public void Accounting1()
{
var a = new Account {
Equity = 10000, MarginFactor = 1
};
var com = 5;
a.Commission = size => com;
var bars = new DataSeries <Bar>("ABCD", Lists.Create(
new Bar(DateTime.Parse("12/10/2010"), 21.63, 21.50, 23.01, 22.90, 10000), // long profit
new Bar(DateTime.Parse("12/11/2010"), 23.50, 22.00, 24.01, 24.00, 10000), // long stop loss, green bar
new Bar(DateTime.Parse("12/12/2010"), 25.00, 24.00, 25.01, 24.01, 10000), // long loss, red bar
new Bar(DateTime.Parse("12/13/2010"), 23.90, 23.10, 23.95, 23.15, 10000), // short profit
new Bar(DateTime.Parse("12/14/2010"), 23.10, 22.50, 23.50, 22.60, 10000), // short stop loss, red bar
new Bar(DateTime.Parse("12/15/2010"), 22.39, 22.20, 24.00, 23.50, 10000))); // short loss, green bar
var actions = new Queue <Action <DataSeries <Bar> > >(Lists.Create <Action <DataSeries <Bar> > >(
s => a.EnterLong("ABCD", (int)Math.Floor((a.BuyingPower - com) / s[0].Open), new ExitOnSessionClose(21.40), s.FromHere()), // new Equity: 10576.74
s => a.EnterLong("ABCD", (int)Math.Floor((a.BuyingPower - com) / s[0].Open), new ExitOnSessionClose(23.00), s.FromHere()), // new Equity: 10342.24
s => a.EnterLong("ABCD", (int)Math.Floor((a.BuyingPower - com) / s[0].Open), new ExitOnSessionClose(23.90), s.FromHere()), // new Equity: 9923.37
s => a.EnterShort("ABCD", (int)Math.Floor((a.BuyingPower - com) / s[0].Open), new ExitOnSessionClose(24.00), s.FromHere()), // new Equity: 10223.87
s => a.EnterShort("ABCD", (int)Math.Floor((a.BuyingPower - com) / s[0].Open), new ExitOnSessionClose(23.25), s.FromHere()), // new Equity: 10147.57
s => a.EnterShort("ABCD", (int)Math.Floor((a.BuyingPower - com) / s[0].Open), new ExitOnSessionClose(24.10), s.FromHere()) // new Equity: 9635.85
));
var expectedEquity = Lists.Create <double>(10576.74, 10342.24, 9923.37, 10223.87, 10147.57, 9635.85);
var actualEquity = new List <double>();
DataSeries.Walk(bars, pos => {
actions.Dequeue()(bars);
actualEquity.Add(a.Equity);
});
Assert.IsTrue(Lists.Equal(expectedEquity, actualEquity.Select(x => Math.Round(x, 2))));
}
public void Accounting2()
{
var a = new Account {
Equity = 10000, MarginFactor = 4
};
Assert.IsTrue(a.BuyingPower == 40000);
var com = 5;
a.Commission = size => com;
var bars = new DataSeries <Bar>("ABCD", Lists.Create(
new Bar(DateTime.Parse("12/10/2010"), 21.63, 21.50, 23.01, 22.90, 10000), // long profit
new Bar(DateTime.Parse("12/13/2010"), 23.90, 23.10, 23.95, 23.15, 10000))); // short profit
var actions = new Queue <Action <DataSeries <Bar> > >(Lists.Create <Action <DataSeries <Bar> > >(
s => a.EnterLong("ABCD", (int)Math.Floor((a.BuyingPower - com * 4) / s[0].Open), new ExitOnSessionClose(21.00), s.FromHere()), // new Equity: 12336.96
s => a.EnterShort("ABCD", (int)Math.Floor((a.BuyingPower - com * 4) / s[0].Open), new ExitOnSessionClose(24.00), s.FromHere()) // new Equity: 13874.21
));
var expectedEquity = Lists.Create <double>(12336.96, 13874.21);
var actualEquity = new List <double>();
DataSeries.Walk(bars, pos => {
actions.Dequeue()(bars);
actualEquity.Add(a.Equity);
});
Assert.IsTrue(Lists.Equal(expectedEquity, actualEquity.Select(x => Math.Round(x, 2))));
}
public void SvdTest()
{
var points = Lists.Create <Vector>(
new DenseVector(new double[] { 3.1, 2.9 }),
new DenseVector(new double[] { 1.0, 0.99 }),
new DenseVector(new double[] { 2.2, 2.1 }),
new DenseVector(new double[] { 3.8, 4.1 }),
new DenseVector(new double[] { 4.4, 4.5 }),
new DenseVector(new double[] { 6.1, 6.0 }));
var X = new DenseMatrix(points.Count, 2);
for (int i = 0; i < points.Count; i++)
{
X.SetRow(i, points[i]);
}
var svd = X.Svd(true);
var V = svd.VT().Transpose();
Trace.WriteLine(V);
var a = points[3];
var p1 = V.Column(0);
var b = a.DotProduct(p1) * p1;
var p2 = V.Column(1);
var c = a.DotProduct(p2) * p2;
}
public void Mesh1()
{
var a = new ListHolder <double> {
List = Lists.Create(1.0, 2, 4, 5, 6, 7, 8, 9)
};
var b = new ListHolder <double> {
List = Lists.Create(1.1, 2.1, 3.1)
};
var c = new ListHolder <double> {
List = Lists.Create(3.2, 4.2, 5.2, 6.2)
};
var d = new ListHolder <double> {
List = Lists.Create(4.3, 5.3)
};
var e = new ListHolder <double> {
List = Lists.Create(8.4, 9.4)
};
//var a = Lists.Create(1.0, 2, 3, 4, 5, 6, 7, 8, 9);
//var b = Lists.Create(1.1, 2.1, 3.1);
//var c = Lists.Create(3.2, 4.2, 5.2, 6.2);
//var d = Lists.Create(4.3, 5.3);
//var e = Lists.Create(8.4, 9.4);
var m = Lists.Mesh(Lists.Create(a, b, c, d, e), x => x.List, n => (int)n, i => i + 1, (dummy, xs) => new List <double>(xs)).ToList();
var m2 = Lists.Mesh(Lists.Create(b, e), x => x.List, n => (int)n, i => i + 1, (dummy, xs) => new List <double>(xs)).ToList();
}
void SetTrade(TradeRecord t, Bar bar)
{
Chart.ClearGraphs();
var g = Chart.AddGraph();
g.Plots.Add(new Plot {
DataSeries = new DataSeries <Bar>(t.Symbol, Lists.Create(bar)),
Type = PlotType.Candlestick
});
}
public void IdealSignalNextClose()
{
var bars = new DataSeries <Bar>("", new[] {
new Bar(5, 0, 0, 10, 0),
new Bar(6, 0, 0, 11, 0),
new Bar(5, 0, 0, 12, 0),
new Bar(4, 0, 0, 11, 0),
new Bar(3, 0, 0, 10, 0),
new Bar(1, 0, 0, 12, 0),
new Bar(10, 0, 0, 12, 0)
});
var signal = bars.MapElements <Value>((s, _) => Signals.NextClose(s)).Select(x => x.Val).ToList();
signal.ShouldEnumerateLike(Lists.Create <double>(0, 1, 1, -1, -1, 1, 1));
}
public void GenericCrossOver()
{
var a = new[] { 1, 2, 3, 4, 5 };
var b = new[] { 10, 20, 30, 40, 50 };
var z = Functions.CrossOver(a, b, (x, y) => Tuple2.Create(y, x), x => x.ToList());
z.Item1.ShouldBeOfType <List <int> >();
z.Item2.ShouldBeOfType <List <int> >();
z.Item1.ShouldEnumerateLike(b);
z.Item2.ShouldEnumerateLike(a);
var q = Functions.CrossOver(a, b, (x, y) => x % 2 == 1 ? Tuple2.Create(x, y) : Tuple2.Create(y, x), x => x.ToList());
q.Item1.ShouldEnumerateLike(Lists.Create(1, 20, 3, 40, 5));
q.Item2.ShouldEnumerateLike(Lists.Create(10, 2, 30, 4, 50));
}
void Update()
{
var selected = StrategiesBox.SelectedItem;
StrategiesBox.Items.Clear();
if (!Directory.Exists(StrategyOptimizerReport.StrategyDir))
{
return;
}
foreach (var fn in Directory.EnumerateFiles(StrategyOptimizerReport.StrategyDir)
.OrderByDescending(x => new FileInfo(Path.Combine(StrategyOptimizerReport.StrategyDir, x)).LastWriteTime))
{
StrategiesBox.Items.Add(Path.GetFileNameWithoutExtension(fn));
}
StrategiesBox.SelectedItem = StrategiesBox.Items[0];
Action <ComboBox> add = cb => {
if (!cb.Items.Contains(cb.Text))
{
cb.Items.Add(cb.Text);
}
};
add(TrainingStartBox);
add(TrainingEndBox);
add(ValidationStartBox);
add(ValidationEndBox);
Action <string, ComboBox> serialize = (n, cb) => {
if (cb.Text == "")
{
return;
}
Settings.Default[n] = Lists.Create(cb.Text).Concat(cb.Items.Cast <string>().Except(Lists.Create("", cb.Text))).Distinct().Join(",");
};
serialize("RecentTrainingStartDates", TrainingStartBox);
serialize("RecentTrainingEndDates", TrainingEndBox);
serialize("RecentValidationStartDates", ValidationStartBox);
serialize("RecentValidationEndDates", ValidationEndBox);
Settings.Default.Save();
}
public void Drawdown()
{
var dd = BacktestHelper.CalcMaxDrawdownPercent(new DataSeries <Value>("Foo", Lists.Create(1.0, 2, 3, 4, 7, 5, 4, 5, 2, 10, 12, 11, 15).Select(x => new Value(DateTime.MinValue, x))));
Assert.IsTrue(dd == (7 - 2) / 7.0);
}
