/// <summary>
/// Расчет Болинжера по _countPeriod и _kstd
/// </summary>
private async Task CreateRepositoryBolinger(MarketTradesRepository _mtr, int _countPeriod, double _kstd, string _fileNameInp)
{
double High_line = 0;
double Midl_line = 0;
double Low_line = 0;
double price;
List <double> priceList = new List <double>();
TradesBolingerRepository _trdBReposit = new TradesBolingerRepository();
await Task.Run(() =>
{
foreach (ParametrMarketTrades item in _mtr)
{
price = (double)item.PriceTrades;
priceList.Add(price);
if (priceList.Count == _countPeriod)
{
StaticCalculations.BollingerBands(priceList, _kstd, ref High_line, ref Midl_line, ref Low_line);
priceList.RemoveAt(0);
_trdBReposit.Add(new ParametrTradesBolinger(item.DateTimeTrades, item.NumberTrades, item.PriceTrades, item.SeccodeTrades, High_line, Low_line, Midl_line));
}
}
string _fileName = _fileNameInp + StaticService.GenerateKey(_countPeriod, _kstd);
StaticService.Serializes(_trdBReposit, folderOut + _fileName);
});
}
public void CreateExtrem(TradesBolingerRepository _tBR, decimal _otkat, decimal _profit)
{
position = 0;
num_trades = 0;
foreach (var item in _tBR)
{
this.ExtremumSearch(item.PriceTrades, item.DateTimeTrades, item.LineUp, item.LineMidl, item.LineDown, _otkat, _profit);
}
}
/// <summary>
/// Открываем лонги, если цена выше самой верхней линии.
/// Открываем шорты, если цена ниже самой нижней линии.
/// Закрытие: переворачиваемся.
/// </summary>
private Task TrendAlgoritmTest(string _path)
{
return(Task.Run(() =>
{
TradesBolingerRepository _trdBRepo = null;
string file_name = "test_result.txt";
try
{
_trdBRepo = (TradesBolingerRepository)StaticService.Deserializes(_path);
}
catch (Exception)
{
StaticService.LogFileWrite(_path, "error_log.txt", true);
}
string _key = Path.GetFileNameWithoutExtension(_path);
string _dateRes = StaticService.GetComment(_key, SettingsClass.PaternDate1);
string _settBB = StaticService.GetComment(_key, SettingsClass.Patern);
TestTradesCollection testTradColl = new TestTradesCollection();
TestTradesCollection testTradCollOPT = new TestTradesCollection();
int tp = 0;
double profitPortfolio = 0; // прибыль портфеля на каждую сделку
int countTrades = 0;
double maxProfit = 0;
double minProfit = 0;
int countProfitTrades = 0;
int countLossTrades = 0;
// OPT
double profitPortfolioOpt = 0;
int countTradesOpt = 0;
double maxProfitOpt = 0;
double minProfitOpt = 0;
int countProfitTradesOpt = 0;
int countLossTradesOpt = 0;
// end opt
StaticService.LogFileWrite("\n ---------" + _key + "---------", file_name, true);
if (_trdBRepo != null)
{
foreach (ParametrTradesBolinger pcT in _trdBRepo)
{
//StaticClassService.LogFileWrite(pcT.DateTimeTrades + "\t" + pcT.NumberTrades + "\t" + pcT.PriceTrades + "\t" + pcT.SeccodeTrades + "\t" + pcT.LineUp + "\t" + pcT.LineDown + "\t" + pcT.LineMidl, file_name, true);
DateTime dateTimeTrade = pcT.DateTimeTrades;
if (dateTimeTrade.TimeOfDay < new TimeSpan(19, 0, 0))
{
double price = (double)pcT.PriceTrades;
//---Здесь вызываем Класс нужного алгоритма---
Algoritms.BollingerCrossing.Algoritm(pcT, testTradColl, testTradCollOPT, file_name, price, dateTimeTrade, ref tp, ref countTrades, ref countTradesOpt, ref profitPortfolio, ref profitPortfolioOpt, ref maxProfit, ref maxProfitOpt, ref minProfit, ref minProfitOpt, ref countProfitTrades, ref countProfitTradesOpt, ref countLossTrades, ref countLossTradesOpt);
//--------------------------------------------
}
}
}
// save result
testResultRepo.Add(new ParametrTestResult(_key, _dateRes, _settBB, profitPortfolio, countTrades, maxProfit, minProfit, countProfitTrades, countLossTrades));
testResultRepo.Add(new ParametrTestResult(_key + "OPT", _dateRes, _settBB, profitPortfolioOpt, countTradesOpt, maxProfitOpt, minProfitOpt, countProfitTradesOpt, countLossTradesOpt)); // Opt
// serialize TestTradesCollection end TestTradesCollection'OPT'
StaticService.Serializes(testTradColl, folderOutTestTradesSimple + _key);
StaticService.Serializes(testTradCollOPT, folderOutTestTradesOPT + _key);
}));
}
//-------------------------------------------
//
private void CalculationExtremumProfit(MarketTradesRepository _mTR, TradesBolingerRepository _tBR, decimal _otkat, decimal _profit, string _fileSummary, string _fileTrades, string _filevariability, string _fileBrutto, string _fileBruttoFiltr, string _fileBruttoFiltrPro)
{
ExtremumProfit extPrice = new ExtremumProfit();
Queue <decimal> BruttoQue = new Queue <decimal>();
decimal exchange_fee = 0.47m; // биржевой сбор SBRF 0.47
decimal brokerage_commission = 0.59m; // комиссия брокера 0.59
decimal spred = 3m;
// --одновременно можно только один
//extPrice.CreateExtrem(_mTR, _otkat, _profit);
extPrice.CreateExtrem(_tBR, _otkat, _profit);
//-------
//----
decimal _buyMany = 0;
decimal _selMany = 0;
decimal _bruttoGlobal = 0;
int _countProfit = 0;
int _countLoss = 0;
int _countAll = 0;
int _variability = 0;
StaticService.LogFileWriteNotDateTime("Profit setting <" + _profit + ">", _fileTrades, true);
StaticService.LogFileWriteNotDateTime("Profit setting <" + _profit + ">", _filevariability, true);
StaticService.LogFileWriteNotDateTime("Profit setting <" + _profit + ">", _fileBrutto, true);
StaticService.LogFileWriteNotDateTime("Profit setting <" + _profit + ">", _fileBruttoFiltr, true);
StaticService.LogFileWriteNotDateTime("Profit setting <" + _profit + ">", _fileBruttoFiltrPro, true);
foreach (var item in extPrice.TradesQueue)
{
StaticService.LogFileWriteNotDateTime(item.ToString(), _fileTrades, true);
double _num = item.NumberTrades;
Operation _oper = item.Operation;
decimal _price = item.PriceTrades;
decimal _brutto = 0;
if (_oper == Operation.Buuy)
{
_buyMany = _price;
}
else
{
_selMany = _price;
}
if (_buyMany != 0 && _selMany != 0)
{
_brutto = _selMany - _buyMany;
_bruttoGlobal += _brutto;
_buyMany = 0;
_selMany = 0;
if (_brutto > 0)
{
_countProfit++;
}
else
{
_countLoss++;
}
_countAll++;
BruttoQue.Enqueue(_brutto);
StaticService.LogFileWriteNotDateTime(_brutto.ToString(), _fileBrutto, true);
//
VariablityCalc(_brutto, _filevariability, ref _variability);
//-----
}
}
// фильтрация pro
for (int i = 1; i <= 10; i++)
{
Queue <decimal> resultPositive = extPrice.FiltrBruttoPro(BruttoQue, i, 0);
Queue <decimal> resultNegative = extPrice.FiltrBruttoPro(BruttoQue, 0, i);
decimal _sum = 0;
foreach (decimal item in resultPositive)
{
_sum += item;
}
StaticService.LogFileWriteNotDateTime("FILTR_PRO + <" + i + "> = " + _sum.ToString(), _fileBruttoFiltrPro, true);
_sum = 0;
foreach (decimal item in resultNegative)
{
_sum += item;
}
StaticService.LogFileWriteNotDateTime("FILTR_PRO - <" + i + "> = " + _sum.ToString(), _fileBruttoFiltrPro, true);
}
// циклическая фильтрация
StaticService.LogFileWriteNotDateTime("SUMMARY_INP = " + _bruttoGlobal.ToString(), _fileBruttoFiltr, true);
Queue <decimal> _filtr_result = extPrice.FiltrBrutto(BruttoQue);
for (int i = 0; i < 5; i++)
{
decimal _sum = 0;
foreach (decimal item in _filtr_result)
{
_sum += item;
}
StaticService.LogFileWriteNotDateTime("SUMMARY_" + i + " = " + _sum.ToString(), _fileBruttoFiltr, true);
_filtr_result = extPrice.FiltrBrutto(_filtr_result);
}
/*
* // фильтруем brutto и выводим в файл
* Queue<decimal> _filtrBrut_I = extPrice.FiltrBrutto(BruttoQue);
* foreach (decimal item in _filtrBrut_I)
* {
* StaticService.LogFileWriteNotDateTime(item.ToString(), _fileBruttoFiltr, true);
* }
*
* // фильтруем _filtrBrut и выводим в файл
* StaticService.LogFileWriteNotDateTime("--------LEVEL II", _fileBruttoFiltr, true);
* Queue<decimal> _filtrBrut_II = extPrice.FiltrBrutto(_filtrBrut_I);
* foreach (decimal item in _filtrBrut_II)
* {
* StaticService.LogFileWriteNotDateTime(item.ToString(), _fileBruttoFiltr, true);
* }
*
* // summary brutto_filtr
* decimal _sum_brut_filtr = 0;
* foreach (decimal item in _filtrBrut_I)
* {
* _sum_brut_filtr += item;
* }
* StaticService.LogFileWriteNotDateTime("SUMMARY_I = " + _sum_brut_filtr.ToString(), _fileBruttoFiltr, true);
*
* _sum_brut_filtr = 0;
* foreach (decimal item in _filtrBrut_II)
* {
* _sum_brut_filtr += item;
* }
* StaticService.LogFileWriteNotDateTime("SUMMARY_II = " + _sum_brut_filtr.ToString(), _fileBruttoFiltr, true);
* //---------------------------
*/
//StaticService.LogFileWriteNotDateTime(_bruttoGlobal + " <" + _profit + ">", _filename, true);
StaticService.LogFileWriteNotDateTime(_profit + "\t" + _bruttoGlobal + "\t" + _countProfit + "\t" + _countLoss + "\t" + _countAll, _fileSummary, true);
}
