/// <summary>
/// Return the performance value of a backtesting result.
/// </summary>
/// <param name="systemPerformance"></param>
/// <returns></returns>
public override double GetPerformanceValue(SystemPerformance systemPerformance)
{
if (systemPerformance.ShortTrades.LosingTrades.TradesPerformance.Percent.AvgProfit == 0)
return 1;
else
return systemPerformance.ShortTrades.WinningTrades.TradesPerformance.Percent.AvgProfit / Math.Abs(systemPerformance.ShortTrades.LosingTrades.TradesPerformance.Percent.AvgProfit);
}
public void CompactData_WorksWithEmptyList()
{
IList <SystemPerformance> data = new List <SystemPerformance>();
SystemPerformance.CompactData(data, secondsInterval);
CollectionAssert.AreEqual(new List <SystemPerformance>(), data.ToList());
}
public void CompactData_WorksWithThreeEntriesThatAreTheSame()
{
IList <SystemPerformance> data = new List <SystemPerformance>
{
new SystemPerformance {
AuditTime = new DateTime(2015, 1, 1, 6, 0, 0), Value = 10
},
new SystemPerformance {
AuditTime = new DateTime(2015, 1, 1, 6, 1, 0), Value = 10
},
new SystemPerformance {
AuditTime = new DateTime(2015, 1, 1, 6, 2, 0), Value = 10
},
};
SystemPerformance.CompactData(data, secondsInterval);
CollectionAssert.AreEqual(new List <SystemPerformance>
{
new SystemPerformance {
AuditTime = new DateTime(2015, 1, 1, 6, 0, 0), Value = 10
},
new SystemPerformance {
AuditTime = new DateTime(2015, 1, 1, 6, 2, 0), Value = 10
},
}, data.ToList());
}
public void CompactData_WorksWithTwoEntriesThatAreFarApart()
{
// Since it will be greater than the secondsInterval, 2 should be inserted to represent the gap
IList <SystemPerformance> data = new List <SystemPerformance>
{
new SystemPerformance {
AuditTime = new DateTime(2015, 1, 1, 6, 0, 0), Value = 10
},
new SystemPerformance {
AuditTime = new DateTime(2015, 1, 1, 6, 10, 0), Value = 10
},
};
SystemPerformance.CompactData(data, secondsInterval);
CollectionAssert.AreEqual(new List <SystemPerformance>
{
new SystemPerformance {
AuditTime = new DateTime(2015, 1, 1, 6, 0, 0), Value = 10
},
new SystemPerformance {
AuditTime = new DateTime(2015, 1, 1, 6, 0, 1), Value = 0
},
new SystemPerformance {
AuditTime = new DateTime(2015, 1, 1, 6, 9, 59), Value = 0
},
new SystemPerformance {
AuditTime = new DateTime(2015, 1, 1, 6, 10, 0), Value = 10
},
}, data.ToList(), string.Format("Different number of elements: {0}", data.Count));
}
public IList <SystemPerformance> GetSystemCpuPerformanceData(string cpuFrom, string to, bool?raw = null)
{
try
{
DateTime fromDate = DateTime.ParseExact(cpuFrom, Constants.DateFormat, CultureInfo.InvariantCulture);
DateTime toDate = DateTime.ParseExact(to, Constants.DateFormat, CultureInfo.InvariantCulture);
using (var dao = _daoFactory.Create <ISystemDao>())
{
var data = dao.GetCpuPerformanceData(fromDate, toDate);
if (raw != true)
{
SystemPerformance.CompactData(data, SecondsInterval);
SystemPerformance.LowerResolution(
data,
ApplicationSettings.Current.PerformanceGraphMaxPoints,
ApplicationSettings.Current.PerformanceGraphThreshold);
}
return(data);
}
}
catch (Exception e)
{
log.Error("REST API Error", e);
throw new HttpResponseException(HttpStatusCode.BadRequest);
}
}
/// <summary>
/// Return the performance value of a backtesting result.
/// </summary>
/// <param name="systemPerformance"></param>
/// <returns></returns>
public override double GetPerformanceValue(SystemPerformance systemPerformance)
{
if (systemPerformance.LongTrades.TradesCount == 0)
return 0;
else
return (double) systemPerformance.LongTrades.WinningTrades.TradesCount / systemPerformance.LongTrades.TradesCount;
}
public void LowerResolution_WorksWithEmptyList()
{
IList <SystemPerformance> data = new List <SystemPerformance>();
SystemPerformance.LowerResolution(data, 1, 0);
CollectionAssert.AreEqual(new List <SystemPerformance>(), data.ToList());
}
public SystemPerformance getPerformance(int cpu, int memory)
{
SystemPerformance systemperformance = new SystemPerformance();
systemperformance.cpu = cpu;
systemperformance.memory = memory;
return(systemperformance);
}
/// <summary>
/// Return the performance value of a backtesting result.
/// </summary>
/// <param name="systemPerformance"></param>
/// <returns></returns>
public override double GetPerformanceValue(SystemPerformance systemPerformance)
{
if (systemPerformance.AllTrades.TradesCount == 0)
{
return(0);
}
else
{
return((double)systemPerformance.AllTrades.WinningTrades.TradesCount / systemPerformance.AllTrades.TradesCount);
}
}
/// <summary>
/// Return the performance value of a backtesting result.
/// </summary>
/// <param name="systemPerformance"></param>
/// <returns></returns>
public override double GetPerformanceValue(SystemPerformance systemPerformance)
{
if (systemPerformance.AllTrades.TradesCount <= 1 || systemPerformance.AllTrades.TradesPerformance.Percent.AvgProfit == 0)
return 0;
else
{
double div = systemPerformance.AllTrades.TradesPerformance.Percent.StdDev / Math.Sqrt(systemPerformance.AllTrades.TradesCount);
double t = Stat.StudTp(systemPerformance.AllTrades.TradesPerformance.Percent.AvgProfit / div, systemPerformance.AllTrades.TradesCount - 1);
return (div <= 0.5 ? 1 - t : t);
}
}
/// <summary>
/// Return the performance value of a backtesting result.
/// </summary>
/// <param name="systemPerformance"></param>
/// <returns></returns>
public override double GetPerformanceValue(SystemPerformance systemPerformance)
{
if (systemPerformance.ShortTrades.LosingTrades.TradesPerformance.Percent.AvgProfit == 0)
{
return(1);
}
else
{
return(systemPerformance.ShortTrades.WinningTrades.TradesPerformance.Percent.AvgProfit / Math.Abs(systemPerformance.ShortTrades.LosingTrades.TradesPerformance.Percent.AvgProfit));
}
}
/// <summary>
/// Return the performance value of a backtesting result.
/// </summary>
/// <param name="systemPerformance"></param>
/// <returns></returns>
public override double GetPerformanceValue(SystemPerformance systemPerformance)
{
var performanceValue = double.MinValue;
if (systemPerformance.AllTrades.Count >= _minimumTrades && systemPerformance.AllTrades.Count <= _maximumTrades)
{
performanceValue = _optimisationType.GetPerformanceValue(systemPerformance);
}
_lastPerformanceValue = performanceValue;
return performanceValue;
}
/// <summary>
/// Return the performance value of a backtesting result.
/// </summary>
/// <param name="systemPerformance"></param>
/// <returns></returns>
public override double GetPerformanceValue(SystemPerformance systemPerformance)
{
var performanceValue = double.MinValue;
if (systemPerformance.AllTrades.Count >= _minimumTrades && systemPerformance.AllTrades.Count <= _maximumTrades)
{
performanceValue = _optimisationType.GetPerformanceValue(systemPerformance);
}
_lastPerformanceValue = performanceValue;
return(performanceValue);
}
/// <summary>
/// Return the performance value of a backtesting result.
/// </summary>
/// <param name="systemPerformance"></param>
/// <returns></returns>
public override double GetPerformanceValue(SystemPerformance systemPerformance)
{
if (systemPerformance.AllTrades.TradesCount <= 1 || systemPerformance.AllTrades.TradesPerformance.Percent.AvgProfit == 0)
{
return(0);
}
else
{
double div = systemPerformance.AllTrades.TradesPerformance.Percent.StdDev / Math.Sqrt(systemPerformance.AllTrades.TradesCount);
double t = Stat.StudTp(systemPerformance.AllTrades.TradesPerformance.Percent.AvgProfit / div, systemPerformance.AllTrades.TradesCount - 1);
return(div <= 0.5 ? 1 - t : t);
}
}
public void LowerResolution_WorksWithSingleItemInTheList(int maxPoints, decimal threshold)
{
IList <SystemPerformance> data = new List <SystemPerformance>
{
new SystemPerformance {
AuditTime = new DateTime(2015, 1, 1, 6, 0, 0), Value = 10
}
};
SystemPerformance.LowerResolution(data, maxPoints, threshold);
Assert.AreEqual(1, data.Count, "Records were incorrectly removed.");
AssertPerformanceEquality(10m, new DateTime(2015, 1, 1, 6, 0, 0), data[0]);
}
public override void BuildOnceAfterFullBlindBacktestFinished(SystemPerformance performance)
{
this.systemPerformance = performance;
if (this.systemPerformance.Bars.IsIntraday)
{
this.olvcEntryDate.Width = 120;
this.olvcExitDate.Width = 120;
}
else
{
this.olvcEntryDate.Width = 80;
this.olvcExitDate.Width = 80;
}
this.reversePositionsCalcCumulativesDumpToTitleAndOLV();
}
public void CompatData_WorksWithSingleEntry()
{
IList <SystemPerformance> data = new List <SystemPerformance>
{
new SystemPerformance {
AuditTime = new DateTime(2015, 1, 1, 6, 0, 0), Value = 10
}
};
SystemPerformance.CompactData(data, secondsInterval);
CollectionAssert.AreEqual(new List <SystemPerformance>
{
new SystemPerformance {
AuditTime = new DateTime(2015, 1, 1, 6, 0, 0), Value = 10
}
}, data.ToList());
}
public void BuildOnceAllReports(SystemPerformance performance)
{
if (this.ChartFormManager.ChartForm.InvokeRequired)
{
this.ChartFormManager.ChartForm.BeginInvoke((MethodInvoker) delegate { this.BuildOnceAllReports(performance); });
return;
}
foreach (Reporter rep in this.ReporterShortNamesUserInvoked.Values)
{
rep.BuildOnceAfterFullBlindBacktestFinished(performance);
// Reporters.Position should display "Positions (276)"
ReporterFormWrapper parent = rep.Parent as ReporterFormWrapper;
if (parent == null)
{
continue;
}
parent.Text = rep.TabText + " :: " + this.ChartFormManager.ChartForm.Text;
}
}
void propagatePerformanceReport(SystemPerformance performance)
{
DataSeriesTimeBased equityCurve = performance.SlicesShortAndLong.EquityCurve;
this.fontsByStyle.Clear();
this.fontsByStyle.Add(this.Font.Style, this.Font);
try {
this.olvReport.BeginUpdate();
this.olvReport.Items.Clear();
this.currentColumn = 0;
this.currentRow = 0;
this.GenerateReportForOneColumn(performance.SlicesShortAndLong);
this.currentColumn++;
this.currentRow = 0;
this.GenerateReportForOneColumn(performance.SliceLong);
this.currentColumn++;
this.currentRow = 0;
this.GenerateReportForOneColumn(performance.SliceShort);
this.currentColumn++;
this.currentRow = 0;
this.GenerateReportForOneColumn(performance.SliceBuyHold);
if (performance.BenchmarkSymbolBars != null)
{
this.colBuyHold.Text = performance.BenchmarkSymbolBars.Symbol;
this.colBuyHold.Width = 50;
}
else
{
this.colBuyHold.Text = "Buy & Hold";
this.colBuyHold.Width = 50;
}
//AdjustColumnSize();
} finally {
this.olvReport.EndUpdate();
}
}
/// <summary>
/// Return the performance value of a backtesting result.
/// </summary>
/// <param name="systemPerformance"></param>
/// <returns></returns>
public override double GetPerformanceValue(SystemPerformance systemPerformance)
{
// This calc comes from NT standard net profit opt type
var averageProfitPerTrade = (systemPerformance.AllTrades.TradesPerformance.GrossProfit +
systemPerformance.AllTrades.TradesPerformance.GrossLoss) /
systemPerformance.AllTrades.Count;
double stddev = 0;
// Now figure std dev of profit
// Note: I forget my statistics & pulled this algorithm from the internet,
foreach (Trade trade in systemPerformance.AllTrades)
{
var tradeProfit = (trade.ProfitPoints * trade.Quantity *
trade.Entry.Instrument.MasterInstrument.PointValue);
stddev += Math.Pow(tradeProfit - averageProfitPerTrade, 2);
}
stddev /= systemPerformance.AllTrades.Count;
stddev = Math.Sqrt(stddev);
return (Math.Sqrt(systemPerformance.AllTrades.Count) * averageProfitPerTrade) / stddev;
}
/// <summary>
/// Return the performance value of a backtesting result.
/// </summary>
/// <param name="systemPerformance"></param>
/// <returns></returns>
public override double GetPerformanceValue(SystemPerformance systemPerformance)
{
// This calc comes from NT standard net profit opt type
var averageProfitPerTrade = (systemPerformance.AllTrades.TradesPerformance.GrossProfit +
systemPerformance.AllTrades.TradesPerformance.GrossLoss) /
systemPerformance.AllTrades.Count;
double stddev = 0;
// Now figure std dev of profit
// Note: I forget my statistics & pulled this algorithm from the internet,
foreach (Trade trade in systemPerformance.AllTrades)
{
var tradeProfit = (trade.ProfitPoints * trade.Quantity *
trade.Entry.Instrument.MasterInstrument.PointValue);
stddev += Math.Pow(tradeProfit - averageProfitPerTrade, 2);
}
stddev /= systemPerformance.AllTrades.Count;
stddev = Math.Sqrt(stddev);
return((Math.Sqrt(systemPerformance.AllTrades.Count) * averageProfitPerTrade) / stddev);
}
/// <summary>
/// Return the performance value of a backtesting result.
/// </summary>
/// <param name="systemPerformance"></param>
/// <returns></returns>
public override double GetPerformanceValue(SystemPerformance systemPerformance)
{
return(systemPerformance.LongTrades.TradesPerformance.ProfitFactor);
}
/// <summary>
/// Return the performance value of a backtesting result.
/// </summary>
/// <param name="systemPerformance"></param>
/// <returns></returns>
public override double GetPerformanceValue(SystemPerformance systemPerformance)
{
return(systemPerformance.LongTrades.TradesPerformance.GrossProfit + systemPerformance.LongTrades.TradesPerformance.GrossLoss);
}
/// <summary>
/// Return the performance value of a backtesting result.
/// </summary>
/// <param name="systemPerformance"></param>
/// <returns></returns>
public override double GetPerformanceValue(SystemPerformance systemPerformance)
{
return systemPerformance.AllTrades.TradesPerformance.SharpeRatio;
}
/// <summary>
/// Return the performance value of a backtesting result.
/// </summary>
/// <param name="systemPerformance"></param>
/// <returns></returns>
public override double GetPerformanceValue(SystemPerformance systemPerformance)
{
return(systemPerformance.LongTrades.TradesPerformance.Percent.DrawDown);
}
[TestCase(1, 0.075, 1)] // 7.5% threshold
public void LowerResolution_ThresholdWorksWithEightPoints(int maxPoints, decimal threshold, int expectedValuesIndex)
{
// These aren't great tests - they're looking at way too much data to test.
// TODO: Rework this test into smaller tests and manybe use the TestCaseSource
var expectedValues = new List <List <TimeValue> >
{
new List <TimeValue>
{
// all records returned
new TimeValue(new DateTime(2015, 1, 1, 6, 0, 0), 10),
new TimeValue(new DateTime(2015, 1, 1, 6, 0, 0), 10.25m),
new TimeValue(new DateTime(2015, 1, 1, 6, 1, 0), 10.763m),
new TimeValue(new DateTime(2015, 1, 1, 6, 2, 0), 11.57m),
new TimeValue(new DateTime(2015, 1, 1, 6, 3, 0), 12.727m),
new TimeValue(new DateTime(2015, 1, 1, 6, 4, 0), 13.682m),
new TimeValue(new DateTime(2015, 1, 1, 6, 4, 0), 14.365m),
new TimeValue(new DateTime(2015, 1, 1, 6, 5, 0), 14.724m)
},
new List <TimeValue>
{
// all records returned
new TimeValue(new DateTime(2015, 1, 1, 6, 0, 0), 10),
//new TimeValue(new DateTime(2015, 1, 1, 6, 0, 0), 10.25m),
//new TimeValue(new DateTime(2015, 1, 1, 6, 1, 0), 10.763m),
new TimeValue(new DateTime(2015, 1, 1, 6, 2, 0), 11.57m),
new TimeValue(new DateTime(2015, 1, 1, 6, 3, 0), 12.727m),
//new TimeValue(new DateTime(2015, 1, 1, 6, 4, 0), 13.682m),
new TimeValue(new DateTime(2015, 1, 1, 6, 4, 0), 14.365m),
new TimeValue(new DateTime(2015, 1, 1, 6, 5, 0), 14.724m)
}
};
IList <SystemPerformance> data = new List <SystemPerformance>
{
new SystemPerformance {
AuditTime = new DateTime(2015, 1, 1, 6, 0, 0), Value = 10
},
new SystemPerformance {
AuditTime = new DateTime(2015, 1, 1, 6, 0, 0), Value = 10.25m
}, // +2.5%
new SystemPerformance {
AuditTime = new DateTime(2015, 1, 1, 6, 1, 0), Value = 10.763m
}, // +5%
new SystemPerformance {
AuditTime = new DateTime(2015, 1, 1, 6, 2, 0), Value = 11.57m
}, // +7.5%
new SystemPerformance {
AuditTime = new DateTime(2015, 1, 1, 6, 3, 0), Value = 12.727m
}, // +10%
new SystemPerformance {
AuditTime = new DateTime(2015, 1, 1, 6, 4, 0), Value = 13.682m
}, // +7.5%
new SystemPerformance {
AuditTime = new DateTime(2015, 1, 1, 6, 4, 0), Value = 14.365m
}, // +5%
new SystemPerformance {
AuditTime = new DateTime(2015, 1, 1, 6, 5, 0), Value = 14.724m
} // +2.5%
};
SystemPerformance.LowerResolution(data, maxPoints, threshold);
Assert.AreEqual(expectedValues[expectedValuesIndex].Count, data.Count, "Records were incorrectly removed (or added).");
for (int i = 0; i < expectedValues[expectedValuesIndex].Count; i++)
{
var timeValue = expectedValues[expectedValuesIndex].ElementAt(i);
AssertPerformanceEquality(timeValue.Value, timeValue.DateTime, data[i]);
}
}
[TestCase(5, 1, 4)] // with zero threshold, all points should be returned
public void LowerResolution_MaxPointsWorksWithSixItemsInTheList(int maxPoints, decimal threshold, int expectedValuesIndex)
{
// These aren't great tests - they're looking at way too much data to test.
// TODO: Rework this test into smaller tests and manybe use the TestCaseSource
var expectedValues = new List <List <TimeValue> >
{
new List <TimeValue>
{
// all records returned
new TimeValue(new DateTime(2015, 1, 1, 6, 0, 0), 10m),
new TimeValue(new DateTime(2015, 1, 1, 6, 1, 0), 10.5m),
new TimeValue(new DateTime(2015, 1, 1, 6, 2, 0), 11.55m),
new TimeValue(new DateTime(2015, 1, 1, 6, 3, 0), 13.286m),
new TimeValue(new DateTime(2015, 1, 1, 6, 4, 0), 14.611m),
new TimeValue(new DateTime(2015, 1, 1, 6, 5, 0), 15.341m)
},
new List <TimeValue>
{
// 2 records (0 + ends)
new TimeValue(new DateTime(2015, 1, 1, 6, 0, 0), 10m),
//new TimeValue(new DateTime(2015, 1, 1, 6, 1, 0), 10.5m),
//new TimeValue(new DateTime(2015, 1, 1, 6, 2, 0), 11.55m),
//new TimeValue(new DateTime(2015, 1, 1, 6, 3, 0), 13.286m),
//new TimeValue(new DateTime(2015, 1, 1, 6, 4, 0), 14.611m),
new TimeValue(new DateTime(2015, 1, 1, 6, 5, 0), 15.341m)
},
new List <TimeValue>
{
// 3 records returned (1 + ends)
new TimeValue(new DateTime(2015, 1, 1, 6, 0, 0), 10m),
//new TimeValue(new DateTime(2015, 1, 1, 6, 1, 0), 10.5m),
//new TimeValue(new DateTime(2015, 1, 1, 6, 2, 0), 11.55m),
new TimeValue(new DateTime(2015, 1, 1, 6, 3, 0), 13.286m),
//new TimeValue(new DateTime(2015, 1, 1, 6, 4, 0), 14.611m),
new TimeValue(new DateTime(2015, 1, 1, 6, 5, 0), 15.341m)
},
new List <TimeValue>
{
// 4 records returned (2 + ends)
new TimeValue(new DateTime(2015, 1, 1, 6, 0, 0), 10m),
//new TimeValue(new DateTime(2015, 1, 1, 6, 1, 0), 10.5m),
new TimeValue(new DateTime(2015, 1, 1, 6, 2, 0), 11.55m),
//new TimeValue(new DateTime(2015, 1, 1, 6, 3, 0), 13.286m),
new TimeValue(new DateTime(2015, 1, 1, 6, 4, 0), 14.611m),
new TimeValue(new DateTime(2015, 1, 1, 6, 5, 0), 15.341m)
},
new List <TimeValue>
{
// 5 records returned (3 + ends)
new TimeValue(new DateTime(2015, 1, 1, 6, 0, 0), 10m),
new TimeValue(new DateTime(2015, 1, 1, 6, 1, 0), 10.5m),
//new TimeValue(new DateTime(2015, 1, 1, 6, 2, 0), 11.55m),
new TimeValue(new DateTime(2015, 1, 1, 6, 3, 0), 13.286m),
new TimeValue(new DateTime(2015, 1, 1, 6, 4, 0), 14.611m),
new TimeValue(new DateTime(2015, 1, 1, 6, 5, 0), 15.341m)
},
};
IList <SystemPerformance> data = new List <SystemPerformance>
{
new SystemPerformance {
AuditTime = new DateTime(2015, 1, 1, 6, 0, 0), Value = 10
},
new SystemPerformance {
AuditTime = new DateTime(2015, 1, 1, 6, 1, 0), Value = 10.5m
}, // +5%
new SystemPerformance {
AuditTime = new DateTime(2015, 1, 1, 6, 2, 0), Value = 11.55m
}, // +10%
new SystemPerformance {
AuditTime = new DateTime(2015, 1, 1, 6, 3, 0), Value = 13.286m
}, // +15%
new SystemPerformance {
AuditTime = new DateTime(2015, 1, 1, 6, 4, 0), Value = 14.611m
}, // +10%
new SystemPerformance {
AuditTime = new DateTime(2015, 1, 1, 6, 5, 0), Value = 15.341m
} // +5%
};
SystemPerformance.LowerResolution(data, maxPoints, threshold);
Assert.AreEqual(expectedValues[expectedValuesIndex].Count, data.Count, "Records were incorrectly removed (or added).");
for (int i = 0; i < expectedValues[expectedValuesIndex].Count; i++)
{
var timeValue = expectedValues[expectedValuesIndex].ElementAt(i);
AssertPerformanceEquality(timeValue.Value, timeValue.DateTime, data[i]);
}
}
/// <summary>
/// Return the performance value of a backtesting result.
/// </summary>
/// <param name="systemPerformance"></param>
/// <returns></returns>
public override double GetPerformanceValue(SystemPerformance systemPerformance)
{
return systemPerformance.LongTrades.TradesPerformance.GrossProfit + systemPerformance.LongTrades.TradesPerformance.GrossLoss;
}
/// <summary>
/// Return the performance value of a backtesting result.
/// </summary>
/// <param name="systemPerformance"></param>
/// <returns></returns>
public override double GetPerformanceValue(SystemPerformance systemPerformance)
{
// Allow override of minimum number of trades to return a value
// Parameter is SQNMinTrades
int minTrades = 30;
if (sMinTrades > 0)
{
minTrades = sMinTrades;
}
else
{
int n;
for (n = 0; n < Strategy.Parameters.Count; n++)
{
if ("SQNMinTrades".CompareTo(Strategy.Parameters[n].Name) == 0)
{
minTrades = (int)Strategy.Parameters[n].Value;
break;
}
}
}
double numTrades = systemPerformance.AllTrades.Count;
if (numTrades < minTrades)
return 0;
// This calc comes from NT standard net profit opt type
double avgProfit = (systemPerformance.AllTrades.TradesPerformance.GrossProfit +
systemPerformance.AllTrades.TradesPerformance.GrossLoss) / numTrades;
double stddev = 0;
double tradeProf;
// Now figure std dev of profit
// Note: I forget my statistics & pulled this algorithm from the internet,
// corrections welcomed.
foreach (Trade t in systemPerformance.AllTrades)
{
tradeProf = (t.ProfitPoints * t.Quantity * t.Entry.Instrument.MasterInstrument.PointValue);
// Uncomment this section for debug output to NT's output window
/*
Strategy.Print(t.Entry.Time + "," + t.Quantity + "," + t.Entry.Price + "," + t.Exit.Price + "," +
t.ProfitPoints.ToString("N2") + "," + t.Quantity + "," +
t.Entry.Instrument.MasterInstrument.PointValue + "," + tradeProf);
*/
stddev += Math.Pow(tradeProf - avgProfit, 2);
}
stddev /= numTrades;
stddev = Math.Sqrt(stddev);
double sqn = (Math.Sqrt(numTrades) * avgProfit) / stddev;
// Uncomment this section for debug output to NT's output window
/*
Strategy.Print("numTrades: " + numTrades.ToString("N2") + " avgProfit: " + avgProfit.ToString("N2") +
" stddev: " + stddev.ToString("N2") + " sqn: " + sqn.ToString("N2"));
*/
// Hoping to access this from my optimizer (note: it works.)
sLastSQN = sqn;
return sqn;
}
public override void BuildOnceAfterFullBlindBacktestFinished(SystemPerformance performance)
{
this.systemPerformance = performance;
this.propagatePerformanceReport(performance);
}
/// <summary>
/// Helper method that performs an assert on the system performance data point
/// </summary>
/// <param name="expectedValue"></param>
/// <param name="expectedDate"></param>
/// <param name="dataPoint"></param>
private static void AssertPerformanceEquality(decimal expectedValue, DateTime expectedDate, SystemPerformance dataPoint)
{
Assert.AreEqual(expectedValue, dataPoint.Value, "Performance data point value has changed.");
Assert.AreEqual(expectedDate, dataPoint.AuditTime, "Data point time has changed.");
}
/// <summary>
/// Return the performance value of a backtesting result.
/// </summary>
/// <param name="systemPerformance"></param>
/// <returns></returns>
public override double GetPerformanceValue(SystemPerformance systemPerformance)
{
return(systemPerformance.AllTrades.TradesPerformance.SharpeRatio);
}
/// <summary>
/// Return the performance value of a backtesting result.
/// </summary>
/// <param name="systemPerformance"></param>
/// <returns></returns>
public override double GetPerformanceValue(SystemPerformance systemPerformance)
{
// Allow override of minimum number of trades to return a value
// Parameter is SQNMinTrades
int minTrades = 30;
if (sMinTrades > 0)
{
minTrades = sMinTrades;
}
else
{
int n;
for (n = 0; n < Strategy.Parameters.Count; n++)
{
if ("SQNMinTrades".CompareTo(Strategy.Parameters[n].Name) == 0)
{
minTrades = (int)Strategy.Parameters[n].Value;
break;
}
}
}
double numTrades = systemPerformance.AllTrades.Count;
if (numTrades < minTrades)
{
return(0);
}
// This calc comes from NT standard net profit opt type
double avgProfit = (systemPerformance.AllTrades.TradesPerformance.GrossProfit +
systemPerformance.AllTrades.TradesPerformance.GrossLoss) / numTrades;
double stddev = 0;
double tradeProf;
// Now figure std dev of profit
// Note: I forget my statistics & pulled this algorithm from the internet,
// corrections welcomed.
foreach (Trade t in systemPerformance.AllTrades)
{
tradeProf = (t.ProfitPoints * t.Quantity * t.Entry.Instrument.MasterInstrument.PointValue);
// Uncomment this section for debug output to NT's output window
/*
* Strategy.Print(t.Entry.Time + "," + t.Quantity + "," + t.Entry.Price + "," + t.Exit.Price + "," +
* t.ProfitPoints.ToString("N2") + "," + t.Quantity + "," +
* t.Entry.Instrument.MasterInstrument.PointValue + "," + tradeProf);
*/
stddev += Math.Pow(tradeProf - avgProfit, 2);
}
stddev /= numTrades;
stddev = Math.Sqrt(stddev);
double sqn = (Math.Sqrt(numTrades) * avgProfit) / stddev;
// Uncomment this section for debug output to NT's output window
/*
* Strategy.Print("numTrades: " + numTrades.ToString("N2") + " avgProfit: " + avgProfit.ToString("N2") +
* " stddev: " + stddev.ToString("N2") + " sqn: " + sqn.ToString("N2"));
*/
// Hoping to access this from my optimizer (note: it works.)
sLastSQN = sqn;
return(sqn);
}
/// <summary>
/// Return the performance value of a backtesting result.
/// </summary>
/// <param name="systemPerformance"></param>
/// <returns></returns>
public override double GetPerformanceValue(SystemPerformance systemPerformance)
{
return(systemPerformance.ShortTrades.TradesPerformance.Percent.AvgProfit);
}
/// <summary>
/// Return the performance value of a backtesting result.
/// </summary>
/// <param name="systemPerformance"></param>
/// <returns></returns>
public override double GetPerformanceValue(SystemPerformance systemPerformance)
{
return systemPerformance.LongTrades.TradesPerformance.Percent.AvgProfit;
}
/// <summary>
/// Return the performance value of a backtesting result.
/// </summary>
/// <param name="systemPerformance"></param>
/// <returns></returns>
public override double GetPerformanceValue(SystemPerformance systemPerformance)
{
return systemPerformance.LongTrades.TradesPerformance.ProfitFactor;
}
/// <summary>
/// Return the performance value of a backtesting result.
/// </summary>
/// <param name="systemPerformance"></param>
/// <returns></returns>
public override double GetPerformanceValue(SystemPerformance systemPerformance)
{
return systemPerformance.LongTrades.TradesPerformance.Percent.DrawDown;
}
/// <summary>
/// Return the performance value of a backtesting result.
/// </summary>
/// <param name="systemPerformance"></param>
/// <returns></returns>
public override double GetPerformanceValue(SystemPerformance systemPerformance)
{
return(-systemPerformance.AllTrades.TradesPerformance.Points.CumProfit / systemPerformance.AllTrades.TradesPerformance.Points.DrawDown);
//return systemPerformance.AllTrades.TradesPerformance.Points.CumProfit;
//return systemPerformance.AllTrades.TradesPerformance.Points.DrawDown;
}
