public StrategyTesterResult[,] Run()
{
#region Initialize variables
StrategyTesterResult[,] resultset = new StrategyTesterResult[Basket.Length, 19];
List <TradeInfo>[,] TRADES = new List <TradeInfo> [Basket.Length, 19];
int[,] OpenTradePositionIndex = new int[Basket.Length, 19];
#endregion
#region Fill up initial results
for (int i = 0; i < Basket.Length; i++)
{
for (int j = 0; j < 19; j++)
{
resultset[i, j] = new StrategyTesterResult();
resultset[i, j].Basket = Basket;
resultset[i, j].window = Window;
resultset[i, j].maximum_open_positions = MaxOpenPositions;
resultset[i, j].final_balance = InitialDeposit;
resultset[i, j].balance_history = new List <double>();
resultset[i, j].balance_history.Add(InitialDeposit);
resultset[i, j].transactionCost = TransactionCost;
resultset[i, j].initialDeposit = InitialDeposit;
resultset[i, j].leverage = Leverage;
TRADES[i, j] = new List <TradeInfo>();
}
}
#endregion
for (int i = Window - 1; i < n_data; i++)
{
#region Regression
double[,] xy = new double[Window, Basket.Length];
for (int j = 0; j < Window; j++)
{
for (int k = 0; k < Basket.Length; k++)
{
xy[j, k] = Price[k, i - j];
}
}
double[] x = new double[Basket.Length];
for (int j = 0; j < Basket.Length; j++)
{
x[j] = Price[j, i];
}
double[][] W = new double[Basket.Length][];
for (int j = 0; j < Basket.Length; j++)
{
W[j] = LinearRegression.Build(xy, j);
}
#endregion
for (int j = 0; j < Basket.Length; j++)
{
double[] w = W[j];
#region Calculate SD
double sum = 0;
double sd = 0;
double mean = 0;
double upperBand, lowerBand, deviation;
for (int k = 1; k < Window; k++)
{
sum += LinearRegression.Predict(Price, i - k, w);
}
mean = sum / Window;
sum = 0;
for (int k = 1; k < Window; k++)
{
double val = LinearRegression.Predict(Price, i - k, w);
sum += ((val - mean) * (val - mean));
}
sd = Math.Sqrt(sum / Window);
#endregion
for (int k = 0; k < 19; k++)
{
List <TradeInfo> Trades = TRADES[j, k];
StrategyTesterResult result = resultset[j, k];
result.bandwidth = (k + 1) * 0.25;
#region Calculate bands
deviation = (k + 1) * 0.25 * sd;
upperBand = mean + deviation;
lowerBand = mean - deviation;
#endregion
#region Locate current and previous positions
int current_position = 0;
int previous_position = 0;
double current_val = LinearRegression.Predict(Price, i, w);
double previous_val = LinearRegression.Predict(Price, i - 1, w);
if (current_val >= upperBand)
{
current_position = 1;
}
else if (current_val < upperBand && current_val > mean)
{
current_position = 2;
}
else if (current_val <= mean && current_val > lowerBand)
{
current_position = 3;
}
else
{
current_position = 4;
}
if (previous_val >= upperBand)
{
previous_position = 1;
}
else if (previous_val < upperBand && previous_val > mean)
{
previous_position = 2;
}
else if (previous_val <= mean && previous_val > lowerBand)
{
previous_position = 3;
}
else
{
previous_position = 4;
}
#endregion
#region Trades
//######################### Close open trades #####################################################
foreach (TradeInfo trade in Trades)
{
double v = LinearRegression.Predict(Price, i, trade.Coefficients);
if (trade.Action == 1)
{
#region Check Buy Order
if (v >= trade.TP)
{
//TP is hit. Winner :)
trade.IsClosed = true;
trade.close_index = i;
result.tradedurations.Add(i - trade.open_index);
double estimatepips = 0;
double profit = GetProfit(trade, out estimatepips);
updateResults(result, 1, profit, estimatepips);
if (profit < 0)
{
result.total_TP_mismatch++;
}
}
else if (v <= trade.SL)
{
//SL is hit. Loser :(
trade.IsClosed = true;
trade.close_index = i;
result.tradedurations.Add(i - trade.open_index);
double estimatepips = 0;
double profit = GetProfit(trade, out estimatepips);
updateResults(result, 1, profit, estimatepips);
if (profit > 0)
{
result.total_SL_mismatch++;
}
}
#endregion
}
else
{
#region Check Sell Order
if (v <= trade.TP)
{
//TP is hit. Winner :)
trade.IsClosed = true;
trade.close_index = i;
result.tradedurations.Add(i - trade.open_index);
double estimatepips = 0;
double profit = GetProfit(trade, out estimatepips);
updateResults(result, 1, profit, estimatepips);
if (profit < 0)
{
result.total_TP_mismatch++;
}
}
else if (v >= trade.SL)
{
//SL is hit. Loser :(
trade.IsClosed = true;
trade.close_index = i;
result.tradedurations.Add(i - trade.open_index);
double estimatepips = 0;
double profit = GetProfit(trade, out estimatepips);
updateResults(result, 1, profit, estimatepips);
if (profit > 0)
{
result.total_SL_mismatch++;
}
}
#endregion
}
}
Trades.RemoveAll(trade => trade.IsClosed);
//################################## Open trade signals ######################################
if (Trades.Count < MaxOpenPositions)
{
if (previous_position == 1 && current_position == 2)
{
//Sell order
#region Execute sell order
double[] c = LinearRegression.NormalizeWeights(w, x, InversionDirection);
int[] lotsizes = RiskManager.getTradeSizes(c, result.final_balance, Leverage);
if (lotsizes != null)
{
TradeInfo trade = new TradeInfo();
trade.Action = -1;
trade.Coefficients = w;
trade.IsClosed = false;
trade.TP = mean;
trade.SL = mean + 2 * deviation;
trade.TradeSizes = lotsizes;
trade.open_index = i;
trade.IsClosed = false;
Trades.Add(trade);
result.tradesizes.Add(LinearRegression.TotalNormalizedWeights(w, x, InversionDirection));
}
else
{
result.total_reject_trades++;
}
#endregion
}
else if (previous_position == 4 & current_position == 3)
{
//Buy order
#region Execute buy order
double[] c = LinearRegression.NormalizeWeights(w, x, InversionDirection);
int[] lotsizes = RiskManager.getTradeSizes(c, result.final_balance, Leverage);
if (lotsizes != null)
{
TradeInfo trade = new TradeInfo();
trade.Action = -1;
trade.Coefficients = w;
trade.IsClosed = false;
trade.TP = mean;
trade.SL = mean - 2 * deviation;
trade.TradeSizes = lotsizes;
trade.open_index = i;
trade.IsClosed = false;
Trades.Add(trade);
result.tradesizes.Add(LinearRegression.TotalNormalizedWeights(w, x, InversionDirection));
}
else
{
result.total_reject_trades++;
}
#endregion
}
}
//#####################################################################################
#endregion
}
}
}
#region Post Mortem
for (int i = 0; i < Basket.Length; i++)
{
for (int j = 0; j < 19; j++)
{
resultset[i, j].postMortem();
resultset[i, j].balance_history = null;
resultset[i, j].tradesizes = null;
resultset[i, j].tradedurations = null;
}
}
#endregion
return(resultset);
}
public StrategyTesterResult Run()
{
#region Initialize variables
StrategyTesterResult result = new StrategyTesterResult();
double[] TS = new double[n_data - Window + 1];
double[,] Weights = new double[n_data - Window + 1, Basket.Length + 1];
List <string> WeightNames = new List <string>(Basket);
WeightNames.Add("Intercept");
List <string> notes = new List <string>();
List <TradeInfo> Trades = new List <TradeInfo>();
List <double[]> StandardizedWeights = new List <double[]>();
List <double[]> NormalizedWeights = new List <double[]>();
List <int[]> TradeSizes = new List <int[]>();
#endregion
#region Fill up initial results
result.Basket = Basket;
result.window = Window;
result.bandwidth = Bandwidth;
result.transactionCost = TransactionCost;
result.initialDeposit = InitialDeposit;
result.leverage = Leverage;
result.maximum_open_positions = MaxOpenPositions;
result.final_balance = InitialDeposit;
result.balance_history = new List <double>();
result.balance_history.Add(InitialDeposit);
#endregion
for (int i = Window - 1; i < n_data; i++)
{
#region Regression
double[,] xy = new double[Window, Basket.Length];
double[,] data = new double[Window, Basket.Length];
for (int j = 0; j < Window; j++)
{
for (int k = 0; k < Basket.Length; k++)
{
xy[j, k] = Price[k, i - j];
data[j, k] = Price[k, i - j];
}
}
double[] w = LinearRegression.Build(xy, Responsevariableindex);
double[] x = new double[Basket.Length];
notes.Add(string.Join(",", w));
for (int j = 0; j < Basket.Length; j++)
{
TS[i - Window + 1] += w[j] * Price[j, i];
Weights[i - Window + 1, j] = w[j];
x[j] = Price[j, i];
}
//add constant term
TS[i - Window + 1] += w[Basket.Length];
Weights[i - Window + 1, Basket.Length] = w[Basket.Length];
#endregion
#region Calculate bands
double sum = 0;
double sd = 0;
double mean = 0;
double upperBand, lowerBand, deviation;
for (int j = 1; j < Window; j++)
{
sum += LinearRegression.Predict2(data, j, w);
}
mean = sum / Window;
sum = 0;
for (int j = 1; j < Window; j++)
{
double val = LinearRegression.Predict2(data, j, w);
sum += ((val - mean) * (val - mean));
}
sd = Math.Sqrt(sum / Window);
deviation = Bandwidth * sd;
upperBand = mean + deviation;
lowerBand = mean - deviation;
#endregion
#region Locate current and previous positions
int current_position = 0;
int previous_position = 0;
double current_val = LinearRegression.Predict2(data, 0, w);
double previous_val = LinearRegression.Predict2(data, 1, w);
if (current_val >= upperBand)
{
current_position = 1;
}
else if (current_val < upperBand && current_val > mean)
{
current_position = 2;
}
else if (current_val <= mean && current_val > lowerBand)
{
current_position = 3;
}
else
{
current_position = 4;
}
if (previous_val >= upperBand)
{
previous_position = 1;
}
else if (previous_val < upperBand && previous_val > mean)
{
previous_position = 2;
}
else if (previous_val <= mean && previous_val > lowerBand)
{
previous_position = 3;
}
else
{
previous_position = 4;
}
#endregion
//######################### Close open trades #####################################################
foreach (TradeInfo trade in Trades)
{
double v = LinearRegression.Predict2(data, 0, trade.Coefficients);
if (trade.Action == 1)
{
#region Check Buy Order
if (v >= trade.TP)
{
//TP is hit. Winner :)
trade.IsClosed = true;
trade.close_index = i;
result.tradedurations.Add(i - trade.open_index);
double estimatepips = 0;
double profit = GetProfit(trade, out estimatepips);
updateResults(result, 1, profit, estimatepips);
if (profit < 0)
{
result.total_TP_mismatch++;
}
}
else if (v <= trade.SL)
{
//SL is hit. Loser :(
trade.IsClosed = true;
trade.close_index = i;
result.tradedurations.Add(i - trade.open_index);
double estimatepips = 0;
double profit = GetProfit(trade, out estimatepips);
updateResults(result, 1, profit, estimatepips);
if (profit > 0)
{
result.total_SL_mismatch++;
}
}
#endregion
}
else
{
#region Check Sell Order
if (v <= trade.TP)
{
//TP is hit. Winner :)
trade.IsClosed = true;
trade.close_index = i;
result.tradedurations.Add(i - trade.open_index);
double estimatepips = 0;
double profit = GetProfit(trade, out estimatepips);
updateResults(result, 1, profit, estimatepips);
if (profit < 0)
{
result.total_TP_mismatch++;
}
}
else if (v >= trade.SL)
{
//SL is hit. Loser :(
trade.IsClosed = true;
trade.close_index = i;
result.tradedurations.Add(i - trade.open_index);
double estimatepips = 0;
double profit = GetProfit(trade, out estimatepips);
updateResults(result, 1, profit, estimatepips);
if (profit > 0)
{
result.total_SL_mismatch++;
}
}
#endregion
}
}
Trades.RemoveAll(trade => trade.IsClosed);
//################################## Open trade signals ######################################
if (Trades.Count < MaxOpenPositions)
{
if (previous_position == 1 && current_position == 2)
{
//Sell order
#region Execute sell order
double[] c = LinearRegression.NormalizeWeights(w, x, InversionDirection);
int[] lotsizes = RiskManager.getTradeSizes(c, result.final_balance, Leverage);
if (lotsizes != null)
{
TradeInfo trade = new TradeInfo();
trade.Action = -1;
trade.Coefficients = w;
trade.IsClosed = false;
trade.TP = mean;
trade.SL = mean + 2 * deviation;
trade.TradeSizes = lotsizes;
trade.open_index = i;
trade.IsClosed = false;
Trades.Add(trade);
result.tradesizes.Add(LinearRegression.TotalNormalizedWeights(w, x, InversionDirection));
StandardizedWeights.Add(LinearRegression.StandardizeWeights(w, x, InversionDirection));
NormalizedWeights.Add(c);
TradeSizes.Add(LinearRegression.getTradeSizes(c));
}
else
{
result.total_reject_trades++;
}
#endregion
}
else if (previous_position == 4 & current_position == 3)
{
//Buy order
#region Execute buy order
double[] c = LinearRegression.NormalizeWeights(w, x, InversionDirection);
int[] lotsizes = RiskManager.getTradeSizes(c, result.final_balance, Leverage);
if (lotsizes != null)
{
TradeInfo trade = new TradeInfo();
trade.Action = -1;
trade.Coefficients = w;
trade.IsClosed = false;
trade.TP = mean;
trade.SL = mean - 2 * deviation;
trade.TradeSizes = lotsizes;
trade.open_index = i;
trade.IsClosed = false;
Trades.Add(trade);
result.tradesizes.Add(LinearRegression.TotalNormalizedWeights(w, x, InversionDirection));
StandardizedWeights.Add(LinearRegression.StandardizeWeights(w, x, InversionDirection));
NormalizedWeights.Add(c);
TradeSizes.Add(LinearRegression.getTradeSizes(c));
}
else
{
result.total_reject_trades++;
}
#endregion
}
}
//#####################################################################################
}
System.Windows.Forms.SaveFileDialog sf = new System.Windows.Forms.SaveFileDialog();
sf.Filter = "CSV file|*.csv";
sf.InitialDirectory = System.Windows.Forms.Application.StartupPath;
if (sf.ShowDialog() != System.Windows.Forms.DialogResult.OK)
{
return(result);
}
using (System.IO.StreamWriter sw = new StreamWriter(sf.FileName))
{
string header = string.Join(",", Basket);
header = header + "," + header + "," + "Total," + header;
sw.WriteLine(header);
for (int i = 0; i < NormalizedWeights.Count; i++)
{
string[] items = new string[Basket.Length * 3 + 1];
for (int j = 0; j < Basket.Length; j++)
{
items[j] = StandardizedWeights[i][j].ToString();
}
for (int j = 0; j < Basket.Length; j++)
{
items[Basket.Length + j] = NormalizedWeights[i][j].ToString();
}
items[Basket.Length * 2] = result.tradesizes[i].ToString();
for (int j = 0; j < Basket.Length; j++)
{
if (TradeSizes[i] == null)
{
items[Basket.Length * 2 + 1 + j] = "NA";
}
else
{
items[Basket.Length * 2 + 1 + j] = TradeSizes[i][j].ToString();
}
}
sw.WriteLine(string.Join(",", items));
}
sw.Close();
}
result.postMortem();
//frmPlot plot1 = new frmPlot();
//plot1.Show();
//plot1.draw(TS, "", "", "", -1, notes.ToArray());
//frmPlot plot2 = new frmPlot();
//plot2.Show();
//plot2.draw(Weights, WeightNames.ToArray());
return(result);
}