/// <summary>
/// Initializes a new instance of the <see cref="AlgorithmPerformance"/> class
/// </summary>
/// <param name="trades">The list of closed trades</param>
/// <param name="profitLoss">Trade record of profits and losses</param>
/// <param name="equity">The list of daily equity values</param>
/// <param name="listPerformance">The list of algorithm performance values</param>
/// <param name="listBenchmark">The list of benchmark values</param>
/// <param name="startingCapital">The algorithm starting capital</param>
public AlgorithmPerformance(
List <Trade> trades,
SortedDictionary <DateTime, decimal> profitLoss,
SortedDictionary <DateTime, decimal> equity,
List <double> listPerformance,
List <double> listBenchmark,
decimal startingCapital)
{
TradeStatistics = new TradeStatistics(trades);
PortfolioStatistics = new PortfolioStatistics(profitLoss, equity, listPerformance, listBenchmark, startingCapital);
ClosedTrades = trades;
}
/// <summary>
/// Initializes a new instance of the <see cref="AlgorithmPerformance"/> class
/// </summary>
/// <param name="trades">The list of closed trades</param>
/// <param name="profitLoss">Trade record of profits and losses</param>
/// <param name="equity">The list of daily equity values</param>
/// <param name="listPerformance">The list of algorithm performance values</param>
/// <param name="listBenchmark">The list of benchmark values</param>
/// <param name="startingCapital">The algorithm starting capital</param>
public AlgorithmPerformance(
List<Trade> trades,
SortedDictionary<DateTime, decimal> profitLoss,
SortedDictionary<DateTime, decimal> equity,
List<double> listPerformance,
List<double> listBenchmark,
decimal startingCapital)
{
TradeStatistics = new TradeStatistics(trades);
PortfolioStatistics = new PortfolioStatistics(profitLoss, equity, listPerformance, listBenchmark, startingCapital);
ClosedTrades = trades;
}
public void ThreeWinners()
{
var statistics = new TradeStatistics(CreateThreeWinners());
Assert.AreEqual(_startTime, statistics.StartDateTime);
Assert.AreEqual(_startTime.AddMinutes(40), statistics.EndDateTime);
Assert.AreEqual(3, statistics.TotalNumberOfTrades);
Assert.AreEqual(3, statistics.NumberOfWinningTrades);
Assert.AreEqual(0, statistics.NumberOfLosingTrades);
Assert.AreEqual(50, statistics.TotalProfitLoss);
Assert.AreEqual(50, statistics.TotalProfit);
Assert.AreEqual(0, statistics.TotalLoss);
Assert.AreEqual(20, statistics.LargestProfit);
Assert.AreEqual(0, statistics.LargestLoss);
Assert.AreEqual(16.666666666666666666666666667m, statistics.AverageProfitLoss);
Assert.AreEqual(16.666666666666666666666666667m, statistics.AverageProfit);
Assert.AreEqual(0, statistics.AverageLoss);
Assert.AreEqual(TimeSpan.FromMinutes(20), statistics.AverageTradeDuration);
Assert.AreEqual(TimeSpan.FromMinutes(20), statistics.AverageWinningTradeDuration);
Assert.AreEqual(TimeSpan.Zero, statistics.AverageLosingTradeDuration);
Assert.AreEqual(3, statistics.MaxConsecutiveWinningTrades);
Assert.AreEqual(0, statistics.MaxConsecutiveLosingTrades);
Assert.AreEqual(0, statistics.ProfitLossRatio);
Assert.AreEqual(10, statistics.WinLossRatio);
Assert.AreEqual(1, statistics.WinRate);
Assert.AreEqual(0, statistics.LossRate);
Assert.AreEqual(-16.666666666666666666666666667m, statistics.AverageMAE);
Assert.AreEqual(33.333333333333333333333333333m, statistics.AverageMFE);
Assert.AreEqual(-30, statistics.LargestMAE);
Assert.AreEqual(40, statistics.LargestMFE);
Assert.AreEqual(0, statistics.MaximumClosedTradeDrawdown);
Assert.AreEqual(-70, statistics.MaximumIntraTradeDrawdown);
Assert.AreEqual(5.77350269189626m, statistics.ProfitLossStandardDeviation);
Assert.AreEqual(0, statistics.ProfitLossDownsideDeviation);
Assert.AreEqual(10, statistics.ProfitFactor);
Assert.AreEqual(2.8867513459481276450914878051m, statistics.SharpeRatio);
Assert.AreEqual(0, statistics.SortinoRatio);
Assert.AreEqual(10, statistics.ProfitToMaxDrawdownRatio);
Assert.AreEqual(-20, statistics.MaximumEndTradeDrawdown);
Assert.AreEqual(-16.666666666666666666666666666m, statistics.AverageEndTradeDrawdown);
Assert.AreEqual(TimeSpan.Zero, statistics.MaximumDrawdownDuration);
Assert.AreEqual(6, statistics.TotalFees);
}
public void NoTrades()
{
var statistics = new TradeStatistics(new List<Trade>());
Assert.AreEqual(null, statistics.StartDateTime);
Assert.AreEqual(null, statistics.EndDateTime);
Assert.AreEqual(0, statistics.TotalNumberOfTrades);
Assert.AreEqual(0, statistics.NumberOfWinningTrades);
Assert.AreEqual(0, statistics.NumberOfLosingTrades);
Assert.AreEqual(0, statistics.TotalProfitLoss);
Assert.AreEqual(0, statistics.TotalProfit);
Assert.AreEqual(0, statistics.TotalLoss);
Assert.AreEqual(0, statistics.LargestProfit);
Assert.AreEqual(0, statistics.LargestLoss);
Assert.AreEqual(0, statistics.AverageProfitLoss);
Assert.AreEqual(0, statistics.AverageProfit);
Assert.AreEqual(0, statistics.AverageLoss);
Assert.AreEqual(TimeSpan.Zero, statistics.AverageTradeDuration);
Assert.AreEqual(TimeSpan.Zero, statistics.AverageWinningTradeDuration);
Assert.AreEqual(TimeSpan.Zero, statistics.AverageLosingTradeDuration);
Assert.AreEqual(0, statistics.MaxConsecutiveWinningTrades);
Assert.AreEqual(0, statistics.MaxConsecutiveLosingTrades);
Assert.AreEqual(0, statistics.ProfitLossRatio);
Assert.AreEqual(0, statistics.WinLossRatio);
Assert.AreEqual(0, statistics.WinRate);
Assert.AreEqual(0, statistics.LossRate);
Assert.AreEqual(0, statistics.AverageMAE);
Assert.AreEqual(0, statistics.AverageMFE);
Assert.AreEqual(0, statistics.LargestMAE);
Assert.AreEqual(0, statistics.LargestMFE);
Assert.AreEqual(0, statistics.MaximumClosedTradeDrawdown);
Assert.AreEqual(0, statistics.MaximumIntraTradeDrawdown);
Assert.AreEqual(0, statistics.ProfitLossStandardDeviation);
Assert.AreEqual(0, statistics.ProfitLossDownsideDeviation);
Assert.AreEqual(0, statistics.ProfitFactor);
Assert.AreEqual(0, statistics.SharpeRatio);
Assert.AreEqual(0, statistics.SortinoRatio);
Assert.AreEqual(0, statistics.ProfitToMaxDrawdownRatio);
Assert.AreEqual(0, statistics.MaximumEndTradeDrawdown);
Assert.AreEqual(0, statistics.AverageEndTradeDrawdown);
Assert.AreEqual(TimeSpan.Zero, statistics.MaximumDrawdownDuration);
Assert.AreEqual(0, statistics.TotalFees);
}
/// <summary>
/// Initializes a new instance of the <see cref="AlgorithmPerformance"/> class
/// </summary>
public AlgorithmPerformance()
{
TradeStatistics = new TradeStatistics();
PortfolioStatistics = new PortfolioStatistics();
ClosedTrades = new List<Trade>();
}
/// <summary>
/// Initializes a new instance of the <see cref="AlgorithmPerformance"/> class
/// </summary>
public AlgorithmPerformance()
{
TradeStatistics = new TradeStatistics();
PortfolioStatistics = new PortfolioStatistics();
ClosedTrades = new List <Trade>();
}
public void OneLoserTwoWinners()
{
var statistics = new TradeStatistics(CreateOneLoserTwoWinners());
Assert.AreEqual(_startTime, statistics.StartDateTime);
Assert.AreEqual(_startTime.AddMinutes(40), statistics.EndDateTime);
Assert.AreEqual(3, statistics.TotalNumberOfTrades);
Assert.AreEqual(2, statistics.NumberOfWinningTrades);
Assert.AreEqual(1, statistics.NumberOfLosingTrades);
Assert.AreEqual(10, statistics.TotalProfitLoss);
Assert.AreEqual(30, statistics.TotalProfit);
Assert.AreEqual(-20, statistics.TotalLoss);
Assert.AreEqual(20, statistics.LargestProfit);
Assert.AreEqual(-20, statistics.LargestLoss);
Assert.AreEqual(3.3333333333333333333333333333m, statistics.AverageProfitLoss);
Assert.AreEqual(15, statistics.AverageProfit);
Assert.AreEqual(-20, statistics.AverageLoss);
Assert.AreEqual(TimeSpan.FromSeconds(800), statistics.AverageTradeDuration);
Assert.AreEqual(TimeSpan.FromMinutes(10), statistics.AverageWinningTradeDuration);
Assert.AreEqual(TimeSpan.FromMinutes(20), statistics.AverageLosingTradeDuration);
Assert.AreEqual(2, statistics.MaxConsecutiveWinningTrades);
Assert.AreEqual(1, statistics.MaxConsecutiveLosingTrades);
Assert.AreEqual(0.75m, statistics.ProfitLossRatio);
Assert.AreEqual(2, statistics.WinLossRatio);
Assert.AreEqual(0.6666666666666666666666666667m, statistics.WinRate);
Assert.AreEqual(0.3333333333333333333333333333m, statistics.LossRate);
Assert.AreEqual(-28.333333333333333333333333333333m, statistics.AverageMAE);
Assert.AreEqual(21.666666666666666666666666666667m, statistics.AverageMFE);
Assert.AreEqual(-40, statistics.LargestMAE);
Assert.AreEqual(30, statistics.LargestMFE);
Assert.AreEqual(-20, statistics.MaximumClosedTradeDrawdown);
Assert.AreEqual(-70, statistics.MaximumIntraTradeDrawdown);
Assert.AreEqual(20.8166599946613m, statistics.ProfitLossStandardDeviation);
Assert.AreEqual(0, statistics.ProfitLossDownsideDeviation);
Assert.AreEqual(1.5m, statistics.ProfitFactor);
Assert.AreEqual(0.1601281538050873438895842626m, statistics.SharpeRatio);
Assert.AreEqual(0, statistics.SortinoRatio);
Assert.AreEqual(0.5m, statistics.ProfitToMaxDrawdownRatio);
Assert.AreEqual(-25, statistics.MaximumEndTradeDrawdown);
Assert.AreEqual(-18.333333333333333333333333334m, statistics.AverageEndTradeDrawdown);
Assert.AreEqual(TimeSpan.FromMinutes(40), statistics.MaximumDrawdownDuration);
Assert.AreEqual(6, statistics.TotalFees);
}
public void OneWinnerTwoLosers()
{
var statistics = new TradeStatistics(CreateOneWinnerTwoLosers());
Assert.AreEqual(_startTime, statistics.StartDateTime);
Assert.AreEqual(_startTime.AddMinutes(40), statistics.EndDateTime);
Assert.AreEqual(3, statistics.TotalNumberOfTrades);
Assert.AreEqual(1, statistics.NumberOfWinningTrades);
Assert.AreEqual(2, statistics.NumberOfLosingTrades);
Assert.AreEqual(-30, statistics.TotalProfitLoss);
Assert.AreEqual(10, statistics.TotalProfit);
Assert.AreEqual(-40, statistics.TotalLoss);
Assert.AreEqual(10, statistics.LargestProfit);
Assert.AreEqual(-20, statistics.LargestLoss);
Assert.AreEqual(-10, statistics.AverageProfitLoss);
Assert.AreEqual(10, statistics.AverageProfit);
Assert.AreEqual(-20, statistics.AverageLoss);
Assert.AreEqual(TimeSpan.FromSeconds(800), statistics.AverageTradeDuration);
Assert.AreEqual(TimeSpan.FromMinutes(10), statistics.AverageWinningTradeDuration);
Assert.AreEqual(TimeSpan.FromMinutes(15), statistics.AverageLosingTradeDuration);
Assert.AreEqual(1, statistics.MaxConsecutiveWinningTrades);
Assert.AreEqual(2, statistics.MaxConsecutiveLosingTrades);
Assert.AreEqual(0.5m, statistics.ProfitLossRatio);
Assert.AreEqual(0.5m, statistics.WinLossRatio);
Assert.AreEqual(0.3333333333333333333333333333m, statistics.WinRate);
Assert.AreEqual(0.6666666666666666666666666667m, statistics.LossRate);
Assert.AreEqual(-28.333333333333333333333333333333m, statistics.AverageMAE);
Assert.AreEqual(21.666666666666666666666666666667m, statistics.AverageMFE);
Assert.AreEqual(-40, statistics.LargestMAE);
Assert.AreEqual(30, statistics.LargestMFE);
Assert.AreEqual(-40, statistics.MaximumClosedTradeDrawdown);
Assert.AreEqual(-80, statistics.MaximumIntraTradeDrawdown);
Assert.AreEqual(17.3205080756888m, statistics.ProfitLossStandardDeviation);
Assert.AreEqual(0, statistics.ProfitLossDownsideDeviation);
Assert.AreEqual(0.25m, statistics.ProfitFactor);
Assert.AreEqual(-0.5773502691896248623516308943m, statistics.SharpeRatio);
Assert.AreEqual(0, statistics.SortinoRatio);
Assert.AreEqual(-0.75m, statistics.ProfitToMaxDrawdownRatio);
Assert.AreEqual(-50, statistics.MaximumEndTradeDrawdown);
Assert.AreEqual(-31.666666666666666666666666666667m, statistics.AverageEndTradeDrawdown);
Assert.AreEqual(TimeSpan.Zero, statistics.MaximumDrawdownDuration);
Assert.AreEqual(6, statistics.TotalFees);
}
