示例#1
0
 public void AddPlot(PlotHelper plot)
 {
     if (!_Plots.Contains(plot))
     {
         _Plots.Add(plot);
     }
 }
示例#2
0
        public void Start()
        {
            if (Started)
            {
                return;
            }
            this.BenchmarkStats = new Statistics();
            this.BotStats       = new Statistics();
            Logger.Info($"Backtesting {Algo.Version} from  {StartTime} - {EndTime} with configuration:\n" + JObject.FromObject(algoConfig).ToString());

            Stopwatch sw = new Stopwatch();

            sw.Start();

            Started = true;

            this.Algo.Start(true).Wait();

            int     steps       = 1;
            decimal BalancePeak = 0;


            var startingBal         = -1m;
            var currentBenchmarkVal = 0.0;

            while (MarketSimulator.NextTick() && MarketSimulator.Time < EndTime)
            {
                if (startingBal < 0)
                {
                    startingBal = MarketSimulator.GetEquity(BaseAsset);
                }

                Algo.OnTickAsync().Wait();
                steps++;
                //---- update equity and benchmark ----------
                if (steps % 30 == 0)
                {
                    var balance = MarketSimulator.GetEquity(BaseAsset);
                    BotStats.Update(MarketSimulator.Time, (double)balance);
                    //--- calculate benchmark change
                    double changeSum   = 0;
                    int    changeCount = 0;
                    foreach (var symData in Algo.SymbolsData.Values)
                    {
                        if (symData.Feed != null && symData.Feed.Ask > 0 && symData.Feed.Bid > 0)
                        {
                            var sk = symData.Feed.Symbol.Key;
                            if (symData.Feed != null && LastPrices.ContainsKey(sk))
                            {
                                changeCount++;
                                changeSum += (symData.Feed.Bid - LastPrices[sk]) / LastPrices[sk];
                            }
                            LastPrices[sk] = symData.Feed.Ask;
                        }
                    }
                    if (changeCount > 0)
                    {
                        currentBenchmarkVal += changeSum * 100 / changeCount;
                        BenchmarkStats.Update(MarketSimulator.Time, currentBenchmarkVal);
                    }
                }
            }

            var totalBal = MarketSimulator.GetEquity(BaseAsset);
            //get the total fee paid calculated on commission asset
            var feeList = MarketSimulator.Trades.Select(
                tr =>
            {
                if (tr.Symbol.EndsWith(tr.CommissionAsset))
                {
                    return(tr.Commission);
                }
                else
                {
                    return(tr.Commission * tr.Price);
                }
            });
            var lostInFee = feeList.Sum();

            //get profit

            sw.Stop();

            Logger.Info($"Test terminated in {sw.ElapsedMilliseconds} ms.");
            Logger.Info($"Balance: {totalBal} - Trades:{MarketSimulator.Trades.Count()} - Lost in fee:{lostInFee}");
            var operations = Algo.ActiveOperations.Concat(Algo.ClosedOperations).Where(o => o.AmountInvested > 0).ToList();

            if (operations.Count > 0)
            {
                Logger.Info($"Algorithm => Profit/MDD: {BotStats.Profit / BotStats.MaxDrowDown} - MaxDrawDown: {BotStats.MaxDrowDown} - Profit/oper: {BotStats.Profit / operations.Count:F8} ");
                Logger.Info($"BenchMark => Profit/MDD: {BenchmarkStats.Profit / BenchmarkStats.MaxDrowDown} - MaxDrawDown: {BenchmarkStats.MaxDrowDown} ");
            }

            foreach (var p in Algo.Plots)
            {
                ShowPlotCallback?.Invoke(p);
            }

            if (Config.PlotResults)
            {
                PlotHelper plot      = new PlotHelper("Equity");
                int        skipCount = (BotStats.EquityHistory.Count + 2000) / 2000;
                List <IndicatorDataPoint> botPoints   = new List <IndicatorDataPoint>();
                List <IndicatorDataPoint> benchPoints = new List <IndicatorDataPoint>();

                for (int i = 0; i < BotStats.EquityHistory.Count; i += skipCount)
                {
                    var e = BotStats.EquityHistory[i];
                    botPoints.Add(new IndicatorDataPoint(e.Time, e.Value));
                    if (BenchmarkStats.EquityHistory.Count > i)
                    {
                        e = BenchmarkStats.EquityHistory[i];
                        benchPoints.Add(new IndicatorDataPoint(e.Time, e.Value));
                    }
                }
                plot.PlotLine(botPoints, ARGBColors.Purple);
                plot.PlotLine(benchPoints, ARGBColors.MediumPurple, "asdasd");
                plot.InitialView = (Config.StartTime, Config.EndTime);
                ShowPlotCallback?.Invoke(plot);
            }
        }