Category Trend  Published on 18/05/2023

MACD CBot Extract Data to CSV Sample

Description

This Cbot serves just as a sample on how to use my Data Extraction Class for Optimization Data Extraction and Backtesting Data Extraction.

You can refer for a accurate Explanation on how to properly use it in  your cbot from this link CBot Data Extraction Class (Optimization & Backtesting Data Extractor).

This is a Cbot for demonstration purpose and doesn't guarantee any gaining, so don't use it on a live account with real money.

You can find me by joyining this Telegram Group http://t.me/cTraderCoders

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using System;
using System.Collections.Generic;
using cAlgo.API;
using cAlgo.API.Internals;
using cAlgo.API.Indicators;
using cAlgo.Indicators;
using System.Text;
using System.IO;
using System.Linq;
using System.Threading;
using System.Text.RegularExpressions;

namespace cAlgo.Robots
{
    [Robot(TimeZone = TimeZones.UTC, AccessRights = AccessRights.FullAccess)]
    public class MACDBotExampleDataExtraction : Robot
    {
        [Parameter("Stop Loss", DefaultValue = 1.5)]
        public double Stoploss { get; set; }

        [Parameter("Take Profit", DefaultValue = 2.5)]
        public double Takeprofit { get; set; }

        [Parameter("Fast Period", DefaultValue = 12)]
        public int Fastperiod { get; set; }

        [Parameter("Fast Period", DefaultValue = 26)]
        public int Slowperiod { get; set; }

        [Parameter("Signal Period", DefaultValue = 9)]
        public int Signalperiod { get; set; }

        [Parameter("Account % risk ", DefaultValue = 1)]
        public double AccountPct { get; set; }

        [Parameter("ATR Multiplier ", DefaultValue = 1.5)]
        public double AtrMultiplier { get; set; }

        [Parameter("Optimization File Name", DefaultValue = "CSV_OptimizationDataFile")]
        public string OptimizationFileName { get; set; }

        [Parameter("Optimization File Name", DefaultValue = "CSV_BackestingDataFile")]
        public string BacktestingFileName { get; set; }

        [Parameter("Enable Data Extraction", DefaultValue = true)]
        public bool DataWrittingEnabled { get; set; }

        public Mutex mutex = new Mutex(false, @"Global\mutex2203");

        public CBotPerformanceDataExtractor Extractor;

        private AverageTrueRange atr;

        private MacdCrossOver macd;


        protected override void OnStart()
        {
            atr = Indicators.AverageTrueRange(14, MovingAverageType.Exponential);

            macd = Indicators.MacdCrossOver(Slowperiod, Fastperiod, Signalperiod);

            //List<string> ParametersName = new List<string> {}; // uncomment this line if you want this data empty
            List<string> ParametersName = new List<string> { "Take Profit", "Stop Loss", "Account Risk %" };

            //List<string> ParametersValue = new List<string> { }; // uncomment this line if you want this data empty
            List<string> ParametersValue = new List<string> { Takeprofit.ToString(), Stoploss.ToString(), AccountPct.ToString() };

            Extractor = new CBotPerformanceDataExtractor();

            Extractor.InitOptimization(this, OptimizationFileName, ParametersName, ParametersValue);


            if (RunningMode == RunningMode.SilentBacktesting || RunningMode == RunningMode.VisualBacktesting)
            {
                Extractor.InitBacktesting(this, BacktestingFileName);
            }

            if (RunningMode == RunningMode.Optimization && DataWrittingEnabled)
            {
                try
                {
                    mutex.WaitOne();
                    Extractor.CreateOptimizationDataFile();
                }
                finally
                {
                    mutex.ReleaseMutex();
                }
            }
        }

        protected override void OnTick()
        {
            if (RunningMode == RunningMode.Optimization && DataWrittingEnabled)
            {
                Extractor.GetTradeDrawDownData();
            }

            if (RunningMode == RunningMode.SilentBacktesting || RunningMode == RunningMode.VisualBacktesting  && DataWrittingEnabled)
            {
                Extractor.GetTradeDrawDownData();
            }
        }

        protected override void OnStop()
        {
            if (RunningMode == RunningMode.Optimization && DataWrittingEnabled)
            {
                try
                {
                    mutex.WaitOne();
                    Extractor.WriteOptimizationResult();
                }
                finally
                {
                    mutex.ReleaseMutex();
                }
            }

            if (RunningMode == RunningMode.SilentBacktesting || RunningMode == RunningMode.VisualBacktesting  && DataWrittingEnabled)
            {
                Extractor.WriteBacktestingResult();
            }
        }


        protected override void OnBar()
        {
            var PrevATR = Math.Round(atr.Result.Last(1) / Symbol.PipSize);

            var PositionSize = (Account.Equity * (AccountPct * 0.01)) / (AtrMultiplier * PrevATR * Symbol.PipValue);

            PositionSize = Symbol.NormalizeVolumeInUnits(PositionSize, RoundingMode.Down);


            if (macd.MACD.Last(1) > macd.Signal.Last(1) & macd.MACD.Last(2) < macd.Signal.Last(2) & macd.MACD.Last(1) > 0 & macd.Signal.Last(1) > 0)
            {
                ExecuteMarketOrder(TradeType.Buy, SymbolName, PositionSize, "MACD", Stoploss * PrevATR, Takeprofit * PrevATR);
            }
            else if (macd.MACD.Last(1) < macd.Signal.Last(1) & macd.MACD.Last(2) > macd.Signal.Last(2) & macd.MACD.Last(1) < 0 & macd.Signal.Last(1) < 0)
            {
                ExecuteMarketOrder(TradeType.Sell, SymbolName, PositionSize, "MACD", Stoploss * PrevATR, Takeprofit * PrevATR);
            }
        }
    }

    public class CBotPerformanceDataExtractor : Robot
    {

        private Robot Bot;

        private string CurrencyName;

        public int OptimizationPassId;

        public string FullPath;

        public string Filename;

        public string header;

        public List<string> parametersValue;

        public int TradeNumber;

        public double EquityResult;

        public double BalanceResult;

        public double NetProfitResult;

        public int TradesResult;

        public int WinningTradesResult;

        public int LosingTradesResult;

        public double ProfitFactorResult;

        public double SharpeRatioResult;

        public double SortinoRatioResult;

        public double AverageTradeResult;

        private double MaxBalance = 0.0;

        private double MaxBalanceDrawDownPct = 0.0;

        private double MaxBalanceDrawDown = 0.0;

        private double MaxEquity = 0.0;

        private double MaxEquityDrawDownPct = 0.0;

        private double MaxEquityDrawDown = 0.0;
        
        private string SymbolTimeFrame;

        public static Dictionary<string, string> Currencies = new Dictionary<string, string> {
        {"AUD", "$"}, {"CHF", "fr."},{"EUR", "€"},{"GBP", "£"}, {"HKD", "HK$"}, {"NZD", "$"}, {"SEK","kr"},{"USD","$"},
        {"ZAR","R"},{"CAD","$"},{"CNY","¥"},{"MXN","$"},{"SGD","$"},{"JPY","¥"}};

        public void InitOptimization(Robot bot, string filename, List<string> parametersname, List<string> pvals)
        {
            
            Bot = bot;
            
            SetSymbolTimeFrame();

            parametersValue = pvals;

            FullPath = Environment.GetFolderPath(Environment.SpecialFolder.Desktop) + "\\" + filename + ".csv";

            if (Currencies.ContainsKey(Bot.Account.Asset.Name))
            {
                string val = Currencies[Bot.Account.Asset.Name];
                CurrencyName = val;
            }
            else
                CurrencyName = Bot.Account.Asset.Name;

            header = "Optimization Pass,Symbol TimeFrame,Equity,Balance,Netprofit,Trades,Winning Trades,Losing Trades,Profit Factor,Max Equity DD (%),Max Balance DD (%),";

            header += string.Format("Max Equity DD ({0}),Max Balance DD ({1}),Sharpe,Sortino,Average Trade", CurrencyName, CurrencyName);

            bool isEmpty = !parametersname.Any();
            if (!isEmpty)
            {
                var result = "," + string.Join(",", parametersname.Select(s => $"{s}"));

                header += result;
            }
        }

        public void InitBacktesting(Robot bot, string filename)
        {
            Bot = bot;

            FullPath = Environment.GetFolderPath(Environment.SpecialFolder.Desktop) + "\\" + filename + ".csv";

            header = "Summary,All Trades,Long Trades,Short Trades";
            File.AppendAllText(FullPath, header + Environment.NewLine, Encoding.UTF8);

        }
        public void WriteBacktestingResult()
        {
            var NetProfitTrades = GetNetProfit(Bot.History.Select(trade => trade.NetProfit));
            var NetProfitLong = GetNetProfit(Bot.History.Where(x => x.TradeType == TradeType.Buy).Select(trade => trade.NetProfit));
            var NetProfitShort = GetNetProfit(Bot.History.Where(x => x.TradeType == TradeType.Sell).Select(trade => trade.NetProfit));

            var backtestinresult = string.Format("Net Profit,{0},{1},{2}\n", NetProfitTrades, NetProfitLong, NetProfitShort);

            var ProfitFactorTrades = GetProfitFactor(Bot.History.Select(trade => trade.NetProfit));
            var ProfitFactorLong = GetProfitFactor(Bot.History.Where(x => x.TradeType == TradeType.Buy).Select(trade => trade.NetProfit));
            var ProfitFactorShort = GetProfitFactor(Bot.History.Where(x => x.TradeType == TradeType.Sell).Select(trade => trade.NetProfit));

            backtestinresult += string.Format("Profit Factor,{0},{1},{2}\n", ProfitFactorTrades, ProfitFactorLong, ProfitFactorShort);

            var CommissionsTrades = GetCommissions(Bot.History.Select(trade => trade.Commissions));
            var CommissionsLong = GetCommissions(Bot.History.Where(x => x.TradeType == TradeType.Buy).Select(trade => trade.Commissions));
            var CommissionsShort = GetCommissions(Bot.History.Where(x => x.TradeType == TradeType.Sell).Select(trade => trade.Commissions));

            backtestinresult += string.Format("Commission,{0},{1},{2}\n", CommissionsTrades, CommissionsLong, CommissionsShort);


            backtestinresult += string.Format("Max Balance Draw Down %,{0},{1},{2}\n", MaxBalanceDrawDownPct, "-", "-");
            backtestinresult += string.Format("Max Equity Draw Down %,{0},{1},{2}\n", MaxEquityDrawDownPct, "-", "-");

            var TotalTrades = GetTrades(Bot.History.Select(trade => trade.NetProfit));
            var TotalTradesLong = GetTrades(Bot.History.Where(x => x.TradeType == TradeType.Buy).Select(trade => trade.NetProfit));
            var TotalTradesShort = GetTrades(Bot.History.Where(x => x.TradeType == TradeType.Sell).Select(trade => trade.NetProfit));

            backtestinresult += string.Format("Total Trades,{0},{1},{2}\n", TotalTrades, TotalTradesLong, TotalTradesShort);

            var totalWinningTrades = GetWiningTrades(Bot.History.Select(trade => trade.NetProfit));
            var longWinningTrades = GetWiningTrades(Bot.History.Where(x => x.TradeType == TradeType.Buy).Select(trade => trade.NetProfit));
            var shorWinningTrades = GetWiningTrades(Bot.History.Where(x => x.TradeType == TradeType.Sell).Select(trade => trade.NetProfit));

            backtestinresult += string.Format("Winning Trades,{0},{1},{2}\n", totalWinningTrades, longWinningTrades, shorWinningTrades);

            var MaxConsWinTrades = MaxConsecutiveWin("Trades");
            var MaxConsWinLongTrades = MaxConsecutiveWin("Long");
            var MaxConsWinShortTrades = MaxConsecutiveWin("Short");

            backtestinresult += string.Format("Max Consecutive Winning Trades,{0},{1},{2}\n", MaxConsWinTrades, MaxConsWinLongTrades, MaxConsWinShortTrades);

            var largestWinningTrade = LargesWiningTrade(Bot.History.Select(trade => trade.NetProfit));
            var largetWinningLongTrade = LargesWiningTrade(Bot.History.Where(x => x.TradeType == TradeType.Buy).Select(trade => trade.NetProfit));
            var largestWinningShortTrade = LargesWiningTrade(Bot.History.Where(x => x.TradeType == TradeType.Sell).Select(trade => trade.NetProfit));

            backtestinresult += string.Format("Largest Winning Trade,{0},{1},{2}\n", largestWinningTrade, largetWinningLongTrade, largestWinningShortTrade);

            var LosingTrades = GetLosingTrades(Bot.History.Select(trade => trade.NetProfit));
            var LonglosingTrades = GetLosingTrades(Bot.History.Where(x => x.TradeType == TradeType.Buy).Select(trade => trade.NetProfit));
            var ShortlosingTades = GetLosingTrades(Bot.History.Where(x => x.TradeType == TradeType.Sell).Select(trade => trade.NetProfit));

            backtestinresult += string.Format("LosingTrades,{0},{1},{2}\n", LosingTrades, LonglosingTrades, ShortlosingTades);

            var MaxConsLossTrades = MaxConsecutiveLoss("Trades");
            var MaxConsLongLossTrades = MaxConsecutiveLoss("Long");
            var MaxConsShortLossTrades = MaxConsecutiveLoss("Short");

            backtestinresult += string.Format("Max Consecutive Losing Trades,{0},{1},{2}\n", MaxConsLossTrades, MaxConsLongLossTrades, MaxConsShortLossTrades);

            var largestLosingTrade = LargestLosingTrade(Bot.History.Select(trade => trade.NetProfit));
            var largestLosingLongTrade = LargestLosingTrade(Bot.History.Where(x => x.TradeType == TradeType.Buy).Select(trade => trade.NetProfit));
            var largestLosingShortTrade = LargestLosingTrade(Bot.History.Where(x => x.TradeType == TradeType.Sell).Select(trade => trade.NetProfit));

            backtestinresult += string.Format("Largest Losing Trade,{0},{1},{2}\n", largestLosingTrade, largestLosingLongTrade, largestLosingShortTrade);

            var averageTrade = AverageTrade(Bot.History.Select(trade => trade.NetProfit));
            var averageLongTrade = AverageTrade(Bot.History.Where(x => x.TradeType == TradeType.Buy).Select(trade => trade.NetProfit));
            var averageShortTrade = AverageTrade(Bot.History.Where(x => x.TradeType == TradeType.Sell).Select(trade => trade.NetProfit));

            backtestinresult += string.Format("Average Trade,{0},{1},{2}\n", averageTrade, averageLongTrade, averageShortTrade);

            var sharpeRatio = SharpeSortino(false, Bot.History.Select(trade => trade.NetProfit));
            var sharpeRatioLong = SharpeSortino(false, Bot.History.Where(x => x.TradeType == TradeType.Buy).Select(trade => trade.NetProfit));
            var sharpeRatioShort = SharpeSortino(false, Bot.History.Where(x => x.TradeType == TradeType.Sell).Select(trade => trade.NetProfit));

            backtestinresult += string.Format("Sharpe Ratio,{0},{1},{2}\n", sharpeRatio, sharpeRatioLong, sharpeRatioShort);

            var sortinoRatio = SharpeSortino(true, Bot.History.Select(trade => trade.NetProfit));
            var sortinoRatioLong = SharpeSortino(true, Bot.History.Where(x => x.TradeType == TradeType.Buy).Select(trade => trade.NetProfit));
            var sortinoRatioShort = SharpeSortino(true, Bot.History.Where(x => x.TradeType == TradeType.Sell).Select(trade => trade.NetProfit));

            backtestinresult += string.Format("Sortino Ratio,{0},{1},{2}\n", sortinoRatio, sortinoRatioLong, sortinoRatioShort);


            File.AppendAllText(FullPath, backtestinresult + Environment.NewLine, Encoding.UTF8);

        }
        public void WriteOptimizationResult()
        {

            EquityResult = Bot.Account.Equity;

            BalanceResult = Bot.Account.Balance;

            NetProfitResult = GetNetProfit(Bot.History.Select(trade => trade.NetProfit));

            TradesResult = GetTrades(Bot.History.Select(trade => trade.NetProfit));

            WinningTradesResult = GetWiningTrades(Bot.History.Select(trade => trade.NetProfit));

            LosingTradesResult = GetLosingTrades(Bot.History.Select(trade => trade.NetProfit));

            ProfitFactorResult = GetProfitFactor(Bot.History.Select(trade => trade.NetProfit));

            //var MaxBalanceDrawDownPct = MaxBalanceDrawDown;

            //var MaxEquityDrawDownPct = MaxEquityDrawDown;

            SharpeRatioResult = SharpeSortino(false, Bot.History.Select(trade => trade.NetProfit));

            SortinoRatioResult = SharpeSortino(true, Bot.History.Select(trade => trade.NetProfit));

            AverageTradeResult = AverageTrade(Bot.History.Select(trade => trade.NetProfit));

            string data = string.Format("Pass {0}, {1}, {2}, {3}, {4}, {5}, {6}, {7}, {8}, {9}, {10}, {11}, {12}, {13}, {14}, {15}",
            OptimizationPassId,SymbolTimeFrame,EquityResult, BalanceResult, NetProfitResult, TradesResult, WinningTradesResult, LosingTradesResult,
            ProfitFactorResult, MaxEquityDrawDownPct, MaxBalanceDrawDownPct, MaxEquityDrawDown, MaxBalanceDrawDown, SharpeRatioResult, SortinoRatioResult, AverageTradeResult);

            bool isEmpty = !parametersValue.Any();
            if (!isEmpty)
            {
                var result = "," + string.Join(",", parametersValue.Select(s => $"{s}"));

                data += result;
            }

            EditLine(data, FullPath, OptimizationPassId +1);
        }


        public void GetTradeDrawDownData()
        {
            GetMaxBalanceDrawDown(true);

            GetMaxBalanceDrawDown(false);

            GetMaxEquityDrawDown(true);

            GetMaxEquityDrawDown(false);
        }

        public double GetNetProfit(IEnumerable<double> vals)
        {
            var netprofit = vals.Where(x => x >= 0).Sum();

            var netloss = vals.Where(x => x < 0).Sum();

            var profit = (netprofit - (netloss * -1));

            return (Math.Round(profit, 2));
        }


        public int GetTrades(IEnumerable<double> vals) 
        {
            var totaltrades = vals.Count();

            return totaltrades;
        }

        public int GetWiningTrades(IEnumerable<double> vals)
        {
            var positiveTrades = vals.Where(x => x >= 0).Count();

            return positiveTrades;
        }
        public int GetLosingTrades(IEnumerable<double> vals)
        {
            var negativeTrades = vals.Where(x => x < 0).Count();

            return negativeTrades;
        }

        public double GetProfitFactor(IEnumerable<double> vals)
        {
            var netprofit = vals.Where(trade => trade >= 0).Sum();

            var netloss = vals.Where(x => x < 0).Sum();

            var profitFactor = (netprofit / netloss);

            return (Math.Round(profitFactor, 2));
        }

        public void GetMaxBalanceDrawDown(bool isPct)
        {
            var Balance = Bot.Account.Balance;

            if (Balance >= MaxBalance)
                MaxBalance = Balance;

            if (Balance < MaxBalance)
            {
                var NewLowBalance = Balance;
                if (isPct)
                {
                    var CurrentDrawDown = MaxEquityBalanceDrawDownToPct(MaxBalance, NewLowBalance);
                    if (MaxBalanceDrawDownPct < CurrentDrawDown)
                    {
                        MaxBalanceDrawDownPct = Math.Round(CurrentDrawDown, 2);
                    }
                }
                else
                {
                    var CurrentDrawDown = MaxEquityBalanceDrawDown(MaxBalance, NewLowBalance);
                    if (MaxBalanceDrawDown < CurrentDrawDown)
                    {
                        MaxBalanceDrawDown = Math.Round(CurrentDrawDown, 2);
                    }
                }
            }
        }

        public void GetMaxEquityDrawDown(bool isPct)
        {
            var Equity = Bot.Account.Equity;

            if (Equity > MaxEquity)
                MaxEquity = Equity;

            if (Equity < MaxEquity)
            {
                var NewLowEquity = Equity;
                if (isPct)
                {
                    var CurrentDrawDown = MaxEquityBalanceDrawDownToPct(MaxEquity, NewLowEquity);
                    if (MaxEquityDrawDownPct < CurrentDrawDown)
                    {
                        MaxEquityDrawDownPct = Math.Round(CurrentDrawDown, 2);
                    }
                }
                else
                {
                    var CurrentDrawDown = MaxEquityBalanceDrawDown(MaxEquity, NewLowEquity);
                    if (MaxEquityDrawDown < CurrentDrawDown)
                    {
                        MaxEquityDrawDown = Math.Round(CurrentDrawDown, 2);
                    }
                }
            }
        }

        private static double MaxEquityBalanceDrawDownToPct(double Max, double Min)
        {
            var difference = Max - Min;

            var pct = difference / Max * 100;

            return pct;
        }

        private static double MaxEquityBalanceDrawDown(double Max, double Min)
        {
            var difference = Max - Min;

            return difference;
        }

        public double AverageTrade(IEnumerable<double> vals)
        {
            var totaltrades = vals.Count();

            var netprofit = vals.Sum();

            return Math.Round((netprofit / totaltrades), 2);
        }


        public static double SharpeSortino(bool isSortino, IEnumerable<double> vals)
        {
            if (vals.Count() < 2) return double.NaN;
            double average = vals.Average();
            double sd = Math.Sqrt(vals.Where(val => (!isSortino || val < average)).Select(val => (val - average) * (val - average)).Sum() / (vals.Count() - 1));

            return Math.Round((average / sd), 2);
        }

        public double GetCommissions(IEnumerable<double> vals)
        {
            var commissions = vals.Sum();

            return Math.Round((commissions), 2);
        }

        public int MaxConsecutiveWin(string type)
        {
            var maxwinning = 0;
            var wincounter = 0;
            var lossescounter = 0;
            var maxlosses = 0;

            if (type == "Long")
            {
                foreach (HistoricalTrade trade in Bot.History)
                {
                    if (trade.NetProfit >= 0 && trade.TradeType == TradeType.Buy)
                    {
                        if (lossescounter > 0)
                            lossescounter = 0;

                        wincounter += 1;

                        if (wincounter > maxwinning)
                            maxwinning = wincounter;
                    }
                    else if (trade.NetProfit < 0 && trade.TradeType == TradeType.Buy)
                        wincounter = 0;
                }
            }
            else if (type == "Short")
            {
                foreach (HistoricalTrade trade in Bot.History)
                {
                    if (trade.NetProfit >= 0 && trade.TradeType == TradeType.Sell)
                    {
                        if (lossescounter > 0)
                            lossescounter = 0;

                        wincounter += 1;

                        if (wincounter > maxwinning)
                            maxwinning = wincounter;
                    }
                    else if (trade.NetProfit < 0 && trade.TradeType == TradeType.Sell)
                        wincounter = 0;
                }
            }
            else
            {
                foreach (HistoricalTrade trade in Bot.History)
                {
                    if (trade.NetProfit >= 0)
                    {
                        if (lossescounter > 0)
                            lossescounter = 0;

                        wincounter += 1;

                        if (wincounter > maxwinning)
                            maxwinning = wincounter;
                    }
                    else if (trade.NetProfit < 0)
                    {
                        if (wincounter > 0)
                            wincounter = 0;

                        lossescounter += 1;

                        if (lossescounter > maxlosses)
                            maxlosses = lossescounter;
                    }
                }
            }

            return maxwinning;
        }

        public double LargesWiningTrade(IEnumerable<double> vals)
        {
            var max = vals.Where(x => x >= 0).Max();

            return max;
        }


        public double LargestLosingTrade(IEnumerable<double> vals)
        {
            var min = vals.Where(x => x < 0).Min();
            
            return min;
        }


        private int MaxConsecutiveLoss(string type)
        {
            var maxwinning = 0;
            var maxlosses = 0;
            var wincounter = 0;
            var lossescounter = 0;

            if (type == "Long")
            {
                foreach (HistoricalTrade trade in Bot.History)
                {
                    if (trade.NetProfit >= 0 && trade.TradeType == TradeType.Buy)
                        lossescounter = 0;

                    else if (trade.NetProfit < 0 && trade.TradeType == TradeType.Buy)
                    {
                        if (wincounter > 0)
                            wincounter = 0;

                        lossescounter += 1;

                        if (lossescounter > maxlosses)
                            maxlosses = lossescounter;
                    }
                }
            }
            else if (type == "Short")
            {
                foreach (HistoricalTrade trade in Bot.History)
                {
                    if (trade.NetProfit >= 0 && trade.TradeType == TradeType.Sell)
                        lossescounter = 0;

                    else if (trade.NetProfit < 0 && trade.TradeType == TradeType.Sell)
                    {
                        wincounter = 0;

                        lossescounter += 1;

                        if (lossescounter > maxlosses)
                            maxlosses = lossescounter;
                    }
                }
            }
            else
            {
                foreach (HistoricalTrade trade in Bot.History)
                {
                    if (trade.NetProfit >= 0)
                    {
                        if (lossescounter > 0)
                            lossescounter = 0;

                        wincounter += 1;

                        if (wincounter > maxwinning)
                            maxwinning = wincounter;
                    }
                    else if (trade.NetProfit < 0)
                    {
                        if (wincounter > 0)
                            wincounter = 0;

                        lossescounter += 1;

                        if (lossescounter > maxlosses)
                            maxlosses = lossescounter;
                    }
                }
            }

            return maxlosses;
        }
        public void SetSymbolTimeFrame()
        {   
            var mystring = Bot.TimeFrame.ToString();
            bool isDigitString = mystring.Any(c => char.IsDigit(c));
            var timeframeString = "";
            if(!isDigitString)
            {
                if(mystring == "Daily")
                    timeframeString = "1 Day";
                else                    
                    timeframeString = "1 " + Bot.TimeFrame.ToString();        
            }
            else
            { 
                Regex re = new Regex(@"([a-zA-Z]+)(\d+)");
                Match result = re.Match(mystring);
                string alphaPart = result.Groups[1].Value;
                string numberPart = result.Groups[2].Value;
                
                timeframeString = numberPart + " " + alphaPart + "s";
            }
            
            SymbolTimeFrame = Bot.Symbol.Name + "-" + timeframeString;
           
        } 

        public void CreateOptimizationDataFile()
        {
            if (TotalLines() == 0)
            {
                OptimizationPassId = 1;

                File.AppendAllText(FullPath, header + Environment.NewLine, Encoding.UTF8);

                string data = string.Format("Pass {0}", OptimizationPassId);

                File.AppendAllText(FullPath, data + Environment.NewLine, Encoding.UTF8);

            }
            else if (TotalLines() == 1)
            {
                var Line1 = File.ReadLines(FullPath).First();
                OptimizationPassId = 1;

                if (Line1 != header)
                {
                    string data = string.Format("Pass {0}", OptimizationPassId);

                    File.AppendAllText(FullPath, data + Environment.NewLine, Encoding.UTF8);
                }
                else
                {
                    string data = string.Format("Pass {0}", OptimizationPassId);

                    File.AppendAllText(FullPath, data + Environment.NewLine, Encoding.UTF8);
                }
            }
            else
            {
                var lines = TotalLines();
                OptimizationPassId = lines;
                string data = string.Format("Pass {0}", OptimizationPassId);

                File.AppendAllText(FullPath, data + Environment.NewLine, Encoding.UTF8);
            }
        }

        public void EditLine(string newText, string fileName, int line)
        {
            string[] arrayLines = File.ReadAllLines(fileName);
            
            arrayLines[line - 1] = newText;
            
            File.WriteAllLines(fileName, arrayLines, Encoding.UTF8);

        }

        public int TotalLines()
        {
            if (!File.Exists(FullPath))
                return 0;

            using (StreamReader r = new StreamReader(FullPath))
            {
                int i = 0;
                while (r.ReadLine() != null)
                {
                    i++;
                }
                return i;
            }
        }
    }
}


TraderExperto's avatar
TraderExperto

Joined on 07.06.2019

  • Distribution: Free
  • Language: C#
  • Trading platform: cTrader Automate
  • File name: MACD Example Data Extraction.algo
  • Rating: 5
  • Installs: 646
  • Modified: 02/05/2023 21:51
Comments
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KE
kenneyyfx · 10 months ago

Are you sure your calculation of the Sharpe ratio is correct?  I ask because i want to do something similar and have the bot populate an excel spreadsheet after each optimization pass has ended

KE
kenneyyfx · 10 months ago

Hi. I lke the work you've done here

This line of code will fail   "if (Currencies.ContainsKey(Bot.Account.Asset.Name))" because Bot.Account.Asset.Name will give a 6 character string i.e. “EURUSD” and tis will not match “CHF”, "EUR" etc

DA
dajiba1021 · 1 year ago

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VO
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