public TradeStatistics InitTradeStatistics(TradeStatistics tradesStatistics = null)
{
//if (tradesStatistics != null && this.TradeStats != null)
// throw new InvalidOperationException("TradeStats member is already set.");
TradeStats = tradesStatistics ?? new TradeStatistics();
return(TradeStats);
}
public void T16()
{
// Arrange
var stats = new TradeStatistics(2, 3, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 0.77, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1);
// Act
var actual = stats.AverageDrawdown;
// Assert
Assert.Equal(0.77, actual);
}
public void T15()
{
// Arrange
var stats = new TradeStatistics(2, 3, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 786, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1);
// Act
var actual = stats.AverageCashLoss;
// Assert
Assert.Equal(786, actual);
}
public void T14()
{
// Arrange
var stats = new TradeStatistics(2, 3, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 592, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1);
// Act
var actual = stats.AverageCashWin;
// Assert
Assert.Equal(592, actual);
}
public void T13()
{
// Arrange
var stats = new TradeStatistics(2, 3, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 987, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1);
// Act
var actual = stats.AveragePointsLoss;
// Assert
Assert.Equal(987, actual);
}
public void T12()
{
// Arrange
var stats = new TradeStatistics(2, 3, 1, 1, 1, 1, 1, 1, 1, 1, 1, 367, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1);
// Act
var actual = stats.AveragePointsWin;
// Assert
Assert.Equal(367, actual);
}
public void T11()
{
// Arrange
var stats = new TradeStatistics(2, 3, 1, 1, 1, 1, 1, 1, 1, 1, 789, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1);
// Act
var actual = stats.BiggestCashLoss;
// Assert
Assert.Equal(789, actual);
}
public void T10()
{
// Arrange
var stats = new TradeStatistics(2, 3, 1, 1, 1, 1, 1, 1, 1, 567, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1);
// Act
var actual = stats.BiggestPointsLoss;
// Assert
Assert.Equal(567, actual);
}
public void T9()
{
// Arrange
var stats = new TradeStatistics(2, 3, 1, 1, 1, 1, 1, 1, 321, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1);
// Act
var actual = stats.BiggestCashWin;
// Assert
Assert.Equal(321, actual);
}
public void T8()
{
// Arrange
var stats = new TradeStatistics(2, 3, 1, 1, 1, 1, 1, 99, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1);
// Act
var actual = stats.BiggestPointsWin;
// Assert
Assert.Equal(99, actual);
}
public void T7()
{
// Arrange
var stats = new TradeStatistics(2, 3, 1, 1, 1, 1, 88, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1);
// Act
var actual = stats.CashTotal;
// Assert
Assert.Equal(88, actual);
}
public void T6()
{
// Arrange
var stats = new TradeStatistics(2, 3, 1, 1, 1, 77, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1);
// Act
var actual = stats.PointsTotal;
// Assert
Assert.Equal(77, actual);
}
public void T0()
{
// Arrange
var stats = new TradeStatistics(2, 3, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1);
// Act
var actual = stats.TradeCount;
// Assert
Assert.Equal(5, actual);
}
public void T17()
{
// Arrange
var stats = new TradeStatistics(2, 3, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 45, 1, 1, 1, 1, 1, 1, 1, 1, 1);
// Act
var actual = stats.AverageMaximumAdverseExcursion;
// Assert
Assert.Equal(45, actual);
}
public void T5()
{
// Arrange
var stats = new TradeStatistics(2, 3, 1, 1, 66, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1);
// Act
var actual = stats.LongestLosingStreak;
// Assert
Assert.Equal(66, actual);
}
public void T4()
{
// Arrange
var stats = new TradeStatistics(2, 3, 1, 55, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1);
// Act
var actual = stats.LongestWinningStreak;
// Assert
Assert.Equal(55, actual);
}
public void T18()
{
// Arrange
var stats = new TradeStatistics(2, 3, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 72, 1, 1, 1, 1, 1, 1, 1, 1);
// Act
var actual = stats.AverageMaximumFavourableExcursion;
// Assert
Assert.Equal(72, actual);
}
public void T27()
{
// Arrange
var stats = new TradeStatistics(2, 3, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1.23, 1, 1, 1, 432.66);
// Act
var actual = stats.PointsExpectancy;
// Assert
Assert.Equal(432.66, actual);
}
public void T3()
{
// Arrange
var stats = new TradeStatistics(2, 3, 0.66, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1);
// Act
var actual = stats.WinProbability;
// Assert
Assert.Equal(0.66, actual);
}
public void T26()
{
// Arrange
var stats = new TradeStatistics(2, 3, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1.23, 1, 1, 23.65, 1);
// Act
var actual = stats.CashExpectancy;
// Assert
Assert.Equal(23.65, actual);
}
public void T2()
{
// Arrange
var stats = new TradeStatistics(2, 3, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1);
// Act
var actual = stats.Loses;
// Assert
Assert.Equal(3, actual);
}
public void T24()
{
// Arrange
var stats = new TradeStatistics(2, 3, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 5.33, 1, 1, 1);
// Act
var actual = stats.AverageUnrealisedProfitCash;
// Assert
Assert.Equal(5.33, actual);
}
public void T25()
{
// Arrange
var stats = new TradeStatistics(2, 3, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1.23, 1, 1.76, 1, 1);
// Act
var actual = stats.Gain;
// Assert
Assert.Equal(1.76, actual);
}
public void T22()
{
// Arrange
var stats = new TradeStatistics(2, 3, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1.23, 1, 1, 1, 1);
// Act
var actual = stats.AverageUnrealisedProfitPoints;
// Assert
Assert.Equal(1.23, actual);
}
public void T21()
{
// Arrange
var stats = new TradeStatistics(2, 3, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 0.87, 1, 1, 1, 1, 1);
// Act
var actual = stats.AverageRealisedProfitPercentage;
// Assert
Assert.Equal(0.87, actual);
}
public void T20()
{
// Arrange
var stats = new TradeStatistics(2, 3, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 3.65, 1, 1, 1, 1, 1, 1);
// Act
var actual = stats.AverageResultInR;
// Assert
Assert.Equal(3.65, actual);
}
public void T19()
{
// Arrange
var stats = new TradeStatistics(2, 3, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 7.45, 1, 1, 1, 1, 1, 1, 1);
// Act
var actual = stats.AverageRiskRewardRatio;
// Assert
Assert.Equal(7.45, actual);
}
public static decimal RSquared(List <Trade> trades)
{
var tradeStatistics = new TradeStatistics(trades);
var equityChangePerDay = EquityChangePerDay(trades).Select((ec) => (double)ec.Value);
var equityCurve = equityChangePerDay.Rollup(0d, (acc, val) => acc + val);
var expectedCurve = Enumerable.Repeat((double)tradeStatistics.AverageProfitLoss, equityCurve.Count()).Rollup(0d, (acc, val) => acc + val);
var sumOfSquares = expectedCurve.Sum((e) => Math.Pow(e - 1, 2));
var residualSumOfSquares = equityCurve.Zip(expectedCurve, (a, b) => (a - b)).Sum((r) => Math.Pow(r, 2));
return((decimal)(1 - (residualSumOfSquares / sumOfSquares)));
}
private void GenerateTradeSummary(IEnumerable <Trade> trades, string header = "")
{
var tradeStatistics = new TradeStatistics(trades);
var tradeSummary = tradeStatistics.GetSummary();
Console.WriteLine(header);
foreach (KeyValuePair <string, string> kvp in tradeSummary)
{
Console.WriteLine("{0} {1}", kvp.Key, kvp.Value);
}
}
public TradeStatistics CalculateTradeStatistics()
{
var statistics = new TradeStatistics {
TotalActions = TradeLog.Count
};
foreach (var record in TradeLog)
{
switch (record.ExecutedAction)
{
case MarketAction.Buy:
statistics.TotalBuys++;
break;
case MarketAction.Sell:
statistics.TotalSells++;
if (record.Profit < 0.0)
{
statistics.NegativeProfitCloses++;
}
else if (record.Profit > 0.0)
{
statistics.PositiveProfitCloses++;
}
else
{
statistics.ZeroProfitCloses++;
}
break;
case MarketAction.Hold:
statistics.TotalHolds++;
break;
}
if (record.ExecutedAction != record.CorrectAction)
{
statistics.Mistakes++;
}
statistics.TotalProfit += record.Profit;
}
statistics.TotalProfit = MathHelpers.CurrencyPrecision(statistics.TotalProfit);
return(statistics);
}
