public Report Evaluate(IEnumerable <StockHandle> stocks, DateTime dateUnderAnalysis)
{
// XXX: system is only created to get the name for the report
var system = myTradingSystemBuilder();
var report = new BackTestingReport(system.Name, dateUnderAnalysis);
var lockObj = new object();
Parallel.ForEach(stocks, stock =>
{
using (PerfMon.Profile("Evaluating stock: {0}", stock.Isin))
{
lock ( lockObj )
{
system = myTradingSystemBuilder();
}
var systemResult = system.Evaluate(stock, dateUnderAnalysis);
var tradingResult = PerformBackTesting(systemResult);
lock ( lockObj )
{
report.AddResult(tradingResult);
}
}
});
return(report);
}
private Report RunBackTesting(Func <TradingSystem> tradingSystemBuilder)
{
using (PerfMon.Profile("Performing back-testing"))
{
var stockListBuilder = new StockListBuilder();
stockListBuilder.Add(StockArgs.Catalog);
var task = new BackTestingTask(tradingSystemBuilder, new DibaBroker());
var report = task.Evaluate(stockListBuilder.Stocks, DateTime.Today.GetMostRecentTradingDay());
return(report);
}
}
private Report RunStockRankingEvaluation(Func <TradingSystem> tradingSystemBuilder)
{
using (PerfMon.Profile("Performing evaluation"))
{
var stockListBuilder = new StockListBuilder();
stockListBuilder.Add(StockArgs.Catalog);
var task = new StockRankingTask(tradingSystemBuilder);
var report = task.Evaluate(stockListBuilder.Stocks, DateTime.Today.GetMostRecentTradingDay());
return(report);
}
}
private void RenderReport(Report report)
{
if (!Directory.Exists(ReportOutputDirectory))
{
Directory.CreateDirectory(ReportOutputDirectory);
}
using (PerfMon.Profile("Rendering report"))
{
var renderer = new HtmlRenderer();
renderer.Render(report, ReportOutputDirectory);
}
Console.WriteLine("Report written to: {0}", ReportOutputDirectory);
}
