public void Initialize(
EvaluationResultContext context,
IDictionary <ParameterAttribute, object> parameterValues,
DateTime startDate,
DateTime endDate,
TradeMetric metric)
{
if (context == null || parameterValues == null || metric == null)
{
throw new ArgumentNullException();
}
var serializableParameterValues = new SerializableParameterValues();
serializableParameterValues.Initialize(parameterValues);
for (var i = 0; i < serializableParameterValues.Parameters.Length; ++i)
{
_parameterValueProperties[i].SetValue(this, serializableParameterValues.Parameters[i].Value);
}
for (var i = 0; i < metric.ERatios.Length; ++i)
{
_eRatioProperties[i].SetValue(this, metric.ERatios[i]);
}
StartDate = startDate;
EndDate = endDate;
InitialEquity = metric.InitialEquity;
FinalEquity = metric.FinalEquity;
NetProfit = metric.NetProfit;
ProfitRatio = metric.ProfitRatio;
AnnualProfitRatio = metric.AnnualProfitRatio;
TotalTradingTimes = metric.TotalTradingTimes;
ProfitTimesRatio = metric.ProfitTimesRatio;
AverageProfitPerTrading = metric.AverageProfitPerTrading;
AverageLossPerTrading = metric.AverageLossPerTrading;
MaxDrawDown = metric.MaxDrawDown;
MaxDrawDownRatio = metric.MaxDrawDownRatio;
Mar = metric.Mar;
Expectation = ProfitTimesRatio * AverageProfitPerTrading - (1.0 - ProfitTimesRatio) * AverageLossPerTrading;
var b = AverageProfitPerTrading / AverageLossPerTrading;
BestFactor = (b * ProfitTimesRatio - (1.0 - ProfitTimesRatio)) / b;
ContextId = context.ContextId;
ContextDirectory = context.RootDirectory;
}
public static void Initialize(IDictionary <ParameterAttribute, object> parameterValues, bool shouldOutputERatio)
{
if (parameterValues == null)
{
throw new ArgumentNullException();
}
var serializableParameterValues = new SerializableParameterValues();
serializableParameterValues.Initialize(parameterValues);
ParameterNames = serializableParameterValues.Parameters.Select(p => p.Name).ToArray();
if (ParameterNames.Length > MaxParameterCount)
{
throw new ArgumentException(string.Format("# of parameters exceeds limit {0}", MaxParameterCount));
}
_parameterValueProperties = new PropertyInfo[MaxParameterCount];
for (var i = 0; i < MaxParameterCount; ++i)
{
var name = string.Format("ParameterValue{0}", i + 1);
_parameterValueProperties[i] = typeof(ResultSummary).GetProperty(name);
}
ResultSummary.ShouldOutputERatio = shouldOutputERatio;
_eRatioProperties = new PropertyInfo[MaxERatioCount];
for (var i = 0; i < MaxERatioCount; ++i)
{
var name = string.Format("ERatio{0}", i + 1);
_eRatioProperties[i] = typeof(ResultSummary).GetProperty(name);
}
}
public void SaveResults(
ITradingDataProvider dataProvider,
IDictionary <ParameterAttribute, object> parameterValues,
IEnumerable <Position> activePositions,
IEnumerable <Transaction> transactions,
IEnumerable <AuxiliaryData> auxiliaryData)
{
// save parameter values
var searializedParameterValues = new SerializableParameterValues();
searializedParameterValues.Initialize(parameterValues);
using (var writer = new StreamWriter(
Path.Combine(RootDirectory, ParameterValuesFileName),
false,
Encoding.UTF8))
{
var serializer = new XmlSerializer(searializedParameterValues.GetType());
serializer.Serialize(writer, searializedParameterValues);
}
// save active positions
using (var writer = new StreamWriter(
Path.Combine(RootDirectory, PositionFileName),
false,
Encoding.UTF8))
{
using (var csvWriter = new CsvWriter(writer))
{
csvWriter.WriteHeader <Position>();
foreach (var position in activePositions)
{
csvWriter.WriteRecord(position);
}
}
}
// save transactions
using (var writer = new StreamWriter(
Path.Combine(RootDirectory, TransactionsFileName),
false,
Encoding.UTF8))
{
using (var csvWriter = new CsvWriter(writer))
{
csvWriter.WriteRecords(transactions);
}
}
// save auxiliary data
using (var writer = new StreamWriter(
Path.Combine(RootDirectory, AuxiliaryDataFileName),
false,
Encoding.UTF8))
{
using (var csvWriter = new CsvWriter(writer))
{
csvWriter.WriteRecords(auxiliaryData);
}
}
}
public void SaveResults(
IDictionary <ParameterAttribute, object> parameterValues,
IEnumerable <TradeMetric> metrics,
IEnumerable <Position> closePositions,
IEnumerable <BlockTradingDetailSummarizer.BlockTradingDetail> details)
{
// save parameter values
var searializedParameterValues = new SerializableParameterValues();
searializedParameterValues.Initialize(parameterValues);
using (var writer = new StreamWriter(
Path.Combine(RootDirectory, ParameterValuesFileName),
false,
Encoding.UTF8))
{
var serializer = new XmlSerializer(searializedParameterValues.GetType());
serializer.Serialize(writer, searializedParameterValues);
}
// save metrics
var tradeMetrics = metrics as TradeMetric[] ?? metrics.ToArray();
using (var writer = new StreamWriter(
Path.Combine(RootDirectory, MetricsFileName),
false,
Encoding.UTF8))
{
using (var csvWriter = new CsvWriter(writer))
{
csvWriter.WriteRecords(tradeMetrics);
}
}
// save closed positions
using (var writer = new StreamWriter(
Path.Combine(RootDirectory, ClosePositionsFileName),
false,
Encoding.UTF8))
{
using (var csvWriter = new CsvWriter(writer))
{
csvWriter.WriteRecords(closePositions);
}
}
// get the overall metric
var overallMetric = tradeMetrics.First(m => m.Code == TradeMetric.CodeForAll);
// save equities
using (var writer = new StreamWriter(
Path.Combine(RootDirectory, EquitiesFileName),
false,
Encoding.UTF8))
{
using (var csvWriter = new CsvWriter(writer))
{
csvWriter.WriteRecords(overallMetric.OrderedEquitySequence);
}
}
// save transactions
using (var writer = new StreamWriter(
Path.Combine(RootDirectory, TransactionsFileName),
false,
Encoding.UTF8))
{
using (var csvWriter = new CsvWriter(writer))
{
csvWriter.WriteRecords(overallMetric.OrderedTransactionSequence);
}
}
// save closed transactions
using (var writer = new StreamWriter(
Path.Combine(RootDirectory, CompletedTransactionsFileName),
false,
Encoding.UTF8))
{
using (var csvWriter = new CsvWriter(writer))
{
csvWriter.WriteRecords(overallMetric.OrderedCompletedTransactionSequence);
}
}
// save block trading details
using (var writer = new StreamWriter(
Path.Combine(RootDirectory, BlockTradingDetailsFileName),
false,
Encoding.UTF8))
{
// write header
string header = string.Join(
",",
"CODE,TIME,BLOCK,UPRATE",
string.Join(",", TradeMetricsCalculator.ERatioWindowSizes.Select(i => string.Format("MFE{0}", i))),
string.Join(",", TradeMetricsCalculator.ERatioWindowSizes.Select(i => string.Format("MAE{0}", i))));
writer.WriteLine(header);
foreach (var detail in details)
{
string line = string.Join(
",",
detail.Code,
string.Format("{0:yyy-MM-dd}", detail.Time),
detail.Block,
string.Format("{0:0.00000}", detail.UpRateFromLowest),
string.Join(",", detail.Mfe.Select(d => string.Format("{0:0.00000}", d))),
string.Join(",", detail.Mae.Select(d => string.Format("{0:0.00000}", d))));
writer.WriteLine(line);
}
}
}