/// <summary>
/// Exports the positions info in currency
/// </summary>
public void ExportPositionsInMoney()
{
string stage = String.Empty;
if (Data.IsProgramBeta)
{
stage = " " + Language.T("Beta");
}
else if (Data.IsProgramRC)
{
stage = " " + "RC";
}
sb.Append("Forex Strategy Builder v" + Data.ProgramVersion + stage + Environment.NewLine);
sb.Append("Strategy name: " + Data.Strategy.StrategyName + Environment.NewLine);
sb.Append("Exported on " + DateTime.Now.ToString() + Environment.NewLine);
sb.Append(Data.Symbol + " " + Data.PeriodString + "; Values in " + Configs.AccountCurrency + Environment.NewLine);
sb.Append("Pos Numb\t");
sb.Append("Bar Numb\t");
sb.Append("Bar Opening Time\t");
sb.Append("Direction\t");
sb.Append("Amount\t");
sb.Append("Transaction\t");
sb.Append("Order Price\t");
sb.Append("Price\t");
sb.Append("Profit Loss\t");
sb.Append("Floating P/L\t");
sb.Append("Balance\t");
sb.Append("Equity\t");
sb.Append(Environment.NewLine);
for (int iPos = 0; iPos < Backtester.PositionsTotal; iPos++)
{
Position position = Backtester.PosFromNumb(iPos);
int bar = Backtester.PosCoordinates[iPos].Bar;
sb.Append((position.PosNumb + 1).ToString() + "\t");
sb.Append((bar + 1).ToString() + "\t");
sb.Append((Data.Time[bar]).ToString() + "\t");
sb.Append((position.PosDir).ToString() + "\t");
sb.Append((position.PosDir == PosDirection.Long ? "" : "-") +
(position.PosLots * Data.InstrProperties.LotSize).ToString() + "\t");
sb.Append((position.Transaction).ToString() + "\t");
sb.Append((position.FormOrdPrice).ToString(FF) + "\t");
sb.Append((position.PosPrice).ToString(FF) + "\t");
sb.Append((position.MoneyProfitLoss).ToString("F2") + "\t");
sb.Append((position.MoneyFloatingPL).ToString("F2") + "\t");
sb.Append((position.MoneyBalance).ToString("F2") + "\t");
sb.Append((position.MoneyEquity).ToString("F2") + "\t");
sb.Append(Environment.NewLine);
}
string fileName = Data.Strategy.StrategyName + "-" + Data.Symbol.ToString() + "-" + Data.Period.ToString();
SaveData(fileName);
return;
}
/// <summary>
/// Exports the positions info
/// </summary>
public void ExportPositions()
{
string stage = String.Empty;
if (Data.IsProgramBeta)
{
stage = " " + Language.T("Beta");
}
else if (Data.IsProgramRC)
{
stage = " " + "RC";
}
sb.Append("Forex Strategy Builder v" + Data.ProgramVersion + stage + Environment.NewLine);
sb.Append("Strategy name: " + Data.Strategy.StrategyName + Environment.NewLine);
sb.Append("Exported on " + DateTime.Now.ToString() + Environment.NewLine);
sb.Append(Data.Symbol + " " + Data.PeriodString + "; Values in pips" + Environment.NewLine);
sb.Append("Pos Numb\t");
sb.Append("Bar Numb\t");
sb.Append("Bar Opening Time\t");
sb.Append("Direction\t");
sb.Append("Lots\t");
sb.Append("Transaction\t");
sb.Append("Order Price\t");
sb.Append("Average Price\t");
sb.Append("Profit Loss\t");
sb.Append("Floating P/L\t");
sb.Append("Balance\t");
sb.Append("Equity\t");
sb.Append(Environment.NewLine);
for (int iPos = 0; iPos < Backtester.PositionsTotal; iPos++)
{
Position position = Backtester.PosFromNumb(iPos);
int bar = Backtester.PosCoordinates[iPos].Bar;
sb.Append((position.PosNumb + 1).ToString() + "\t");
sb.Append((bar + 1).ToString() + "\t");
sb.Append((Data.Time[bar]).ToString() + "\t");
sb.Append((position.PosDir).ToString() + "\t");
sb.Append((position.PosLots).ToString() + "\t");
sb.Append((position.Transaction).ToString() + "\t");
sb.Append((position.FormOrdPrice).ToString(FF) + "\t");
sb.Append((position.PosPrice).ToString(FF) + "\t");
sb.Append((Math.Round(position.ProfitLoss)).ToString() + "\t");
sb.Append((Math.Round(position.FloatingPL)).ToString() + "\t");
sb.Append((Math.Round(position.Balance)).ToString() + "\t");
sb.Append((Math.Round(position.Equity)).ToString() + "\t");
sb.Append(Environment.NewLine);
}
string fileName = Data.Strategy.StrategyName + "-" + Data.Symbol.ToString() + "-" + Data.Period.ToString();
SaveData(fileName);
return;
}
/// <summary>
/// Show position
/// </summary>
private void ShowPosition(string input)
{
const string pattern = @"^pos (?<numb>\d+)$";
var expression = new Regex(pattern, RegexOptions.Compiled);
Match match = expression.Match(input);
if (match.Success)
{
int pos = int.Parse(match.Groups["numb"].Value);
if (pos < 1 || pos > Backtester.PositionsTotal)
{
return;
}
Position position = Backtester.PosFromNumb(pos - 1);
TbxOutput.Text += "Position" + Environment.NewLine + "-----------------" +
Environment.NewLine + position + Environment.NewLine;
}
}
/// <summary>
/// Updates the journal data from the backtester
/// </summary>
void UpdateJournalData()
{
asJournalData = new string[shownPos, columns];
aiPositionIcons = new Image[shownPos];
for (int posIndex = firstPos; posIndex < firstPos + shownPos; posIndex++)
{
int posNumber = posIndex;
if (!showTransfers)
{
posNumber = aiPosNumber[posIndex];
}
int row = posIndex - firstPos;
int bar = Backtester.PosCoordinates[posNumber].Bar;
Position position = Backtester.PosFromNumb(posNumber);
string posAmount;
if (Configs.AccountInMoney)
{
posAmount = (position.PosDir == PosDirection.Short ? "-" : "") +
(position.PosLots * Data.InstrProperties.LotSize).ToString();
}
else
{
posAmount = position.PosLots.ToString();
}
string profitLoss;
if (Configs.AccountInMoney)
{
profitLoss = position.MoneyProfitLoss.ToString("F2");
}
else
{
profitLoss = position.ProfitLoss.ToString("F2");
}
string floatingPL;
if (Configs.AccountInMoney)
{
floatingPL = position.MoneyFloatingPL.ToString("F2");
}
else
{
floatingPL = position.FloatingPL.ToString("F2");
}
int p = 0;
asJournalData[row, p++] = (posNumber + 1).ToString();
asJournalData[row, p++] = (bar + 1).ToString();
asJournalData[row, p++] = Data.Time[bar].ToString(Data.DF) + Data.Time[bar].ToString(" HH:mm");
asJournalData[row, p++] = Language.T(position.Transaction.ToString());
asJournalData[row, p++] = Language.T(position.PosDir.ToString());
asJournalData[row, p++] = posAmount;
asJournalData[row, p++] = position.FormOrdPrice.ToString(Data.FF);
asJournalData[row, p++] = position.PosPrice.ToString(Data.FF);
asJournalData[row, p++] = position.RequiredMargin.ToString("F2");
// Charges
if (Configs.AccountInMoney)
{ // in currency
if (position.Transaction == Transaction.Open ||
position.Transaction == Transaction.Add ||
position.Transaction == Transaction.Reverse)
{
asJournalData[row, p++] = position.MoneySpread.ToString("F2");
}
else
{
asJournalData[row, p++] = "-";
}
if (position.Transaction == Transaction.Transfer)
{
asJournalData[row, p++] = position.MoneyRollover.ToString("F2");
}
else
{
asJournalData[row, p++] = "-";
}
if (position.Transaction == Transaction.Open ||
position.Transaction == Transaction.Close ||
position.Transaction == Transaction.Add ||
position.Transaction == Transaction.Reduce ||
position.Transaction == Transaction.Reverse)
{
asJournalData[row, p++] = position.MoneyCommission.ToString("F2");
asJournalData[row, p++] = position.MoneySlippage.ToString("F2");
}
else
{
asJournalData[row, p++] = "-";
asJournalData[row, p++] = "-";
}
}
else
{ // In pips
if (position.Transaction == Transaction.Open ||
position.Transaction == Transaction.Add ||
position.Transaction == Transaction.Reverse)
{
asJournalData[row, p++] = position.Spread.ToString();
}
else
{
asJournalData[row, p++] = "-";
}
if (position.Transaction == Transaction.Transfer)
{
asJournalData[row, p++] = position.Rollover.ToString("F2");
}
else
{
asJournalData[row, p++] = "-";
}
if (position.Transaction == Transaction.Open ||
position.Transaction == Transaction.Close ||
position.Transaction == Transaction.Add ||
position.Transaction == Transaction.Reduce ||
position.Transaction == Transaction.Reverse)
{
asJournalData[row, p++] = position.Commission.ToString("F2");
asJournalData[row, p++] = position.Slippage.ToString();
}
else
{
asJournalData[row, p++] = "-";
asJournalData[row, p++] = "-";
}
}
// Profit Loss
if (position.Transaction == Transaction.Close ||
position.Transaction == Transaction.Reduce ||
position.Transaction == Transaction.Reverse)
{
asJournalData[row, p++] = profitLoss;
}
else
{
asJournalData[row, p++] = "-";
}
// Floating Profit Loss
if (position.PosNumb == Backtester.SummaryPosNumb(bar) &&
position.Transaction != Transaction.Close)
{
asJournalData[row, p++] = floatingPL; //Last position of the bar only
}
else
{
asJournalData[row, p++] = "-";
}
// Balance / Equity
if (Configs.AccountInMoney)
{
asJournalData[row, p++] = position.MoneyBalance.ToString("F2");
asJournalData[row, p++] = position.MoneyEquity.ToString("F2");
}
else
{
asJournalData[row, p++] = position.Balance.ToString("F2");
asJournalData[row, p++] = position.Equity.ToString("F2");
}
asJournalData[row, p++] = Language.T(Backtester.BackTestEval(bar));
// Icons
aiPositionIcons[row] = position.PositionIcon;
}
return;
}
/// <summary>
/// Paints panel pnlInfo
/// </summary>
void PnlInfo_Paint(object sender, PaintEventArgs e)
{
// ---------------------------------------------------------------------+
// | Way points description |
// |--------------------------------------------------------------------+
// | Number | Description | Price | Direction | Lots | Position | Order |
// |--------------------------------------------------------------------+
//xp0 xp1 xp2 xp3 xp4 xp5 xp6 xp7
Graphics g = e.Graphics;
g.Clear(LayoutColors.ColorControlBack);
if (!Data.IsData || !Data.IsResult)
{
return;
}
Panel pnl = (Panel)sender;
Brush brush = Brushes.White;
string FF = Data.FF; // Format modifier to print the floats
Size size = new Size(aiX[columns] - aiX[0], infoRowHeight);
StringFormat sf = new StringFormat();
sf.Alignment = StringAlignment.Center;
sf.LineAlignment = StringAlignment.Near;
// Caption background
PointF pntStart = new PointF(0, 0);
SizeF szfCaption = new Size(pnl.ClientSize.Width, 2 * infoRowHeight);
RectangleF rectfCaption = new RectangleF(pntStart, szfCaption);
Data.GradientPaint(g, rectfCaption, LayoutColors.ColorCaptionBack, LayoutColors.DepthCaption);
// Caption Text
StringFormat stringFormatCaption = new StringFormat();
stringFormatCaption.LineAlignment = StringAlignment.Center;
stringFormatCaption.Trimming = StringTrimming.EllipsisCharacter;
stringFormatCaption.FormatFlags = StringFormatFlags.NoWrap;
stringFormatCaption.Alignment = StringAlignment.Near;
string stringCaptionText = Language.T("Way Points Description");
float fCaptionWidth = (float)Math.Min(pnlInfo.ClientSize.Width, aiX[columns] - aiX[0]);
float fCaptionTextWidth = g.MeasureString(stringCaptionText, fontInfo).Width;
float fCaptionTextX = (float)Math.Max((fCaptionWidth - fCaptionTextWidth) / 2f, 0);
PointF pfCaptionText = new PointF(fCaptionTextX, 0);
SizeF sfCaptionText = new SizeF(fCaptionWidth - fCaptionTextX, infoRowHeight);
rectfCaption = new RectangleF(pfCaptionText, sfCaptionText);
// First caption raw
g.DrawString(stringCaptionText, fontInfo, brushCaptionText, rectfCaption, stringFormatCaption);
// Second caption raw
for (int i = 0; i < columns; i++)
{
g.DrawString(asTitles[i], fontInfo, brushCaptionText, (aiX[i] + aiX[i + 1]) / 2, infoRowHeight, sf);
}
brush = new SolidBrush(LayoutColors.ColorControlText);
for (int pnt = 0; pnt < Backtester.WayPoints(bar); pnt++)
{
int y = (pnt + 2) * infoRowHeight;
Point point = new Point(aiX[0], y);
// Even row
if (pnt % 2f != 0)
{
g.FillRectangle(brushEvenRow, new Rectangle(point, size));
}
int positionNumber = Backtester.WayPoint(bar, pnt).PosNumb;
WayPointType wpType = Backtester.WayPoint(bar, pnt).WPType;
PosDirection posDirection = Backtester.PosFromNumb(positionNumber).PosDir;
double posLots = Backtester.PosFromNumb(positionNumber).PosLots;
int ordNumber = Backtester.WayPoint(bar, pnt).OrdNumb;
g.DrawString((pnt + 1).ToString(), fontInfo, brush, (aiX[0] + aiX[1]) / 2, y, sf);
g.DrawString(Language.T(Way_Point.WPTypeToString(wpType)), fontInfo, brush, aiX[1] + 2, y);
g.DrawString(Backtester.WayPoint(bar, pnt).Price.ToString(FF), fontInfo, brush, (aiX[3] + aiX[2]) / 2, y, sf);
if (positionNumber > -1)
{
g.DrawString(Language.T(posDirection.ToString()), fontInfo, brush, (aiX[4] + aiX[3]) / 2, y, sf);
g.DrawString(posLots.ToString(), fontInfo, brush, (aiX[5] + aiX[4]) / 2, y, sf);
g.DrawString((positionNumber + 1).ToString(), fontInfo, brush, (aiX[6] + aiX[5]) / 2, y, sf);
}
if (ordNumber > -1)
{
g.DrawString((ordNumber + 1).ToString(), fontInfo, brush, (aiX[7] + aiX[6]) / 2, y, sf);
}
}
// Vertical lines
Pen penLine = new Pen(LayoutColors.ColorJournalLines);
for (int i = 1; i < columns; i++)
{
g.DrawLine(penLine, aiX[i], 2 * infoRowHeight, aiX[i], ClientSize.Height - border);
}
// Border
Pen penBorder = new Pen(Data.GetGradientColor(LayoutColors.ColorCaptionBack, -LayoutColors.DepthCaption), border);
g.DrawLine(penBorder, 1, 2 * infoRowHeight, 1, pnl.ClientSize.Height);
g.DrawLine(penBorder, pnl.ClientSize.Width - border + 1, 2 * infoRowHeight, pnl.ClientSize.Width - border + 1, pnl.ClientSize.Height);
g.DrawLine(penBorder, 0, pnl.ClientSize.Height - border + 1, pnl.ClientSize.Width, pnl.ClientSize.Height - border + 1);
return;
}
/// <summary>
/// Paints panel pnlChart
/// </summary>
private void PnlChartPaint(object sender, PaintEventArgs e)
{
Graphics g = e.Graphics;
g.Clear(LayoutColors.ColorChartBack);
if (!Data.IsData || !Data.IsResult)
{
return;
}
var pnl = (Panel)sender;
int width = pnl.ClientSize.Width;
// Caption background
var pntStart = new PointF(0, 0);
SizeF szfCaption = new Size(width, _infoRowHeight);
var rectfCaption = new RectangleF(pntStart, szfCaption);
Data.GradientPaint(g, rectfCaption, LayoutColors.ColorCaptionBack, LayoutColors.DepthCaption);
// Caption Text
var stringFormat = new StringFormat
{
LineAlignment = StringAlignment.Center,
Trimming = StringTrimming.EllipsisCharacter,
FormatFlags = StringFormatFlags.NoWrap,
Alignment = StringAlignment.Center
};
string stringCaptionText = Language.T("Price Route Inside the Bar");
rectfCaption = new RectangleF(Border, 0, pnl.ClientSize.Width - 2 * Border, _infoRowHeight);
g.DrawString(stringCaptionText, _fontInfo, _brushCaptionText, rectfCaption, stringFormat);
// Paint the panel background
var rectClient = new RectangleF(0, _infoRowHeight, pnl.ClientSize.Width, pnl.Height - _infoRowHeight);
Data.GradientPaint(g, rectClient, LayoutColors.ColorChartBack, LayoutColors.DepthControl);
// Paint bar info
var rectBarInfo = new RectangleF(Border, _infoRowHeight + 1, pnl.ClientSize.Width - 2 * Border, _infoRowHeight);
g.DrawString(_barInfo, _fontInfo, _brushGridText, rectBarInfo, stringFormat);
// Searching the min and the max price and volume
width = pnl.ClientSize.Width - 2 * Border;
double maxPrice = Data.High[_barCurrent];
double minPrice = Data.Low[_barCurrent];
const int space = 8;
int spcRight = _szPrice.Width + 4;
const int xLeft = Border + space;
int xRight = width - spcRight;
int yTop = 2 * _infoRowHeight + 6;
int yBottom = pnl.ClientSize.Height - 22;
int barPixels = _maxWayPoints < 10 ? 28 : _maxWayPoints < 15 ? 24 : 20;
const int spcLeft = 3;
int x = barPixels + spcLeft;
int pointLeft = x + barPixels + 30;
int pointRight = xRight - 20;
int points = Backtester.WayPoints(_barCurrent);
const int pointRadius = 3;
// Grid
var iCntLabels = (int)Math.Max((yBottom - yTop) / 30d, 1);
double deltaPoint = (Data.InstrProperties.Digits == 5 || Data.InstrProperties.Digits == 3)
? Data.InstrProperties.Point * 100
: Data.InstrProperties.Point * 10;
double delta =
Math.Max(Math.Round((maxPrice - minPrice) / iCntLabels, Data.InstrProperties.Point < 0.001 ? 3 : 1),
deltaPoint);
minPrice = Math.Round(minPrice, Data.InstrProperties.Point < 0.001f ? 3 : 1) - Data.InstrProperties.Point * 10;
minPrice -= delta;
maxPrice += delta;
iCntLabels = (int)Math.Ceiling((maxPrice - minPrice) / delta);
maxPrice = minPrice + iCntLabels * delta;
double scaleY = (yBottom - yTop) / (iCntLabels * delta);
var yOpen = (int)(yBottom - (Data.Open[_barCurrent] - minPrice) * scaleY);
var yHigh = (int)(yBottom - (Data.High[_barCurrent] - minPrice) * scaleY);
var yLow = (int)(yBottom - (Data.Low[_barCurrent] - minPrice) * scaleY);
var yClose = (int)(yBottom - (Data.Close[_barCurrent] - minPrice) * scaleY);
// Find the price distance
double priceDistance = 0;
for (int point = 1; point < points; point++)
{
priceDistance +=
Math.Abs(Backtester.WayPoint(_barCurrent, point).Price -
Backtester.WayPoint(_barCurrent, point - 1).Price);
}
double dPriceForAPixel = (pointRight - pointLeft) / priceDistance;
// Points X
var aiPointX = new int[points];
aiPointX[0] = pointLeft;
for (int point = 1; point < points - 1; point++)
{
var iDistance =
(int)
(Math.Abs(Backtester.WayPoint(_barCurrent, point).Price -
Backtester.WayPoint(_barCurrent, point - 1).Price) * dPriceForAPixel);
aiPointX[point] = aiPointX[point - 1] + iDistance;
}
aiPointX[points - 1] = pointRight;
for (int point = 1; point < points - 1; point++)
{
if (aiPointX[point] - aiPointX[point - 1] < barPixels + 1)
{
aiPointX[point] = aiPointX[point - 1] + barPixels + 1;
}
}
for (int point = points - 2; point > 0; point--)
{
if (aiPointX[point + 1] - aiPointX[point] < barPixels + 1)
{
aiPointX[point] = aiPointX[point + 1] - barPixels - 1;
}
}
// Find coordinates of the Way Points
var pntWay = new Point[points];
for (int point = 0; point < points; point++)
{
var pointY = (int)(yBottom - (Backtester.WayPoint(_barCurrent, point).Price - minPrice) * scaleY);
pntWay[point] = new Point(aiPointX[point], pointY);
}
// Horizontal grid and Price labels
for (double label = minPrice; label <= maxPrice + Data.InstrProperties.Point; label += delta)
{
var labelY = (int)(yBottom - (label - minPrice) * scaleY);
g.DrawString(label.ToString(Data.FF), Font, _brushGridText, xRight, labelY - Font.Height / 2 - 1);
g.DrawLine(_penGrid, Border + space, labelY, xRight, labelY);
}
// Vertical Grid
g.DrawLine(_penGrid, x + barPixels / 2 - 1, yTop, x + barPixels / 2 - 1, yBottom + 2);
for (int point = 0; point < points; point++)
{
var pt1 = new Point(pntWay[point].X, yTop);
var pt2 = new Point(pntWay[point].X, yBottom + 2);
var pt3 = new Point(pntWay[point].X - 5, yBottom + 4);
g.DrawLine(_penGrid, pt1, pt2);
g.DrawString((point + 1).ToString(CultureInfo.InvariantCulture), Font, _brushGridText, pt3);
}
// Bar Number
string barNumber = (_barCurrent + 1).ToString(CultureInfo.InvariantCulture);
int stringX = x + barPixels / 2 - 1 - g.MeasureString(barNumber, Font).ToSize().Width / 2;
Brush barBrush = Backtester.BackTestEval(_barCurrent) == BacktestEval.Ambiguous ? _brushRed : _brushGridText;
g.DrawString(barNumber, Font, barBrush, stringX, yBottom + 4);
// Draw the bar
g.DrawLine(_penBarBorder, x + barPixels / 2 - 1, yLow, x + barPixels / 2 - 1, yHigh);
if (yClose < yOpen) // White bar
{
var rect = new Rectangle(x, yClose, barPixels - 2, yOpen - yClose);
var lgBrush = new LinearGradientBrush(rect, _colorBarWight1, _colorBarWight2, 5f);
g.FillRectangle(lgBrush, rect);
g.DrawRectangle(_penBarBorder, x, yClose, barPixels - 2, yOpen - yClose);
}
else if (yClose > yOpen) // Black bar
{
var rect = new Rectangle(x, yOpen, barPixels - 2, yClose - yOpen);
var lgBrush = new LinearGradientBrush(rect, _colorBarBlack1, _colorBarBlack2, 5f);
g.FillRectangle(lgBrush, rect);
g.DrawRectangle(_penBarBorder, x, yOpen, barPixels - 2, yClose - yOpen);
}
else // Cross
{
g.DrawLine(_penBarBorder, x, yClose, x + barPixels - 2, yClose);
}
// Draw cancelled orders
for (int orderIndex = 0; orderIndex < Backtester.Orders(_barCurrent); orderIndex++)
{
int ordNumber = Backtester.OrdNumb(_barCurrent, orderIndex);
Order order = Backtester.OrdFromNumb(ordNumber);
if (order.OrdStatus != OrderStatus.Cancelled)
{
continue;
}
if (order.OrdPrice > Data.High[_barCurrent] || order.OrdPrice < Data.Low[_barCurrent])
{
continue;
}
int d = barPixels / 2 - 1;
int x1 = x + d;
int x2 = x + barPixels - 2;
var yDeal = (int)(yBottom - (order.OrdPrice - minPrice) * scaleY);
var pen = new Pen(LayoutColors.ColorChartGrid, 2);
if (order.OrdDir == OrderDirection.Buy)
{
g.DrawLine(pen, x, yDeal, x1, yDeal);
g.DrawLine(pen, x1, yDeal, x2, yDeal - d);
g.DrawLine(pen, x2 + 1, yDeal - d + 1, x1 + d / 2 + 1, yDeal - d + 1);
g.DrawLine(pen, x2, yDeal - d, x2, yDeal - d / 2);
}
else if (order.OrdDir == OrderDirection.Sell)
{
g.DrawLine(pen, x, yDeal + 1, x1 + 1, yDeal + 1);
g.DrawLine(pen, x1, yDeal, x2, yDeal + d);
g.DrawLine(pen, x1 + d / 2 + 1, yDeal + d, x2, yDeal + d);
g.DrawLine(pen, x2, yDeal + d, x2, yDeal + d / 2 + 1);
}
}
// Draw the deals on the bar
for (int pos = 0; pos < Backtester.Positions(_barCurrent); pos++)
{
if (Backtester.PosTransaction(_barCurrent, pos) == Transaction.Transfer)
{
continue;
}
var yDeal = (int)(yBottom - (Backtester.PosOrdPrice(_barCurrent, pos) - minPrice) * scaleY);
if (Backtester.PosDir(_barCurrent, pos) == PosDirection.Long ||
Backtester.PosDir(_barCurrent, pos) == PosDirection.Short)
{
int d = barPixels / 2 - 1;
int x1 = x + d;
int x2 = x + barPixels - 2;
if (Backtester.OrdFromNumb(Backtester.PosOrdNumb(_barCurrent, pos)).OrdDir == OrderDirection.Buy)
{
// Buy
var pen = new Pen(LayoutColors.ColorTradeLong, 2);
g.DrawLine(pen, x, yDeal, x1, yDeal);
g.DrawLine(pen, x1, yDeal, x2, yDeal - d);
g.DrawLine(pen, x2 + 1, yDeal - d + 1, x1 + d / 2 + 1, yDeal - d + 1);
g.DrawLine(pen, x2, yDeal - d, x2, yDeal - d / 2);
}
else
{
// Sell
var pen = new Pen(LayoutColors.ColorTradeShort, 2);
g.DrawLine(pen, x, yDeal + 1, x1 + 1, yDeal + 1);
g.DrawLine(pen, x1, yDeal, x2, yDeal + d);
g.DrawLine(pen, x1 + d / 2 + 1, yDeal + d, x2, yDeal + d);
g.DrawLine(pen, x2, yDeal + d, x2, yDeal + d / 2 + 1);
}
}
else if (Backtester.PosDir(_barCurrent, pos) == PosDirection.Closed)
{
// Close position
int d = barPixels / 2 - 1;
int x1 = x + d;
int x2 = x + barPixels - 3;
var pen = new Pen(LayoutColors.ColorTradeClose, 2);
g.DrawLine(pen, x, yDeal, x1, yDeal);
g.DrawLine(pen, x1, yDeal + d / 2, x2, yDeal - d / 2);
g.DrawLine(pen, x1, yDeal - d / 2, x2, yDeal + d / 2);
}
}
// Draw position lots
for (int point = 0; point < points; point++)
{
int posNumber = Backtester.WayPoint(_barCurrent, point).PosNumb;
if (posNumber == -1)
{
continue;
}
Position position = Backtester.PosFromNumb(posNumber);
double posLots = position.PosLots;
PosDirection posDirection = position.PosDir;
WayPointType wpType = Backtester.WayPoint(_barCurrent, point).WPType;
var hight = (int)(Math.Max(posLots * 2, 2));
int lenght = barPixels;
int posX = pntWay[point].X - (barPixels - 1) / 2;
int posY = yBottom - hight;
if (point < points - 1)
{
lenght = pntWay[point + 1].X - pntWay[point].X + 1;
}
if (posDirection == PosDirection.Long)
{
// Long
var rect = new Rectangle(posX - 1, posY - 1, lenght, hight + 2);
var lgBrush = new LinearGradientBrush(rect, _colorLongTrade1, _colorLongTrade2,
LinearGradientMode.Vertical);
rect = new Rectangle(posX - 1, posY, lenght, hight);
g.FillRectangle(lgBrush, rect);
}
else if (posDirection == PosDirection.Short)
{
// Short
var rect = new Rectangle(posX - 1, posY - 1, lenght, hight + 2);
var lgBrush = new LinearGradientBrush(rect, _colorShortTrade1, _colorShortTrade2,
LinearGradientMode.Vertical);
rect = new Rectangle(posX - 1, posY, lenght, hight);
g.FillRectangle(lgBrush, rect);
}
else if (posDirection == PosDirection.Closed && wpType == WayPointType.Exit)
{
// Closed
var rect = new Rectangle(posX - 1, yBottom - 2, barPixels + 1, 2);
var lgBrush = new LinearGradientBrush(rect, _colorClosedTrade1, _colorClosedTrade2,
LinearGradientMode.Vertical);
rect = new Rectangle(posX, yBottom - 2, barPixels - 1, 2);
g.FillRectangle(lgBrush, rect);
}
}
// Draw the Beziers
for (int point = 1; point < points; point++)
{
Point ptKnot1 = pntWay[point - 1];
Point ptKnot2 = pntWay[point];
int ctrlX1 = (ptKnot1.X + ptKnot2.X) / 2;
int ctrlX2 = (ptKnot1.X + ptKnot2.X) / 2;
int ctrlY1 = ptKnot1.Y;
int ctrlY2 = ptKnot2.Y;
if (point > 1)
{
if (pntWay[point - 2].Y > pntWay[point - 1].Y && pntWay[point - 1].Y > pntWay[point].Y ||
pntWay[point - 2].Y < pntWay[point - 1].Y && pntWay[point - 1].Y < pntWay[point].Y)
{
ctrlY1 = (pntWay[point - 1].Y + pntWay[point].Y) / 2;
}
}
if (point < points - 1)
{
if (pntWay[point - 1].Y > pntWay[point].Y && pntWay[point].Y > pntWay[point + 1].Y ||
pntWay[point - 1].Y < pntWay[point].Y && pntWay[point].Y < pntWay[point + 1].Y)
{
ctrlY2 = (pntWay[point - 1].Y + pntWay[point].Y) / 2;
}
}
if (point == 1)
{
ctrlX1 = ptKnot1.X;
ctrlY1 = ptKnot1.Y;
}
if (point == points - 1)
{
ctrlX2 = ptKnot2.X;
ctrlY2 = ptKnot2.Y;
}
var ptControl1 = new Point(ctrlX1, ctrlY1);
var ptControl2 = new Point(ctrlX2, ctrlY2);
g.DrawBezier(_penCross, ptKnot1, ptControl1, ptControl2, ptKnot2);
}
// Draw the WayPoints
Brush brushWeyPnt = new SolidBrush(LayoutColors.ColorChartBack);
for (int point = 0; point < points; point++)
{
g.FillEllipse(brushWeyPnt, pntWay[point].X - pointRadius, pntWay[point].Y - pointRadius, 2 * pointRadius,
2 * pointRadius);
g.DrawEllipse(_penCross, pntWay[point].X - pointRadius, pntWay[point].Y - pointRadius, 2 * pointRadius,
2 * pointRadius);
}
// Draw O, H, L, C labels
for (int point = 0; point < points; point++)
{
WayPointType wpType = Backtester.WayPoint(_barCurrent, point).WPType;
if (wpType != WayPointType.Open && wpType != WayPointType.High &&
wpType != WayPointType.Low && wpType != WayPointType.Close)
{
continue;
}
string label = "?";
switch (wpType)
{
case WayPointType.Open:
label = "O";
break;
case WayPointType.High:
label = "H";
break;
case WayPointType.Low:
label = "L";
break;
case WayPointType.Close:
label = "C";
break;
}
int xPoint = pntWay[point].X;
int yPoint = pntWay[point].Y - Font.Height - 3;
var stringFormatLabel = new StringFormat {
Alignment = StringAlignment.Center
};
g.DrawString(label, Font, _brushGridText, xPoint, yPoint, stringFormatLabel);
}
// Draw the deals on the route
for (int point = 0; point < points; point++)
{
int posNumber = Backtester.WayPoint(_barCurrent, point).PosNumb;
int ordNumber = Backtester.WayPoint(_barCurrent, point).OrdNumb;
if (posNumber < 0 || ordNumber < 0)
{
continue;
}
PosDirection posDirection = Backtester.PosFromNumb(posNumber).PosDir;
OrderDirection ordDirection = Backtester.OrdFromNumb(ordNumber).OrdDir;
WayPointType wpType = Backtester.WayPoint(_barCurrent, point).WPType;
if (wpType == WayPointType.None || wpType == WayPointType.Open || wpType == WayPointType.High ||
wpType == WayPointType.Low || wpType == WayPointType.Close)
{
continue;
}
int yDeal = pntWay[point].Y;
if (posDirection == PosDirection.Long || posDirection == PosDirection.Short ||
wpType == WayPointType.Cancel)
{
int d = barPixels / 2 - 1;
x = pntWay[point].X - d;
int x1 = pntWay[point].X;
int x2 = x + barPixels - 2;
if (ordDirection == OrderDirection.Buy)
{
// Buy
var pen = new Pen(LayoutColors.ColorTradeLong, 2);
if (wpType == WayPointType.Cancel)
{
pen = new Pen(LayoutColors.ColorChartGrid, 2);
}
g.DrawLine(pen, x, yDeal, x1, yDeal);
g.DrawLine(pen, x1, yDeal, x2, yDeal - d);
g.DrawLine(pen, x2 + 1, yDeal - d + 1, x1 + d / 2 + 1, yDeal - d + 1);
g.DrawLine(pen, x2, yDeal - d, x2, yDeal - d / 2);
}
else
{
// Sell
var pen = new Pen(LayoutColors.ColorTradeShort, 2);
if (wpType == WayPointType.Cancel)
{
pen = new Pen(LayoutColors.ColorChartGrid, 2);
}
g.DrawLine(pen, x, yDeal + 1, x1 + 1, yDeal + 1);
g.DrawLine(pen, x1, yDeal, x2, yDeal + d);
g.DrawLine(pen, x1 + d / 2 + 1, yDeal + d, x2, yDeal + d);
g.DrawLine(pen, x2, yDeal + d, x2, yDeal + d / 2 + 1);
}
}
if (posDirection == PosDirection.Closed)
{
// Close position
int d = barPixels / 2 - 1;
x = pntWay[point].X - d;
int x1 = pntWay[point].X;
int x2 = x + barPixels - 3;
var pen = new Pen(LayoutColors.ColorTradeClose, 2);
g.DrawLine(pen, x, yDeal, x1, yDeal);
g.DrawLine(pen, x1, yDeal + d / 2, x2, yDeal - d / 2);
g.DrawLine(pen, x1, yDeal - d / 2, x2, yDeal + d / 2);
}
}
// Coordinate axes
g.DrawLine(_penAxes, xLeft, yTop - 4, xLeft, yBottom); // Vertical left line
g.DrawLine(_penAxes, xLeft, yBottom, xRight, yBottom);
// Border
var penBorder = new Pen(Data.GetGradientColor(LayoutColors.ColorCaptionBack, -LayoutColors.DepthCaption),
Border);
g.DrawLine(penBorder, 1, _infoRowHeight, 1, pnl.ClientSize.Height);
g.DrawLine(penBorder, pnl.ClientSize.Width - Border + 1, _infoRowHeight, pnl.ClientSize.Width - Border + 1,
pnl.ClientSize.Height);
g.DrawLine(penBorder, 0, pnl.ClientSize.Height - Border + 1, pnl.ClientSize.Width,
pnl.ClientSize.Height - Border + 1);
}
/// <summary>
/// Paints panel pnlChart
/// </summary>
void PnlChart_Paint(object sender, PaintEventArgs e)
{
Graphics g = e.Graphics;
g.Clear(LayoutColors.ColorChartBack);
if (!Data.IsData || !Data.IsResult)
{
return;
}
Panel pnl = (Panel)sender;
Pen penFore = new Pen(LayoutColors.ColorControlText);
string FF = Data.FF; // Format modifier to print the floats
int width = pnl.ClientSize.Width;
Size size = new Size(width, infoRowHeight);
StringFormat sf = new StringFormat();
sf.Alignment = StringAlignment.Center;
sf.LineAlignment = StringAlignment.Near;
// Caption background
PointF pntStart = new PointF(0, 0);
SizeF szfCaption = new Size(width, infoRowHeight);
RectangleF rectfCaption = new RectangleF(pntStart, szfCaption);
Data.GradientPaint(g, rectfCaption, LayoutColors.ColorCaptionBack, LayoutColors.DepthCaption);
// Caption Text
StringFormat stringFormatCaption = new StringFormat();
stringFormatCaption.LineAlignment = StringAlignment.Center;
stringFormatCaption.Trimming = StringTrimming.EllipsisCharacter;
stringFormatCaption.FormatFlags = StringFormatFlags.NoWrap;
stringFormatCaption.Alignment = StringAlignment.Center;
string stringCaptionText = Language.T("Price Route Inside the Bar");
rectfCaption = new RectangleF(border, 0, pnl.ClientSize.Width - 2 * border, infoRowHeight);
g.DrawString(stringCaptionText, fontInfo, brushCaptionText, rectfCaption, stringFormatCaption);
// Paint the panel background
RectangleF rectClient = new RectangleF(0, infoRowHeight, pnl.ClientSize.Width, pnl.Height - infoRowHeight);
Data.GradientPaint(g, rectClient, LayoutColors.ColorChartBack, LayoutColors.DepthControl);
// Paint bar info
RectangleF rectBarInfo = new RectangleF(border, infoRowHeight + 1, pnl.ClientSize.Width - 2 * border, infoRowHeight);
g.DrawString(barInfo, fontInfo, brushGridText, rectBarInfo, stringFormatCaption);
// Searching the min and the max price and volume
width = pnl.ClientSize.Width - 2 * border;
double maxPrice = Data.High[bar];
double minPrice = Data.Low[bar];
int space = 8;
int spcRight = szPrice.Width + 4;
int XLeft = border + space;
int XRight = width - spcRight;
int chartWidth = XRight - XLeft;
int YTop = 2 * infoRowHeight + 6;
int YBottom = pnl.ClientSize.Height - 22;
int barPixels = 28;
int spcLeft = 3;
int x = barPixels + spcLeft;
int pointLeft = x + barPixels + 30;
int pointX = pointLeft;
int pointRight = XRight - 20;
int points = Backtester.WayPoints(bar);
int pointRadius = 3;
// Grid
int iCntLabels = (int)Math.Max((YBottom - YTop) / 30d, 1);
double deltaPoint = (Data.InstrProperties.Digits == 5 || Data.InstrProperties.Digits == 3) ? Data.InstrProperties.Point * 100 : Data.InstrProperties.Point * 10;
double delta = Math.Max(Math.Round((maxPrice - minPrice) / iCntLabels, Data.InstrProperties.Point < 0.001 ? 3 : 1), deltaPoint);
minPrice = Math.Round(minPrice, Data.InstrProperties.Point < 0.001f ? 3 : 1) - Data.InstrProperties.Point * 10;
minPrice -= delta;
maxPrice += delta;
iCntLabels = (int)Math.Ceiling((maxPrice - minPrice) / delta);
maxPrice = minPrice + iCntLabels * delta;
double scaleY = (YBottom - YTop) / (iCntLabels * delta);
int yOpen = (int)(YBottom - (Data.Open[bar] - minPrice) * scaleY);
int yHigh = (int)(YBottom - (Data.High[bar] - minPrice) * scaleY);
int yLow = (int)(YBottom - (Data.Low[bar] - minPrice) * scaleY);
int yClose = (int)(YBottom - (Data.Close[bar] - minPrice) * scaleY);
// Find the price distance
double priceDistance = 0;
for (int point = 1; point < points; point++)
{
priceDistance += Math.Abs(Backtester.WayPoint(bar, point).Price - Backtester.WayPoint(bar, point - 1).Price);
}
double dPriceForAPixel = (pointRight - pointLeft) / priceDistance;
// Points X
int[] aiPointX = new int[points];
aiPointX[0] = pointLeft;
for (int point = 1; point < points - 1; point++)
{
int iDistance = (int)(Math.Abs(Backtester.WayPoint(bar, point).Price - Backtester.WayPoint(bar, point - 1).Price) * dPriceForAPixel);
aiPointX[point] = aiPointX[point - 1] + iDistance;
}
aiPointX[points - 1] = pointRight;
for (int point = 1; point < points - 1; point++)
{
if (aiPointX[point] - aiPointX[point - 1] < barPixels + 1)
{
aiPointX[point] = aiPointX[point - 1] + barPixels + 1;
}
}
for (int point = points - 2; point > 0; point--)
{
if (aiPointX[point + 1] - aiPointX[point] < barPixels + 1)
{
aiPointX[point] = aiPointX[point + 1] - barPixels - 1;
}
}
// Find coordinates of the Way Points
Point[] pntWay = new Point[points];
for (int point = 0; point < points; point++)
{
int pointY = (int)(YBottom - (Backtester.WayPoint(bar, point).Price - minPrice) * scaleY);
pntWay[point] = new Point(aiPointX[point], pointY);
}
// Horizontal grid and Price labels
for (double label = minPrice; label <= maxPrice + Data.InstrProperties.Point; label += delta)
{
int labelY = (int)(YBottom - (label - minPrice) * scaleY);
g.DrawString(label.ToString(Data.FF), Font, brushGridText, XRight, labelY - Font.Height / 2 - 1);
g.DrawLine(penGrid, border + space, labelY, XRight, labelY);
}
// Vertical Grid
g.DrawLine(penGrid, x + barPixels / 2 - 1, YTop, x + barPixels / 2 - 1, YBottom + 2);
for (int point = 0; point < points; point++)
{
Point pt1 = new Point(pntWay[point].X, YTop);
Point pt2 = new Point(pntWay[point].X, YBottom + 2);
Point pt3 = new Point(pntWay[point].X - 5, YBottom + 4);
g.DrawLine(penGrid, pt1, pt2);
g.DrawString((point + 1).ToString(), Font, brushGridText, pt3);
}
// Bar Number
string barNumber = (bar + 1).ToString();
int stringX = x + barPixels / 2 - 1 - g.MeasureString(barNumber, Font).ToSize().Width / 2;
if (Backtester.BackTestEval(bar) == "Ambiguous")
{
g.DrawString(barNumber, Font, brushRed, stringX, YBottom + 4);
}
else
{
g.DrawString(barNumber, Font, brushGridText, stringX, YBottom + 4);
}
// Draw the bar
g.DrawLine(penBarBorder, x + barPixels / 2 - 1, yLow, x + barPixels / 2 - 1, yHigh);
if (yClose < yOpen) // White bar
{
Rectangle rect = new Rectangle(x, yClose, barPixels - 2, yOpen - yClose);
LinearGradientBrush lgBrush = new LinearGradientBrush(rect, colorBarWight1, colorBarWight2, 5f);
g.FillRectangle(lgBrush, rect);
g.DrawRectangle(penBarBorder, x, yClose, barPixels - 2, yOpen - yClose);
}
else if (yClose > yOpen) // Black bar
{
Rectangle rect = new Rectangle(x, yOpen, barPixels - 2, yClose - yOpen);
LinearGradientBrush lgBrush = new LinearGradientBrush(rect, colorBarBlack1, colorBarBlack2, 5f);
g.FillRectangle(lgBrush, rect);
g.DrawRectangle(penBarBorder, x, yOpen, barPixels - 2, yClose - yOpen);
}
else // Cross
{
g.DrawLine(penBarBorder, x, yClose, x + barPixels - 2, yClose);
}
// Draw cancelled orders
for (int orderIndex = 0; orderIndex < Backtester.Orders(bar); orderIndex++)
{
int ordNumber = Backtester.OrdNumb(bar, orderIndex);
Order order = Backtester.OrdFromNumb(ordNumber);
if (order.OrdStatus != OrderStatus.Cancelled)
{
continue;
}
if (order.OrdPrice > Data.High[bar] || order.OrdPrice < Data.Low[bar])
{
continue;
}
int d = barPixels / 2 - 1;
int x1 = x + d;
int x2 = x + barPixels - 2;
int yDeal = (int)(YBottom - (order.OrdPrice - minPrice) * scaleY);
Pen pen = new Pen(LayoutColors.ColorChartGrid, 2);
if (order.OrdDir == OrderDirection.Buy)
{
g.DrawLine(pen, x, yDeal, x1, yDeal);
g.DrawLine(pen, x1, yDeal, x2, yDeal - d);
g.DrawLine(pen, x2 + 1, yDeal - d + 1, x1 + d / 2 + 1, yDeal - d + 1);
g.DrawLine(pen, x2, yDeal - d, x2, yDeal - d / 2);
}
else if (order.OrdDir == OrderDirection.Sell)
{
g.DrawLine(pen, x, yDeal + 1, x1 + 1, yDeal + 1);
g.DrawLine(pen, x1, yDeal, x2, yDeal + d);
g.DrawLine(pen, x1 + d / 2 + 1, yDeal + d, x2, yDeal + d);
g.DrawLine(pen, x2, yDeal + d, x2, yDeal + d / 2 + 1);
}
}
// Draw the deals on the bar
for (int pos = 0; pos < Backtester.Positions(bar); pos++)
{
if (Backtester.PosTransaction(bar, pos) == Transaction.Transfer)
{
continue;
}
int yDeal = (int)(YBottom - (Backtester.PosOrdPrice(bar, pos) - minPrice) * scaleY);
if (Backtester.PosDir(bar, pos) == PosDirection.Long ||
Backtester.PosDir(bar, pos) == PosDirection.Short)
{
int d = barPixels / 2 - 1;
int x1 = x + d;
int x2 = x + barPixels - 2;
if (Backtester.OrdFromNumb(Backtester.PosOrdNumb(bar, pos)).OrdDir == OrderDirection.Buy)
{ // Buy
Pen pen = new Pen(LayoutColors.ColorTradeLong, 2);
g.DrawLine(pen, x, yDeal, x1, yDeal);
g.DrawLine(pen, x1, yDeal, x2, yDeal - d);
g.DrawLine(pen, x2 + 1, yDeal - d + 1, x1 + d / 2 + 1, yDeal - d + 1);
g.DrawLine(pen, x2, yDeal - d, x2, yDeal - d / 2);
}
else
{ // Sell
Pen pen = new Pen(LayoutColors.ColorTradeShort, 2);
g.DrawLine(pen, x, yDeal + 1, x1 + 1, yDeal + 1);
g.DrawLine(pen, x1, yDeal, x2, yDeal + d);
g.DrawLine(pen, x1 + d / 2 + 1, yDeal + d, x2, yDeal + d);
g.DrawLine(pen, x2, yDeal + d, x2, yDeal + d / 2 + 1);
}
}
else if (Backtester.PosDir(bar, pos) == PosDirection.Closed)
{ // Close position
int d = barPixels / 2 - 1;
int x1 = x + d;
int x2 = x + barPixels - 3;
Pen pen = new Pen(LayoutColors.ColorTradeClose, 2);
g.DrawLine(pen, x, yDeal, x1, yDeal);
g.DrawLine(pen, x1, yDeal + d / 2, x2, yDeal - d / 2);
g.DrawLine(pen, x1, yDeal - d / 2, x2, yDeal + d / 2);
}
}
// Draw position lots
for (int point = 0; point < points; point++)
{
int posNumber = Backtester.WayPoint(bar, point).PosNumb;
if (posNumber == -1)
{
continue;
}
double posLots = Backtester.PosFromNumb(posNumber).PosLots;
PosDirection posDirection = Backtester.PosFromNumb(posNumber).PosDir;
WayPointType wpType = Backtester.WayPoint(bar, point).WPType;
int posHight = (int)(Math.Max(posLots * 2, 2));
int posY = YBottom - posHight;
int d = (barPixels - 1) / 2;
x = pntWay[point].X - d;
if (posDirection == PosDirection.Long)
{ // Long
Rectangle rect = new Rectangle(x - 1, posY, barPixels + 1, posHight);
LinearGradientBrush lgBrush = new LinearGradientBrush(rect, colorLongTrade1, colorLongTrade2, 0f);
rect = new Rectangle(x, posY, barPixels - 1, posHight);
g.FillRectangle(lgBrush, rect);
}
else if (posDirection == PosDirection.Short)
{ // Short
Rectangle rect = new Rectangle(x - 1, posY, barPixels + 1, posHight);
LinearGradientBrush lgBrush = new LinearGradientBrush(rect, colorShortTrade1, colorShortTrade2, 0f);
rect = new Rectangle(x, posY, barPixels - 1, posHight);
g.FillRectangle(lgBrush, rect);
}
else if (posDirection == PosDirection.Closed && wpType == WayPointType.Exit)
{ // Closed
Rectangle rect = new Rectangle(x - 1, YBottom - 2, barPixels + 1, 2);
LinearGradientBrush lgBrush = new LinearGradientBrush(rect, colorClosedTrade1, colorClosedTrade2, 0f);
rect = new Rectangle(x, YBottom - 2, barPixels - 1, 2);
g.FillRectangle(lgBrush, rect);
}
}
// Draw the Beziers
for (int point = 1; point < points; point++)
{
Point ptKnot1 = pntWay[point - 1];
Point ptKnot2 = pntWay[point];
int ctrlX1 = (ptKnot1.X + ptKnot2.X) / 2;
int ctrlX2 = (ptKnot1.X + ptKnot2.X) / 2;
int ctrlY1 = ptKnot1.Y;
int ctrlY2 = ptKnot2.Y;
if (point > 1)
{
if (pntWay[point - 2].Y > pntWay[point - 1].Y && pntWay[point - 1].Y > pntWay[point].Y ||
pntWay[point - 2].Y < pntWay[point - 1].Y && pntWay[point - 1].Y < pntWay[point].Y)
{
ctrlY1 = (pntWay[point - 1].Y + pntWay[point].Y) / 2;
}
}
if (point < points - 1)
{
if (pntWay[point - 1].Y > pntWay[point].Y && pntWay[point].Y > pntWay[point + 1].Y ||
pntWay[point - 1].Y < pntWay[point].Y && pntWay[point].Y < pntWay[point + 1].Y)
{
ctrlY2 = (pntWay[point - 1].Y + pntWay[point].Y) / 2;
}
}
if (point == 1)
{
ctrlX1 = ptKnot1.X;
ctrlY1 = ptKnot1.Y;
}
if (point == points - 1)
{
ctrlX2 = ptKnot2.X;
ctrlY2 = ptKnot2.Y;
}
Point ptControl1 = new Point(ctrlX1, ctrlY1);
Point ptControl2 = new Point(ctrlX2, ctrlY2);
g.DrawBezier(penCross, ptKnot1, ptControl1, ptControl2, ptKnot2);
}
// Draw the WayPoints
Brush brushWeyPnt = new SolidBrush(LayoutColors.ColorChartBack);
for (int point = 0; point < points; point++)
{
g.FillEllipse(brushWeyPnt, pntWay[point].X - pointRadius, pntWay[point].Y - pointRadius, 2 * pointRadius, 2 * pointRadius);
g.DrawEllipse(penCross, pntWay[point].X - pointRadius, pntWay[point].Y - pointRadius, 2 * pointRadius, 2 * pointRadius);
}
// Draw the deals on the route
for (int point = 0; point < points; point++)
{
int posNumber = Backtester.WayPoint(bar, point).PosNumb;
int ordNumber = Backtester.WayPoint(bar, point).OrdNumb;
if (posNumber < 0 || ordNumber < 0)
{
continue;
}
PosDirection posDirection = Backtester.PosFromNumb(posNumber).PosDir;
OrderDirection ordDirection = Backtester.OrdFromNumb(ordNumber).OrdDir;
WayPointType wpType = Backtester.WayPoint(bar, point).WPType;
if (Backtester.PosFromNumb(posNumber).Transaction == Transaction.Transfer ||
wpType == WayPointType.Cancel || wpType == WayPointType.None ||
wpType == WayPointType.Open || wpType == WayPointType.High ||
wpType == WayPointType.Low || wpType == WayPointType.Close)
{
continue;
}
int yDeal = pntWay[point].Y;
if (posDirection == PosDirection.Long ||
posDirection == PosDirection.Short)
{
int d = barPixels / 2 - 1;
x = pntWay[point].X - d;
int x1 = pntWay[point].X;
int x2 = x + barPixels - 2;
if (ordDirection == OrderDirection.Buy)
{ // Buy
Pen pen = new Pen(LayoutColors.ColorTradeLong, 2);
g.DrawLine(pen, x, yDeal, x1, yDeal);
g.DrawLine(pen, x1, yDeal, x2, yDeal - d);
g.DrawLine(pen, x2 + 1, yDeal - d + 1, x1 + d / 2 + 1, yDeal - d + 1);
g.DrawLine(pen, x2, yDeal - d, x2, yDeal - d / 2);
}
else
{ // Sell
Pen pen = new Pen(LayoutColors.ColorTradeShort, 2);
g.DrawLine(pen, x, yDeal + 1, x1 + 1, yDeal + 1);
g.DrawLine(pen, x1, yDeal, x2, yDeal + d);
g.DrawLine(pen, x1 + d / 2 + 1, yDeal + d, x2, yDeal + d);
g.DrawLine(pen, x2, yDeal + d, x2, yDeal + d / 2 + 1);
}
}
else if (posDirection == PosDirection.Closed)
{ // Close position
int d = barPixels / 2 - 1;
x = pntWay[point].X - d;
int x1 = pntWay[point].X;
int x2 = x + barPixels - 3;
Pen pen = new Pen(LayoutColors.ColorTradeClose, 2);
g.DrawLine(pen, x, yDeal, x1, yDeal);
g.DrawLine(pen, x1, yDeal + d / 2, x2, yDeal - d / 2);
g.DrawLine(pen, x1, yDeal - d / 2, x2, yDeal + d / 2);
}
}
// Coordinate axes
g.DrawLine(penAxes, XLeft, YTop - 4, XLeft, YBottom); // Vertical left line
g.DrawLine(penAxes, XLeft, YBottom, XRight, YBottom);
// Border
Pen penBorder = new Pen(Data.GetGradientColor(LayoutColors.ColorCaptionBack, -LayoutColors.DepthCaption), border);
g.DrawLine(penBorder, 1, infoRowHeight, 1, pnl.ClientSize.Height);
g.DrawLine(penBorder, pnl.ClientSize.Width - border + 1, infoRowHeight, pnl.ClientSize.Width - border + 1, pnl.ClientSize.Height);
g.DrawLine(penBorder, 0, pnl.ClientSize.Height - border + 1, pnl.ClientSize.Width, pnl.ClientSize.Height - border + 1);
}
/// <summary>
/// Paints panel pnlInfo
/// </summary>
private void PnlInfoPaint(object sender, PaintEventArgs e)
{
// ---------------------------------------------------------------------+
// | Way points description |
// |--------------------------------------------------------------------+
// | Number | Description | Price | Direction | Lots | Position | Order |
// |--------------------------------------------------------------------+
//xp0 xp1 xp2 xp3 xp4 xp5 xp6 xp7
Graphics g = e.Graphics;
g.Clear(LayoutColors.ColorControlBack);
if (!Data.IsData || !Data.IsResult)
{
return;
}
var pnl = (Panel)sender;
string ff = Data.FF; // Format modifier to print the floats
var size = new Size(_aiX[_columns] - _aiX[0], _infoRowHeight);
var sf = new StringFormat {
Alignment = StringAlignment.Center, LineAlignment = StringAlignment.Near
};
// Caption background
var pntStart = new PointF(0, 0);
SizeF szfCaption = new Size(pnl.ClientSize.Width, 2 * _infoRowHeight);
var rectfCaption = new RectangleF(pntStart, szfCaption);
Data.GradientPaint(g, rectfCaption, LayoutColors.ColorCaptionBack, LayoutColors.DepthCaption);
// Caption Text
var stringFormat = new StringFormat
{
LineAlignment = StringAlignment.Center,
Trimming = StringTrimming.EllipsisCharacter,
FormatFlags = StringFormatFlags.NoWrap,
Alignment = StringAlignment.Near
};
string stringCaptionText = Language.T("Way Points Description");
float captionWidth = Math.Min(_pnlInfo.ClientSize.Width, _aiX[_columns] - _aiX[0]);
float fCaptionTextWidth = g.MeasureString(stringCaptionText, _fontInfo).Width;
float fCaptionTextX = Math.Max((captionWidth - fCaptionTextWidth) / 2f, 0);
var pfCaptionText = new PointF(fCaptionTextX, 0);
var sfCaptionText = new SizeF(captionWidth - fCaptionTextX, _infoRowHeight);
rectfCaption = new RectangleF(pfCaptionText, sfCaptionText);
// First caption raw
g.DrawString(stringCaptionText, _fontInfo, _brushCaptionText, rectfCaption, stringFormat);
// Second caption raw
for (int i = 0; i < _columns; i++)
{
g.DrawString(_asTitles[i], _fontInfo, _brushCaptionText, (_aiX[i] + _aiX[i + 1]) / 2f, _infoRowHeight, sf);
}
Brush brush = new SolidBrush(LayoutColors.ColorControlText);
for (int pnt = 0; pnt < Backtester.WayPoints(_barCurrent); pnt++)
{
int y = (pnt + 2) * _infoRowHeight;
var point = new Point(_aiX[0], y);
// Even row
if (Math.Abs(pnt % 2f - 0) > 0.00001)
{
g.FillRectangle(_brushEvenRow, new Rectangle(point, size));
}
int positionNumber = Backtester.WayPoint(_barCurrent, pnt).PosNumb;
WayPointType wpType = Backtester.WayPoint(_barCurrent, pnt).WPType;
PosDirection posDirection = Backtester.PosFromNumb(positionNumber).PosDir;
double posLots = Backtester.PosFromNumb(positionNumber).PosLots;
int ordNumber = Backtester.WayPoint(_barCurrent, pnt).OrdNumb;
g.DrawString((pnt + 1).ToString(CultureInfo.InvariantCulture), _fontInfo, brush, (_aiX[0] + _aiX[1]) / 2f,
y, sf);
g.DrawString(Language.T(WayPoint.WPTypeToString(wpType)), _fontInfo, brush, _aiX[1] + 2, y);
g.DrawString(Backtester.WayPoint(_barCurrent, pnt).Price.ToString(ff), _fontInfo, brush,
(_aiX[3] + _aiX[2]) / 2f, y, sf);
if (positionNumber > -1)
{
g.DrawString(Language.T(posDirection.ToString()), _fontInfo, brush, (_aiX[4] + _aiX[3]) / 2f, y, sf);
g.DrawString(posLots.ToString(CultureInfo.InvariantCulture), _fontInfo, brush,
(_aiX[5] + _aiX[4]) / 2f, y, sf);
g.DrawString((positionNumber + 1).ToString(CultureInfo.InvariantCulture), _fontInfo, brush,
(_aiX[6] + _aiX[5]) / 2f, y, sf);
}
if (ordNumber > -1)
{
g.DrawString((ordNumber + 1).ToString(CultureInfo.InvariantCulture), _fontInfo, brush,
(_aiX[7] + _aiX[6]) / 2f, y, sf);
}
}
// Vertical lines
var penLine = new Pen(LayoutColors.ColorJournalLines);
for (int i = 1; i < _columns; i++)
{
g.DrawLine(penLine, _aiX[i], 2 * _infoRowHeight, _aiX[i], ClientSize.Height - Border);
}
// Border
var penBorder = new Pen(Data.GetGradientColor(LayoutColors.ColorCaptionBack, -LayoutColors.DepthCaption),
Border);
g.DrawLine(penBorder, 1, 2 * _infoRowHeight, 1, pnl.ClientSize.Height);
g.DrawLine(penBorder, pnl.ClientSize.Width - Border + 1, 2 * _infoRowHeight, pnl.ClientSize.Width - Border + 1,
pnl.ClientSize.Height);
g.DrawLine(penBorder, 0, pnl.ClientSize.Height - Border + 1, pnl.ClientSize.Width,
pnl.ClientSize.Height - Border + 1);
}
/// <summary>
/// Exports the positions info in currency
/// </summary>
public void ExportPositionsInMoney(bool showTransfers)
{
string stage = String.Empty;
if (Data.IsProgramBeta)
{
stage = " " + Language.T("Beta");
}
else if (Data.IsProgramRC)
{
stage = " " + "RC";
}
string ff = Data.FF; // Format modifier to print float numbers
var sb = new StringBuilder();
sb.Append("Forex Strategy Builder v" + Data.ProgramVersion + stage + Environment.NewLine);
sb.Append("Strategy name: " + Data.Strategy.StrategyName + Environment.NewLine);
sb.Append("Exported on " + DateTime.Now + Environment.NewLine);
sb.Append(Data.Symbol + " " + Data.PeriodString + "; Values in " + Configs.AccountCurrency +
Environment.NewLine);
sb.Append("Pos Numb\t");
sb.Append("Bar Numb\t");
sb.Append("Bar Opening Time\t");
sb.Append("Direction\t");
sb.Append("Amount\t");
sb.Append("Transaction\t");
sb.Append("Order Price\t");
sb.Append("Price\t");
sb.Append("Profit Loss\t");
sb.Append("Floating P/L\t");
sb.Append("Balance\t");
sb.Append("Equity\t");
sb.Append(Environment.NewLine);
for (int pos = 0; pos < Backtester.PositionsTotal; pos++)
{
Position position = Backtester.PosFromNumb(pos);
int bar = Backtester.PosCoordinates[pos].Bar;
if (!showTransfers && position.Transaction == Transaction.Transfer)
{
continue;
}
sb.Append((position.PosNumb + 1) + "\t");
sb.Append((bar + 1) + "\t");
sb.Append(Data.Time[bar] + "\t");
sb.Append(position.PosDir + "\t");
sb.Append((position.PosDir == PosDirection.Long ? "" : "-") +
(position.PosLots * Data.InstrProperties.LotSize) + "\t");
sb.Append(position.Transaction + "\t");
sb.Append(position.FormOrdPrice.ToString(ff) + "\t");
sb.Append(position.PosPrice.ToString(ff) + "\t");
sb.Append(position.MoneyProfitLoss.ToString("F2") + "\t");
sb.Append(position.MoneyFloatingPL.ToString("F2") + "\t");
sb.Append(position.MoneyBalance.ToString("F2") + "\t");
sb.Append(position.MoneyEquity.ToString("F2") + "\t");
sb.Append(Environment.NewLine);
}
string fileName = Data.Strategy.StrategyName + "-" + Data.Symbol + "-" + Data.Period;
SaveData(fileName, sb);
}
/// <summary>
/// Exports the positions info
/// </summary>
public void ExportPositions(bool showTransfers)
{
string stage = String.Empty;
if (Data.IsProgramBeta)
{
stage = " " + Language.T("Beta");
}
else if (Data.IsProgramRC)
{
stage = " " + "RC";
}
string ff = Data.FF; // Format modifier to print float numbers
var sb = new StringBuilder();
sb.Append("Forex Strategy Builder v" + Data.ProgramVersion + stage + Environment.NewLine);
sb.Append("Strategy name: " + Data.Strategy.StrategyName + Environment.NewLine);
sb.Append("Exported on " + DateTime.Now + Environment.NewLine);
sb.Append(Data.Symbol + " " + Data.PeriodString + "; Values in pips" + Environment.NewLine);
sb.Append("Pos Numb\t");
sb.Append("Bar Numb\t");
sb.Append("Bar Opening Time\t");
sb.Append("Direction\t");
sb.Append("Lots\t");
sb.Append("Transaction\t");
sb.Append("Order Price\t");
sb.Append("Average Price\t");
sb.Append("Profit Loss\t");
sb.Append("Floating P/L\t");
sb.Append("Balance\t");
sb.Append("Equity\t");
sb.Append(Environment.NewLine);
for (int iPos = 0; iPos < Backtester.PositionsTotal; iPos++)
{
Position position = Backtester.PosFromNumb(iPos);
int bar = Backtester.PosCoordinates[iPos].Bar;
if (!showTransfers && position.Transaction == Transaction.Transfer)
{
continue;
}
sb.Append((position.PosNumb + 1) + "\t");
sb.Append((bar + 1) + "\t");
sb.Append(Data.Time[bar] + "\t");
sb.Append(position.PosDir + "\t");
sb.Append(position.PosLots + "\t");
sb.Append(position.Transaction + "\t");
sb.Append(position.FormOrdPrice.ToString(ff) + "\t");
sb.Append(position.PosPrice.ToString(ff) + "\t");
sb.Append(Math.Round(position.ProfitLoss) + "\t");
sb.Append(Math.Round(position.FloatingPL) + "\t");
sb.Append(Math.Round(position.Balance) + "\t");
sb.Append(Math.Round(position.Equity) + "\t");
sb.Append(Environment.NewLine);
}
string fileName = Data.Strategy.StrategyName + "-" + Data.Symbol + "-" + Data.Period;
SaveData(fileName, sb);
}
/// <summary>
/// Calculates the account statistics.
/// </summary>
public static void CalculateAccountStats()
{
maxBalance = 0;
minBalance = 0;
maxEquity = 0;
minEquity = 0;
maxEquityDrawdown = 0;
maxDrawdown = 0;
maxMoneyBalance = Configs.InitialAccount;
minMoneyBalance = Configs.InitialAccount;
maxMoneyEquity = Configs.InitialAccount;
minMoneyEquity = Configs.InitialAccount;
maxMoneyEquityDrawdown = 0;
maxMoneyDrawdown = 0;
barsInPosition = 0;
grossProfit = 0;
grossLoss = 0;
grossMoneyProfit = 0;
grossMoneyLoss = 0;
chargedSpread = 0;
chargedRollOver = 0;
chargedCommission = 0;
chargedSlippage = 0;
moneyChargedSpread = 0;
moneyChargedRollOver = 0;
moneyChargedCommission = 0;
moneyChargedSlippage = 0;
ambiguousBars = 0;
unknownBars = 0;
balanceDrawdown = new int[Bars];
equityDrawdown = new int[Bars];
maxBalanceDate = Time[0];
minBalanceDate = Time[0];
maxMoneyBalanceDate = Time[0];
minMoneyBalanceDate = Time[0];
maxDrawdownDate = Time[0];
maxMoneyDrawdownDate = Time[0];
equityPercentDrawdown = 100;
maxMoneyDrawdownPercent = 0;
moneyEquityPercentDrawdown = 0;
winLossRatio = 0;
winningTrades = 0;
losingTrades = 0;
totalTrades = 0;
testedDays = 0;
for (int bar = FirstBar; bar < Bars; bar++)
{
double accountExchangeRate = AccountExchangeRate(Close[bar]);
double pipsToMoney = InstrProperties.Point * InstrProperties.LotSize / accountExchangeRate;
// Balance
double balance = session[bar].Summary.Balance;
if (balance > maxBalance)
{
maxBalance = balance;
maxBalanceDate = Time[bar];
}
if (balance < minBalance)
{
minBalance = balance;
minBalanceDate = Time[bar];
}
// Money Balance
double moneyBalance = session[bar].Summary.MoneyBalance;
if (moneyBalance > maxMoneyBalance)
{
maxMoneyBalance = moneyBalance;
maxMoneyBalanceDate = Time[bar];
}
if (moneyBalance < minMoneyBalance)
{
minMoneyBalance = moneyBalance;
minMoneyBalanceDate = Time[bar];
}
// Equity
double equity = session[bar].Summary.Equity;
if (equity > maxEquity)
{
maxEquity = equity;
}
if (equity < minEquity)
{
minEquity = equity;
}
// Money Equity
double moneyEquity = session[bar].Summary.MoneyEquity;
if (moneyEquity > maxMoneyEquity)
{
maxMoneyEquity = moneyEquity;
}
if (moneyEquity < minMoneyEquity)
{
minMoneyEquity = moneyEquity;
}
// Maximum Drawdown
if (maxBalance - balance > maxDrawdown)
{
maxDrawdown = maxBalance - balance;
maxDrawdownDate = Time[bar];
}
// Maximum Equity Drawdown
if (maxEquity - equity > maxEquityDrawdown)
{
maxEquityDrawdown = maxEquity - equity;
// In percents
if (maxEquity > 0)
{
equityPercentDrawdown = 100 * (maxEquityDrawdown / maxEquity);
}
}
// Maximum Money Drawdown
if (maxMoneyBalance - MoneyBalance(bar) > maxMoneyDrawdown)
{
maxMoneyDrawdown = maxMoneyBalance - MoneyBalance(bar);
maxMoneyDrawdownPercent = 100 * (maxMoneyDrawdown / maxMoneyBalance);
maxMoneyDrawdownDate = Time[bar];
}
// Maximum Money Equity Drawdown
if (maxMoneyEquity - MoneyEquity(bar) > maxMoneyEquityDrawdown)
{
maxMoneyEquityDrawdown = maxMoneyEquity - MoneyEquity(bar);
// Maximum Money Equity Drawdown in percents
if (100 * maxMoneyEquityDrawdown / maxMoneyEquity > moneyEquityPercentDrawdown)
{
moneyEquityPercentDrawdown = 100 * (maxMoneyEquityDrawdown / maxMoneyEquity);
}
}
// Drawdown
balanceDrawdown[bar] = (int)Math.Round((maxBalance - balance));
equityDrawdown[bar] = (int)Math.Round((maxEquity - equity));
// Bars in position
if (session[bar].Positions > 0)
{
barsInPosition++;
}
// Bar interpolation evaluation
if (session[bar].BacktestEval == BacktestEval.Ambiguous)
{
ambiguousBars++;
}
else if (session[bar].BacktestEval == BacktestEval.Unknown)
{
unknownBars++;
}
// Margin Call bar
if (!Configs.TradeUntilMarginCall && marginCallBar == 0 && session[bar].Summary.FreeMargin < 0)
{
marginCallBar = bar;
}
}
for (int pos = 0; pos < PositionsTotal; pos++)
{ // Charged fees
Position position = Backtester.PosFromNumb(pos);
chargedSpread += position.Spread;
chargedRollOver += position.Rollover;
chargedCommission += position.Commission;
chargedSlippage += position.Slippage;
moneyChargedSpread += position.MoneySpread;
moneyChargedRollOver += position.MoneyRollover;
moneyChargedCommission += position.MoneyCommission;
moneyChargedSlippage += position.MoneySlippage;
// Winning losing trades.
if (position.Transaction == Transaction.Close ||
position.Transaction == Transaction.Reduce ||
position.Transaction == Transaction.Reverse)
{
if (position.ProfitLoss > 0)
{
grossProfit += position.ProfitLoss;
grossMoneyProfit += position.MoneyProfitLoss;
winningTrades++;
}
else if (position.ProfitLoss < 0)
{
grossLoss += position.ProfitLoss;
grossMoneyLoss += position.MoneyProfitLoss;
losingTrades++;
}
totalTrades++;
}
}
winLossRatio = (double)winningTrades / Math.Max((losingTrades + winningTrades), 1.0);
executedOrders = 0;
tradedLots = 0;
for (int ord = 0; ord < totalOrders; ord++)
{
if (OrdFromNumb(ord).OrdStatus == OrderStatus.Executed)
{
executedOrders++;
tradedLots += OrdFromNumb(ord).OrdLots;
}
}
testedDays = (Time[Bars - 1] - Time[FirstBar]).Days;
if (testedDays < 1)
{
testedDays = 1;
}
if (Configs.AccountInMoney)
{
GenerateAccountStatsInMoney();
}
else
{
GenerateAccountStats();
}
if (Configs.AdditionalStatistics)
{
CalculateAdditionalStats();
if (Configs.AccountInMoney)
{
SetAdditioanlMoneyStats();
}
else
{
SetAdditioanlStats();
}
}
return;
}
/// <summary>
/// Calculates the values of the stats parameters.
/// </summary>
static void CalculateAdditionalStats()
{
longBalance = new double[Bars];
shortBalance = new double[Bars];
longMoneyBalance = new double[Bars];
shortMoneyBalance = new double[Bars];
maxLongMoneyBalance = Configs.InitialAccount;
minLongMoneyBalance = Configs.InitialAccount;
maxShortMoneyBalance = Configs.InitialAccount;
minShortMoneyBalance = Configs.InitialAccount;
maxLongBalance = 0;
minLongBalance = 0;
maxShortBalance = 0;
minShortBalance = 0;
maxLongBalanceDate = Time[0];
minLongBalanceDate = Time[0];
maxShortBalanceDate = Time[0];
minShortBalanceDate = Time[0];
maxLongMoneyBalanceDate = Time[0];
minLongMoneyBalanceDate = Time[0];
maxShortMoneyBalanceDate = Time[0];
minShortMoneyBalanceDate = Time[0];
maxLongDrawdownDate = Time[0];
maxShortDrawdownDate = Time[0];
maxLongMoneyDrawdownDate = Time[0];
maxShortMoneyDrawdownDate = Time[0];
grossLongProfit = 0;
grossLongLoss = 0;
grossShortProfit = 0;
grossShortLoss = 0;
grossLongMoneyProfit = 0;
grossLongMoneyLoss = 0;
grossShortMoneyProfit = 0;
grossShortMoneyLoss = 0;
maxLongDrawdown = 0;
maxShortDrawdown = 0;
maxLongMoneyDrawdown = 0;
maxShortMoneyDrawdown = 0;
maxShortDrawdown = 0;
maxLongMoneyDrawdown = 0;
maxShortMoneyDrawdown = 0;
maxLongMoneyDrawdownPercent = 0;
maxShortMoneyDrawdownPercent = 0;
barsWithPos = 0;
barsWithLongPos = 0;
barsWithShortPos = 0;
winningLongTrades = 0;
winningShortTrades = 0;
losingLongTrades = 0;
losingShortTrades = 0;
totalLongTrades = 0;
totalShortTrades = 0;
maxLongWin = 0;
maxShortWin = 0;
maxLongMoneyWin = 0;
maxShortMoneyWin = 0;
maxLongLoss = 0;
maxShortLoss = 0;
maxLongMoneyLoss = 0;
maxShortMoneyLoss = 0;
for (int bar = 0; bar < FirstBar; bar++)
{
longBalance[bar] = 0;
shortBalance[bar] = 0;
longMoneyBalance[bar] = Configs.InitialAccount;
shortMoneyBalance[bar] = Configs.InitialAccount;
}
for (int bar = Data.FirstBar; bar < Bars; bar++)
{
double accountExchangeRate = AccountExchangeRate(Close[bar]);
double pipsToMoney = InstrProperties.Point * InstrProperties.LotSize / accountExchangeRate;
longBalance[bar] = longBalance[bar - 1];
shortBalance[bar] = shortBalance[bar - 1];
longMoneyBalance[bar] = longMoneyBalance[bar - 1];
shortMoneyBalance[bar] = shortMoneyBalance[bar - 1];
bool isLong = false;
bool isShort = false;
for (int pos = 0; pos < Positions(bar); pos++)
{
if (PosDir(bar, pos) == PosDirection.Long)
{
isLong = true;
}
if (PosDir(bar, pos) == PosDirection.Short)
{
isShort = true;
}
double positionProfitLoss = PosProfitLoss(bar, pos);
double positionMoneyProfitLoss = PosMoneyProfitLoss(bar, pos);
if (PosTransaction(bar, pos) == Transaction.Close ||
PosTransaction(bar, pos) == Transaction.Reduce ||
PosTransaction(bar, pos) == Transaction.Reverse)
{
if (OrdFromNumb(PosOrdNumb(bar, pos)).OrdDir == OrderDirection.Sell)
{ // Closing long position
longBalance[bar] += positionProfitLoss;
longMoneyBalance[bar] += positionMoneyProfitLoss;
if (positionProfitLoss > 0)
{
grossLongProfit += positionProfitLoss;
grossLongMoneyProfit += positionMoneyProfitLoss;
winningLongTrades++;
if (positionProfitLoss > maxLongWin)
{
maxLongWin = positionProfitLoss;
}
if (positionMoneyProfitLoss > maxLongMoneyWin)
{
maxLongMoneyWin = positionMoneyProfitLoss;
}
}
if (positionProfitLoss < 0)
{
grossLongLoss += positionProfitLoss;
grossLongMoneyLoss += positionMoneyProfitLoss;
losingLongTrades++;
if (positionProfitLoss < maxLongLoss)
{
maxLongLoss = positionProfitLoss;
}
if (positionMoneyProfitLoss < maxLongMoneyLoss)
{
maxLongMoneyLoss = positionMoneyProfitLoss;
}
}
totalLongTrades++;
}
if (OrdFromNumb(PosOrdNumb(bar, pos)).OrdDir == OrderDirection.Buy)
{ // Closing short position
shortBalance[bar] += positionProfitLoss;
shortMoneyBalance[bar] += positionMoneyProfitLoss;
if (positionProfitLoss > 0)
{
grossShortProfit += positionProfitLoss;
grossShortMoneyProfit += positionMoneyProfitLoss;
winningShortTrades++;
if (positionProfitLoss > maxShortWin)
{
maxShortWin = positionProfitLoss;
}
if (positionMoneyProfitLoss > maxShortMoneyWin)
{
maxShortMoneyWin = positionMoneyProfitLoss;
}
}
if (positionProfitLoss < 0)
{
grossShortLoss += positionProfitLoss;
grossShortMoneyLoss += positionMoneyProfitLoss;
losingShortTrades++;
if (positionProfitLoss < maxShortLoss)
{
maxShortLoss = positionProfitLoss;
}
if (positionMoneyProfitLoss < maxShortMoneyLoss)
{
maxShortMoneyLoss = positionMoneyProfitLoss;
}
}
totalShortTrades++;
}
}
}
barsWithPos += (isLong || isShort) ? 1 : 0;
barsWithLongPos += isLong ? 1 : 0;
barsWithShortPos += isShort ? 1 : 0;
if (maxLongBalance < longBalance[bar])
{
maxLongBalance = longBalance[bar];
maxLongBalanceDate = Time[bar];
}
if (minLongBalance > longBalance[bar])
{
minLongBalance = longBalance[bar];
minLongBalanceDate = Time[bar];
}
if (maxShortBalance < shortBalance[bar])
{
maxShortBalance = shortBalance[bar];
maxShortBalanceDate = Time[bar];
}
if (minShortBalance > shortBalance[bar])
{
minShortBalance = shortBalance[bar];
minShortBalanceDate = Time[bar];
}
if (maxLongMoneyBalance < longMoneyBalance[bar])
{
maxLongMoneyBalance = longMoneyBalance[bar];
maxLongMoneyBalanceDate = Time[bar];
}
if (minLongMoneyBalance > longMoneyBalance[bar])
{
minLongMoneyBalance = longMoneyBalance[bar];
minLongMoneyBalanceDate = Time[bar];
}
if (maxShortMoneyBalance < shortMoneyBalance[bar])
{
maxShortMoneyBalance = shortMoneyBalance[bar];
maxShortMoneyBalanceDate = Time[bar];
}
if (minShortMoneyBalance > shortMoneyBalance[bar])
{
minShortMoneyBalance = shortMoneyBalance[bar];
minShortMoneyBalanceDate = Time[bar];
}
// Maximum Drawdown
if (maxLongBalance - longBalance[bar] > maxLongDrawdown)
{
maxLongDrawdown = maxLongBalance - longBalance[bar];
maxLongDrawdownDate = Time[bar];
}
if (maxLongMoneyBalance - longMoneyBalance[bar] > maxLongMoneyDrawdown)
{
maxLongMoneyDrawdown = maxLongMoneyBalance - longMoneyBalance[bar];
maxLongMoneyDrawdownPercent = 100 * maxLongMoneyDrawdown / maxLongMoneyBalance;
maxLongMoneyDrawdownDate = Time[bar];
}
if (maxShortBalance - shortBalance[bar] > maxShortDrawdown)
{
maxShortDrawdown = maxShortBalance - shortBalance[bar];
maxShortDrawdownDate = Time[bar];
}
if (maxShortMoneyBalance - shortMoneyBalance[bar] > maxShortMoneyDrawdown)
{
maxShortMoneyDrawdown = maxShortMoneyBalance - shortMoneyBalance[bar];
maxShortMoneyDrawdownPercent = 100 * maxShortMoneyDrawdown / maxShortMoneyBalance;
maxShortMoneyDrawdownDate = Time[bar];
}
}
// Holding period returns
AHPR = 0;
AHPRLong = 0;
AHPRShort = 0;
double[] HPR = new double[totalTrades];
double[] HPRLong = new double[totalLongTrades];
double[] HPRShort = new double[totalShortTrades];
double totalHPR = 0;
double totalHPRLong = 0;
double totalHPRShort = 0;
double startBalance = Configs.InitialAccount;
double startBalanceLong = Configs.InitialAccount;
double startBalanceShort = Configs.InitialAccount;
int count = 0;
int countL = 0;
int countS = 0;
for (int pos = 0; pos < PositionsTotal; pos++)
{ // Charged fees
Position position = Backtester.PosFromNumb(pos);
// Winning losing trades.
if (position.Transaction == Transaction.Close ||
position.Transaction == Transaction.Reduce ||
position.Transaction == Transaction.Reverse)
{
if (OrdFromNumb(position.FormOrdNumb).OrdDir == OrderDirection.Sell)
{ // Closing long position
HPRLong[countL] = 1 + position.MoneyProfitLoss / startBalanceLong;
totalHPRLong += HPRLong[countL];
countL++;
startBalanceLong += position.MoneyProfitLoss;
}
if (OrdFromNumb(position.FormOrdNumb).OrdDir == OrderDirection.Buy)
{ // Closing short position
HPRShort[countS] = 1 + position.MoneyProfitLoss / startBalanceShort;
totalHPRShort += HPRShort[countS];
countS++;
startBalanceShort += position.MoneyProfitLoss;
}
HPR[count] = 1 + position.MoneyProfitLoss / startBalance;
totalHPR += HPR[count];
count++;
startBalance += position.MoneyProfitLoss;
}
}
double averageHPR = totalHPR / totalTrades;
double averageHPRLong = totalHPRLong / totalLongTrades;
double averageHPRShort = totalHPRShort / totalShortTrades;
AHPR = 100 * (averageHPR - 1);
AHPRLong = 100 * (averageHPRLong - 1);
AHPRShort = 100 * (averageHPRShort - 1);
GHPR = 100 * (Math.Pow((NetMoneyBalance / Configs.InitialAccount), (1f / totalTrades)) - 1);
GHPRLong = 100 * (Math.Pow((NetLongMoneyBalance / Configs.InitialAccount), (1f / totalLongTrades)) - 1);
GHPRShort = 100 * (Math.Pow((NetShortMoneyBalance / Configs.InitialAccount), (1f / totalShortTrades)) - 1);
// Sharpe Ratio
sharpeRatio = 0;
sharpeRatioLong = 0;
sharpeRatioShort = 0;
double sumPow = 0;
double sumPowLong = 0;
double sumPowShort = 0;
for (int i = 0; i < totalTrades; i++)
{
sumPow += Math.Pow((HPR[i] - averageHPR), 2);
}
for (int i = 0; i < totalLongTrades; i++)
{
sumPowLong += Math.Pow((HPRLong[i] - averageHPRLong), 2);
}
for (int i = 0; i < totalShortTrades; i++)
{
sumPowShort += Math.Pow((HPRShort[i] - averageHPRShort), 2);
}
double stDev = Math.Sqrt(sumPow / (totalTrades - 1));
double stDevLong = Math.Sqrt(sumPowLong / (totalLongTrades - 1));
double stDevShort = Math.Sqrt(sumPowShort / (totalShortTrades - 1));
sharpeRatio = (averageHPR - 1) / stDev;
sharpeRatioLong = (averageHPRLong - 1) / stDevLong;
sharpeRatioShort = (averageHPRShort - 1) / stDevShort;
}
