private static TimeSeries OpTwoTimeSeries(TimeSeries ts1, TimeSeries ts2, string name, Func<double, double, double> op, bool checkZero = false)
{
var ts = new TimeSeries(name, "", -1);
for (int i = 0; i < ts1.Count; ++i)
{
var datetime = ts1.GetDateTime(i);
if (ts2.Contains(datetime))
{
var d2 = ts2[datetime, SearchOption.ExactFirst];
if (!checkZero || d2 != 0.0)
ts.Add(datetime, op(ts1[datetime, 0, SearchOption.ExactFirst], d2));
}
}
return ts;
}
private static TimeSeries OpTimeSeriesAndValue(TimeSeries series, double value, string name, Func<double, double, double> op, bool valueAsSecond = true, bool checkZero = false)
{
var ts = new TimeSeries(name, "", -1);
for (int i = 0; i < series.Count; ++i)
{
var dt = series.GetDateTime(i);
var sv = series[i, 0];
if (valueAsSecond)
ts.Add(dt, op(sv, value));
else
{
if (!checkZero || sv != 0.0)
ts.Add(dt, op(value, sv));
}
}
return ts;
}
public virtual TimeSeries GetNegativeSeries()
{
var ts = new TimeSeries();
for (int i = 0; i < Count; i++)
if (this[i] < 0)
ts.Add(GetDateTime(i), this[i]);
return ts;
}
public virtual TimeSeries GetReturnSeries()
{
var ts = new TimeSeries(this.name, this.description + " (return)", -1);
if (Count <= 1)
return ts;
double p0 = this[0];
for (var i = 0; i < Count; i++)
{
var p1 = this[i];
ts.Add(GetDateTime(i), p0 != 0 ? p1/p0 : 0);
p0 = p1;
}
return ts;
}
public double GetCovariance(TimeSeries series)
{
EnsureNotNull(series);
var m1 = GetMean();
var m2 = series.GetMean();
int count = 0;
double sum = 0;
for (int i = 0; i < Count; ++i)
{
var dateTime = GetDateTime(i);
if (series.Contains(dateTime))
{
sum += (this[i] - m1) * (series[dateTime, SearchOption.ExactFirst] - m2);
++count;
}
}
return count <= 1 ? 0 : sum / (count - 1);
}
public double GetCorrelation(TimeSeries series) => GetCovariance(series)/(GetStdDev()*series.GetStdDev());
public TimeSeries Shift(int offset)
{
var ts = new TimeSeries(this.name, this.description, -1);
var num = offset < 0 ? Math.Abs(offset) : 0;
for (var i = num; i < Count; i++)
{
var num2 = i + offset;
if (num2 >= Count)
{
break;
}
var dateTime = GetDateTime(num2);
var value = this[i];
ts[dateTime] = value;
}
return ts;
}
private TimeSeries MathTransform(string name, Func<double, double> func)
{
var ts = new TimeSeries(name, this.description, -1);
for (int i = 0; i < Count; i++)
ts.Add(GetDateTime(i), func(this[i, 0]));
return ts;
}
public Cross Crosses(TimeSeries series, DateTime dateTime)
{
var num = IndexOf(dateTime);
var num2 = series.IndexOf(dateTime);
if (num <= 0 || num >= this.series.Count)
{
return Cross.None;
}
if (num2 > 0 && num2 < series.Count)
{
DateTime dateTime2 = GetDateTime(num - 1);
DateTime dateTime3 = series.GetDateTime(num2 - 1);
if (dateTime2 == dateTime3)
{
if (this.GetValue(num - 1) <= series.GetValue(num2 - 1) && this.GetValue(num) > series.GetValue(num2))
{
return Cross.Above;
}
if (this.GetValue(num - 1) >= series.GetValue(num2 - 1) && this.GetValue(num) < series.GetValue(num2))
{
return Cross.Below;
}
}
else
{
double value;
double value2;
if (dateTime2 < dateTime3)
{
DateTime dateTime4 = this.GetDateTime(num - 1);
value = this.GetValue(num - 1);
if (series.IndexOf(dateTime4, SearchOption.Next) != num2)
{
value2 = series.GetValue(series.IndexOf(dateTime4, SearchOption.Next));
}
else
{
value2 = series.GetValue(series.IndexOf(dateTime4, SearchOption.Prev));
}
}
else
{
DateTime dateTime5 = series.GetDateTime(num2 - 1);
value2 = series.GetValue(num2 - 1);
if (this.IndexOf(dateTime5, SearchOption.Prev) != num)
{
value = this.GetValue(this.IndexOf(dateTime5, SearchOption.Next));
}
else
{
value = this.GetValue(this.IndexOf(dateTime5, SearchOption.Prev));
}
}
if (value <= value2 && this.GetValue(num) > series.GetValue(num2))
{
return Cross.Above;
}
if (value >= value2 && this.GetValue(num) < series.GetValue(num2))
{
return Cross.Below;
}
}
return Cross.None;
}
return Cross.None;
}
public Strategy(Framework framework, string name)
{
this.Id = -1;
this.ClientId = -1;
this.IsInstance = true;
this.Enabled = true;
this.Status = StrategyStatus.Stopped;
this.Mode = StrategyMode.Backtest;
this.Strategies = new StrategyList();
this.Subscriptions = new SubscriptionList();
this.subscriptionList_1 = new SubscriptionList();
this.Bars = new BarSeries();
this.Equity = new TimeSeries();
this.list_0 = new List<Stop>();
this.idArray_0 = new IdArray<List<Stop>>(10000);
Framework = framework;
Name = name;
this.parameterHelper_0 = new ParameterHelper();
}
public double GetCorrelation(TimeSeries series) => GetCovariance(series) / (GetStdDev() * series.GetStdDev());
public Cross Crosses(TimeSeries series, DateTime dateTime)
{
var num = IndexOf(dateTime);
var num2 = series.IndexOf(dateTime);
if (num <= 0 || num >= this.series.Count)
{
return(Cross.None);
}
if (num2 > 0 && num2 < series.Count)
{
DateTime dateTime2 = GetDateTime(num - 1);
DateTime dateTime3 = series.GetDateTime(num2 - 1);
if (dateTime2 == dateTime3)
{
if (this.GetValue(num - 1) <= series.GetValue(num2 - 1) && this.GetValue(num) > series.GetValue(num2))
{
return(Cross.Above);
}
if (this.GetValue(num - 1) >= series.GetValue(num2 - 1) && this.GetValue(num) < series.GetValue(num2))
{
return(Cross.Below);
}
}
else
{
double value;
double value2;
if (dateTime2 < dateTime3)
{
DateTime dateTime4 = this.GetDateTime(num - 1);
value = this.GetValue(num - 1);
if (series.IndexOf(dateTime4, SearchOption.Next) != num2)
{
value2 = series.GetValue(series.IndexOf(dateTime4, SearchOption.Next));
}
else
{
value2 = series.GetValue(series.IndexOf(dateTime4, SearchOption.Prev));
}
}
else
{
DateTime dateTime5 = series.GetDateTime(num2 - 1);
value2 = series.GetValue(num2 - 1);
if (this.IndexOf(dateTime5, SearchOption.Prev) != num)
{
value = this.GetValue(this.IndexOf(dateTime5, SearchOption.Next));
}
else
{
value = this.GetValue(this.IndexOf(dateTime5, SearchOption.Prev));
}
}
if (value <= value2 && this.GetValue(num) > series.GetValue(num2))
{
return(Cross.Above);
}
if (value >= value2 && this.GetValue(num) < series.GetValue(num2))
{
return(Cross.Below);
}
}
return(Cross.None);
}
return(Cross.None);
}
public PortfolioStatisticsItem()
{
this.totalValues = new TimeSeries(Name, "");
this.longValues = new TimeSeries($"{Name} Long", "");
this.shortValues = new TimeSeries($"{Name} Short", "");
}
