private TradingResult PerformBackTesting( SystemResult systemResult )
{
if ( systemResult.Prices.Empty() || systemResult.Signals.Empty() )
{
return null;
}
const int InitialCash = 10000;
var tradingLog = new TradingLog();
var portfolio = new Portfolio( InitialCash, Broker, tradingLog );
foreach ( var signal in systemResult.Signals )
{
if ( signal.Value.Type == SignalType.Buy )
{
var price = systemResult.Prices[ signal.Time ];
portfolio.Buy( signal.Time, price.Value );
}
else if ( signal.Value.Type == SignalType.Sell )
{
var price = systemResult.Prices[ signal.Time ];
portfolio.Sell( signal.Time, price.Value );
}
}
return new TradingResult( systemResult )
{
TradingTimeSpan = systemResult.Prices.Last().Time - systemResult.Prices.First().Time,
TradingLog = tradingLog,
InitialCash = InitialCash,
PortfolioValue = portfolio.GetValue( systemResult.Prices.Last().Value )
};
}
private TradingResult PerformBackTesting(SystemResult systemResult)
{
if (systemResult.Prices.Empty() || systemResult.Signals.Empty())
{
return(null);
}
const int InitialCash = 10000;
var tradingLog = new TradingLog();
var portfolio = new Portfolio(InitialCash, Broker, tradingLog);
foreach (var signal in systemResult.Signals)
{
if (signal.Value.Type == SignalType.Buy)
{
var price = systemResult.Prices[signal.Time];
portfolio.Buy(signal.Time, price.Value);
}
else if (signal.Value.Type == SignalType.Sell)
{
var price = systemResult.Prices[signal.Time];
portfolio.Sell(signal.Time, price.Value);
}
}
return(new TradingResult(systemResult)
{
TradingTimeSpan = systemResult.Prices.Last().Time - systemResult.Prices.First().Time,
TradingLog = tradingLog,
InitialCash = InitialCash,
PortfolioValue = portfolio.GetValue(systemResult.Prices.Last().Value)
});
}
public Portfolio(double cash, IBroker broker, TradingLog tradingLog)
{
myCash = cash;
myBroker = broker;
myTradingLog = tradingLog;
myQuantity = 0;
}
public Portfolio( double cash, IBroker broker, TradingLog tradingLog )
{
myCash = cash;
myBroker = broker;
myTradingLog = tradingLog;
myQuantity = 0;
}