/// <summary>
/// Start the process of analysing the strategy from source code
/// </summary>
/// <param name="startDate">start date of back-testing</param>
/// <param name="endDate">end date of back-testing</param>
/// <param name="monthsInTerm">length of forward contract in months</param>
/// <param name="fxCode">source code for a strategy</param>
/// <returns>Profit Index over time</returns>
public IEnumerable<DateIndex> Execute(DateTime startDate, DateTime endDate, int monthsInTerm, string fxCode)
{
// these objects are created for each execution
// it is to support multi-threading
var fxParser = new StrategyLanguageParser();
var modelTransformer = new ASTToModelTransform.AstTreeToModelTransformer();
var calculationEngine = new ProfitCalculationEngine(_currencyDataSource);
var strategyRunTime = new StrategyInterpreter(_currencyDataSource);
// parse the source code into abstract syntax tree
var strategyAstNode = fxParser.Parse(fxCode);
// transform the abstract syntax tree to the model
var strategyModel = modelTransformer.Transform(strategyAstNode);
// execute the model
strategyRunTime.Clear();
strategyRunTime.Execute(strategyModel, startDate, endDate);
// calculate profit based on the position records
calculationEngine.Evaluate(
strategyRunTime.PositionSetTable.Values.SelectMany(v => v.Positions).ToList(),
startDate,endDate,
new PeriodicTimeDefinition(monthsInTerm, PeriodicType.Month));
return calculationEngine.IndexOverTime.Select(
i => new DateIndex(){
Date = i.Time,
Index = i.Value
});
}
public void TransformerTest2()
{
string exampleCode = @"
global variables{
define reEntryExRatePercent as 0.05;
define noOfLongPosition as 3;
define noOfShortPosition as 3;
}
define Portfolio{
set BaseCurrency to 'EUR';
LongPositions: Position<Long>[3];
}
rule reallocation executes on every Friday{
for all position in Portfolio.LongPositions{
if position.Currency is not in Top3Currencies:
Close position;
}
for all currency in Top3Currencies{
if currency is not in Currency of Portfolio.LongPositions:
Open Portfolio.LongPositions with currency;
}
}";
StrategyLanguageParser fxParser = new StrategyLanguageParser();
TradingStrategyAstNode strategyAst = fxParser.Parse(exampleCode);
AstTreeToModelTransformer transformer = new AstTreeToModelTransformer();
TradingStrategy strategy = transformer.Transform(strategyAst);
//Assert.IsTrue(strategy.TradingRules.Count == 1);
StrategyInterpreter strategyRunTime = new StrategyInterpreter();
DateTime startDate = new DateTime(2000, 1, 7);
DateTime endDate = new DateTime(2000, 2, 25);
strategyRunTime.Execute(strategy, startDate, endDate);
//PositionSetRunTime longPositions = strategyRunTime.PositionSetTable["LongPositions"];
//Assert.IsTrue(longPositions.Positions.Any(p => p.CurrencyInPosition.Name == "USD"));
//Assert.IsTrue(longPositions.Positions.Any(p => p.CurrencyInPosition.Name == "GBP"));
//Assert.IsTrue(longPositions.Positions.Any(p => p.CurrencyInPosition.Name == "NOK"));
}
public void TransformerTest()
{
StrategyLanguageParser fxParser = new StrategyLanguageParser();
TradingStrategyAstNode strategyAst = fxParser.Parse(ExampleCode);
AstTreeToModelTransformer transformer = new AstTreeToModelTransformer();
TradingStrategy strategy = transformer.Transform(strategyAst);
Assert.IsTrue(strategy.TradingRules.Count > 0);
StrategyInterpreter strategyRunTime = new StrategyInterpreter();
DateTime startDate = new DateTime(2000, 1, 7);
DateTime endDate = new DateTime(2000, 2, 25);
Assert.IsTrue(strategy.ConstantVariableDefinitions.Count == 3);
strategyRunTime.Execute(strategy, startDate, endDate);
PositionSetRuntime longPositions = strategyRunTime.PositionSetTable["LongPositions"];
Assert.IsTrue(longPositions.Positions.Any(p => p.CurrencyInPosition.Name == "USD"));
Assert.IsTrue(longPositions.Positions.Any(p => p.CurrencyInPosition.Name == "GBP"));
Assert.IsTrue(longPositions.Positions.Any(p => p.CurrencyInPosition.Name == "NOK"));
strategyRunTime.Clear();
strategyRunTime.Execute(strategy, startDate, new DateTime(2000, 3, 10));
longPositions = strategyRunTime.PositionSetTable["LongPositions"];
Assert.IsTrue(longPositions.Positions.Any(p => p.CurrencyInPosition.Name == "USD"));
Assert.IsTrue(longPositions.Positions.Any(p => p.CurrencyInPosition.Name == "GBP"));
Assert.IsTrue(longPositions.Positions.Any(p => p.CurrencyInPosition.Name == "NZD"));
strategyRunTime.Clear();
strategyRunTime.Execute(strategy, startDate, new DateTime(2000, 4, 14));
longPositions = strategyRunTime.PositionSetTable["LongPositions"];
Assert.IsTrue(longPositions.Positions.Any(p => p.CurrencyInPosition.Name == "USD"));
Assert.IsTrue(longPositions.Positions.Any(p => p.CurrencyInPosition.Name == "NOK"));
Assert.IsTrue(longPositions.Positions.Any(p => p.CurrencyInPosition.Name == "NZD"));
}
