private static double CalculateROIForTimeline(int timelineId, DailyNAV dailyNavs, List <TradeRecord> trades)
{
//if (dailyNavs.AccountNumber == 439465)
//{
// var a = "";
//}
var startDate = GetStartDateByTimeLineID(timelineId, DateTime.Today.AddDays(-1).Date);
var endDate = GetEndDateByTimeLineID(timelineId, startDate);
var startingBalance = dailyNavs.NAVByDate.Where(x => x.date == startDate.AddDays(-1).ToString()).Select(x => x.NAV).FirstOrDefault() == 0 ? 0 :
dailyNavs.NAVByDate.Where(x => x.date == startDate.AddDays(-1).ToString()).Select(x => x.NAV).FirstOrDefault();
var startSeconds = (uint)(Int32)(startDate.Subtract(new DateTime(1970, 1, 1))).TotalSeconds;
var endSeconds = (uint)(Int32)(endDate.Subtract(new DateTime(1970, 1, 1))).TotalSeconds;
var buyTrades = trades.Where(x => (x.OpenTime >= startSeconds && x.OpenTime < endSeconds) && x.Cmd == TradeCommand.Buy).Sum(x => x.Profit);
var sellTrades = trades.Where(x => (x.CloseTime >= startSeconds && x.CloseTime < endSeconds) && x.Cmd == TradeCommand.Sell).Sum(x => x.Profit);
var Deposits = trades.Where(x => (x.CloseTime >= startSeconds && x.CloseTime < endSeconds) && x.Cmd == TradeCommand.Balance &&
x.Profit > 0).Sum(x => x.Profit);
var tradesAndDeposits = Deposits + buyTrades + sellTrades;
var endingBalance = startingBalance + tradesAndDeposits;
var roi = Math.Round(((endingBalance - startingBalance) / startingBalance) * 100, 2);
if (startingBalance == 0)
{
return(0);
}
else
{
return(roi);
}
}
private static double CalculateDDForTimeline(int timelineId, DailyNAV dailyNavs)
{
var startDate = GetStartDateByTimeLineID(timelineId, DateTime.Today.AddDays(-1).Date);
var startIndex = dailyNavs.NAVByDate.IndexOf(dailyNavs.NAVByDate.Where(x => x.date == startDate.ToString()).FirstOrDefault()) < 0 ? 0 :
dailyNavs.NAVByDate.IndexOf(dailyNavs.NAVByDate.Where(x => x.date == startDate.ToString()).FirstOrDefault());
var endDate = GetEndDateByTimeLineID(timelineId, startDate);
var endIndex = dailyNavs.NAVByDate.IndexOf(dailyNavs.NAVByDate.Where(x => x.date == endDate.ToString()).FirstOrDefault()) < 0 ? 0 :
dailyNavs.NAVByDate.IndexOf(dailyNavs.NAVByDate.Where(x => x.date == endDate.ToString()).FirstOrDefault());
var NavsByTimeline = dailyNavs.NAVByDate.Skip(startIndex + 1).Take(endIndex - startIndex).ToList();
var lowestNav = NavsByTimeline.OrderBy(x => x.NAV).FirstOrDefault();
var lowestIndex = NavsByTimeline.IndexOf(lowestNav);
var dd = new double();
if (lowestIndex > 0)
{
var NAVBeforeLowestIndex = NavsByTimeline.Take(lowestIndex);
var highestNAV = NAVBeforeLowestIndex.OrderByDescending(x => x.NAV).FirstOrDefault();
dd = Math.Round(((lowestNav.NAV - highestNAV.NAV) / highestNAV.NAV) * 100, 2);
}
else
{
dd = 0;
}
return(dd);
}
private static double CalculateSharpRatioForTimeline(int timelineId, DailyNAV dailyNavs)
{
var startDate = GetStartDateByTimeLineID(timelineId, DateTime.Today.AddDays(-1).Date);
var endDate = GetEndDateByTimeLineID(timelineId, startDate);
var riskFreeRate = ConfigurationManager.AppSettings["RiskFreeRateForSharpeRatio"];
var startingNav = dailyNavs.NAVByDate.Where(x => x.date == startDate.ToString()).Select(x => x.NAV).FirstOrDefault() == 0 ? 0 :
dailyNavs.NAVByDate.Where(x => x.date == startDate.ToString()).Select(x => x.NAV).FirstOrDefault();
var endingNav = dailyNavs.NAVByDate.Where(x => x.date == endDate.ToString()).Select(x => x.NAV).FirstOrDefault() == 0 ? 0 :
dailyNavs.NAVByDate.Where(x => x.date == endDate.ToString()).Select(x => x.NAV).FirstOrDefault();
if (startingNav == 0 || startingNav == endingNav)
{
return(0);
}
else
{
var portfolioReturn = (endingNav - startingNav) / startingNav;
var standardDev = calculateStandardDeviation(new List <double> {
startingNav, endingNav
});
var sharpeRatio = Math.Round((portfolioReturn - Convert.ToDouble(riskFreeRate)) / standardDev, 2);
return(sharpeRatio);
}
}
private static double CalculateNavForTimeline(int timelineId, DailyNAV dailyNavs)
{
var startDate = GetStartDateByTimeLineID(timelineId, DateTime.Today.AddDays(-1).Date);
var endDate = GetEndDateByTimeLineID(timelineId, startDate);
var endingNav = dailyNavs.NAVByDate.Where(x => x.date == endDate.ToString()).Select(x => x.NAV).FirstOrDefault() == 0 ? 0 :
dailyNavs.NAVByDate.Where(x => x.date == endDate.ToString()).Select(x => x.NAV).FirstOrDefault();
return(endingNav);
}
private static void CalculateDailyNav(List <MT4UserRequestModel> userRequests)
{
try
{
foreach (var userRequest in userRequests)
{
var existingtDailyNavs = _eLTService.getDailyNavsByAccountNumber(userRequest.Login);
if (existingtDailyNavs == null)
{
if (userRequest.TradesHistories.Count() > 0)
{
var NAVByDates = new List <NAVByDate>();
var startDate = SecondsToDate(userRequest.TradesHistories[0].OpenTime).Date;
var beginingDate = startDate;
var endDate = startDate.AddDays(1);
var balance = userRequest.TradesHistories[0].Profit;
var id = 1;
var previousDateNav = new double();
do
{
var startSeconds = (uint)(Int32)(startDate.Subtract(new DateTime(1970, 1, 1))).TotalSeconds;
var endSeconds = (uint)(Int32)(endDate.Subtract(new DateTime(1970, 1, 1))).TotalSeconds;
var buyTrades = userRequest.TradesHistories.Where(x => (x.OpenTime >= startSeconds && x.OpenTime < endSeconds) && x.Cmd == TradeCommand.Buy).Sum(x => x.Profit);
var sellTrades = userRequest.TradesHistories.Where(x => (x.CloseTime >= startSeconds && x.CloseTime < endSeconds) && x.Cmd == TradeCommand.Sell).Sum(x => x.Profit);
var balanaceWithdrawn = new double();
if (startDate != beginingDate)
{
balanaceWithdrawn = userRequest.TradesHistories.Where(x => (x.CloseTime >= startSeconds && x.CloseTime < endSeconds) && x.Cmd == TradeCommand.Balance).Sum(x => x.Profit);
}
balance = balance + balanaceWithdrawn + buyTrades + sellTrades;
var sharpeRatioReturn = new double();
if (startDate != SecondsToDate(userRequest.TradesHistories[0].OpenTime).Date)
{
sharpeRatioReturn = (balance - previousDateNav) / previousDateNav;
previousDateNav = balance;
}
else
{
sharpeRatioReturn = 0;
previousDateNav = balance;
}
var nAVByDate = new NAVByDate();
nAVByDate.date = startDate.ToString();
nAVByDate.NAV = Math.Round(balance, 2);
nAVByDate.id = id;
nAVByDate.SharpeRatioReturn = Math.Round(sharpeRatioReturn, 2);
NAVByDates.Add(nAVByDate);
startDate = startDate.AddDays(1);
endDate = endDate.AddDays(1);
id++;
} while (startDate < DateTime.Today);
DailyNAV dailyNAVOfUser = new DailyNAV();
dailyNAVOfUser.AccountNumber = userRequest.Login;
dailyNAVOfUser.NAVByDate = NAVByDates;
unitOfWork.DailyNAVRepository.Add(dailyNAVOfUser);
}
}
else
{
if (userRequest.TradesHistories.Count() > 0)
{
var startDate = Convert.ToDateTime(existingtDailyNavs.NAVByDate[existingtDailyNavs.NAVByDate.Count - 1].date).AddDays(1);
var endDate = startDate.AddDays(1);
var beginingDate = startDate;
var balance = existingtDailyNavs.NAVByDate[existingtDailyNavs.NAVByDate.Count - 1].NAV;
var id = 1;
var previousDateNav = new double();
if (startDate < DateTime.Today)
{
do
{
var startSeconds = (uint)(Int32)(startDate.Subtract(new DateTime(1970, 1, 1))).TotalSeconds;
var endSeconds = (uint)(Int32)(endDate.Subtract(new DateTime(1970, 1, 1))).TotalSeconds;
var buyTrades = userRequest.TradesHistories.Where(x => (x.OpenTime >= startSeconds && x.OpenTime < endSeconds) && x.Cmd == TradeCommand.Buy).Sum(x => x.Profit);
var sellTrades = userRequest.TradesHistories.Where(x => (x.CloseTime >= startSeconds && x.CloseTime < endSeconds) && x.Cmd == TradeCommand.Sell).Sum(x => x.Profit);
var balanaceWithdrawn = new double();
if (startDate != beginingDate)
{
balanaceWithdrawn = userRequest.TradesHistories.Where(x => (x.CloseTime >= startSeconds && x.CloseTime < endSeconds) && x.Cmd == TradeCommand.Balance).Sum(x => x.Profit);
}
balance = balance + balanaceWithdrawn + buyTrades + sellTrades;
var sharpeRatioReturn = new double();
if (startDate != SecondsToDate(userRequest.TradesHistories[0].OpenTime).Date)
{
sharpeRatioReturn = (balance - previousDateNav) / previousDateNav;
previousDateNav = balance;
}
else
{
sharpeRatioReturn = 0;
previousDateNav = balance;
}
var nAVByDate = new NAVByDate();
nAVByDate.date = startDate.ToString();
nAVByDate.NAV = Math.Round(balance, 2);
nAVByDate.id = id;
nAVByDate.SharpeRatioReturn = Math.Round(sharpeRatioReturn, 2);
existingtDailyNavs.NAVByDate.Add(nAVByDate);
startDate = startDate.AddDays(1);
endDate = endDate.AddDays(1);
id++;
} while (startDate < DateTime.Today);
var update = Builders <DailyNAV> .Update.Set("NAVByDate", existingtDailyNavs.NAVByDate);
var result = _eLTService.UpdateDailyNAV(existingtDailyNavs.Id.ToString(), update);
}
}
}
}
}
catch (Exception ex)
{
throw;
}
}
