//============================================================== // Forex Strategy Builder // Copyright © Miroslav Popov. All rights reserved. //============================================================== // THIS CODE IS PROVIDED "AS IS" WITHOUT WARRANTY OF ANY KIND, // EITHER EXPRESSED OR IMPLIED, INCLUDING BUT NOT LIMITED TO // THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR // A PARTICULAR PURPOSE. //============================================================== using System; using System.Collections.Generic; using System.Globalization; using System.Linq; using ForexStrategyBuilder.Infrastructure.Entities; using ForexStrategyBuilder.Infrastructure.Enums; using ForexStrategyBuilder.Infrastructure.Interfaces; namespace ForexStrategyBuilder.Core.Backtest { public class AccountStatistics : IAccountStatistics { private const double Epsilon = 1E-10; private string accountCurrency; private int ambiguousBars; private int averageLoss; private double averageMoneyLoss; private double averageMoneyProfit; private int averageProfit; private double equityPercentDrawdown; private int executedOrders; private double grossMoneyLoss; private double grossMoneyProfit; private bool isInfoInCurrency; private bool isScanPerformed; private int losingTrades; private int maxBalance; private int maxConsecLoses; private int maxDrawdown; private int maxEquityDrawdown; private double maxMoneyBalance; private double maxMoneyDrawdown; private double maxMoneyEquityDrawdown; private int minBalance; private double minMoneyBalance; private double moneyEquityPercentDrawdown; private double moneyProfitPerDay; private int sentOrders; private int testedBars; private int testedDays; private int timeInPosition; private int totalTrades; private int winningTrades; private double stdProfitLoss; public bool IsCriteriaPassed { get; private set; } public int NetBalance { get; private set; } public double NetMoneyBalance { get; private set; } public double WinLossRatio { get; private set; } public int ProfitPerDay { get; private set; } public double SystemQualityNumber { get; private set; } public double SharpeRatio { get; private set; } public double AverageHprPercent { get; private set; } public double GeometricHprPercent { get; private set; } public double AnnualizedProfit { get; private set; } public double ProfitFactor { get; private set; } public void CalculateAccountStats(IBacktester backtester) { IStrategy strategy = backtester.Strategy; IDataSet dataSet = backtester.DataSet; IProfile profile = backtester.Profile; int bars = dataSet.Bars; int firstBar = strategy.FirstBar; isInfoInCurrency = profile.IsInfoInCurrency; accountCurrency = profile.AccountCurrency; isScanPerformed = backtester.IsScanPerformed; testedBars = bars - firstBar; sentOrders = backtester.SentOrders; NetBalance = backtester.NetBalance; NetMoneyBalance = backtester.NetMoneyBalance; minBalance = backtester.MinBalance; maxBalance = backtester.MaxBalance; ProfitPerDay = backtester.ProfitPerDay; moneyProfitPerDay = backtester.MoneyProfitPerDay; minMoneyBalance = backtester.MinMoneyBalance; maxMoneyBalance = backtester.MaxMoneyBalance; maxDrawdown = backtester.MaxDrawdown; maxEquityDrawdown = backtester.MaxEquityDrawdown; maxMoneyDrawdown = backtester.MaxMoneyDrawdown; maxMoneyEquityDrawdown = backtester.MaxMoneyEquityDrawdown; equityPercentDrawdown = backtester.EquityPercentDrawdown; moneyEquityPercentDrawdown = backtester.MoneyEquityPercentDrawdown; grossMoneyProfit = backtester.GrossMoneyProfit; grossMoneyLoss = backtester.GrossMoneyLoss; ProfitFactor = Math.Abs(grossMoneyLoss - 0) < Epsilon ? grossMoneyProfit : grossMoneyProfit/-grossMoneyLoss; testedDays = backtester.TestedDays; WinLossRatio = backtester.WinLossRatio; winningTrades = backtester.WinningTrades; losingTrades = backtester.LosingTrades; totalTrades = backtester.TotalTrades; // Bars in position int barsInPosition = 0; for (int bar = firstBar; bar < bars; bar++) if (backtester.Session[bar].Positions > 0) barsInPosition++; // Ambiguous bars. ambiguousBars = 0; for (int bar = firstBar; bar < bars; bar++) if (backtester.Session[bar].BacktestEval == BacktestEval.Ambiguous) ambiguousBars++; timeInPosition = (int) Math.Round(100.0*barsInPosition/(bars - firstBar)); AnnualizedProfit = (365f/testedDays)*(NetMoneyBalance - profile.InitialAccount); CalculateExecutedOrders(backtester); CalculateMaxConsecutiveLoses(backtester); CalculateProfitLoss(backtester); CalculateSystemQualityNumber(backtester); CalculateSharpeRatioAndHpr(backtester); } public void CalculateAcceptanceCriteria(IBacktester backtester, AcceptanceCriteria criteria) { IsCriteriaPassed = false; if (criteria.UseMaxAmbiguousBars && ambiguousBars > criteria.MaxAmbiguousBars) return; if (criteria.UseMinProfitPerDay && ProfitPerDay < criteria.MinProfitPerDay) return; if (criteria.UseMaxMoneyEquityDrawdown && maxMoneyEquityDrawdown > criteria.MaxMoneyEquityDrawdown) return; if (criteria.UseMaxPointsEquityDrawdown && maxEquityDrawdown > criteria.MaxPointsEquityDrawdown) return; if (criteria.UseMaxEquityPercentDrawdown && moneyEquityPercentDrawdown > criteria.MaxEquityPercentDrawdown) return; if (criteria.UseMinCountOfTrades && totalTrades < criteria.MinCountOfTrades) return; if (criteria.UseMaxCountOfTrades && totalTrades > criteria.MaxCountOfTrades) return; if (criteria.UseMinWinLossRatio && WinLossRatio < criteria.MinWinLossRatio) return; if (criteria.UseMinSharpeRatio && SharpeRatio < criteria.MinSharpeRatio) return; if (criteria.UseMaxConsecLosses && maxConsecLoses > criteria.MaxConsecLosses) return; if (criteria.UseMinSystemQualityNumber && SystemQualityNumber < criteria.MinSystemQualityNumber) return; if (criteria.UseMaxSmoothBalancePercent) { double maxDeviationPercent = CalculateMaxSmoothBalanceDeviationPercent(backtester); if (maxDeviationPercent > criteria.MaxSmoothBalancePercent/100.0) return; } IsCriteriaPassed = true; } public InfoRecord[] GetInfoRecords() { var records = new List(); string unit = isInfoInCurrency ? " " + accountCurrency : " points"; records.Add(new InfoRecord { Name = "Acceptance criteria", Value = IsCriteriaPassed ? "Fulfilled" : "Not fulfilled", Flag = IsCriteriaPassed ? InfoRecordFlag.Normal : InfoRecordFlag.Bad }); records.Add(new InfoRecord { Name = "Net balance", Value = isInfoInCurrency ? NetMoneyBalance.ToString("F2") + unit : NetBalance + unit, Flag = NetMoneyBalance < 0 ? InfoRecordFlag.Bad : InfoRecordFlag.Normal }); records.Add(new InfoRecord { Name = "Intrabar scanning", Value = isScanPerformed ? "Accomplished" : "Not accomplished", Flag = ambiguousBars > 0 && !isScanPerformed ? InfoRecordFlag.Bad : InfoRecordFlag.Normal }); records.Add(new InfoRecord { Name = "Ambiguous bars", Value = ambiguousBars.ToString(CultureInfo.InvariantCulture), Flag = ambiguousBars > 0 ? InfoRecordFlag.Bad : InfoRecordFlag.Normal }); records.Add(new InfoRecord { Name = "Profit per day", Value = isInfoInCurrency ? moneyProfitPerDay.ToString("F2") + unit : ProfitPerDay + unit, Flag = ProfitPerDay < 0 ? InfoRecordFlag.Bad : InfoRecordFlag.Normal }); records.Add(new InfoRecord { Name = "Max consecutive loses", Value = maxConsecLoses.ToString(CultureInfo.InvariantCulture), }); records.Add(new InfoRecord { Name = "System quality number", Value = SystemQualityNumber.ToString("F2"), Flag = SystemQualityNumber < 1 ? InfoRecordFlag.Bad : InfoRecordFlag.Normal }); records.Add(new InfoRecord { Name = "Std dev profit loss", Value = stdProfitLoss.ToString("F2"), }); records.Add(new InfoRecord { Name = "Sharpe ratio", Value = SharpeRatio.ToString("F2"), }); records.Add(new InfoRecord { Name = "Average HPR", Value = AverageHprPercent.ToString("F2") + " %", }); records.Add(new InfoRecord { Name = "Profit factor", Value = ProfitFactor.ToString("F2"), }); records.Add(new InfoRecord { Name = "Tested bars", Value = testedBars.ToString(CultureInfo.InvariantCulture), }); records.Add(new InfoRecord { Name = "Minimum balance", Value = isInfoInCurrency ? minMoneyBalance.ToString("F2") + unit : minBalance + unit }); records.Add(new InfoRecord { Name = "Maximum balance", Value = isInfoInCurrency ? maxMoneyBalance.ToString("F2") + unit : maxBalance + unit }); records.Add(new InfoRecord { Name = "Max balance drawdown", Value = isInfoInCurrency ? maxMoneyDrawdown.ToString("F2") + unit : maxDrawdown + unit, }); records.Add(new InfoRecord { Name = "Max equity drawdown", Value = isInfoInCurrency ? maxMoneyEquityDrawdown.ToString("F2") + unit : maxEquityDrawdown + unit, }); records.Add(new InfoRecord { Name = "Max equity drawdown", Value = isInfoInCurrency ? moneyEquityPercentDrawdown.ToString("F2") + " %" : equityPercentDrawdown.ToString("F2") + " %", }); records.Add(new InfoRecord { Name = "Average profit", Value = isInfoInCurrency ? averageMoneyProfit.ToString("F2") + unit : averageProfit + unit, }); records.Add(new InfoRecord { Name = "Average loss", Value = isInfoInCurrency ? averageMoneyLoss.ToString("F2") + unit : averageLoss + unit, }); records.Add(new InfoRecord { Name = "Executed orders", Value = executedOrders.ToString(CultureInfo.InvariantCulture), }); records.Add(new InfoRecord { Name = "Winning trades", Value = winningTrades.ToString(CultureInfo.InvariantCulture), }); records.Add(new InfoRecord { Name = "Losing trades", Value = losingTrades.ToString(CultureInfo.InvariantCulture), }); records.Add(new InfoRecord { Name = "Win/loss ratio", Value = WinLossRatio.ToString("F2"), }); records.Add(new InfoRecord { Name = "Time in position", Value = timeInPosition + " %", }); return records.ToArray(); } private void CalculateExecutedOrders(IBacktester backtester) { executedOrders = 0; for (int ord = 0; ord < sentOrders; ord++) if (backtester.OrdFromNumb(ord).OrdStatus == OrderStatus.Executed) executedOrders++; } private void CalculateSystemQualityNumber(IBacktester backtester) { // Build the Trades List Curve var trades = new List(); for (int pos = 0; pos < backtester.PositionsTotal; pos++) { Position position = backtester.PosFromNumb(pos); if (position.Transaction != Transaction.Close && position.Transaction != Transaction.Reduce && position.Transaction != Transaction.Reverse) continue; // There is no profit/loss taken. trades.Add(position.ProfitLoss); } stdProfitLoss = StdDev(trades); if (trades.Count < 30) SystemQualityNumber = 0; else SystemQualityNumber = Math.Sqrt(trades.Count)*trades.Average()/stdProfitLoss; } private void CalculateSharpeRatioAndHpr(IBacktester backtester) { double previousBalance = backtester.Profile.InitialAccount; var holdingPeriodReturnList = new List(); for (int pos = 0; pos < backtester.PositionsTotal; pos++) { Position position = backtester.PosFromNumb(pos); if (position.Transaction != Transaction.Close && position.Transaction != Transaction.Reduce && position.Transaction != Transaction.Reverse) continue; // There is no profit/loss taken. double profit = position.MoneyProfitLoss; holdingPeriodReturnList.Add(1 + profit/previousBalance); previousBalance += profit; } if (holdingPeriodReturnList.Count == 0) return; double averageHoldingPeriodReturn = holdingPeriodReturnList.Average(); double hprStdDev = StdDev(holdingPeriodReturnList); SharpeRatio = (averageHoldingPeriodReturn - 1)/hprStdDev; AverageHprPercent = 100*(averageHoldingPeriodReturn - 1); GeometricHprPercent = 100*(Math.Pow((NetMoneyBalance/backtester.Profile.InitialAccount), (1.0/holdingPeriodReturnList.Count)) - 1); } private void CalculateMaxConsecutiveLoses(IBacktester backtester) { maxConsecLoses = 0; int sum = 0; for (int pos = 0; pos < backtester.PositionsTotal; pos++) { Position position = backtester.PosFromNumb(pos); if (position.Transaction != Transaction.Close && position.Transaction != Transaction.Reduce && position.Transaction != Transaction.Reverse) continue; // There is no profit/loss taken. if (position.ProfitLoss < -Epsilon) sum++; else if (position.ProfitLoss > Epsilon) sum = 0; if (sum > maxConsecLoses) maxConsecLoses = sum; } } private void CalculateProfitLoss(IBacktester backtester) { int countLoses = 0; int countProfits = 0; double grossProfit = 0; double grossLoss = 0; for (int pos = 0; pos < backtester.PositionsTotal; pos++) { Position position = backtester.PosFromNumb(pos); if (position.Transaction != Transaction.Close && position.Transaction != Transaction.Reduce && position.Transaction != Transaction.Reverse) continue; // There is no profit/loss taken. double profit = position.ProfitLoss; if (profit < -Epsilon) { countLoses++; grossLoss += profit; grossMoneyLoss += position.MoneyProfitLoss; } else if (profit > Epsilon) { countProfits++; grossProfit += profit; grossMoneyProfit += position.MoneyProfitLoss; } } if (countProfits != 0) averageMoneyProfit = grossMoneyProfit/countProfits; if (countLoses != 0) averageMoneyLoss = grossMoneyLoss/countLoses; if (countProfits != 0) averageProfit = (int) Math.Round(grossProfit/countProfits); if (countLoses != 0) averageLoss = (int) Math.Round(grossLoss/countLoses); } private double StdDev(IEnumerable values) { double mean = 0.0; double sum = 0.0; double stdDev = 0.0; int n = 0; foreach (double val in values) { n++; double delta = val - mean; mean += delta/n; sum += delta*(val - mean); } if (1 < n) stdDev = Math.Sqrt(sum/(n - 1)); return stdDev; } private double CalculateMaxSmoothBalanceDeviationPercent(IBacktester backtester) { int firstBar = backtester.Strategy.FirstBar; int bars = backtester.DataSet.Bars; const int checkPoints = 100; double netBalance = NetMoneyBalance; double startBalance = backtester.Profile.InitialAccount; double maxDeviationPercent = 0; for (int i = 1; i <= checkPoints; i++) { var bar = (int) (firstBar + i*((bars - firstBar)/(checkPoints + 1.0))); double checkPointBalance = backtester.MoneyBalance(bar); double targetBalance = startBalance + i*(netBalance - startBalance)/(checkPoints + 1.0); double deviationPercent = Math.Abs((targetBalance - checkPointBalance)/targetBalance); if (maxDeviationPercent < deviationPercent) maxDeviationPercent = deviationPercent; } return maxDeviationPercent; } } }