public static void GetAverageDaysPerTrade(this BacktestResult results, GetFitnessArgs args)
{
double sum = 0;
int trades = 0;
double winSum = 0;
int winningTrades = 0;
double lossSum = 0;
int losingTrades = 0;
foreach (var trade in args.History)
{
if (double.IsNaN(trade.ClosingPrice))
{
continue;
}
sum += (trade.ClosingTime - trade.EntryTime).TotalDays;
trades++;
if (trade.NetProfit >= 0)
{
winSum += (trade.ClosingTime - trade.EntryTime).TotalDays;
winningTrades++;
}
else
{
lossSum += (trade.ClosingTime - trade.EntryTime).TotalDays;
losingTrades++;
}
}
results.AverageDaysPerTrade = sum / trades;
results.AverageDaysPerWinningTrade = winSum / winningTrades;
results.AverageDaysPerLosingTrade = lossSum / losingTrades;
}
protected virtual void DoLogBacktest(GetFitnessArgs args, BacktestResult backtestResult)
{
double fitness = backtestResult.Fitness;
double initialBalance = backtestResult.InitialBalance;
TimeSpan timeSpan = backtestResult.Duration;
double aroi = backtestResult.Aroi;
if (!double.IsNaN(Template.LogBacktestThreshold) && fitness > Template.LogBacktestThreshold)
{
BacktestLogger = this.GetLogger(this.ToString().Replace(' ', '.') + ".Backtest");
try
{
string resultJson = "";
resultJson = Newtonsoft.Json.JsonConvert.SerializeObject(backtestResult);
var profit = args.Equity / initialBalance;
this.BacktestLogger.LogInformation($"${args.Equity} ({profit.ToString("N1")}x) #{args.History.Count} {args.MaxEquityDrawdownPercentages.ToString("N2")}%dd [from ${initialBalance.ToString("N2")} to ${args.Equity.ToString("N2")}] [fit {fitness.ToString("N1")}] {Environment.NewLine} result = {resultJson} ");
var id = Template.Id;
backtestResult.GetAverageDaysPerTrade(args);
SaveResult(args, backtestResult, fitness, resultJson, id, timeSpan);
}
catch (Exception ex)
{
this.BacktestLogger.LogError(ex.ToString());
throw;
}
}
}
protected override double GetFitness(GetFitnessArgs args)
{
List <bool> constrains = new List <bool>
{
args.AverageTrade > 0,
args.LosingTrades > 0
};
if (!constrains.Contains(false))
{
List <double> netReturns = new List <double>();
foreach (HistoricalTrade trade in History)
{
if (trade.Label.StartsWith(RobotId))
{
netReturns.Add(trade.NetProfit / trade.VolumeInUnits);
}
}
double geoMeanReturn = Math.Pow(Account.Balance / (Account.Balance - args.NetProfit), 1 / args.TotalTrades) - 1;
double geostdev = Math.Sqrt(netReturns.Sum(val => (val - geoMeanReturn) * (val - geoMeanReturn)) / netReturns.Count);
double geomodSharpe = geoMeanReturn / geostdev;
double winRatio = args.WinningTrades / args.TotalTrades;
return(Math.Log(args.TotalTrades) * winRatio * geomodSharpe);
}
else
{
return(double.NegativeInfinity);
}
}
private async void SaveResult(GetFitnessArgs args, BacktestResult backtestResult, double fitness, string json, string id, TimeSpan timeSpan)
{
//var filename = DateTime.Now.ToString("yyyy.MM.dd HH-mm-ss.fff ") + this.GetType().Name + " " + Symbol.Code + " " + id;
var sym =
#if cAlgo
MarketSeries.SymbolCode;
#else
Template.Symbol;
#endif
var tf =
#if cAlgo
TimeFrame.ToShortString();
#else
(this as IHasSingleSeries)?.MarketSeries?.TimeFrame?.Name;
#endif
var tradesPerMonth = (args.TotalTrades / (timeSpan.TotalDays / 31)).ToString("F1");
var filename = fitness.ToString("00.0") + $"ad {tradesPerMonth}tpm {timeSpan.TotalDays.ToString("F0")}d {backtestResult.AverageDaysPerWinningTrade.ToString("F2")}adwt bot={this.GetType().Name} sym={sym} tf={tf} id={id}";
var ext = ".json";
int i = 0;
var dir = BacktestResultSaveDir;
var path = Path.Combine(dir, filename + ext);
if (CreateResultsDirIfMissing && !Directory.Exists(dir))
{
Directory.CreateDirectory(dir);
}
for (; File.Exists(path); i++, path = Path.Combine(dir, filename + $" ({i})" + ext))
{
;
}
using (var sw = new StreamWriter(new FileStream(path, FileMode.Create)))
{
await sw.WriteAsync(json).ConfigureAwait(false);
}
}
double GetFitness(GetFitnessArgs args)
{
try
{
var dd = args.MaxEquityDrawdownPercentages;
dd = Math.Max(FitnessMinDrawdown, dd);
var initialBalance = args.History.Count == 0 ? args.Equity : args.History[0].Balance - args.History[0].NetProfit;
if (dd > FitnessMaxDrawdown || args.Equity < initialBalance)
{
return(-dd);
}
var botType = this.GetType().FullName;
#if cAlgo
if (this.GetType().FullName.StartsWith("cAlgo."))
{
botType = this.GetType().GetTypeInfo().BaseType.FullName;
}
if (Template.TimeFrame == null)
{
Template.TimeFrame = this.TimeFrame.ToShortString();
}
if (Template.Symbol == null)
{
Template.Symbol = this.Symbol.Code;
}
if (!StartDate.HasValue || !EndDate.HasValue)
{
throw new ArgumentException("StartDate or EndDate not set. Are you calling base.OnBar in OnBar?");
}
#endif
var backtestResult = new BacktestResult()
{
BacktestDate = DateTime.UtcNow,
BotType = botType,
BotConfigType = this.Template.GetType().AssemblyQualifiedName,
Config = this.Template,
InitialBalance = initialBalance,
//Start = this.MarketSeries?.OpenTime?[0],
//End = this.MarketSeries?.OpenTime?.LastValue,
Start = StartDate.Value,
End = EndDate.Value,
AverageTrade = args.AverageTrade,
Equity = args.Equity,
//History
LosingTrades = args.LosingTrades,
MaxBalanceDrawdown = args.MaxBalanceDrawdown,
MaxBalanceDrawdownPercentages = args.MaxBalanceDrawdownPercentages,
MaxEquityDrawdown = args.MaxEquityDrawdown,
MaxEquityDrawdownPercentages = args.MaxEquityDrawdownPercentages,
NetProfit = args.NetProfit,
//PendingOrders
//Positions
ProfitFactor = args.ProfitFactor,
SharpeRatio = args.SharpeRatio,
SortinoRatio = args.SortinoRatio,
TotalTrades = args.TotalTrades,
WinningTrades = args.WinningTrades,
};
double fitness;
if (!EndDate.HasValue || !StartDate.HasValue)
{
fitness = 0.0;
}
else
{
var timeSpan = EndDate.Value - StartDate.Value;
var totalMonths = timeSpan.TotalDays / 31;
var tradesPerMonth = backtestResult.TradesPerMonth;
//var aroi = (args.NetProfit / initialBalance) / (timeSpan.TotalDays / 365);
var aroi = backtestResult.Aroi;
if (args.LosingTrades == 0)
{
fitness = aroi;
}
else
{
fitness = aroi / dd;
}
var minTrades = Template.BacktestMinTradesPerMonth;
//#if cAlgo
// logger.LogInformation($"dd: {args.MaxEquityDrawdownPercentages } Template.BacktestMinTradesPerMonth {Template.BacktestMinTradesPerMonth} tradesPerMonth {tradesPerMonth}");
//#endif
if (minTrades > 0 && tradesPerMonth < minTrades && fitness > 0)
{
fitness *= tradesPerMonth / minTrades;
}
//#if cAlgo
// Print($"Fitness: {StartDate.Value} - {EndDate.Value} profit: {args.NetProfit} years: {((EndDate.Value - StartDate.Value).TotalDays / 365)} constrained eqDD:{dd} aroi:{aroi} aroi/DD:{aroiVsDD}");
//#endif
fitness *= 100.0;
backtestResult.Fitness = fitness;
DoLogBacktest(args, backtestResult);
}
#if BackTestResult_Debug
this.BacktestResult = backtestResult;
#endif
return(fitness);
}
catch (Exception ex)
{
Logger.LogError("GetFitness threw exception: " + ex);
throw;
//return 0;
}
}
