private void CalcMaxPosition(PricePairList positionValues)
{
var max = new PricePair();
foreach (var value in positionValues)
{
max = PricePair.Max(max, value);
}
_marketMaxPosition = max.Market;
_bookMaxPosition = max.Book;
}
// ReSharper disable ParameterTypeCanBeEnumerable.Local
private void CalcDrowdown(PricePairList profits)
// ReSharper restore ParameterTypeCanBeEnumerable.Local
{
var maxProfit = new PricePair();
var maxDrowdown = new PricePair();
foreach (var profit in profits)
{
maxProfit = PricePair.Max(maxProfit, profit);
maxDrowdown = PricePair.Min(maxDrowdown, profit - maxProfit);
}
_marketMaxDrowDown = maxDrowdown.Market;
_bookMaxDrowDown = maxDrowdown.Book;
}
private void EvaluateTrade(bool isLong, int term, float totalBuy, float totalSell, DateTime date, PricePair dailyprofit)
{
var year = date.Year;
var month = date.Month;
_allTrades++;
var ratio = isLong ? totalSell / totalBuy - 1 : 1 - totalBuy / totalSell; // 空売りは売りポジションが分母
_allProfitRatio += ratio;
_allTerm += term;
var profit = totalSell - totalBuy;
_totalProfit += profit;
// 年度別のトータル資金
if (_totalProfitYear.ContainsKey(year) == true)
{
_totalProfitYear[year] += profit;
_totalProfitMonth[T(year, month - 1)] += profit;
_allTradesYear[year]++;
_allTradesMonth[T(year, month - 1)]++;
if (profit >= 0)
{
_totalWinTradesYear[year]++;
_totalWinTradesMonth[T(year, month - 1)]++;
_totalWinMaxProfitYear[year] += profit;
_totalWinMaxProfitMonth[T(year, month - 1)] += profit;
}
else
{
_totalLoseMaxProfitYear[year] += profit;
_totalLoseMaxProfitMonth[T(year, month - 1)] += profit;
}
if (totalSell < totalBuy) // 負け
{
_totalMaxDrowDownYear[year] = Math.Min(_totalMaxDrowDownYear[year], ratio);
if (_totalMaxBookDrowDownYear[year] > totalSell - totalBuy)
{
_totalMaxBookDrowDownYear[year] = totalSell - totalBuy;
_maxBookDrowDawnDate[year] = date;
}
_totalMaxDrowDownMonth[T(year, month - 1)] = Math.Min(_totalMaxDrowDownMonth[T(year, month - 1)], ratio);
}
if (_totalMaxMarketDrowDownYear[year] > dailyprofit.Market)
{
_totalMaxMarketDrowDownYear[year] = dailyprofit.Market;
_maxMarketDrowDawnDate[year] = date;
}
}
else
{
_totalProfitYear.Add(year, profit);
for (int i = 0; i < 12; i++)
{
_totalProfitMonth.Add(T(year, i), 0);
_allTradesMonth.Add(T(year, i), 0);
_totalWinTradesMonth.Add(T(year, i), 0);
_totalMaxDrowDownMonth.Add(T(year, i), 0);
_totalWinMaxProfitMonth.Add(T(year, i), 0);
_totalLoseMaxProfitMonth.Add(T(year, i), 0);
}
_totalProfitMonth[T(year, month - 1)] = profit;
_allTradesYear.Add(year, 1);
_allTradesMonth[T(year, month - 1)]++;
if (profit >= 0)
{
_totalWinTradesYear.Add(year, 1);
_totalWinTradesMonth[T(year, month - 1)] = 1;
_totalWinMaxProfitYear.Add(year, profit);
_totalWinMaxProfitMonth[T(year, month - 1)] = profit;
_totalLoseMaxProfitYear.Add(year, 0);
}
else
{
_totalWinTradesYear.Add(year, 0);
_totalWinMaxProfitYear.Add(year, 0);
_totalLoseMaxProfitYear.Add(year, profit);
_totalLoseMaxProfitMonth[T(year, month - 1)] = profit;
}
if (totalSell < totalBuy) // 負け
{
_totalMaxDrowDownYear.Add(year, ratio);
_totalMaxDrowDownMonth[T(year, month - 1)] = ratio;
_totalMaxBookDrowDownYear.Add(year, dailyprofit.Market);
_maxBookDrowDawnDate[year] = date;
_totalMaxMarketDrowDownYear.Add(year, dailyprofit.Market);
_maxMarketDrowDawnDate[year] = date;
}
else
{
_totalMaxDrowDownYear.Add(year, 0);
_totalMaxBookDrowDownYear.Add(year, 0);
_totalMaxMarketDrowDownYear.Add(year, 0);
_maxBookDrowDawnDate[year] = date;
_maxMarketDrowDawnDate[year] = date;
}
}
if (totalSell > totalBuy) // 勝ち
{
_winTrades++;
if (_consecutiveWin >= 0)
{
_consecutiveWin++;
}
else
{
_consecutiveWin = 1;
}
_maxwinCount = Math.Max(_maxwinCount, _consecutiveWin);
_winProfitRatio += ratio;
_winMaxProfitRatio = Math.Max(_winMaxProfitRatio, ratio);
_winMaxProfit = Math.Max(_winMaxProfit, profit);
_winTotalProfit += profit;
_winTerm += term;
}
else // 負け
{
if (0 > _consecutiveWin)
{
_consecutiveWin--;
}
else
{
_consecutiveWin = -1;
}
_maxloseCount = Math.Max(_maxloseCount, -1 * _consecutiveWin);
_loseMaxLossRatio = Math.Min(_loseMaxLossRatio, ratio);
_loseMaxLoss = Math.Min(_loseMaxLoss, profit);
}
}
