calculate highest price from certain time

paolo.panicali
30 Jul 2022, 19:56 ( Updated at: 21 Dec 2023, 09:22 )

Drawdowns and RunUps of each trade in Ctrader and results saved to csv file in order to make further investigations on Python

Hi I just made this, the code has to be carefully checked but it seems to work fine.

The bot buys randomly, Do not use this in live trading, remember to switch to a demo account when testing.

I found out that the Run ups distribution is normal while the drawdown distribution is not. Somebody might tell us if I made a mistake or it s ok.

The robot write on a CSV file with the data of the trades, it needs  AccessRights = AccessRights.FileSystem if you do not want Ctrader to have access to your computer to save CSV file, you can remove the filewriter code and keep AccessRights = AccessRights.None

// Run Up and Draw Downs save to csv by paolo panicali july 2022

using System;
using System.Threading.Tasks;
using System.Collections.Generic;
using System.IO;
using System.Linq;
using System.Net;
using System.Text;

using cAlgo.API;
using cAlgo.API.Indicators;
using cAlgo.API.Internals;
using cAlgo.Indicators;


namespace cAlgo.Robots
{
    [Robot(TimeZone = TimeZones.UTC, AccessRights = AccessRights.FileSystem)]
    public class DDRUCtrader : Robot
    {
        System.Random random = new System.Random();

        IndicatorDataSeries MaxDD_Eta;
        IndicatorDataSeries BarsInTradeSerie;
        IndicatorDataSeries MaxDD_Value;

        IndicatorDataSeries MaxRU_Eta;
        IndicatorDataSeries LossBarsInTradeSerie;
        IndicatorDataSeries MaxRU_Value;

        int DD_index = 0, RU_index = 0, counter = 0;
        double SL = 25, TP = 35;

        string filename;
        StreamWriter _fileWriter;

        protected override void OnStart()
        {
            Positions.Closed += PositionsOnClosed;
            MaxDD_Eta = CreateDataSeries();
            MaxDD_Value = CreateDataSeries();
            BarsInTradeSerie = CreateDataSeries();
            MaxRU_Eta = CreateDataSeries();
            LossBarsInTradeSerie = CreateDataSeries();
            MaxRU_Value = CreateDataSeries();
        }

        protected override void OnBar()
        {
            // prepare a csv file to store the results
            if (counter == 0)
            {
                filename = Symbol.Name + "_Trades" + ".csv";
                var filePath = Path.Combine("C:\\PATH", filename);
                _fileWriter = File.AppendText(filePath);
                _fileWriter.AutoFlush = true;
                _fileWriter.WriteLine("DateTime" + ";" + "EntryPrice" + ";" + "Close" + ";" + "RunUp" + ";" + "DrawDown" + ";" + "index" + ";" + "OutCome");
                counter = 1;
            }


            // BUY random hour from 1 to 20
            int HourRnd = random.Next(1, 20);
            if (HourRnd == Bars.OpenTimes.LastValue.Hour && Positions.Count() == 0)
            {
                ExecuteMarketOrder(TradeType.Buy, "EURUSD", 1000, "BUY RANDOM: " + Symbol.Name, SL, TP);
            }
        }


        protected override void OnStop()
        {
            int TotalProfitTrades = MaxDD_Eta.Count();
            MovingAverage DDETA_avg = Indicators.MovingAverage(MaxDD_Eta, TotalProfitTrades, MovingAverageType.Simple);
            Print("Average Draw Down Bars ETA: " + DDETA_avg.Result[TotalProfitTrades - 1]);


            MovingAverage DDValue_avg = Indicators.MovingAverage(MaxDD_Value, TotalProfitTrades, MovingAverageType.Simple);
            Print("Average Draw Down in Pips : " + DDValue_avg.Result[TotalProfitTrades - 1]);

            MovingAverage BarsInTrade_avg = Indicators.MovingAverage(BarsInTradeSerie, TotalProfitTrades, MovingAverageType.Simple);
            Print("Average Bars in Trade : " + BarsInTrade_avg.Result[TotalProfitTrades - 1]);

            ///
            int TotalLossTrades = MaxRU_Eta.Count();

            MovingAverage RUETA_avg = Indicators.MovingAverage(MaxRU_Eta, TotalLossTrades, MovingAverageType.Simple);
            Print("Average Run Up Bars ETA: " + RUETA_avg.Result[TotalLossTrades - 1]);

            MovingAverage RUValue_avg = Indicators.MovingAverage(MaxRU_Value, TotalLossTrades, MovingAverageType.Simple);
            Print("Average Run Up in Pips : " + RUValue_avg.Result[TotalLossTrades - 1]);

            MovingAverage LossBarsInTrade_avg = Indicators.MovingAverage(LossBarsInTradeSerie, TotalLossTrades, MovingAverageType.Simple);
            Print("Average Bars in Trade : " + LossBarsInTrade_avg.Result[TotalLossTrades - 1]);

            Print("Stop Loss Pips :" + SL + "  and Take profit Pips :" + TP);

            // Close the CSV file with raw data on trades
            _fileWriter.Close();
        }


        private void PositionsOnClosed(PositionClosedEventArgs args)
        {
            int EntryTime_position_index;
            // find entry bar index
            EntryTime_position_index = 0;
            DateTime EntryTime_position = args.Position.EntryTime;
            for (int i = 0; i < 1000; i++)
            {
                if (Bars.OpenTimes.Last(i) == EntryTime_position)
                {
                    EntryTime_position_index = i + 1;
                    break;
                }
            }

            // position properties
            double EntryPrice_position = args.Position.EntryPrice;
            double StopLoss_position = args.Position.StopLoss.Value;
            double TakeProfit_position = args.Position.TakeProfit.Value;
            double ClosingPrice_position = Bars.ClosePrices.LastValue;
            //better calculating the closing price from the position profit

            // drawdown data for positions went in profit

            if (args.Position.NetProfit > 0)
            {
                Print("Position Closed In Profit :");
                double Position_Min = Bars.LowPrices.Minimum(EntryTime_position_index);
                //double Position_Max = Bars.HighPrices.Maximum(EntryTime_position_index);

                double Position_DD = Math.Round((EntryPrice_position - Position_Min) / Symbol.PipSize);
                //double Position_RU = Position_Max - EntryPrice_position;
                // Draw Down Index
                int MaxDD_position_index = 0;

                for (int i = 0; i < 1000; i++)
                {
                    if (Bars.LowPrices.Last(i) == Position_Min)
                    {
                        MaxDD_position_index = i;
                        break;
                    }
                }
                int MaxDD_ETA_index = EntryTime_position_index - MaxDD_position_index;
                MaxDD_Eta[DD_index] = MaxDD_ETA_index;
                MaxDD_Value[DD_index] = Position_DD;
                BarsInTradeSerie[DD_index] = EntryTime_position_index;

                Print("Bars in Trade : " + BarsInTradeSerie[DD_index] + " Max DD Bar index : " + MaxDD_Eta[DD_index] + "  DD pips  " + MaxDD_Value[DD_index]);

                if (counter == 1)
                {
                    _fileWriter.WriteLine(args.Position.EntryTime + ";" + args.Position.EntryPrice + ";" + Bars.ClosePrices.LastValue + ";" + " " + ";" + MaxDD_Value[DD_index] + ";" + MaxDD_Eta[DD_index] + ";" + "PROFIT");
                }
                DD_index = DD_index + 1;
            }

            // drawdown data for positions went in profit
            if (args.Position.NetProfit < 0)
            {
                Print("Position Closed In LOSS :");
                double Position_Max = Bars.HighPrices.Maximum(EntryTime_position_index);
                double Position_RU = Math.Round((Position_Max - EntryPrice_position) / Symbol.PipSize);
                // Draw Down Index
                int MaxRU_position_index = 0;

                for (int i = 0; i < 1000; i++)
                {
                    if (Bars.HighPrices.Last(i) == Position_Max)
                    {
                        MaxRU_position_index = i;
                        break;
                    }
                }
                int MaxRU_ETA_index = EntryTime_position_index - MaxRU_position_index;
                MaxRU_Eta[RU_index] = MaxRU_ETA_index;
                MaxRU_Value[RU_index] = Position_RU;
                LossBarsInTradeSerie[RU_index] = EntryTime_position_index;
                if (counter == 1)
                {
                    _fileWriter.WriteLine(args.Position.EntryTime + ";" + args.Position.EntryPrice + ";" + Bars.ClosePrices.LastValue + ";" + MaxRU_Value[RU_index] + ";" + " " + ";" + MaxRU_Eta[RU_index] + ";" + "LOSS");
                }
                Print("Bars in Trade : " + LossBarsInTradeSerie[RU_index] + " Max RU Bar index : " + MaxRU_Eta[RU_index] + "  RU pips  " + MaxRU_Value[RU_index]);
                RU_index = RU_index + 1;

            }
        }
    }
}

in order to import in python and see the distribution here is the code

# -*- coding: utf-8 -*-
"""
Created on Sat Jul 30 17:51:39 2022

@author: Paolo Panicali
"""

import pandas as pd
import matplotlib.pyplot as plt
import numpy as np

Symbol='EURUSD'
Trades=99999

DataPath='C:\\PATH\\'+Symbol +'_Trades.csv'

#carica dati dal file in df
path_load=DataPath
df = pd.read_csv(path_load,sep=";",decimal=",", engine='python')

df_profit=df[df['OutCome'] =='PROFIT'] 
df_loss=df[df['OutCome'] =='LOSS'] 

df_profit["DrawDown"] = pd.to_numeric(df_profit["DrawDown"])
df_loss["RunUp"] = pd.to_numeric(df_loss["RunUp"])

DDown = df_profit['DrawDown']
RUp=df_loss['RunUp']

## RUN THIS FOR DRAWDOWNS
plt.hist(DDown,alpha=0.5,bins=np.arange(0,40,1),color='blue', label='Draw Down')
plt.margins(x=0, y=0)
plt.gca().set(title=Symbol+' Draw Down Distribution', ylabel='Total Profit Trades: '+str(len(df_profit)));
plt.ylim(0,40)
plt.legend();

## RUND THIS FOR RUNUPS
plt.hist(RUp,alpha=0.5,bins=np.arange(0,40,1),color='red', label='Run Up')
plt.margins(x=0, y=0)
plt.gca().set(title=Symbol+' Run Up Distribution', ylabel='Total Loss Trades: '+str(len(df_profit)));
plt.ylim(0,40)
plt.legend();

Hope this will help, the code should be double checked and cleaned so please if you find any error or improvement to be made let me know.

Bye.