public Trade[] GetTradeSet(string description, TradeSet set = TradeSet.All)
        {
            TestSet testSet = testSets.Where(x => x.Description == description).FirstOrDefault();

            if (testSet == null)
            {
                return(null);
            }

            //can split these into trades from train and test set if TradeSet parameter is passed
            if (set == TradeSet.All)
            {
                return(testSet.Trades);
            }
            else if (set == TradeSet.Test)
            {
                return(testSet.Trades.Where(x => x.OpenTime > EndTrainDate).ToArray());
            }
            else if (set == TradeSet.Train)
            {
                return(testSet.Trades.Where(x => x.CloseTime <= EndTrainDate).ToArray());
            }

            return(null);
        }
        public void Remove(string description)
        {
            TestSet ts = testSets.Where(x => x.Description == description).FirstOrDefault();

            if (ts != null)
            {
                testSets.Remove(ts);
            }
        }
Exemplo n.º 3
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        public void OnCompleteTest(TestSet testSet)
        {
            TestSummary.Add(testSet);

            int completed = TestSummary.TestSets.Length;

            MessageDelegate?.Invoke("Completed " + completed + " of " + tasksRequired, MessageType.Update);

            //All optimisations have been done
            if (completed == tasksRequired)
            {
                MessageDelegate?.Invoke("\nComplete backtest took: " + (DateTime.Now - start).TotalMinutes.ToString("0.00") + " minutes");
                OnComplete.Invoke(TestSummary);
            }
        }
Exemplo n.º 4
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        public void Test(Queue <BackTestTask> tasks, OnTestComplete onComplete)
        {
            while (tasks.Count > 0)
            {
                BackTestTask task = tasks.Dequeue();

                Strategy strategy = task.Strategy;
                Asset    asset    = task.Asset;

                //Record start time of process for time taken message
                DateTime now = DateTime.Now;


                byte[] bytes = asset.Dataset;

                //add in the required minute bars with a 1 bar lookback
                //If a strategy needs these bars it will be overwritted in the next foreach loop
                strategy.InitBarData();

                //keep a pointer of the last added bar and date so this can be modified while building up the higher timeframes
                Dictionary <int, Bar>      lastAddedBars  = new Dictionary <int, Bar>();
                Dictionary <int, DateTime> lastAddedDates = new Dictionary <int, DateTime>();


                //Traverse the byte array to build the bars - this can be done on separate threads for each asset for maximum speed
                int i   = 0;
                Bar bar = null;
                while (i < bytes.Length)
                {
                    bar = DataBuilder.ReadBinaryBar(bytes, (i / 44));
                    //move to next line in byte array - 1 bar is 44 bytes
                    i += 44;

                    //skip edge of market bars like Zorro does

                    /*
                     * if ((bar.OpenTime.DayOfWeek == DayOfWeek.Friday && bar.OpenTime.Hour > 18) ||
                     *  (bar.OpenTime.DayOfWeek == DayOfWeek.Sunday && bar.OpenTime.Hour < 22))
                     *  continue;
                     */

                    //go through each timeframe and either create a new bar or increment the current bar
                    foreach (KeyValuePair <int, Bar[]> barSet in strategy.Datasets)
                    {
                        ///////////////////////////////////////////////////////////////////////////////////
                        /////This marked section takes about half the processing time
                        ///////////////////////////////

                        //create a bardate pegged to the nearest timeframe
                        DateTime barDate;
                        if (barSet.Key == 1)
                        {
                            barDate = bar.OpenTime;
                        }
                        else
                        {
                            //Peg the bar to the start of the timeframe
                            TimeSpan d = TimeSpan.FromMinutes(barSet.Key);
                            barDate = (new DateTime((bar.OpenTime.Ticks + d.Ticks) / d.Ticks * d.Ticks, bar.OpenTime.Kind)).AddMinutes(-barSet.Key);
                        }

                        //Keep a record of the last added bars date or set it to the current bar date on the first run
                        DateTime lastAddedDate;
                        if (lastAddedDates.ContainsKey(barSet.Key))
                        {
                            lastAddedDate = lastAddedDates[barSet.Key];
                        }
                        else
                        {
                            lastAddedDate = barDate;
                        }

                        DateTime nextBar = ((DateTime)lastAddedDate).AddMinutes(barSet.Key);
                        /////////////////////////////////////////////////////////////
                        /////////////
                        ///////////////////////////////////////////////////////////////

                        //add the bar to all timeframes if it doesnt exist
                        if ((nextBar <= barDate) || !lastAddedDates.ContainsKey(barSet.Key))
                        {
                            //need a new bar for each time frame so we don't have the same pointer in each timeframe
                            Bar setBar = new Bar(bar);

                            //shift the bar array
                            Array.Copy(barSet.Value, 0, barSet.Value, 1, barSet.Value.Length - 1);

                            barSet.Value[0]            = setBar;
                            lastAddedBars[barSet.Key]  = setBar;
                            lastAddedDates[barSet.Key] = barDate;

                            //Update the Trades
                            if (barSet.Key == 1)
                            {
                                strategy.UpdateTrades(strategy.Datasets[1][1]);
                            }

                            //run the strategy (only if this timeframe was in the required data
                            //eg. minute data is always used but strategy may not request it and therefore won't run code on that timeframe
                            if (strategy.RequiredData.ContainsKey(barSet.Key))
                            {
                                if (TestSummary.StartDate == null)
                                {
                                    TestSummary.StartDate = bar.OpenTime;
                                }

                                //run the bar
                                strategy.Run(barSet.Key, asset.Name);
                            }

                            strategy.BarIndices[barSet.Key]++;
                        }
                        //don't need to increment bars on the 1 minute time frame
                        else if (barSet.Key > 1)
                        {
                            //get the lastAdded bar which is the start of this timeframe
                            Bar lastAdded = lastAddedBars[barSet.Key];

                            //We adjust the bar for the max,min,vol and close
                            if (bar.BidHigh > lastAdded.BidHigh)
                            {
                                lastAdded.BidHigh = bar.BidHigh;
                            }
                            if (bar.BidLow < lastAdded.BidLow)
                            {
                                lastAdded.BidLow = bar.BidLow;
                            }
                            if (bar.AskHigh > lastAdded.AskHigh)
                            {
                                lastAdded.AskHigh = bar.AskHigh;
                            }
                            if (bar.AskLow < lastAdded.AskLow)
                            {
                                lastAdded.AskLow = bar.AskLow;
                            }
                            lastAdded.BidClose = bar.BidClose;
                            lastAdded.AskClose = bar.AskClose;
                            lastAdded.Volume  += bar.Volume;
                        }
                    }
                }


                if (TestSummary.EndDate == null)
                {
                    TestSummary.EndDate = bar.OpenTime;
                }

                if (strategy.CloseOnExit)
                {
                    strategy.BTCloseAllTrades(bar);
                }

                //create a performance report and add it to the list
                TestSet ts = new TestSet(asset.Name, strategy.Description, strategy.ClosedTrades);

                //clear the data ready for the nxt asset
                strategy.ResetData();

                onComplete.Invoke(ts);
            }
        }
 public void Remove(TestSet set)
 {
     testSets.Remove(set);
 }
 public void Add(TestSet set)
 {
     testSets.Add(set);
 }