/// <summary>
/// Calculate
/// </summary>
/// <returns></returns>
public virtual SeriesResponse Calculate()
{
var count = Values.Count();
var seriesInverse = 0;
var seriesItem = new SeriesData();
var seriesItems = new List <SeriesData>();
for (var i = 0; i < count; i++)
{
var current = Values.ElementAtOrDefault(i);
var previous = Values.ElementAtOrDefault(i - 1);
if (current != null && previous != null)
{
var direction = 0;
var change = current.Value - previous.Value;
var gain = Math.Abs(Math.Max(change, 0.0));
var loss = Math.Abs(Math.Min(change, 0.0));
direction = previous.Value < current.Value ? 1 : direction;
direction = previous.Value > current.Value ? -1 : direction;
seriesItem = UpdateSeries(seriesInverse, direction, seriesItem, seriesItems);
seriesItem.Gain += gain;
seriesItem.Loss += loss;
seriesItem.WinCount += gain > 0 ? 1 : 0;
seriesItem.LossCount += loss > 0 ? 1 : 0;
seriesItem.Count++;
seriesInverse = direction;
}
}
var response = new SeriesResponse
{
Count = 0,
MaxWinCount = 0,
MaxLossCount = 0,
MaxWin = 0.0,
MaxLoss = 0.0
};
if (seriesItems.Any())
{
response.Count = seriesItems.Count;
response.MaxWin = seriesItems.Max(o => o.Gain);
response.MaxLoss = seriesItems.Max(o => o.Loss);
response.MaxWinCount = seriesItems.Max(o => o.WinCount);
response.MaxLossCount = seriesItems.Max(o => o.LossCount);
}
return(response);
}
/// <summary>
/// Calculate
/// </summary>
/// <returns></returns>
public virtual IDictionary <string, IEnumerable <ScoreData> > Calculate()
{
if (Values.Any() == false)
{
return(new Dictionary <string, IEnumerable <ScoreData> >());
}
var balanceMax = 0.0;
var balanceDrawdown = 0.0;
var balanceDrawdownMax = 0.0;
var count = Values.Count();
var longs = new DirectionData();
var shorts = new DirectionData();
var inputBalance = Values.ElementAtOrDefault(0);
var outputBalance = Values.ElementAtOrDefault(count - 1);
for (var i = 0; i < count; i++)
{
var current = Values.ElementAtOrDefault(i);
var previous = Values.ElementAtOrDefault(i - 1);
if (current != null && previous != null)
{
var item = current.Value - previous.Value;
var itemGain = Math.Abs(Math.Max(item, 0.0));
var itemLoss = Math.Abs(Math.Min(item, 0.0));
balanceDrawdownMax = Math.Max(balanceMax - current.Min, balanceDrawdownMax);
balanceDrawdown = Math.Max(balanceMax - current.Value, balanceDrawdown);
balanceMax = Math.Max(balanceMax, current.Value);
switch (current.Direction)
{
case 1:
longs.Gains += itemGain;
longs.Losses += itemLoss;
longs.GainsMax = Math.Max(itemGain, longs.GainsMax);
longs.LossesMax = Math.Max(itemLoss, longs.LossesMax);
longs.GainsCount += item > 0.0 ? 1 : 0;
longs.LossesCount += item < 0.0 ? 1 : 0;
longs.Commissions += current.Commission;
break;
case -1:
shorts.Gains += itemGain;
shorts.Losses += itemLoss;
shorts.GainsMax = Math.Max(itemGain, shorts.GainsMax);
shorts.LossesMax = Math.Max(itemLoss, shorts.LossesMax);
shorts.GainsCount += item > 0.0 ? 1 : 0;
shorts.LossesCount += item < 0.0 ? 1 : 0;
shorts.Commissions += current.Commission;
break;
}
}
}
var stats = new List <ScoreData>();
stats.Add(new ScoreData {
Group = "Balance", Name = "Initial balance $", Value = inputBalance.Value
});
stats.Add(new ScoreData {
Group = "Balance", Name = "Final balance $", Value = outputBalance.Value
});
stats.Add(new ScoreData {
Group = "Balance", Name = "Commissions $", Value = longs.Commissions + shorts.Commissions
});
stats.Add(new ScoreData {
Group = "Balance", Name = "Drawdown $", Value = -balanceDrawdown
});
stats.Add(new ScoreData {
Group = "Balance", Name = "Drawdown %", Value = -Validate(() => balanceDrawdown * 100.0 / balanceMax)
});
stats.Add(new ScoreData {
Group = "Balance", Name = "Equity drawdown $", Value = -balanceDrawdownMax
});
stats.Add(new ScoreData {
Group = "Balance", Name = "Equity drawdown %", Value = -Validate(() => balanceDrawdownMax * 100.0 / balanceMax)
});
stats.Add(new ScoreData {
Group = "Balance", Name = "Change $", Value = new Change {
Values = Values
}.Calculate(0)
});
stats.Add(new ScoreData {
Group = "Balance", Name = "Change %", Value = new Change {
Values = Values
}.Calculate(1)
});
var gains = longs.Gains + shorts.Gains;
var losses = longs.Losses + shorts.Losses;
var gainsMax = Math.Max(longs.GainsMax, shorts.GainsMax);
var lossesMax = Math.Max(longs.LossesMax, shorts.LossesMax);
var gainsCount = longs.GainsCount + shorts.GainsCount;
var lossesCount = longs.LossesCount + shorts.LossesCount;
var gainsAverage = Validate(() => gains / gainsCount);
var lossesAverage = Validate(() => losses / lossesCount);
var dealsCount = gainsCount + lossesCount;
stats.Add(new ScoreData {
Group = "Wins", Name = "Total gain $", Value = gains
});
stats.Add(new ScoreData {
Group = "Wins", Name = "Max single gain $", Value = gainsMax
});
stats.Add(new ScoreData {
Group = "Wins", Name = "Average gain $", Value = gainsAverage
});
stats.Add(new ScoreData {
Group = "Wins", Name = "Number of wins", Value = gainsCount
});
stats.Add(new ScoreData {
Group = "Wins", Name = "Percentage of wins %", Value = Validate(() => gainsCount * 100.0 / dealsCount)
});
stats.Add(new ScoreData {
Group = "Losses", Name = "Total loss $", Value = -losses
});
stats.Add(new ScoreData {
Group = "Losses", Name = "Max single loss $", Value = -lossesMax
});
stats.Add(new ScoreData {
Group = "Losses", Name = "Average loss $", Value = -lossesAverage
});
stats.Add(new ScoreData {
Group = "Losses", Name = "Number of losses", Value = lossesCount
});
stats.Add(new ScoreData {
Group = "Losses", Name = "Percentage of losses %", Value = Validate(() => lossesCount * 100.0 / dealsCount)
});
stats.Add(new ScoreData {
Group = "Longs", Name = "Total gain $", Value = longs.Gains
});
stats.Add(new ScoreData {
Group = "Longs", Name = "Total loss $", Value = -longs.Losses
});
stats.Add(new ScoreData {
Group = "Longs", Name = "Max gain $", Value = longs.GainsMax
});
stats.Add(new ScoreData {
Group = "Longs", Name = "Max loss $", Value = -longs.LossesMax
});
stats.Add(new ScoreData {
Group = "Longs", Name = "Average gain $", Value = Validate(() => longs.Gains / longs.GainsCount)
});
stats.Add(new ScoreData {
Group = "Longs", Name = "Average loss $", Value = -Validate(() => longs.Losses / longs.LossesCount)
});
stats.Add(new ScoreData {
Group = "Longs", Name = "Number of longs", Value = longs.GainsCount + longs.LossesCount
});
stats.Add(new ScoreData {
Group = "Longs", Name = "Percentage of longs %", Value = Validate(() => (longs.GainsCount + longs.LossesCount) * 100.0 / dealsCount)
});
stats.Add(new ScoreData {
Group = "Shorts", Name = "Total gain $", Value = shorts.Gains
});
stats.Add(new ScoreData {
Group = "Shorts", Name = "Total loss $", Value = -shorts.Losses
});
stats.Add(new ScoreData {
Group = "Shorts", Name = "Max gain $", Value = shorts.GainsMax
});
stats.Add(new ScoreData {
Group = "Shorts", Name = "Max loss $", Value = -shorts.LossesMax
});
stats.Add(new ScoreData {
Group = "Shorts", Name = "Average gain $", Value = Validate(() => shorts.Gains / shorts.GainsCount)
});
stats.Add(new ScoreData {
Group = "Shorts", Name = "Average loss $", Value = -Validate(() => shorts.Losses / shorts.LossesCount)
});
stats.Add(new ScoreData {
Group = "Shorts", Name = "Number of shorts", Value = shorts.GainsCount + shorts.LossesCount
});
stats.Add(new ScoreData {
Group = "Shorts", Name = "Percentage of shorts %", Value = Validate(() => (shorts.GainsCount + shorts.LossesCount) * 100.0 / dealsCount)
});
stats.Add(new ScoreData {
Group = "Ratios", Name = "Profit Factor", Value = Validate(() => gains / losses)
});
stats.Add(new ScoreData {
Group = "Ratios", Name = "Mean", Value = Validate(() => (gains - losses) / dealsCount)
});
stats.Add(new ScoreData {
Group = "Ratios", Name = "CAGR", Value = new CAGR {
Values = Values
}.Calculate()
});
stats.Add(new ScoreData {
Group = "Ratios", Name = "Sharpe Ratio", Value = new SharpeRatio {
Values = Values
}.Calculate()
});
stats.Add(new ScoreData {
Group = "Ratios", Name = "MAE", Value = new MAE {
Values = Values
}.Calculate()
});
stats.Add(new ScoreData {
Group = "Ratios", Name = "MFE", Value = new MFE {
Values = Values
}.Calculate()
});
stats.Add(new ScoreData {
Group = "Ratios", Name = "MAR", Value = new MAR {
Values = Values
}.Calculate()
});
stats.Add(new ScoreData {
Group = "Ratios", Name = "AHPR", Value = new AHPR {
Values = Values
}.Calculate()
});
stats.Add(new ScoreData {
Group = "Ratios", Name = "GHPR", Value = new GHPR {
Values = Values
}.Calculate()
});
stats.Add(new ScoreData {
Group = "Ratios", Name = "Z-Score", Value = new StandardScore {
Values = Values
}.Calculate()
});
stats.Add(new ScoreData {
Group = "Ratios", Name = "E-Ratio", Value = new EdgeRatio {
Values = Values
}.Calculate()
});
stats.Add(new ScoreData {
Group = "Ratios", Name = "Martin Ratio", Value = new MartinRatio {
Values = Values
}.Calculate()
});
stats.Add(new ScoreData {
Group = "Ratios", Name = "Sortino Ratio", Value = new SortinoRatio {
Values = Values
}.Calculate()
});
stats.Add(new ScoreData {
Group = "Ratios", Name = "Sterling Ratio", Value = new SterlingRatio {
Values = Values
}.Calculate()
});
stats.Add(new ScoreData {
Group = "Ratios", Name = "Kestner Ratio", Value = new KestnerRatio {
Values = Values
}.Calculate()
});
stats.Add(new ScoreData {
Group = "Ratios", Name = "LR Correlation", Value = new RegressionCorrelation {
Values = Values
}.Calculate()
});
StatsByFrames = new FrameMetrics {
Values = Values
}.Calculate();
StatsBySeries = new SeriesMetrics {
Values = Values
}.Calculate();
return(stats.GroupBy(o => o.Group).ToDictionary(o => o.Key, o => o.AsEnumerable()));
}