private void Construct(StrategyResultStatistics input, List <double> equity, List <double> listMargin)
{
double value = 0;
if (equity.Count > 0)
{
value = equity[equity.Count - 1];
}
else
{
int pip = input.listEquity[0];
double temp = ForexSuite.SymbolsManager.ValueFromPips(m_TradingCurrency, pip);
value = ForexSuite.QuotesManager.ConvertCurrency(m_TradingCurrency, "USD", input.timeBars[0], temp);
}
int length = Math.Min(input.timeBars.Count, input.listEquity.Count);
for (int index = 1; index < length; ++index)
{
int pip = input.listEquity[index] - input.listEquity[index - 1];
double tempInCurrency = ForexSuite.SymbolsManager.ValueFromPips(m_TradingCurrency, pip);
tempInCurrency = ForexSuite.QuotesManager.ConvertCurrency(m_TradingCurrency, "USD", input.timeBars[index], tempInCurrency);
value += tempInCurrency;
equity.Add(value);
tempInCurrency = ForexSuite.SymbolsManager.ValueFromPips(m_MarginCurrency, input.listMargin[index] * 100);
listMargin.Add(ForexSuite.QuotesManager.ConvertCurrency(m_MarginCurrency, "USD",
input.timeBars[index], tempInCurrency));
}
}
public override double OptimizationFunction(StrategyParameter sParam, out StrategyResultStatistics srResult, string directory)
{
return(StandardOptimizationFunction(sParam, directory, new BuyLimitAndWaitStrategy(), new BuyLimitAndWaitConfigReader(), out srResult));
}
public override double OptimizationFunction(StrategyParameter sParam, out StrategyResultStatistics srResult, string directory)
{
return(StandardOptimizationFunction(sParam, directory, new PipsovikWeekendStrategy(), new PipsovikWeekendConfigReader(), out srResult));
}
public override double OptimizationFunction(StrategyParameter sParam, out StrategyResultStatistics srResult)
{
return(StandardOptimizationFunction(sParam, string.Empty, new SuperAdaptStrategy(), new SuperAdaptConfigReader(), out srResult));
}
public abstract double OptimizationFunction(StrategyParameter sParam, out StrategyResultStatistics srResult, string directory);
public double StandardOptimizationFunction(StrategyParameter sParam, string directory,
FxAdvisorCore.SimpleAdvisor advisor, ConfigReader configReader, out StrategyResultStatistics srResult)
{
srResult = new StrategyResultStatistics();
if (!IsValid(sParam))
{
return(Double.MinValue);
}
string cacheKey = CreateKey(SampleData.Symbol, sParam, SampleData.Data.First().DateTime, SampleData.Data.Last().DateTime);
if (cacheResult.ContainsKey(cacheKey))
{
return(cacheResult[cacheKey]);
}
using (Log4Smart.Logger logger = new Log4Smart.Logger(false))
{
string strategyName = System.Configuration.ConfigurationManager.AppSettings["ExportAdvisorName"];
try
{
Engine engine = new Engine(logger, logger);
advisor.TesterInit(sParam, logger);
Account acc = new Account(DefaultAccount.Balance, DefaultAccount.Commission);
engine.StartTest(SampleData, advisor, acc);
srResult = acc.Statistics;
if (!engine.IsTestSuccessfull)
{
if (string.IsNullOrEmpty(directory))
{
directory = Path.GetDirectoryName(System.Reflection.Assembly.GetEntryAssembly().Location);
}
string fullDir = directory + string.Format("/errors/{0}/{1}/{2}/", SampleData.Symbol, Guid.NewGuid().ToString(), StartTime.ToString("yyyyMMdd"));
configReader.SaveCurrentParameters(strategyName, sParam, fullDir);
logger.SaveLogToFile(fullDir, "error");
cacheResult[cacheKey] = Double.MinValue;
return(Double.MinValue);
}
if (sParam.Contains("MinAmountOrdersFLP") && acc.Statistics.NumberOrders < sParam["MinAmountOrdersFLP"] && string.IsNullOrEmpty(directory))
{
cacheResult[cacheKey] = Double.MinValue;
return(Double.MinValue);
}
if (!string.IsNullOrEmpty(directory))
{
string fullDir = directory + "/" + this.StartTime.ToString("yyyyMMdd") + "_" + (acc.Balance.ToString()) + "$";
configReader.SaveCurrentParameters(strategyName, sParam, fullDir);
logger.SaveLogToFile(fullDir, "allData");
}
if (DefaultAccount.Commission > 0)
{
cacheResult[cacheKey] = acc.Statistics.CalculateConfidenceIntervalLow;
}
else
{
cacheResult[cacheKey] = 10 - acc.Statistics.CalculateConfidenceIntervalHigh;
}
return(cacheResult[cacheKey]);
}
catch (Exception exc)
{
(logger as Log4Smart.IStrategyLogger).AddMessage("{0}", exc.ToString());
if (string.IsNullOrEmpty(directory))
{
directory = Path.GetDirectoryName(System.Reflection.Assembly.GetEntryAssembly().Location);
}
string fullDir = directory + string.Format("/errors/{0}/{1}/", SampleData.Symbol, StartTime.ToString("yyyyMMdd"));
configReader.SaveCurrentParameters(strategyName, sParam, fullDir);
logger.SaveLogToFile(fullDir, "error");
cacheResult[cacheKey] = Double.MinValue;
return(Double.MinValue);
}
}
}
public override double OptimizationFunction(StrategyParameter sParam, out StrategyResultStatistics srResult, string directory)
{
throw new NotImplementedException();
}
