public void CalculatePerformance()
{
double[] performance = performanceMatrix.Row(4).ToArray();
double sharpeRatio = performance.ToArray().SharpeRatio();
double averageRet = performance.ToArray().AverageRawReturn();
ret = 100 * (performance[performance.Length - 1] - performance[0]) / performance[0];
if (Output)
{
List <string> symbols = new List <string>();
symbols.Add("Performance");
symbols.Add("Balance");
symbols.Add("Equity");
List <ChartOption> options = new List <ChartOption>();
options.Add(new ChartOption()
{
ChartType = "spline", Height = 300, YPosition = 0
});
options.Add(new ChartOption()
{
ChartType = "spline", Height = 200, YPosition = 1
});
options.Add(new ChartOption()
{
ChartType = "spline", Height = 0, YPosition = 1, Layover = true
});
int yPos = 3;
foreach (var indicator in _strategies[0].indicatorList.Values)
{
options.Add(new ChartOption()
{
ChartType = "spline", Height = 200, YPosition = yPos
});
symbols.Add(indicator.ToString());
yPos++;
}
Visualize.GenerateMultiPaneGraph(
symbols.ToArray(),
_multiQuantum.Keys.ToArray(),
performanceMatrix,
QSConstants.DEFAULT_DATA_FILEPATH + "result.html",
options.ToArray(),
_accountManager.Flags.ToArray()
);
Console.WriteLine("Total return: " +
100 * (performance[performance.Length - 1] - performance[0]) / performance[0] + "%");
Console.WriteLine("Maximum drawdown: " + 100 * performance.ToArray().MaximumDrawdown(true) + "%");
Console.WriteLine("Average return " + 100 * averageRet + "%");
Console.WriteLine("Sharpe ratio " + sharpeRatio);
double trades = _accountManager.Trades.Count;
double totalProfit = _accountManager.Trades.Sum(d1 => d1 > 0 ? d1 : 0);
double totalLoss = _accountManager.Trades.Sum(d1 => d1 < 0 ? d1 : 0);
double ProfitCount = _accountManager.Trades.Count(d1 => d1 > 0);
double LossCount = _accountManager.Trades.Count(d1 => d1 < 0);
Console.WriteLine("Number of trades closed: " + trades);
Console.WriteLine("% Profit trades: " + ProfitCount / trades);
Console.WriteLine("% Loss trades: " + LossCount / trades);
Console.WriteLine("Average Profit/trade: " + totalProfit / ProfitCount);
Console.WriteLine("Average Loss/trade: " + totalLoss / LossCount);
}
}
public static void Process(FXSession session, string symbol1, string symbol2, string timeframe, int length)
{
HistoricPriceEngine h1 = new HistoricPriceEngine(session);
h1.GetLongHistoricPrices(symbol1, timeframe, length);
while (!h1.Complete)
{
Thread.Sleep(100);
}
HistoricPriceEngine h2 = new HistoricPriceEngine(session);
h2.GetLongHistoricPrices(symbol2, timeframe, length);
while (!h2.Complete)
{
Thread.Sleep(100);
}
//-----------------------
var dateTimeList = new SortedList <DateTime, int>();
Quantum q1 = h1.Data;
Quantum q2 = h2.Data;
var priceData = new DenseMatrix(2, q1.Data.Count);
for (int j = 0; j < ((q1.Data.Count <= q2.Data.Count)?q1.Data.Count:q2.Data.Count); j++)
{
dateTimeList.Add(q1.Data.Values[j].Time, 1);
priceData[0, j] = q1.Data.Values[j].BidClose;
priceData[1, j] = q2.Data.Values[j].BidClose;
}
Vector <double> price1 = priceData.Row(0);
Vector <double> price2 = priceData.Row(1);
//Statistics.ApplyFunction((DenseVector)price1, Math.Log);
//Statistics.ApplyFunction((DenseVector)price2, Math.Log);
DenseVector norm1 = price1.ToArray().NormalizeZScore();
DenseVector norm2 = price2.ToArray().NormalizeZScore();
var newsym = new string[] { symbol1, symbol2, "spread" };
var m = new DenseMatrix(6, norm1.Count);
m.SetRow(0, norm1);
m.SetRow(1, norm2);
m.SetRow(2, (norm1 - norm2).ToArray().NormalizeZScore());
string filename = symbol1.Replace('/', '_') + "-" + symbol2.Replace('/', '_') + ".html";
Visualize.GenerateMultiPaneGraph(newsym, dateTimeList.Keys.ToArray(), m, QSConstants.DEFAULT_DATA_FILEPATH + filename,
new ChartOption[] { new ChartOption(), new ChartOption()
{
Layover = true, YPosition = 0
}, new ChartOption()
{
YPosition = 1
} }, null, filename + ".json");
FileUpload.UploadFileToFTP(QSConstants.DEFAULT_DATA_FILEPATH + filename, filename);
FileUpload.UploadFileToFTP(QSConstants.DEFAULT_DATA_FILEPATH + filename + ".json", filename + ".json");
double Spread = m[2, m.ColumnCount - 1];
if (Spread > 2.0 && m[2, m.ColumnCount - 2] <= 2.0)
{
Emailer.SendEmail(symbol1 + "-" + symbol2 + " Spread Above 2.0", "Test");
}
if (Spread < -2.0 && m[2, m.ColumnCount - 2] >= -2.0)
{
Emailer.SendEmail(symbol1 + "-" + symbol2 + " Spread Below -2.0", "Test");
}
}