wehub-resource-sync
670 lines
31 KiB
C#
670 lines
31 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Collections.Generic;
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using NUnit.Framework;
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using QuantConnect.Statistics;
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namespace QuantConnect.Tests.Common.Statistics
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{
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[TestFixture]
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class TradeStatisticsTests
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{
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private const decimal TradeFee = 2;
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private readonly DateTime _startTime = new DateTime(2015, 08, 06, 15, 30, 0);
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[Test]
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public void NoTrades()
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{
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var statistics = new TradeStatistics(new List<Trade>());
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Assert.AreEqual(null, statistics.StartDateTime);
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Assert.AreEqual(null, statistics.EndDateTime);
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Assert.AreEqual(0, statistics.TotalNumberOfTrades);
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Assert.AreEqual(0, statistics.NumberOfWinningTrades);
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Assert.AreEqual(0, statistics.NumberOfLosingTrades);
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Assert.AreEqual(0, statistics.TotalProfitLoss);
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Assert.AreEqual(0, statistics.TotalProfit);
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Assert.AreEqual(0, statistics.TotalLoss);
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Assert.AreEqual(0, statistics.LargestProfit);
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Assert.AreEqual(0, statistics.LargestLoss);
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Assert.AreEqual(0, statistics.AverageProfitLoss);
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Assert.AreEqual(0, statistics.AverageProfit);
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Assert.AreEqual(0, statistics.AverageLoss);
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Assert.AreEqual(TimeSpan.Zero, statistics.AverageTradeDuration);
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Assert.AreEqual(TimeSpan.Zero, statistics.AverageWinningTradeDuration);
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Assert.AreEqual(TimeSpan.Zero, statistics.AverageLosingTradeDuration);
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Assert.AreEqual(0, statistics.MaxConsecutiveWinningTrades);
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Assert.AreEqual(0, statistics.MaxConsecutiveLosingTrades);
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Assert.AreEqual(0, statistics.ProfitLossRatio);
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Assert.AreEqual(0, statistics.WinLossRatio);
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Assert.AreEqual(0, statistics.WinRate);
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Assert.AreEqual(0, statistics.LossRate);
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Assert.AreEqual(0, statistics.AverageMAE);
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Assert.AreEqual(0, statistics.AverageMFE);
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Assert.AreEqual(0, statistics.LargestMAE);
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Assert.AreEqual(0, statistics.LargestMFE);
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Assert.AreEqual(0, statistics.MaximumClosedTradeDrawdown);
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Assert.AreEqual(0, statistics.MaximumIntraTradeDrawdown);
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Assert.AreEqual(0, statistics.ProfitLossStandardDeviation);
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Assert.AreEqual(0, statistics.ProfitLossDownsideDeviation);
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Assert.AreEqual(0, statistics.ProfitFactor);
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Assert.AreEqual(0, statistics.SharpeRatio);
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Assert.AreEqual(0, statistics.SortinoRatio);
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Assert.AreEqual(0, statistics.ProfitToMaxDrawdownRatio);
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Assert.AreEqual(0, statistics.MaximumEndTradeDrawdown);
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Assert.AreEqual(0, statistics.AverageEndTradeDrawdown);
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Assert.AreEqual(TimeSpan.Zero, statistics.MaximumDrawdownDuration);
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Assert.AreEqual(0, statistics.TotalFees);
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}
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[Test]
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public void ThreeWinners()
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{
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var statistics = new TradeStatistics(CreateThreeWinners());
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Assert.AreEqual(_startTime, statistics.StartDateTime);
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Assert.AreEqual(_startTime.AddMinutes(40), statistics.EndDateTime);
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Assert.AreEqual(3, statistics.TotalNumberOfTrades);
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Assert.AreEqual(3, statistics.NumberOfWinningTrades);
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Assert.AreEqual(0, statistics.NumberOfLosingTrades);
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Assert.AreEqual(50, statistics.TotalProfitLoss);
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Assert.AreEqual(50, statistics.TotalProfit);
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Assert.AreEqual(0, statistics.TotalLoss);
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Assert.AreEqual(20, statistics.LargestProfit);
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Assert.AreEqual(0, statistics.LargestLoss);
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Assert.AreEqual(16.666666666666666666666666667m, statistics.AverageProfitLoss);
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Assert.AreEqual(16.666666666666666666666666667m, statistics.AverageProfit);
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Assert.AreEqual(0, statistics.AverageLoss);
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Assert.AreEqual(TimeSpan.FromMinutes(20), statistics.AverageTradeDuration);
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Assert.AreEqual(TimeSpan.FromMinutes(20), statistics.AverageWinningTradeDuration);
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Assert.AreEqual(TimeSpan.Zero, statistics.AverageLosingTradeDuration);
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Assert.AreEqual(3, statistics.MaxConsecutiveWinningTrades);
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Assert.AreEqual(0, statistics.MaxConsecutiveLosingTrades);
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Assert.AreEqual(0, statistics.ProfitLossRatio);
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Assert.AreEqual(10, statistics.WinLossRatio);
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Assert.AreEqual(1, statistics.WinRate);
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Assert.AreEqual(0, statistics.LossRate);
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Assert.AreEqual(-16.666666666666666666666666667m, statistics.AverageMAE);
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Assert.AreEqual(33.333333333333333333333333333m, statistics.AverageMFE);
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Assert.AreEqual(-30, statistics.LargestMAE);
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Assert.AreEqual(40, statistics.LargestMFE);
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Assert.AreEqual(0, statistics.MaximumClosedTradeDrawdown);
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Assert.AreEqual(-70, statistics.MaximumIntraTradeDrawdown);
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Assert.AreEqual(5.77350269189626m, statistics.ProfitLossStandardDeviation);
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Assert.AreEqual(0, statistics.ProfitLossDownsideDeviation);
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Assert.AreEqual(10, statistics.ProfitFactor);
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Assert.AreEqual(2.8867513459481276450914878051m, statistics.SharpeRatio);
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Assert.AreEqual(0, statistics.SortinoRatio);
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Assert.AreEqual(10, statistics.ProfitToMaxDrawdownRatio);
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Assert.AreEqual(20, statistics.MaximumEndTradeDrawdown);
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Assert.AreEqual(-16.666666666666666666666666666m, statistics.AverageEndTradeDrawdown);
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Assert.AreEqual(TimeSpan.Zero, statistics.MaximumDrawdownDuration);
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Assert.AreEqual(6, statistics.TotalFees);
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}
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private IEnumerable<Trade> CreateThreeWinners()
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{
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var time = _startTime;
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return new List<Trade>
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{
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new Trade
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{
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Symbols =[Symbols.EURUSD],
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EntryTime = time,
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EntryPrice = 1.07m,
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Direction = TradeDirection.Long,
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Quantity = 1000,
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ExitTime = time.AddMinutes(20),
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ExitPrice = 1.09m,
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ProfitLoss = 20,
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TotalFees = TradeFee,
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MAE = -5,
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MFE = 30,
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EndTradeDrawdown = 10
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},
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new Trade
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{
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Symbols =[Symbols.EURUSD],
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EntryTime = time.AddMinutes(10),
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EntryPrice = 1.08m,
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Direction = TradeDirection.Long,
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Quantity = 2000,
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ExitTime = time.AddMinutes(40),
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ExitPrice = 1.09m,
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ProfitLoss = 20,
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TotalFees = TradeFee,
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MAE = -30,
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MFE = 40,
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EndTradeDrawdown = 20
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},
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new Trade
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{
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Symbols =[Symbols.EURUSD],
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EntryTime = time.AddMinutes(30),
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EntryPrice = 1.08m,
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Direction = TradeDirection.Long,
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Quantity = 1000,
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ExitTime = time.AddMinutes(40),
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ExitPrice = 1.09m,
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ProfitLoss = 10,
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TotalFees = TradeFee,
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MAE = -15,
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MFE = 30,
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EndTradeDrawdown = 20
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}
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};
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}
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[Test]
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public void ThreeLosers()
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{
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var statistics = new TradeStatistics(CreateThreeLosers());
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Assert.AreEqual(_startTime, statistics.StartDateTime);
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Assert.AreEqual(_startTime.AddMinutes(40), statistics.EndDateTime);
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Assert.AreEqual(3, statistics.TotalNumberOfTrades);
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Assert.AreEqual(0, statistics.NumberOfWinningTrades);
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Assert.AreEqual(3, statistics.NumberOfLosingTrades);
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Assert.AreEqual(-50, statistics.TotalProfitLoss);
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Assert.AreEqual(0, statistics.TotalProfit);
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Assert.AreEqual(-50, statistics.TotalLoss);
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Assert.AreEqual(0, statistics.LargestProfit);
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Assert.AreEqual(-20, statistics.LargestLoss);
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Assert.AreEqual(-16.666666666666666666666666667m, statistics.AverageProfitLoss);
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Assert.AreEqual(0, statistics.AverageProfit);
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Assert.AreEqual(-16.666666666666666666666666667m, statistics.AverageLoss);
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Assert.AreEqual(TimeSpan.FromMinutes(20), statistics.AverageTradeDuration);
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Assert.AreEqual(TimeSpan.Zero, statistics.AverageWinningTradeDuration);
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Assert.AreEqual(TimeSpan.FromMinutes(20), statistics.AverageLosingTradeDuration);
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Assert.AreEqual(0, statistics.MaxConsecutiveWinningTrades);
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Assert.AreEqual(3, statistics.MaxConsecutiveLosingTrades);
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Assert.AreEqual(0, statistics.ProfitLossRatio);
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Assert.AreEqual(0, statistics.WinLossRatio);
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Assert.AreEqual(0, statistics.WinRate);
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Assert.AreEqual(1, statistics.LossRate);
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Assert.AreEqual(-33.333333333333333333333333333m, statistics.AverageMAE);
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Assert.AreEqual(16.666666666666666666666666667m, statistics.AverageMFE);
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Assert.AreEqual(-40, statistics.LargestMAE);
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Assert.AreEqual(30, statistics.LargestMFE);
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Assert.AreEqual(-50, statistics.MaximumClosedTradeDrawdown);
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Assert.AreEqual(-80, statistics.MaximumIntraTradeDrawdown);
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Assert.AreEqual(5.77350269189626m, statistics.ProfitLossStandardDeviation);
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Assert.AreEqual(5.77350269189626m, statistics.ProfitLossDownsideDeviation);
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Assert.AreEqual(0, statistics.ProfitFactor);
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Assert.AreEqual(-2.8867513459481276450914878051m, statistics.SharpeRatio);
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Assert.AreEqual(-2.8867513459481276450914878051m, statistics.SortinoRatio);
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Assert.AreEqual(-1, statistics.ProfitToMaxDrawdownRatio);
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Assert.AreEqual(50, statistics.MaximumEndTradeDrawdown);
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Assert.AreEqual(-33.333333333333333333333333334m, statistics.AverageEndTradeDrawdown);
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Assert.AreEqual(TimeSpan.Zero, statistics.MaximumDrawdownDuration);
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Assert.AreEqual(6, statistics.TotalFees);
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}
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private IEnumerable<Trade> CreateThreeLosers()
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{
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var time = _startTime;
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return new List<Trade>
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{
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new Trade
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{
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Symbols =[Symbols.EURUSD],
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EntryTime = time,
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EntryPrice = 1.07m,
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Direction = TradeDirection.Short,
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Quantity = 1000,
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ExitTime = time.AddMinutes(20),
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ExitPrice = 1.09m,
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ProfitLoss = -20,
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TotalFees = TradeFee,
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MAE = -30,
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MFE = 5,
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EndTradeDrawdown = 25
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},
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new Trade
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{
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Symbols =[Symbols.EURUSD],
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EntryTime = time.AddMinutes(10),
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EntryPrice = 1.08m,
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Direction = TradeDirection.Short,
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Quantity = 2000,
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ExitTime = time.AddMinutes(40),
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ExitPrice = 1.09m,
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ProfitLoss = -20,
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TotalFees = TradeFee,
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MAE = -40,
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MFE = 30,
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EndTradeDrawdown = 50
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},
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new Trade
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{
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Symbols =[Symbols.EURUSD],
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EntryTime = time.AddMinutes(30),
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EntryPrice = 1.08m,
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Direction = TradeDirection.Short,
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Quantity = 1000,
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ExitTime = time.AddMinutes(40),
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ExitPrice = 1.09m,
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ProfitLoss = -10,
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TotalFees = TradeFee,
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MAE = -30,
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MFE = 15,
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EndTradeDrawdown = 25
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}
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};
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}
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[Test]
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public void TwoLosersOneWinner()
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{
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var statistics = new TradeStatistics(CreateTwoLosersOneWinner());
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Assert.AreEqual(_startTime, statistics.StartDateTime);
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Assert.AreEqual(_startTime.AddMinutes(40), statistics.EndDateTime);
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Assert.AreEqual(3, statistics.TotalNumberOfTrades);
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Assert.AreEqual(1, statistics.NumberOfWinningTrades);
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Assert.AreEqual(2, statistics.NumberOfLosingTrades);
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Assert.AreEqual(-30, statistics.TotalProfitLoss);
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Assert.AreEqual(10, statistics.TotalProfit);
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Assert.AreEqual(-40, statistics.TotalLoss);
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Assert.AreEqual(10, statistics.LargestProfit);
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Assert.AreEqual(-20, statistics.LargestLoss);
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Assert.AreEqual(-10, statistics.AverageProfitLoss);
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Assert.AreEqual(10, statistics.AverageProfit);
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Assert.AreEqual(-20, statistics.AverageLoss);
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Assert.AreEqual(TimeSpan.FromSeconds(800), statistics.AverageTradeDuration);
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Assert.AreEqual(TimeSpan.FromMinutes(10), statistics.AverageWinningTradeDuration);
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Assert.AreEqual(TimeSpan.FromMinutes(15), statistics.AverageLosingTradeDuration);
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Assert.AreEqual(1, statistics.MaxConsecutiveWinningTrades);
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Assert.AreEqual(2, statistics.MaxConsecutiveLosingTrades);
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Assert.AreEqual(0.5m, statistics.ProfitLossRatio);
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Assert.AreEqual(0.5m, statistics.WinLossRatio);
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Assert.AreEqual(0.3333333333333333333333333333m, statistics.WinRate);
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Assert.AreEqual(0.6666666666666666666666666667m, statistics.LossRate);
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Assert.AreEqual(-28.333333333333333333333333333333m, statistics.AverageMAE);
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Assert.AreEqual(21.666666666666666666666666666667m, statistics.AverageMFE);
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Assert.AreEqual(-40, statistics.LargestMAE);
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Assert.AreEqual(30, statistics.LargestMFE);
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Assert.AreEqual(-40, statistics.MaximumClosedTradeDrawdown);
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Assert.AreEqual(-70, statistics.MaximumIntraTradeDrawdown);
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Assert.AreEqual(17.3205080756888m, statistics.ProfitLossStandardDeviation);
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Assert.AreEqual(0, statistics.ProfitLossDownsideDeviation);
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Assert.AreEqual(0.25m, statistics.ProfitFactor);
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Assert.AreEqual(-0.5773502691896248623516308943m, statistics.SharpeRatio);
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Assert.AreEqual(0, statistics.SortinoRatio);
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Assert.AreEqual(-0.75m, statistics.ProfitToMaxDrawdownRatio);
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Assert.AreEqual(50, statistics.MaximumEndTradeDrawdown);
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Assert.AreEqual(-31.666666666666666666666666666667m, statistics.AverageEndTradeDrawdown);
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Assert.AreEqual(TimeSpan.Zero, statistics.MaximumDrawdownDuration);
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Assert.AreEqual(6, statistics.TotalFees);
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}
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private IEnumerable<Trade> CreateTwoLosersOneWinner()
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{
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var time = _startTime;
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return new List<Trade>
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{
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new Trade
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{
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Symbols =[Symbols.EURUSD],
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EntryTime = time,
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EntryPrice = 1.07m,
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Direction = TradeDirection.Short,
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Quantity = 1000,
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ExitTime = time.AddMinutes(20),
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ExitPrice = 1.09m,
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ProfitLoss = -20,
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TotalFees = TradeFee,
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MAE = -30,
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MFE = 5,
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EndTradeDrawdown = 30
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},
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new Trade
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{
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Symbols =[Symbols.EURUSD],
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EntryTime = time.AddMinutes(10),
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EntryPrice = 1.08m,
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Direction = TradeDirection.Short,
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Quantity = 2000,
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ExitTime = time.AddMinutes(20),
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ExitPrice = 1.09m,
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ProfitLoss = -20,
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TotalFees = TradeFee,
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MAE = -40,
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MFE = 30,
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EndTradeDrawdown = 50
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},
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new Trade
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{
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Symbols =[Symbols.EURUSD],
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EntryTime = time.AddMinutes(30),
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EntryPrice = 1.08m,
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Direction = TradeDirection.Long,
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Quantity = 1000,
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ExitTime = time.AddMinutes(40),
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ExitPrice = 1.09m,
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ProfitLoss = 10,
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TotalFees = TradeFee,
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MAE = -15,
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MFE = 30,
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EndTradeDrawdown = 20
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}
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};
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}
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[Test]
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public void OneWinnerTwoLosers()
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{
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var statistics = new TradeStatistics(CreateOneWinnerTwoLosers());
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Assert.AreEqual(_startTime, statistics.StartDateTime);
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Assert.AreEqual(_startTime.AddMinutes(40), statistics.EndDateTime);
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Assert.AreEqual(3, statistics.TotalNumberOfTrades);
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Assert.AreEqual(1, statistics.NumberOfWinningTrades);
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Assert.AreEqual(2, statistics.NumberOfLosingTrades);
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Assert.AreEqual(-30, statistics.TotalProfitLoss);
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Assert.AreEqual(10, statistics.TotalProfit);
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Assert.AreEqual(-40, statistics.TotalLoss);
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Assert.AreEqual(10, statistics.LargestProfit);
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Assert.AreEqual(-20, statistics.LargestLoss);
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Assert.AreEqual(-10, statistics.AverageProfitLoss);
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Assert.AreEqual(10, statistics.AverageProfit);
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Assert.AreEqual(-20, statistics.AverageLoss);
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Assert.AreEqual(TimeSpan.FromSeconds(800), statistics.AverageTradeDuration);
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Assert.AreEqual(TimeSpan.FromMinutes(10), statistics.AverageWinningTradeDuration);
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Assert.AreEqual(TimeSpan.FromMinutes(15), statistics.AverageLosingTradeDuration);
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Assert.AreEqual(1, statistics.MaxConsecutiveWinningTrades);
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Assert.AreEqual(2, statistics.MaxConsecutiveLosingTrades);
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Assert.AreEqual(0.5m, statistics.ProfitLossRatio);
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Assert.AreEqual(0.5m, statistics.WinLossRatio);
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Assert.AreEqual(0.3333333333333333333333333333m, statistics.WinRate);
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Assert.AreEqual(0.6666666666666666666666666667m, statistics.LossRate);
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Assert.AreEqual(-28.333333333333333333333333333333m, statistics.AverageMAE);
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Assert.AreEqual(21.666666666666666666666666666667m, statistics.AverageMFE);
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Assert.AreEqual(-40, statistics.LargestMAE);
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Assert.AreEqual(30, statistics.LargestMFE);
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Assert.AreEqual(-40, statistics.MaximumClosedTradeDrawdown);
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Assert.AreEqual(-80, statistics.MaximumIntraTradeDrawdown);
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Assert.AreEqual(17.3205080756888m, statistics.ProfitLossStandardDeviation);
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Assert.AreEqual(0, statistics.ProfitLossDownsideDeviation);
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Assert.AreEqual(0.25m, statistics.ProfitFactor);
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Assert.AreEqual(-0.5773502691896248623516308943m, statistics.SharpeRatio);
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Assert.AreEqual(0, statistics.SortinoRatio);
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Assert.AreEqual(-0.75m, statistics.ProfitToMaxDrawdownRatio);
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Assert.AreEqual(50, statistics.MaximumEndTradeDrawdown);
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Assert.AreEqual(-31.666666666666666666666666666667m, statistics.AverageEndTradeDrawdown);
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Assert.AreEqual(TimeSpan.Zero, statistics.MaximumDrawdownDuration);
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Assert.AreEqual(6, statistics.TotalFees);
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}
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private IEnumerable<Trade> CreateOneWinnerTwoLosers()
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{
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var time = _startTime;
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return new List<Trade>
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{
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new Trade
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{
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Symbols =[Symbols.EURUSD],
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EntryTime = time,
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EntryPrice = 1.08m,
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Direction = TradeDirection.Long,
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Quantity = 1000,
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ExitTime = time.AddMinutes(10),
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ExitPrice = 1.09m,
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ProfitLoss = 10,
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TotalFees = TradeFee,
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MAE = -15,
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MFE = 30,
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EndTradeDrawdown = 20
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},
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new Trade
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{
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Symbols =[Symbols.EURUSD],
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EntryTime = time.AddMinutes(20),
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EntryPrice = 1.07m,
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Direction = TradeDirection.Short,
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|
Quantity = 1000,
|
|
ExitTime = time.AddMinutes(40),
|
|
ExitPrice = 1.09m,
|
|
ProfitLoss = -20,
|
|
TotalFees = TradeFee,
|
|
MAE = -30,
|
|
MFE = 5,
|
|
EndTradeDrawdown = 25
|
|
},
|
|
new Trade
|
|
{
|
|
Symbols =[Symbols.EURUSD],
|
|
EntryTime = time.AddMinutes(30),
|
|
EntryPrice = 1.08m,
|
|
Direction = TradeDirection.Short,
|
|
Quantity = 2000,
|
|
ExitTime = time.AddMinutes(40),
|
|
ExitPrice = 1.09m,
|
|
ProfitLoss = -20,
|
|
TotalFees = TradeFee,
|
|
MAE = -40,
|
|
MFE = 30,
|
|
EndTradeDrawdown = 50
|
|
}
|
|
};
|
|
}
|
|
|
|
[Test]
|
|
public void OneLoserTwoWinners()
|
|
{
|
|
var statistics = new TradeStatistics(CreateOneLoserTwoWinners());
|
|
|
|
Assert.AreEqual(_startTime, statistics.StartDateTime);
|
|
Assert.AreEqual(_startTime.AddMinutes(40), statistics.EndDateTime);
|
|
Assert.AreEqual(3, statistics.TotalNumberOfTrades);
|
|
Assert.AreEqual(2, statistics.NumberOfWinningTrades);
|
|
Assert.AreEqual(1, statistics.NumberOfLosingTrades);
|
|
Assert.AreEqual(10, statistics.TotalProfitLoss);
|
|
Assert.AreEqual(30, statistics.TotalProfit);
|
|
Assert.AreEqual(-20, statistics.TotalLoss);
|
|
Assert.AreEqual(20, statistics.LargestProfit);
|
|
Assert.AreEqual(-20, statistics.LargestLoss);
|
|
Assert.AreEqual(3.3333333333333333333333333333m, statistics.AverageProfitLoss);
|
|
Assert.AreEqual(15, statistics.AverageProfit);
|
|
Assert.AreEqual(-20, statistics.AverageLoss);
|
|
Assert.AreEqual(TimeSpan.FromSeconds(800), statistics.AverageTradeDuration);
|
|
Assert.AreEqual(TimeSpan.FromMinutes(10), statistics.AverageWinningTradeDuration);
|
|
Assert.AreEqual(TimeSpan.FromMinutes(20), statistics.AverageLosingTradeDuration);
|
|
Assert.AreEqual(2, statistics.MaxConsecutiveWinningTrades);
|
|
Assert.AreEqual(1, statistics.MaxConsecutiveLosingTrades);
|
|
Assert.AreEqual(0.75m, statistics.ProfitLossRatio);
|
|
Assert.AreEqual(2, statistics.WinLossRatio);
|
|
Assert.AreEqual(0.6666666666666666666666666667m, statistics.WinRate);
|
|
Assert.AreEqual(0.3333333333333333333333333333m, statistics.LossRate);
|
|
Assert.AreEqual(-28.333333333333333333333333333333m, statistics.AverageMAE);
|
|
Assert.AreEqual(21.666666666666666666666666666667m, statistics.AverageMFE);
|
|
Assert.AreEqual(-40, statistics.LargestMAE);
|
|
Assert.AreEqual(30, statistics.LargestMFE);
|
|
Assert.AreEqual(-20, statistics.MaximumClosedTradeDrawdown);
|
|
Assert.AreEqual(-70, statistics.MaximumIntraTradeDrawdown);
|
|
Assert.AreEqual(20.8166599946613m, statistics.ProfitLossStandardDeviation);
|
|
Assert.AreEqual(0, statistics.ProfitLossDownsideDeviation);
|
|
Assert.AreEqual(1.5m, statistics.ProfitFactor);
|
|
Assert.AreEqual(0.1601281538050873438895842626m, statistics.SharpeRatio);
|
|
Assert.AreEqual(0, statistics.SortinoRatio);
|
|
Assert.AreEqual(0.5m, statistics.ProfitToMaxDrawdownRatio);
|
|
Assert.AreEqual(25, statistics.MaximumEndTradeDrawdown);
|
|
Assert.AreEqual(-18.333333333333333333333333334m, statistics.AverageEndTradeDrawdown);
|
|
Assert.AreEqual(TimeSpan.FromMinutes(40), statistics.MaximumDrawdownDuration);
|
|
Assert.AreEqual(6, statistics.TotalFees);
|
|
}
|
|
|
|
private IEnumerable<Trade> CreateOneLoserTwoWinners()
|
|
{
|
|
var time = _startTime;
|
|
|
|
return new List<Trade>
|
|
{
|
|
new Trade
|
|
{
|
|
Symbols =[Symbols.EURUSD],
|
|
EntryTime = time,
|
|
EntryPrice = 1.07m,
|
|
Direction = TradeDirection.Short,
|
|
Quantity = 1000,
|
|
ExitTime = time.AddMinutes(20),
|
|
ExitPrice = 1.09m,
|
|
ProfitLoss = -20,
|
|
TotalFees = TradeFee,
|
|
MAE = -30,
|
|
MFE = 5,
|
|
EndTradeDrawdown = 25
|
|
},
|
|
new Trade
|
|
{
|
|
Symbols =[Symbols.EURUSD],
|
|
EntryTime = time.AddMinutes(10),
|
|
EntryPrice = 1.08m,
|
|
Direction = TradeDirection.Long,
|
|
Quantity = 2000,
|
|
ExitTime = time.AddMinutes(20),
|
|
ExitPrice = 1.09m,
|
|
ProfitLoss = 20,
|
|
TotalFees = TradeFee,
|
|
MAE = -40,
|
|
MFE = 30,
|
|
EndTradeDrawdown = 10
|
|
},
|
|
new Trade
|
|
{
|
|
Symbols =[Symbols.EURUSD],
|
|
EntryTime = time.AddMinutes(30),
|
|
EntryPrice = 1.08m,
|
|
Direction = TradeDirection.Long,
|
|
Quantity = 1000,
|
|
ExitTime = time.AddMinutes(40),
|
|
ExitPrice = 1.09m,
|
|
ProfitLoss = 10,
|
|
TotalFees = TradeFee,
|
|
MAE = -15,
|
|
MFE = 30,
|
|
EndTradeDrawdown = 20
|
|
}
|
|
};
|
|
}
|
|
|
|
[Test]
|
|
public void ITMOptionAssignment([Values] bool win)
|
|
{
|
|
var statistics = new TradeStatistics(CreateITMOptionAssignment(win));
|
|
|
|
if (win)
|
|
{
|
|
Assert.AreEqual(2, statistics.NumberOfWinningTrades);
|
|
Assert.AreEqual(0, statistics.NumberOfLosingTrades);
|
|
Assert.AreEqual(2, statistics.MaxConsecutiveWinningTrades);
|
|
Assert.AreEqual(0, statistics.MaxConsecutiveLosingTrades);
|
|
Assert.AreEqual(10, statistics.WinLossRatio);
|
|
Assert.AreEqual(1m, statistics.WinRate);
|
|
Assert.AreEqual(0m, statistics.LossRate);
|
|
}
|
|
else
|
|
{
|
|
Assert.AreEqual(1, statistics.NumberOfWinningTrades);
|
|
Assert.AreEqual(1, statistics.NumberOfLosingTrades);
|
|
Assert.AreEqual(1, statistics.MaxConsecutiveWinningTrades);
|
|
Assert.AreEqual(1, statistics.MaxConsecutiveLosingTrades);
|
|
Assert.AreEqual(1m, statistics.WinLossRatio);
|
|
Assert.AreEqual(0.5m, statistics.WinRate);
|
|
Assert.AreEqual(0.5m, statistics.LossRate);
|
|
}
|
|
|
|
Assert.AreEqual(_startTime, statistics.StartDateTime);
|
|
Assert.AreEqual(_startTime.AddMinutes(30), statistics.EndDateTime);
|
|
Assert.AreEqual(2, statistics.TotalNumberOfTrades);
|
|
Assert.AreEqual(28000m, statistics.TotalProfitLoss);
|
|
Assert.AreEqual(108000m, statistics.TotalProfit);
|
|
Assert.AreEqual(-80000m, statistics.TotalLoss);
|
|
Assert.AreEqual(108000m, statistics.LargestProfit);
|
|
Assert.AreEqual(-80000m, statistics.LargestLoss);
|
|
Assert.AreEqual(14000m, statistics.AverageProfitLoss);
|
|
Assert.AreEqual(108000m, statistics.AverageProfit);
|
|
Assert.AreEqual(-80000m, statistics.AverageLoss);
|
|
Assert.AreEqual(TimeSpan.FromMinutes(15), statistics.AverageTradeDuration);
|
|
Assert.AreEqual(TimeSpan.FromMinutes(10), statistics.AverageWinningTradeDuration);
|
|
Assert.AreEqual(TimeSpan.FromMinutes(20), statistics.AverageLosingTradeDuration);
|
|
Assert.AreEqual(1.35m, statistics.ProfitLossRatio);
|
|
Assert.AreEqual(-40000m, statistics.AverageMAE);
|
|
Assert.AreEqual(54000m, statistics.AverageMFE);
|
|
Assert.AreEqual(-80000, statistics.LargestMAE);
|
|
Assert.AreEqual(108000, statistics.LargestMFE);
|
|
Assert.AreEqual(-80000, statistics.MaximumClosedTradeDrawdown);
|
|
Assert.AreEqual(-108000, statistics.MaximumIntraTradeDrawdown);
|
|
Assert.AreEqual(132936.074863071m, statistics.ProfitLossStandardDeviation);
|
|
Assert.AreEqual(0m, statistics.ProfitLossDownsideDeviation);
|
|
Assert.AreEqual(1.35m, statistics.ProfitFactor);
|
|
Assert.AreEqual(0.1053137759214006433027413265m, statistics.SharpeRatio);
|
|
Assert.AreEqual(0m, statistics.SortinoRatio);
|
|
Assert.AreEqual(0.35m, statistics.ProfitToMaxDrawdownRatio);
|
|
Assert.AreEqual(80000, statistics.MaximumEndTradeDrawdown);
|
|
Assert.AreEqual(-40000m, statistics.AverageEndTradeDrawdown);
|
|
Assert.AreEqual(TimeSpan.FromMinutes(30), statistics.MaximumDrawdownDuration);
|
|
Assert.AreEqual(4, statistics.TotalFees);
|
|
}
|
|
|
|
private IEnumerable<Trade> CreateITMOptionAssignment(bool win)
|
|
{
|
|
var time = _startTime;
|
|
|
|
return new List<Trade>
|
|
{
|
|
new Trade
|
|
{
|
|
Symbols = [Symbols.SPY_C_192_Feb19_2016],
|
|
EntryTime = time,
|
|
EntryPrice = 80m,
|
|
Direction = TradeDirection.Long,
|
|
Quantity = 10,
|
|
ExitTime = time.AddMinutes(20),
|
|
ExitPrice = 0m,
|
|
ProfitLoss = -80000m,
|
|
TotalFees = TradeFee,
|
|
MAE = -80000m,
|
|
MFE = 0,
|
|
EndTradeDrawdown = 80000m,
|
|
IsWin = win,
|
|
},
|
|
new Trade
|
|
{
|
|
Symbols =[Symbols.SPY],
|
|
EntryTime = time.AddMinutes(20),
|
|
EntryPrice = 192m,
|
|
Direction = TradeDirection.Long,
|
|
Quantity = 1000,
|
|
ExitTime = time.AddMinutes(30),
|
|
ExitPrice = 300m,
|
|
ProfitLoss = 108000m,
|
|
TotalFees = TradeFee,
|
|
MAE = 0,
|
|
MFE = 108000m,
|
|
EndTradeDrawdown = 0m,
|
|
IsWin = true,
|
|
},
|
|
};
|
|
}
|
|
}
|
|
}
|