/// <summary>
/// Calculates things like win/loss percent, gain, etc. for the strategy used on the ticker.
/// </summary>
/// <param name="strategyName">Name of the strategy the statistics are for</param>
/// <param name="orderType">Type of orders placed with this strategy (long or short)</param>
/// <param name="tickerAndExchange">Ticker the strategy used</param>
/// <param name="currentBar">Current bar of the simulation</param>
/// <param name="maxBarsAgo">Maximum number of bars in the past to consider for calculating</param>
/// <returns>Class holding the statistics calculated</returns>
public StrategyStatistics GetStrategyStatistics(string strategyName, double orderType, TickerExchangePair tickerAndExchange, int currentBar, int maxBarsAgo)
{
// Orders that started less than this bar will not be considered.
int cutoffBar = currentBar - maxBarsAgo;
if (cutoffBar < 0)
{
cutoffBar = 0;
}
// Get the list of orders to search.
StrategyStatistics stats = new StrategyStatistics(strategyName, orderType);
List <Order> orderList = null;
if (strategyName.Length > 0 && tickerAndExchange == null)
{
int strategyKey = strategyName.GetHashCode();
if (StrategyDictionary.ContainsKey(strategyKey))
{
orderList = StrategyDictionary[strategyKey].ToList();
}
}
else if (tickerAndExchange != null)
{
int tickerHash = tickerAndExchange.GetHashCode();
if (TickerDictionary.ContainsKey(tickerHash))
{
orderList = TickerDictionary[tickerHash];
}
}
if (orderList != null)
{
for (int i = orderList.Count - 1; i >= 0; i--)
{
Order order = orderList[i];
if (order.IsFinished() &&
order.StrategyName == strategyName &&
order.BuyBar >= cutoffBar &&
order.Type == orderType &&
stats.NumberOfOrders < Simulator.Config.MaxLookBackOrders)
{
stats.AddOrder(order);
}
}
}
if (stats.NumberOfOrders > Simulator.Config.MinRequiredOrders)
{
stats.CalculateStatistics();
}
else
{
stats = new StrategyStatistics(strategyName, orderType);
}
return(stats);
}
/// <summary>
/// Calculates things like win/loss percent, gain, etc. for the ticker.
/// </summary>
/// <param name="tickerAndExchange">Ticker to calculate for</param>
/// <param name="currentBar">Current bar of the simulation</param>
/// <param name="maxBarsAgo">Maximum number of bars in the past to consider for calculating</param>
/// <returns>Class holding the statistics calculated</returns>
public StrategyStatistics GetTickerStatistics(TickerExchangePair tickerAndExchange, int currentBar, int maxBarsAgo)
{
// Orders that started less than this bar will not be considered.
int cutoffBar = currentBar - maxBarsAgo;
if (cutoffBar < 0)
{
cutoffBar = 0;
}
// Order type doesn't matter here since we are just using this class to
// output overall ticker info which could be from any order type. It will
// get ignored on the web output display.
StrategyStatistics stats = new StrategyStatistics(tickerAndExchange.ToString(), Order.OrderType.Long);
int tickerHash = tickerAndExchange.GetHashCode();
if (TickerDictionary.ContainsKey(tickerHash))
{
List <Order> tickerOrders = TickerDictionary[tickerHash];
for (int i = tickerOrders.Count - 1; i >= 0; i--)
{
Order order = tickerOrders[i];
if (order.BuyBar >= cutoffBar)
{
stats.AddOrder(order);
}
}
}
// Only count the statistics if we have a bit more data to deal with.
// We want to avoid having a strategy say it's 100% correct when it
// only has 1 winning trade.
if (stats.NumberOfOrders > Simulator.Config.MinRequiredOrders)
{
stats.CalculateStatistics();
}
else
{
// For the same reasons as earlier in this function, order type doesn't matter here.
stats = new StrategyStatistics(tickerAndExchange.ToString(), Order.OrderType.Long);
}
return(stats);
}
