public Setup Statistics(bool opt, decimal share)
{
if (trades.Count == 0)
{
return(null);
}
var groupTrades = trades.GroupBy(t => t.ExitTime.Value.Date).ToDictionary(x => x.Key, y => y.ToList());
var countr = groupTrades.ToDictionary(x => x.Key, y => y.Value.Count);
var cumsum = new Dictionary <DateTime, decimal>();
if (trade == null)
{
trade = trades.LastOrDefault();
}
if (trade.AssetClass != "BMF.FUT")
{
trades.ForEach(t =>
{
t.GetNetResult(t.ExitValue);
t.Cost += t.BkrFixComm / countr[t.ExitTime.Value.Date];
t.NetResult = t.NetResult * share - 100 * t.BkrFixComm / t.EntryValue / t.Qnty / countr[t.ExitTime.Value.Date];
});
}
else
{
trades.ForEach(t =>
{
t.GetNetResult(t.ExitValue);
t.NetResult = t.Capital * t.Result * t.Unit - t.Cost;
});
}
trades[0].CumResult = trades[0].NetResult;
for (var i = 1; i < trades.Count; i++)
{
trades[i].CumResult = trades[i - 1].CumResult + trades[i].NetResult;
}
var dailyr = trades.GroupBy(t => t.ExitTime.Value.Date).ToDictionary(x => x.Key, y => y.Sum(z => z.NetResult.Value));
#region Calculate DrawnDown
var max = 0.0m;
var mdd = 0.0m;
var esum = 0.0m;
foreach (var pair in dailyr)
{
esum += pair.Value;
max = Math.Max(max, esum);
mdd = Math.Max(mdd, (max - esum));
cumsum.Add(pair.Key, esum);
}
#endregion
var months = (decimal)(trades.Last().ExitTime.Value - trades.First().EntryTime).TotalDays / 30.4368499m;
this.action = 0;
this.setup.MaxDrawndown = mdd;
this.setup.TotalNetProfit = esum;
this.setup.DailyNetProfit = esum / months;
this.setup.TradesCount = trades.Count();
this.setup.TotalCosts = trades.Sum(t => t.Cost) / months;
this.setup.SharpeRatio = GetSharpeRation(dailyr.Values);
this.setup.SharpeRatio = this.setup.SharpeRatio * GetRSquared(cumsum);
this.setup.PositiveTrades = 100 * trades.Count(t => t.NetResult > 0) / trades.Count;
this.setup.Description =
trades.First().EntryTime.ToShortDateString() + " " +
trades.Last().ExitTime.Value.ToShortDateString() + "\t";
var nonnulltrades = trades.FindAll(t => t.NetResult.HasValue);
this.setup.WinLossRatio = this.setup.PositiveTrades == 0 || this.setup.PositiveTrades == 100 ? 0 : -
nonnulltrades.Where(t => t.NetResult.Value > 0).Average(t => t.NetResult.Value) /
nonnulltrades.Where(t => t.NetResult.Value < 0).Average(t => t.NetResult.Value);
var resultsDic = new Dictionary <string, string>();
var firstofthismonth = trade.ExitTime.Value.AddDays(1 - trade.ExitTime.Value.Day);
var lastofthismonth = firstofthismonth.AddMonths(1).AddDays(-1);
resultsDic.Add("Mês", Return(firstofthismonth, lastofthismonth));
var firstofthisyear = new DateTime(trade.ExitTime.Value.Year, 1, 1);
resultsDic.Add("Ano", Return(firstofthisyear, lastofthismonth));
var startlast06months = trade.ExitTime.Value.AddMonths(-6);
resultsDic.Add("6 meses", Return(startlast06months, lastofthismonth));
var startlast12months = trade.ExitTime.Value.AddMonths(-12);
resultsDic.Add("12 meses", Return(startlast12months, lastofthismonth));
var startlast24months = trade.ExitTime.Value.AddMonths(-24);
resultsDic.Add("24 meses", Return(startlast24months, lastofthismonth));
for (var i = 1; i <= 12; i++)
{
resultsDic.Add(firstofthismonth.AddMonths(-i).ToString(@"MMM/yy"),
Return(firstofthismonth.AddMonths(-i), lastofthismonth.AddMonths(-i)));
}
this.setup.Description += string.Join(";", resultsDic.Keys) + "\r\n;" + string.Join(";", resultsDic.Values);
if (opt)
{
if (esum > mdd)
{
OnStatusChanged(setup.ToString());
}
var _file = String.Format(DataDir.Replace(@"\Data\", @"\Backtest\") + "{0:ID_000}_{1:yyMMddHHmm}.csv", setup.SetupId, DateTime.Now);
if (File.Exists(_file))
{
File.Delete(_file);
}
File.AppendAllText(_file, this.setup.ToString() + "\r\n", System.Text.Encoding.UTF8);
foreach (var pair in countr)
{
File.AppendAllText(_file, "\r\n" +
pair.Key.ToShortDateString() + ";" + pair.Value + ";" + dailyr[pair.Key] + ";" + cumsum[pair.Key]);
}
_file = _file.Replace(".csv", "_trades.csv");
if (File.Exists(_file))
{
File.Delete(_file);
}
for (var i = 0; i < trades.Count; i++)
{
File.AppendAllText(_file, trades[i].ToString() + "\r\n");
}
}
this.trades.RemoveAll(t => t.EntryTime.Date != trade.EntryTime.Date);
return(this.setup);
}
