;
//Get historic data
cmdBacktest.Enabled = true;
if (bars.Length < 3)
{
goto Quit; //Bad request
}
//Insert the data into all four instances of TradeScript
oScript.ClearRecords();
oBacktest.ClearRecords();
DateTime td;
double jdate;
for (int n = 1; n < bars.Length - 1; n++)
{
td = bars[n].TradeDate;
jdate = oScript.ToJulianDate(td.Year, td.Month, td.Day, td.Hour, td.Minute, td.Second, 0);
oScript.AppendRecord(jdate, bars[n].OpenPrice, bars[n].HighPrice,
bars[n].LowPrice, bars[n].ClosePrice, (int)bars[n].Volume);
oBacktest.AppendRecord(jdate, bars[n].OpenPrice, bars[n].HighPrice,
bars[n].LowPrice, bars[n].ClosePrice, (int)bars[n].Volume);
}
//TODO
ret = oBacktest.Backtest(txtBuyScript, txtSellScript, txtExitLongScript, txtExitShortScript, 0.001);
if (string.IsNullOrEmpty(ret))
{
goto Quit;
}
string output =
oScript.GetScriptOutput(txtBuyScript + " AND \r\n" + txtSellScript + " AND \r\n" + txtExitLongScript +
" AND \r\n" + txtExitShortScript);
if (string.IsNullOrEmpty(output))
{
goto Quit;
}
int row;
string[] cols;
int col;
string[] rows = output.Split(new[] { "\r\n" }, StringSplitOptions.RemoveEmptyEntries);
string[] Header = SplitHeader(rows[0]);
//StockChartX
AxSTOCKCHARTXLib.AxStockChartX StockChartX1 = m_chart.StockChartX1;
StockChartX1.RemoveAllSeries();
string symbol = selection.Symbol;
StockChartX1.Symbol = symbol;
StockChartX1.AddChartPanel();
StockChartX1.AddSeries(symbol + ".open", STOCKCHARTXLib.SeriesType.stCandleChart, 0);
StockChartX1.AddSeries(symbol + ".high", STOCKCHARTXLib.SeriesType.stCandleChart, 0);
StockChartX1.AddSeries(symbol + ".low", STOCKCHARTXLib.SeriesType.stCandleChart, 0);
StockChartX1.AddSeries(symbol + ".close", STOCKCHARTXLib.SeriesType.stCandleChart, 0);
StockChartX1.set_SeriesColor(symbol + ".close", ColorTranslator.ToOle(Color.Black));
//OLD BEHAVIOR: Add generic serie
/*
* for (col = 6; col < Header.Length; col++)
* {
* int panel = 0;
* panel = StockChartX1.AddChartPanel();
*
* StockChartX1.AddSeries(Header[col], STOCKCHARTXLib.SeriesType.stLineChart, panel);
*
* System.Drawing.Color color;
* switch (col)
* {
* case 6:
* color = System.Drawing.Color.Blue;
* break;
* case 7:
* color = System.Drawing.Color.Red;
* break;
* case 8:
* color = System.Drawing.Color.Green;
* break;
* case 9:
* color = System.Drawing.Color.Orange;
* break;
* case 10:
* color = System.Drawing.Color.Purple;
* break;
* default:
* color = System.Drawing.Color.Blue;
* break;
* }
* StockChartX1.set_SeriesColor(Header[col], System.Drawing.ColorTranslator.ToOle(color));
*
* }*/
for (row = 1; row < rows.Length; row++)
{
cols = rows[row].Split(',');
jdate = GetJDate(cols[0]);
StockChartX1.AppendValue(symbol + ".open", jdate, Convert.ToDouble(cols[1], ciEnUs));
StockChartX1.AppendValue(symbol + ".high", jdate, Convert.ToDouble(cols[2], ciEnUs));
StockChartX1.AppendValue(symbol + ".low", jdate, Convert.ToDouble(cols[3], ciEnUs));
StockChartX1.AppendValue(symbol + ".close", jdate, Convert.ToDouble(cols[4], ciEnUs));
//OLD BEHAVIOR: Add generic serie
/*
* for (col = 6; col < cols.Length; col++)
* {
* double value = Convert.ToDouble(cols[col], ciEnUs);
* if (value == 0 && row < rows.Length * 0.2)
* {
* value = (double)STOCKCHARTXLib.DataType.dtNullValue;
* }
*
* StockChartX1.AppendValue(Header[col], jdate, value);
* }
*/
}
//NEW BEHAVIOR: Add known indicators (it doesnt work with others indicators!)
for (col = 6; col < Header.Length; col++)
{
//Try to add until available key isnt found:
bool errorKey = true;
int indicatorKey = 1;
while (errorKey)
{
try
{
System.Drawing.Color color;
switch (col)
{
case 6:
color = System.Drawing.Color.Blue;
break;
case 7:
color = System.Drawing.Color.Red;
break;
case 8:
color = System.Drawing.Color.Green;
break;
case 9:
color = System.Drawing.Color.Orange;
break;
case 10:
color = System.Drawing.Color.Purple;
break;
default:
color = System.Drawing.Color.Blue;
break;
}
//param[0 1 2 3]
// MM(1,14,CLOSE,0)
if (Header[col].Contains("MM("))
{
string indScript = Header[col].Replace("MM(", "");
indScript = indScript.Replace(")", "");
string[] param = indScript.Split(new char[] { ',' });
string source = symbol + ".Close";
switch (param[2])
{
case "OPEN":
source = symbol + ".Open";
break;
case "HIGH":
source = symbol + ".High";
break;
case "LOW":
source = symbol + ".Low";
break;
default:
source = symbol + ".Close";
break;
}
StockChartX1.AddIndicatorGenericMovingAverage("MA" + indicatorKey, 0, source,
int.Parse(param[1]), int.Parse(param[3]), int.Parse(param[0]), 0, color.R,
color.G,
color.B, 0, 1);
}
errorKey = false;
}
catch (Exception ex)
{
if (ex.Message == "Key not unique")
{
errorKey = true;
indicatorKey++;
}
else
{
Telerik.WinControls.RadMessageBox.Show(ex.Message);
}
}
}
}
StockChartX1.Update();
Quit:
if (m_chart != null)
{
m_chart.Show();
}
cmdBacktest.Text = "&Back Test";
EnableControls(true);
if (m_chart != null)
{
m_chart.Subscribers -= 1;
}
})); //Ensure the chart is new
while (ret == string.Empty)
{
Application.DoEvents();
}
}
catch (Exception ex) { }
return(ret);
}
//Runs the backtest and displays the chart with buy/sell/exit icons.
private string RunBacktest()
{
string ret = string.Empty;
_oScript.ClearRecords();
_oBacktest.ClearRecords();
if (!VerifyForm())
{
return(string.Empty);
}
if (!TestScripts())
{
return(string.Empty);
}
if (_mCtlData == null)
{
return(string.Empty);
}
cmdBacktest.Text = "&Stop Backtest";
cmdBacktest.Border.BaseColor = Color.Red;
EnableControls(false);
cmdBacktest.Border.Update();
Periodicity periodicity;
switch (cboPeriodicity.Text)
{
case "Day":
periodicity = Periodicity.Daily;
break;
case "Hour":
periodicity = Periodicity.Hourly;
break;
case "Minute":
periodicity = Periodicity.Minutely;
break;
case "Week":
periodicity = Periodicity.Weekly;
break;
case "Month":
periodicity = Periodicity.Month;
break;
case "Year":
periodicity = Periodicity.Year;
break;
default:
periodicity = Periodicity.Minutely;
break;
}
cmdBacktest.Enabled = false;
//Get the data selection
ChartSelection selection = new ChartSelection
{
Periodicity = periodicity,
Symbol = txtSymbol.Text,
Interval = Convert.ToInt32(txtInterval.Text),
Bars = Convert.ToInt32(txtBars.Text),
Source = "PLENA"
};
_ctlPainelChart = _mCtlData.GetCtlPainelChart(selection, true); //Ensure the chart is new
if (_ctlPainelChart == null)
{
goto Quit;
}
DataManager.BarData[] bars = _ctlPainelChart.GetDataFromChart();
if (bars.Length < 1)
{
goto Quit;
}
_ctlPainelChart.Subscribers += 1;
_ctlPainelChart.RealTimeUpdates = false;
//Get historic data
cmdBacktest.Enabled = true;
if (bars.Length < 3)
{
goto Quit; //Bad request
}
//Insert the data into all four instances of TradeScript
_oScript.ClearRecords();
_oBacktest.ClearRecords();
DateTime td;
double jdate;
for (int n = 1; n < bars.Length - 1; n++)
{
td = bars[n].TradeDate;
jdate = _oScript.ToJulianDate(td.Year, td.Month, td.Day, td.Hour, td.Minute, td.Second, 0);
_oScript.AppendRecord(jdate, bars[n].OpenPrice, bars[n].HighPrice,
bars[n].LowPrice, bars[n].ClosePrice, (int)bars[n].Volume);
_oBacktest.AppendRecord(jdate, bars[n].OpenPrice, bars[n].HighPrice,
bars[n].LowPrice, bars[n].ClosePrice, (int)bars[n].Volume);
}
//TODO
ret = _oBacktest.Backtest(txtBuyScript.Text, txtSellScript.Text, txtExitLongScript.Text, txtExitShortScript.Text, 0.001);
if (string.IsNullOrEmpty(ret))
{
goto Quit;
}
string output =
_oScript.GetScriptOutput(txtBuyScript.Text + " AND \r\n" + txtSellScript.Text + " AND \r\n" + txtExitLongScript.Text +
" AND \r\n" + txtExitShortScript.Text);
if (string.IsNullOrEmpty(output))
{
goto Quit;
}
int row;
string[] cols;
int col;
string[] rows = output.Split(new[] { "\r\n" }, StringSplitOptions.RemoveEmptyEntries);
string[] header = SplitHeader(rows[0]);
//StockChartX
AxSTOCKCHARTXLib.AxStockChartX StockChartX1 = _ctlPainelChart.StockChartX1;
StockChartX1.RemoveAllSeries();
string symbol = selection.Symbol;
StockChartX1.Symbol = symbol;
StockChartX1.AddChartPanel();
StockChartX1.AddSeries(symbol + ".open", STOCKCHARTXLib.SeriesType.stCandleChart, 0);
StockChartX1.AddSeries(symbol + ".high", STOCKCHARTXLib.SeriesType.stCandleChart, 0);
StockChartX1.AddSeries(symbol + ".low", STOCKCHARTXLib.SeriesType.stCandleChart, 0);
StockChartX1.AddSeries(symbol + ".close", STOCKCHARTXLib.SeriesType.stCandleChart, 0);
StockChartX1.set_SeriesColor(symbol + ".close", ColorTranslator.ToOle(Color.Black));
bool hasVolume = bars[0].Volume != -987654321;
if (hasVolume)
{
StockChartX1.AddChartPanel();
StockChartX1.AddSeries(symbol + ".volume", STOCKCHARTXLib.SeriesType.stVolumeChart, 1);
StockChartX1.set_SeriesColor(symbol + ".volume", ColorTranslator.ToOle(Color.Blue));
StockChartX1.set_SeriesWeight(symbol + ".volume", 3);
StockChartX1.VolumePostfixLetter = "M"; //Google trades in millions
}
for (col = 6; col < header.Length; col++)
{
int panel = StockChartX1.AddChartPanel();
StockChartX1.AddSeries(header[col], STOCKCHARTXLib.SeriesType.stLineChart, panel);
Color color;
switch (col)
{
case 6:
color = Color.Blue;
break;
case 7:
color = Color.Red;
break;
case 8:
color = Color.Green;
break;
case 9:
color = Color.Orange;
break;
case 10:
color = Color.Purple;
break;
default:
color = Color.Blue;
break;
}
StockChartX1.set_SeriesColor(header[col], ColorTranslator.ToOle(color));
}
for (row = 1; row < rows.Length; row++)
{
cols = rows[row].Split(',');
jdate = GetJDate(cols[0]);
StockChartX1.AppendValue(symbol + ".open", jdate, Convert.ToDouble(cols[1], _ciEnUs));
StockChartX1.AppendValue(symbol + ".high", jdate, Convert.ToDouble(cols[2], _ciEnUs));
StockChartX1.AppendValue(symbol + ".low", jdate, Convert.ToDouble(cols[3], _ciEnUs));
StockChartX1.AppendValue(symbol + ".close", jdate, Convert.ToDouble(cols[4], _ciEnUs));
if (hasVolume)
{
StockChartX1.AppendValue(symbol + ".volume", jdate, Convert.ToDouble(cols[5], _ciEnUs) / 1000000);
}
for (col = 6; col < cols.Length; col++)
{
double value = Convert.ToDouble(cols[col], _ciEnUs);
if (value == 0 && row < rows.Length * 0.2)
{
value = (double)STOCKCHARTXLib.DataType.dtNullValue;
}
StockChartX1.AppendValue(header[col], jdate, value);
}
}
StockChartX1.Update();
Quit:
if (_ctlPainelChart != null)
{
_ctlPainelChart.Show();
}
cmdBacktest.Text = "&Back Test";
cmdBacktest.Border.BaseColor = Color.Lime;
EnableControls(true);
cmdBacktest.Border.Update();
if (_ctlPainelChart != null)
{
_ctlPainelChart.Subscribers -= 1;
}
return(ret);
}
