public void BetterThan()
{
AbstractAnalysisCriterion criterion = new VersusBuyAndHoldCriterion(new TotalProfitCriterion());
Assert.IsTrue(criterion.BetterThan(2.0M, 1.5M));
Assert.IsFalse(criterion.BetterThan(1.5M, 2.0M));
}
public void BetterThan()
{
IAnalysisCriterion criterion = new VersusBuyAndHoldCriterion(new TotalProfitCriterion());
Assert.IsTrue(criterion.BetterThan(2.0, 1.5));
Assert.IsFalse(criterion.BetterThan(1.5, 2.0));
}
public void CalculateWithNoTrades()
{
MockTimeSeries series = new MockTimeSeries(100, 95, 100, 80, 85, 70);
AbstractAnalysisCriterion buyAndHold = new VersusBuyAndHoldCriterion(new TotalProfitCriterion());
Assert.AreEqual(1M / 0.7M, buyAndHold.Calculate(series, new BaseTradingRecord()));
}
public void CalculateWithNoTrades()
{
var series = GenerateTimeSeries.From(100, 95, 100, 80, 85, 70);
IAnalysisCriterion buyAndHold = new VersusBuyAndHoldCriterion(new TotalProfitCriterion());
Assert.AreEqual(1 / 0.7, buyAndHold.Calculate(series, new TradingRecord()), TaTestsUtils.TaOffset);
}
public void CalculateWithOnlyOneTrade()
{
MockTimeSeries series = new MockTimeSeries(100, 95, 100, 80, 85, 70);
Trade trade = new Trade(Order.buyAt(0, series), Order.sellAt(1, series));
AbstractAnalysisCriterion buyAndHold = new VersusBuyAndHoldCriterion(new TotalProfitCriterion());
Assert.AreEqual(1.3571428571428571428571428571M, buyAndHold.Calculate(series, trade)); // (100M / 70) / (100M / 95)
}
public void CalculateWithNumberOfTicks()
{
var series = GenerateTimeSeries.From(100, 95, 100, 80, 85, 130);
var tradingRecord = new TradingRecord(Order.BuyAt(0), Order.SellAt(1), Order.BuyAt(2), Order.SellAt(5));
IAnalysisCriterion buyAndHold = new VersusBuyAndHoldCriterion(new NumberOfTicksCriterion());
Assert.AreEqual(6d / 6d, buyAndHold.Calculate(series, tradingRecord), TaTestsUtils.TaOffset);
}
public void CalculateWithAverageProfit()
{
var series = GenerateTimeSeries.From(100, 95, 100, 80, 85, 130);
var tradingRecord = new TradingRecord(Order.BuyAt(0), Order.SellAt(1), Order.BuyAt(2), Order.SellAt(5));
IAnalysisCriterion buyAndHold = new VersusBuyAndHoldCriterion(new AverageProfitCriterion());
Assert.AreEqual(Math.Pow(95d / 100 * 130d / 100, 1d / 6) / Math.Pow(130d / 100, 1d / 6), buyAndHold.Calculate(series, tradingRecord), TaTestsUtils.TaOffset);
}
public void CalculateWithOnlyOneTrade()
{
var series = GenerateTimeSeries.From(100, 95, 100, 80, 85, 70);
var trade = new Trade(Order.BuyAt(0), Order.SellAt(1));
IAnalysisCriterion buyAndHold = new VersusBuyAndHoldCriterion(new TotalProfitCriterion());
Assert.AreEqual((100d / 70) / (100d / 95), buyAndHold.Calculate(series, trade), TaTestsUtils.TaOffset);
}
public void CalculateOnlyWithLossTrades()
{
var series = GenerateTimeSeries.From(100, 95, 100, 80, 85, 70);
var tradingRecord = new TradingRecord(Order.BuyAt(0), Order.SellAt(1), Order.BuyAt(2), Order.SellAt(5));
IAnalysisCriterion buyAndHold = new VersusBuyAndHoldCriterion(new TotalProfitCriterion());
Assert.AreEqual(0.95 * 0.7 / 0.7, buyAndHold.Calculate(series, tradingRecord), TaTestsUtils.TaOffset);
}
public void CalculateOnlyWithGainTrades()
{
var series = GenerateTimeSeries.From(100, 105, 110, 100, 95, 105);
var tradingRecord = new TradingRecord(Order.BuyAt(0), Order.SellAt(2), Order.BuyAt(3), Order.SellAt(5));
IAnalysisCriterion buyAndHold = new VersusBuyAndHoldCriterion(new TotalProfitCriterion());
Assert.AreEqual(1.10 * 1.05 / 1.05, buyAndHold.Calculate(series, tradingRecord), TaTestsUtils.TaOffset);
}
public void CalculateWithNumberOfBars()
{
MockTimeSeries series = new MockTimeSeries(100, 95, 100, 80, 85, 130);
ITradingRecord tradingRecord = new BaseTradingRecord(
Order.buyAt(0, series), Order.sellAt(1, series),
Order.buyAt(2, series), Order.sellAt(5, series));
AbstractAnalysisCriterion buyAndHold = new VersusBuyAndHoldCriterion(new NumberOfBarsCriterion());
Assert.AreEqual(6M / 6M, buyAndHold.Calculate(series, tradingRecord));
}
public void CalculateWithAverageProfit()
{
MockTimeSeries series = new MockTimeSeries(100, 95, 100, 80, 85, 130);
ITradingRecord tradingRecord = new BaseTradingRecord(
Order.buyAt(0, Decimals.NaN, Decimals.NaN), Order.sellAt(1, Decimals.NaN, Decimals.NaN),
Order.buyAt(2, Decimals.NaN, Decimals.NaN), Order.sellAt(5, Decimals.NaN, Decimals.NaN));
AbstractAnalysisCriterion buyAndHold = new VersusBuyAndHoldCriterion(new AverageProfitCriterion());
Assert.AreEqual((95M / 100 * 130M / 100).Pow(1M / 6) / (130M / 100).Pow(1M / 6), buyAndHold.Calculate(series, tradingRecord));
}
public void CalculateOnlyWithLossTrades()
{
MockTimeSeries series = new MockTimeSeries(100, 95, 100, 80, 85, 70);
ITradingRecord tradingRecord = new BaseTradingRecord(
Order.buyAt(0, series), Order.sellAt(1, series),
Order.buyAt(2, series), Order.sellAt(5, series));
AbstractAnalysisCriterion buyAndHold = new VersusBuyAndHoldCriterion(new TotalProfitCriterion());
Assert.AreEqual(0.95M * 0.7M / 0.7M, buyAndHold.Calculate(series, tradingRecord));
}
public void CalculateOnlyWithGainTrades()
{
MockTimeSeries series = new MockTimeSeries(100, 105, 110, 100, 95, 105);
ITradingRecord tradingRecord = new BaseTradingRecord(
Order.buyAt(0, series), Order.sellAt(2, series),
Order.buyAt(3, series), Order.sellAt(5, series));
AbstractAnalysisCriterion buyAndHold = new VersusBuyAndHoldCriterion(new TotalProfitCriterion());
Assert.AreEqual(1.10M * 1.05M / 1.05M, buyAndHold.Calculate(series, tradingRecord));
}
public void QuickStart()
{
// Getting a time series (from any provider: CSV, web service, etc.)
var series = CsvTradesLoader.LoadBitstampSeries();
// Getting the close price of the ticks
var firstClosePrice = series.GetTick(0).ClosePrice;
Console.WriteLine("First close price: " + firstClosePrice.ToDouble());
// Or within an indicator:
var closePrice = new ClosePriceIndicator(series);
// Here is the same close price:
Console.WriteLine(firstClosePrice.IsEqual(closePrice.GetValue(0))); // equal to firstClosePrice
// Getting the simple moving average (SMA) of the close price over the last 5 ticks
var shortSma = new SmaIndicator(closePrice, 5);
// Here is the 5-ticks-SMA value at the 42nd index
Console.WriteLine("5-ticks-SMA value at the 42nd index: " + shortSma.GetValue(42).ToDouble());
// Getting a longer SMA (e.g. over the 30 last ticks)
var longSma = new SmaIndicator(closePrice, 30);
// Ok, now let's building our trading rules!
// Buying rules
// We want to buy:
// - if the 5-ticks SMA crosses over 30-ticks SMA
// - or if the price goes below a defined price (e.g $800.00)
var buyingRule = (new CrossedUpIndicatorRule(shortSma, longSma))
.Or(new CrossedDownIndicatorRule(closePrice, Decimal.ValueOf("800")));
// Selling rules
// We want to sell:
// - if the 5-ticks SMA crosses under 30-ticks SMA
// - or if if the price looses more than 3%
// - or if the price earns more than 2%
var sellingRule = (new CrossedDownIndicatorRule(shortSma, longSma))
//.Or(new CrossedDownIndicatorRule(new TrailingStopLossIndicator(closePrice, Decimal.ValueOf("30")), closePrice ))
.Or(new StopLossRule(closePrice, Decimal.ValueOf("3")))
.Or(new StopGainRule(closePrice, Decimal.ValueOf("2")));
// Running our juicy trading strategy...
var tradingRecord = series.Run(new Strategy(buyingRule, sellingRule));
Console.WriteLine("Number of trades for our strategy: " + tradingRecord.TradeCount);
// Analysis
// Getting the cash flow of the resulting trades
var cashFlow = new CashFlow(series, tradingRecord);
// Getting the profitable trades ratio
IAnalysisCriterion profitTradesRatio = new AverageProfitableTradesCriterion();
Console.WriteLine("Profitable trades ratio: " + profitTradesRatio.Calculate(series, tradingRecord));
// Getting the reward-risk ratio
IAnalysisCriterion rewardRiskRatio = new RewardRiskRatioCriterion();
Console.WriteLine("Reward-risk ratio: " + rewardRiskRatio.Calculate(series, tradingRecord));
// Total profit of our strategy
// vs total profit of a buy-and-hold strategy
IAnalysisCriterion vsBuyAndHold = new VersusBuyAndHoldCriterion(new TotalProfitCriterion());
Console.WriteLine("Our profit vs buy-and-hold profit: " + vsBuyAndHold.Calculate(series, tradingRecord));
// Your turn!
}
