public void testMetrics()
{
bar(1, 2, 10, 4);
fill(A, 0, 2);
fill(B, 0, 2);
fill(C, 0, 2);
fill(D, 0, 2);
bar(2, 4, 6, 8);
bar(0, 0, 0, 0);
bar(3, 6, 9, 2);
bar(2, 3, 4, 5);
O.each(O.copy(system().allPositions()), p => system().systems_[p.symbol].placeOrder(p.exit("f-in a", market(), fillOrKill())));
fill(A, 0, 0);
fill(B, 0, 0);
fill(C, 0, 0);
fill(D, 0, 0);
bar(5, 7, 9, 11);
bridge().statistics().writeSTOFiles(true);
checkMetrics(A.name, "QNetProfit", -2);
checkMetrics("ALL", "QNetProfit", -8);
checkMetrics(A.name, "QMaxDrawdown", -3);
checkMetrics("ALL", "QMaxDrawdown", -20);
checkMetrics("P1", "QMaxDrawdown", -15);
checkMetrics("P2", "QMaxDrawdown", -30);
}
public void testSystem()
{
var rc = 0.0;
O.each(symbols, symbol => system().richCheap[symbol].enterTestMode());
O.each(symbols, symbol => system().richCheap[symbol].add(time, rc++));
bridge().processBar(bars(time));
hasOrders(symbols[0], symbols[0].buy("enter long", market(), 1, oneBar()));
hasOrders(symbols[1], symbols[1].buy("enter long", market(), 1, oneBar()));
hasOrders(symbols[2], symbols[2].buy("enter long", market(), 1, oneBar()));
hasOrders(symbols[49], symbols[49].sell("enter short", market(), 1, oneBar()));
hasOrders(symbols[48], symbols[48].sell("enter short", market(), 1, oneBar()));
hasOrders(symbols[47], symbols[47].sell("enter short", market(), 1, oneBar()));
var i = 1;
system().richCheap[O.first(symbols)].add(time.AddDays(i++), 100);
processBar(bars(time.AddDays(1)));
hasOrders(symbols[3], symbols[3].buy("enter long", market(), 1, oneBar()));
hasOrders(symbols[1], symbols[1].buy("enter long", market(), 1, oneBar()));
hasOrders(symbols[2], symbols[2].buy("enter long", market(), 1, oneBar()));
hasOrders(symbols[49], symbols[49].sell("enter short", market(), 1, oneBar()));
hasOrders(symbols[48], symbols[48].sell("enter short", market(), 1, oneBar()));
hasOrders(symbols[0], symbols[0].sell("enter short", market(), 1, oneBar()));
O.each(orders(), order => fill(order, 0));
processBar(bars(time.AddDays(i++)));
noOrders();
processBar(bars(time.AddDays(i++)));
noOrders();
processBar(bars(time.AddDays(i++)));
noOrders();
system().richCheap[O.first(symbols)].add(time.AddDays(i), 0);
processBar(bars(time.AddDays(i++)));
hasOrders(symbols[3], symbols[3].sell("exit long", market(), 1, oneBar()));
hasOrders(symbols[47], symbols[47].sell("enter short", market(), 1, oneBar()));
hasOrders(symbols[0], symbols[0].buy("enter long", market(), 1, oneBar()), symbols[0].buy("exit short", market(), 1, oneBar()));
O.each(O.copy(orders()), order => fill(order, 0));
system().richCheap[O.first(symbols)].add(time.AddDays(i), 100);
processBar(bars(time.AddDays(i)));
noOrders(); // holding period
}
