C# Class Forex_Strategy_Builder.Backtester

Class Backtester

Inheritance: Data

Mostrar archivo Open project: nuggett11/Forex-Strategy-Builder Class Usage Examples

Private Properties

Property	Type	Description
AnalyseEntry	void
AnalyseExit	void
AnalysePermanentSLExit	void
AnalysePermanentTPExit	void
ArrangeBarsHighLow	void
BarInterpolation	void
CalculateAdditionalStats	void
CancelInvalidOrders	void
CancelNoexecutedEntryOrders	void
CancelNoexecutedExitOrders	void
CheckOrd	bool
EntryLogicConditions	void
ExecOrd	OrderStatus
ExecuteEntryAtClosingPrice	void
ExecuteEntryAtOpeningPrice	void
ExecuteExitAtClosingPrice	void
FastCalculating	bool
FindCancelExitOrder	void
GenerateAccountStats	void
GenerateAccountStatsInMoney	void
IntrabarScanning	bool
MarginCallCheckAtBarClosing	void
NearestMethod	void
NormalizeEntryLots	double
OptimisticPessimisticMethod	void
OrdBuyLimit	void
OrdBuyMarket	void
OrdBuyStop	void
OrdBuyStopLimit	void
OrdSellLimit	void
OrdSellMarket	void
OrdSellStop	void
OrdSellStopLimit	void
RandomMethod	void
ResetStart	void
ResetStop	void
SetAdditioanlMoneyStats	void
SetAdditioanlStats	void
SetEntryOrders	void
SetExitOrders	void
SetPosition	void
ShortestMethod	void
TickScanning	bool
TransferFromPreviousBar	void

Public Methods

Method	Description
AccountExchangeRate ( double price ) : double	Account Exchange Rate.
BalanceDrawdown ( int bar ) : int	Returns the Balance Drawdown in pips
Calculate ( ) : void	Calculate strategy
CalculateAccountStats ( ) : void	Calculates the account statistics.
Calculation ( ) : void	The main calculating cycle
Commission ( double lots, double price, bool isPosClosing ) : double	Calculates the commission in pips.
CommissionInMoney ( double lots, double price, bool isPosClosing ) : double	Calculates the commission in currency.
EquityDrawdown ( int bar ) : int	Returns the Equity Drawdown in pips
LongBalance ( int bar ) : int	Returns the long balance at the end of the bar in pips.
LongMoneyBalance ( int bar ) : double	Returns the long balance at the end of the bar in money.
MoneyBalanceDrawdown ( int bar ) : double	Returns the Balance Drawdown in currency
MoneyEquityDrawdown ( int bar ) : double	Returns the Equity Drawdown in currency.
MoneyToPips ( double money, int bar ) : double	Converts money to pips.
PipsToMoney ( double pips, int bar ) : double	Converts pips to money.
RequiredMargin ( double lots, int bar ) : double	Calculates the required margin.
RolloverInMoney ( PosDirection posDir, double lots, int daysRollover, double price ) : double	Calculates the rollover fee in currency.
Scan ( ) : void	Performs an intrabar scanning
ShortBalance ( int bar ) : int	Returns the short balance at the end of the bar in pips.
ShortMoneyBalance ( int bar ) : double	Returns the short balance at the end of the bar in money.
TradingSize ( double size, int bar ) : double	Calculates the trading size in normalized lots.

Private Methods

Method	Description
AnalyseEntry ( int bar ) : void	Checks the slots for a permission to open a position. If there are no filters that forbid it, sets the entry orders.
AnalyseExit ( int bar ) : void	Sets the close orders for the indicated bar.
AnalysePermanentSLExit ( int bar ) : void	Sets Permanent Stop Loss close orders for the indicated bar
AnalysePermanentTPExit ( int bar ) : void	Sets Permanent Take Profit close orders for the indicated bar
ArrangeBarsHighLow ( int bar ) : void	Arranges the order of hitting the bar's Top and Bottom.
BarInterpolation ( int bar ) : void	Arranges the orders inside the bar.
CalculateAdditionalStats ( ) : void	Calculates the values of the stats parameters.
CancelInvalidOrders ( int bar ) : void	Checks all orders in the current bar and cancels the invalid ones.
CancelNoexecutedEntryOrders ( int bar ) : void	Cancel all no executed entry orders
CancelNoexecutedExitOrders ( int bar ) : void	Cancel all no executed exit orders
CheckOrd ( int bar, int iOrd ) : bool	Checks the order
EntryLogicConditions ( int bar, string group, double buyPrice, double sellPrice, bool &canOpenLong, bool &canOpenShort ) : void	checks if the opening logic conditions allow long or short entry.
ExecOrd ( int bar, Order order, double price, BacktestEval testEval ) : OrderStatus	Tunes and Executes an order
ExecuteEntryAtClosingPrice ( int bar ) : void	Executes an entry at the closing of the bar
ExecuteEntryAtOpeningPrice ( int bar ) : void	Executes an entry at the beginning of the bar
ExecuteExitAtClosingPrice ( int bar ) : void	Executes an exit at the closing of the bar
FastCalculating ( int startBar ) : bool	Calculate statistics
FindCancelExitOrder ( int bar, Order order ) : void	Finds and cancels the exit order of an entry order
GenerateAccountStats ( ) : void	Generate the Account Statistics in pips.
GenerateAccountStatsInMoney ( ) : void	Generate the Account Statistics in currency.
IntrabarScanning ( int bar, BacktestEval eval, double &current, int &reachedIntrabar, int &tradedIntrabar, bool isTopReachable, bool isBottomReachable, bool isHigherPrice, bool isLowerPrice, double priceHigher, double priceLower, Order orderHigher, Order orderLower, bool isClosingAmbiguity ) : bool	Intrabar Scanning
MarginCallCheckAtBarClosing ( int bar ) : void	Checks and perform actions in case of a Margin Call
NearestMethod ( int bar, BacktestEval eval, double &current, bool isTopReachable, bool isBottomReachable, bool isHigherPrice, bool isLowerPrice, double priceHigher, double priceLower, Order orderHigher, Order orderLower, bool isClosingAmbiguity ) : void	Nearest order first Method
NormalizeEntryLots ( double lots ) : double
OptimisticPessimisticMethod ( int bar, BacktestEval eval, double &current, bool isTopReachable, bool isBottomReachable, bool isHigherPrice, bool isLowerPrice, double priceHigher, double priceLower, Order orderHigher, Order orderLower, bool isClosingAmbiguity ) : void	Optimistic / Pessimistic Method
OrdBuyLimit ( int bar, int orderIf, int toPos, double lots, double price, OrderSender sender, OrderOrigin origin, string note ) : void	Sets a new order Buy Limit.
OrdBuyMarket ( int bar, int orderIf, int toPos, double lots, double price, OrderSender sender, OrderOrigin origin, string note ) : void	Sets a new order Buy Market.
OrdBuyStop ( int bar, int orderIf, int toPos, double lots, double price, OrderSender sender, OrderOrigin origin, string note ) : void	Sets a new order Buy Stop.
OrdBuyStopLimit ( int bar, int orderIf, int toPos, double lots, double price1, double price2, OrderSender sender, OrderOrigin origin, string note ) : void	Sets a new order Buy Stop Limit.
OrdSellLimit ( int bar, int orderIf, int toPos, double lots, double price, OrderSender sender, OrderOrigin origin, string note ) : void	Sets a new order Sell Limit.
OrdSellMarket ( int bar, int orderIf, int toPos, double lots, double price, OrderSender sender, OrderOrigin origin, string note ) : void	Sets a new order Sell Market.
OrdSellStop ( int bar, int orderIf, int toPos, double lots, double price, OrderSender sender, OrderOrigin origin, string note ) : void	Sets a new order Sell Stop.
OrdSellStopLimit ( int bar, int orderIf, int toPos, double lots, double price1, double price2, OrderSender sender, OrderOrigin origin, string note ) : void	Sets a new order Sell Stop Limit.
RandomMethod ( int bar, BacktestEval eval, double &current, bool isTopReachable, bool isBottomReachable, bool isHigherPrice, bool isLowerPrice, double priceHigher, double priceLower, Order orderHigher, Order orderLower, bool isClosingAmbiguity ) : void	Random Execution Method
ResetStart ( ) : void	Resets the variables and prepares the arrays
ResetStop ( ) : void	Resets the variables at the end of the test.
SetAdditioanlMoneyStats ( ) : void	Sets the additional stats in Money.
SetAdditioanlStats ( ) : void	Sets the additional stats in pips.
SetEntryOrders ( int bar, double price, PosDirection posDir, double lots ) : void	Sets an entry order
SetExitOrders ( int bar, double priceStopLong, double priceStopShort ) : void	Sets an exit order
SetPosition ( int bar, OrderDirection ordDir, double lots, double price, int ordNumb ) : void	Sets the position.
ShortestMethod ( int bar, BacktestEval eval, double &current, bool isTopReachable, bool isBottomReachable, bool isHigherPrice, bool isLowerPrice, double priceHigher, double priceLower, Order orderHigher, Order orderLower, bool isClosingAmbiguity ) : void	Shortest route inside the bar Method
TickScanning ( int bar, BacktestEval eval, double &current, int &reachedTick, bool isTopReachable, bool isBottomReachable, bool isHigherPrice, bool isLowerPrice, double priceHigher, double priceLower, Order orderHigher, Order orderLower, bool isClosingAmbiguity ) : bool	Tick Scanning
TransferFromPreviousBar ( int bar ) : void

Method Details

AccountExchangeRate() public static method

Account Exchange Rate.

public static AccountExchangeRate ( double price ) : double
price	double
return	double

BalanceDrawdown() public static method

Returns the Balance Drawdown in pips

public static BalanceDrawdown ( int bar ) : int
bar	int
return	int

Calculate() public static method

Calculate strategy

public static Calculate ( ) : void
return	void

CalculateAccountStats() public static method

Calculates the account statistics.

public static CalculateAccountStats ( ) : void
return	void

Calculation() public static method

The main calculating cycle

public static Calculation ( ) : void
return	void

Commission() public static method

Calculates the commission in pips.

public static Commission ( double lots, double price, bool isPosClosing ) : double
lots	double
price	double
isPosClosing	bool
return	double

CommissionInMoney() public static method

Calculates the commission in currency.

public static CommissionInMoney ( double lots, double price, bool isPosClosing ) : double
lots	double
price	double
isPosClosing	bool
return	double

EquityDrawdown() public static method

Returns the Equity Drawdown in pips

public static EquityDrawdown ( int bar ) : int
bar	int
return	int

LongBalance() public static method

Returns the long balance at the end of the bar in pips.

public static LongBalance ( int bar ) : int
bar	int
return	int

LongMoneyBalance() public static method

Returns the long balance at the end of the bar in money.

public static LongMoneyBalance ( int bar ) : double
bar	int
return	double

MoneyBalanceDrawdown() public static method

Returns the Balance Drawdown in currency

public static MoneyBalanceDrawdown ( int bar ) : double
bar	int
return	double

MoneyEquityDrawdown() public static method

Returns the Equity Drawdown in currency.

public static MoneyEquityDrawdown ( int bar ) : double
bar	int
return	double

MoneyToPips() public static method

Converts money to pips.

public static MoneyToPips ( double money, int bar ) : double
money	double
bar	int
return	double

PipsToMoney() public static method

Converts pips to money.

public static PipsToMoney ( double pips, int bar ) : double
pips	double
bar	int
return	double

RequiredMargin() public static method

Calculates the required margin.

public static RequiredMargin ( double lots, int bar ) : double
lots	double
bar	int
return	double

RolloverInMoney() public static method

Calculates the rollover fee in currency.

public static RolloverInMoney ( PosDirection posDir, double lots, int daysRollover, double price ) : double
posDir	PosDirection
lots	double
daysRollover	int
price	double
return	double

Scan() public static method

Performs an intrabar scanning

public static Scan ( ) : void
return	void

ShortBalance() public static method

Returns the short balance at the end of the bar in pips.

public static ShortBalance ( int bar ) : int
bar	int
return	int

ShortMoneyBalance() public static method

Returns the short balance at the end of the bar in money.

public static ShortMoneyBalance ( int bar ) : double
bar	int
return	double

TradingSize() public static method

Calculates the trading size in normalized lots.

public static TradingSize ( double size, int bar ) : double
size	double
bar	int
return	double