private void cmdBackTest_Click(object sender, EventArgs e)
{
Dictionary <DateTime, int> M5Index = new Dictionary <DateTime, int>();
Dictionary <string, DateTime[]> reff = new Dictionary <string, DateTime[]>();
foreach (KeyValuePair <string, int> kvp in Global.Instance.TotalBars)
{
reff.Add(kvp.Key, new DateTime[kvp.Value]);
}
double transactionCost = 0;
double leverage;
double initialDeposit = 0;
StringBuilder title = new StringBuilder();
if (!double.TryParse(txtTransactionCost.Text, out transactionCost))
{
MessageBox.Show("Invalid transaction cost");
return;
}
if (!double.TryParse(txtLeverage.Text, out leverage))
{
MessageBox.Show("Invalid leverage");
return;
}
if (!double.TryParse(txtInitialDeposit.Text, out initialDeposit))
{
MessageBox.Show("Invalid initial deposit");
return;
}
using (StreamReader reader = new StreamReader(Global.Instance.data_folder_path + "\\m5\\EURUSD.csv"))
{
string line = null;
int i = 0;
while ((line = reader.ReadLine()) != null)
{
string[] ext = line.Split(',');
M5Index.Add(DateTime.Parse(ext[0]), i);
i++;
}
reader.Close();
}
M5Index.Add(new DateTime(2011, 12, 25, 22, 00, 00), 42311);
M5Index.Add(new DateTime(2012, 1, 2, 2, 00, 00), 43733);
M5Index.Add(new DateTime(2011, 2, 6, 17, 00, 00), 51265);
M5Index.Add(new DateTime(2012, 1, 1, 22, 00, 00), 43732);
foreach (KeyValuePair <string, int> kvp in Global.Instance.TotalBars)
{
if (kvp.Key == "m5")
{
continue;
}
using (StreamReader reader = new StreamReader(Global.Instance.data_folder_path + "\\" + kvp.Key + "\\EURUSD.csv"))
{
string line = null;
int i = 0;
while ((line = reader.ReadLine()) != null)
{
string[] ext = line.Split(',');
reff[kvp.Key][i] = DateTime.Parse(ext[0]);
i++;
}
reader.Close();
}
}
;
string[] systems = txtSystems.Text.Split(new string[] { System.Environment.NewLine }, StringSplitOptions.RemoveEmptyEntries);
StrategyTesterResult[] results = new StrategyTesterResult[systems.Length];
StrategyTesterResult res = new StrategyTesterResult();
List <int> Actions = new List <int>();
for (int i = 0; i < systems.Length; i++)
{
#region main loop
string[] ext;
if (systems[i].Contains(','))
{
ext = systems[i].Split(',');
}
else
{
ext = systems[i].Split('\t');
}
string Symbol1 = ext[0];
string Symbol2 = ext[1];
int period = int.Parse(ext[2]);
double bandwidth = double.Parse(ext[3]);
string timeframe = ext[4];
SingleRun singlerun = new SingleRun(new string[1], timeframe);
singlerun.TransactionCost = transactionCost;
singlerun.Bandwidth = bandwidth;
results[i] = singlerun.Run();
res.total_trades += results[i].total_trades;
res.total_short_trades += results[i].total_short_trades;
res.total_long_trades += results[i].total_long_trades;
res.total_short_trades_loss += results[i].total_short_trades_loss;
res.total_long_trades_loss += results[i].total_long_trades_loss;
res.total_short_trades_profitable += results[i].total_short_trades_profitable;
res.total_long_trades_profitable += results[i].total_long_trades_profitable;
res.total_profit_trades += results[i].total_profit_trades;
res.total_loss_trades += results[i].total_loss_trades;
title.Append(Symbol1 + "-" + Symbol2);
if (i < systems.Length - 1)
{
title.Append(" & ");
}
#endregion
}
Actions.Sort();
List <int> OpenOrders = new List <int>();
List <int> CloseOrders = new List <int>();
List <double> Profit1 = new List <double>();
List <double> Profit2 = new List <double>();
List <double> Pipcost1 = new List <double>();
List <double> Pipcost2 = new List <double>();
List <int> PositionSize = new List <int>();
int[] pos = new int[results.Length];
bool[] state = new bool[results.Length];
int max_open_positions = 0;
int total_number_of_open_positions = 0;
for (int i = 0; i < Actions.Count; i++)
{
for (int j = 0; j < results.Length; j++)
{
}
int n_open_positions = open_positions(state);
total_number_of_open_positions += n_open_positions;
if (n_open_positions > max_open_positions)
{
max_open_positions = n_open_positions;
}
}
res.leverage = leverage;
res.title = title.ToString();
res.initialDeposit = initialDeposit;
res.transactionCost = transactionCost;
try
{
res.percentage_short_trades = Math.Round((double)(res.total_short_trades * 100 / res.total_trades), 1);
}
catch { }
try
{
res.percentage_long_trades = Math.Round((double)(res.total_long_trades * 100 / res.total_trades), 1);
}
catch { }
try
{
res.percentage_short_trades_profitable = Math.Round((double)(res.total_short_trades_profitable * 100 / res.total_short_trades), 1);
}
catch { }
try
{
res.percentage_short_trades_loss = Math.Round((double)(res.total_short_trades_loss * 100 / res.total_short_trades), 1);
}
catch { }
try
{
res.percentage_long_trades_profitable = Math.Round((double)(res.total_long_trades_profitable * 100 / res.total_long_trades), 1);
}
catch { }
try
{
res.percentage_long_trades_loss = Math.Round((double)(res.total_long_trades_loss * 100 / res.total_long_trades), 1);
}
catch { }
if (res.total_trades > 0)
{
res.accuracy = Math.Round((double)(res.total_profit_trades * 100) / res.total_trades, 1);
}
res.maximum_open_positions = max_open_positions;
frmResults frm = new frmResults(res);
frm.Show();
}
private void SingleRunrunToolStripMenuItem_Click(object sender, EventArgs e)
{
int window, leverage, responseVariableIndex, maxOpenPositions;
double bandwidth, transactionCost, initialDeposit;
string[] basket;
if (!int.TryParse(txtWindow.Text, out window))
{
MessageBox.Show("Invalid window");
return;
}
if (!int.TryParse(txtLeverage.Text, out leverage))
{
MessageBox.Show("Invalid leverage");
return;
}
if (!int.TryParse(txtMaxOpenPositions.Text, out maxOpenPositions))
{
MessageBox.Show("Invalid max open positions");
return;
}
if (!double.TryParse(txtBandwidth.Text, out bandwidth))
{
MessageBox.Show("Invalid bandwidth");
return;
}
if (!double.TryParse(txtTransactionCost.Text, out transactionCost))
{
MessageBox.Show("Invalid transaction cost");
return;
}
if (!double.TryParse(txtInitialDeposit.Text, out initialDeposit))
{
MessageBox.Show("Invalid initial deposit");
return;
}
basket = txtBasket.Text.Split(',');
responseVariableIndex = cboResponseV.SelectedIndex;
if (basket.Length <= 1)
{
MessageBox.Show("Basket must contain a minimum of two symbols separated by comma");
return;
}
if (responseVariableIndex < 0 || responseVariableIndex >= basket.Length)
{
MessageBox.Show("Response variable index must be greater than 0 and less than the total number of symbols in the basket");
return;
}
SingleRun test = new SingleRun(basket, cboTimeFrame.Text);
test.Leverage = leverage;
test.InitialDeposit = initialDeposit;
test.Bandwidth = bandwidth;
test.TransactionCost = transactionCost;
test.Responsevariableindex = responseVariableIndex;
test.Window = window;
test.MaxOpenPositions = maxOpenPositions;
StrategyTesterResult res = test.Run();
frmResults frm = new frmResults(res);
frm.Show();
}
