Backtesting sumber data kustom

API sumber data kustom backtesting menyediakan tipe yang memungkinkan pengembang untuk memasukkan data harga kustom ke dalam mesin backtesting, optimisasi, dan Market Replay di cTrader. Fungsionalitas API ini memungkinkan alur kerja baru dan canggih menggunakan format data offline, pihak ketiga, sintetis, atau eksperimental.

Antarmuka dan tipe inti meliputi:

BacktestingDataSources.Add(name, options) untuk mendaftarkan sumber kustom baru.
BacktestingDataSourceOptions untuk mengonfigurasi tipe data yang didukung, rentang waktu data, dan logika pengambilan.
BacktestingDataRequest dikeluarkan oleh mesin ketika data diperlukan selama pengujian.
BacktestingTickData dan BacktestingBarsData membungkus data yang dikembalikan dari plugin.

Mesin backtesting berinteraksi dengan data yang disediakan melalui komponen-komponen berikut:

Tipe data – pilih antara tick (bid/ask), harga pembukaan m1, batang OHLCV lengkap, dll.
Penyedia data – implementasikan callback untuk menyediakan data sesuai permintaan.
Manajemen rentang waktu – tentukan periode mana yang didukung.
Periode kustom – gabungkan dengan TimeFrameManager.Custom untuk mensimulasikan tipe atau resolusi batang baru.
Simbol kustom – jalankan simulasi pada instrumen sintetis.

Tip

Gunakan API untuk melakukan backtesting strategi Anda pada feed pihak ketiga, seperti data tick broker, dan terapkan dataset offline dalam lingkungan yang terkontrol. Replay, optimisasi, dan uji stres strategi pada data yang benar-benar mencerminkan kondisi trading langsung, dan lakukan semuanya dalam UI cTrader yang familiar.

API sumber data kustom backtesting memungkinkan hal-hal berikut:

Fitur atau operasi	Contoh
Integrasi data alternatif	Lakukan backtesting menggunakan feed tick institusional. Jalankan Market Replay pada data spesifik broker. Impor batang AlphaVantage atau Nasdaq Data Link (Quandl).
Backtesting berbasis peristiwa	Simulasikan dampak laporan berita, seperti CPI atau NFP. Suntikkan lonjakan volatilitas selama periode tertentu.
Pengujian batang alternatif	Lakukan backtesting pada logika batang Renko, Heikin Ashi, atau kustom.
Eksperimen rentang waktu	Coba strategi pada rentang waktu yang tidak umum, seperti m25, m40, h10, dll.
Pengujian ketahanan strategi	Suntikkan noise acak ke dalam harga. Jalankan simulasi Monte Carlo.
Overlay kurva ekuitas atau risiko	Lakukan backtesting menggunakan kurva saldo strategi historis.

Alur kerja dasar

Contoh plugin

Ketika diaktifkan, plugin ini menampilkan komponen dengan tombol di Panel Simbol Aktif yang memungkinkan Anda menambahkan dan mengelola sumber data kustom, termasuk untuk periode kustom.

Setiap data kustom yang ditambahkan akan tersedia sebagai opsi data di jendela Market Replay dan Backtesting, sementara setiap periode kustom yang ditambahkan akan muncul di UI Periode reguler.

Market ReplayBacktesting

Kode plugin

using System;
using System.Collections.Generic;
using System.Globalization;
using System.IO;
using System.Net;
using System.Reflection;
using cAlgo.API;
using cAlgo.API.Collections;
using cAlgo.API.Indicators;
using cAlgo.API.Internals;
using System.Linq;

namespace cAlgo.Plugins
{
    [Plugin(AccessRights = AccessRights.FullAccess)]
    public class CustomDataSourceCSVTest : Plugin
    {
        private BacktestingDataSource _dataSource;
        private TextBox _symbolNameTextBox;
        private ComboBox _timeFrameCombobox;
        private string _selectedFilePath;

        private readonly Dictionary<DataId, Data> _addedData = new();
        private readonly Dictionary<DataId, Dictionary<DateOnly, List<BacktestingTick>>> _cachedTickData = new();
        private readonly Dictionary<DataId, List<BacktestingBar>> _cachedBarData = new();

        private StackPanel _panel;
        private Button _selectFileButton;

        private CustomTimeFrame _customTimeFrame;

        protected override void OnStart()
        {
            // System.Diagnostics.Debugger.Launch();

            LoadFromLocalStorage();

            var options = new BacktestingDataSourceOptions(BacktestingDataSourceDataType.Tick | BacktestingDataSourceDataType.M1OpenPrices | BacktestingDataSourceDataType.OpenPrices, OnMinMaxTimeRequested, OnDataRequested);

            _dataSource = Backtesting.DataSources.Add("CSV", options);

            var aspBlock = Asp.SymbolTab.AddBlock("Custom Data Source CSV Test");

            aspBlock.Child = GetAddDataPanel();
            aspBlock.Height = 400;
        }

        private Panel GetAddDataPanel()
        {
            _panel = new StackPanel() {Orientation = Orientation.Vertical, Margin = 3};

            _symbolNameTextBox = new TextBox() {Text = "Enter Symbol Name", Margin = 3};

            _panel.AddChild(_symbolNameTextBox);

            _timeFrameCombobox = new ComboBox() {Margin = 3, Padding = 2};

            foreach (var timeFrame in GetTimeFrames())
            {
                _timeFrameCombobox.AddItem(timeFrame.Name);
            }

            _timeFrameCombobox.SelectedItem = TimeFrame.Minute.Name;

            _panel.AddChild(_timeFrameCombobox);

            _selectFileButton = new Button() {Text = "Select File", Margin = 3};

            _selectFileButton.Click += OnSelectFileButtonClicked;

            _panel.AddChild(_selectFileButton);

            var addButton = new Button() {Text = "Add Data", Margin = 3};

            addButton.Click += OnAddClick;

            _panel.AddChild(addButton);

            var showDataButton = new Button() {Text = "Show Data", Margin = 3};

            showDataButton.Click += OnShowDataClick;

            _panel.AddChild(showDataButton);

            var removeAllDataButton = new Button() {Text = "Remove All Data", Margin = 3};

            removeAllDataButton.Click += OnRemoveAllDataClick;

            _panel.AddChild(removeAllDataButton);

            var clearCacheButton = new Button() {Text = "Clear Cache", Margin = 3};

            clearCacheButton.Click += OnClearCacheClick;

            _panel.AddChild(clearCacheButton);

            var addCustomTimeFrameButton = new Button() {Text = "Add Custom Time Frame", Margin = 3};

            addCustomTimeFrameButton.Click += OnAddCustomTimeFrameClick;

            _panel.AddChild(addCustomTimeFrameButton);

            var removeCustomTimeFrameButton = new Button() {Text = "Remove Custom Time Frame", Margin = 3};

            removeCustomTimeFrameButton.Click += OnRemoveCustomTimeFrameClick;

            _panel.AddChild(removeCustomTimeFrameButton);

            return _panel;
        }

        private void OnRemoveCustomTimeFrameClick(ButtonClickEventArgs obj)
        {
            if (TimeFrameManager.Custom.Remove(_customTimeFrame))
            {
                Print($"Custom time frame removed.");
                return;
            }

            Print($"Removing custom time frame failed.");
        }

        private void OnAddCustomTimeFrameClick(ButtonClickEventArgs obj)
        {
            _customTimeFrame = TimeFrameManager.Custom.Add("Custom Data Source Test (H1)");

            _customTimeFrame.BarsNeeded = args => 
            {
                Print($"Custom time frame bars needed for symbol '{args.CustomBars.Symbol.Name}'.");

                var bars = MarketData.GetBars(TimeFrame.Hour, args.CustomBars.Symbol.Name);

                Print($"Appending custom time frame bars '{bars.Count}' for symbol '{args.CustomBars.Symbol.Name}'.");

                args.CustomBars.AppendBars(bars.Select(b => new CustomBar(b.OpenTime, b.Open, b.High, b.Low, b.Close, b.TickVolume)));
            };

            Print("Custom time frame added.");
        }

        private void OnClearCacheClick(ButtonClickEventArgs obj)
        {
            if (_dataSource.ClearCache())
            {
                Print($"Data source '{_dataSource.Name}' cached data cleared.");
                return;
            }

            Print($"Data source '{_dataSource.Name}' cached data clear failed.");
        }

        private void OnRemoveAllDataClick(ButtonClickEventArgs obj)
        {
            foreach (var (_, data) in _addedData)
            {
                File.Delete(data.FilePath);
            }

            LocalStorage.Remove("Data", LocalStorageScope.Type);
            LocalStorage.Flush(LocalStorageScope.Type);

            _addedData.Clear();

            Print("All added data has been removed.");
        }

        private void OnAddClick(ButtonClickEventArgs obj)
        {
            if (_symbolNameTextBox.Text.Length == 0 || Symbols.GetSymbol(_symbolNameTextBox.Text) is not { } symbol)
            {
                Print($"Invalid or empty symbol name: {_symbolNameTextBox.Text}");
                return;
            }

            if (string.IsNullOrWhiteSpace(_timeFrameCombobox.SelectedItem) || !TimeFrame.TryParse(_timeFrameCombobox.SelectedItem, out var selectedTimeFrame))
            {
                Print($"Invalid time frame: {_timeFrameCombobox.SelectedItem}");
                return;
            }

            if (string.IsNullOrWhiteSpace(_selectedFilePath))
            {
                Print($"Invalid file path: {_selectedFilePath}");
                return;
            }

            var dataType = selectedTimeFrame == TimeFrame.Tick 
                ? BacktestingDataSourceDataType.Tick 
                : selectedTimeFrame == TimeFrame.Minute 
                    ? BacktestingDataSourceDataType.M1OpenPrices 
                    : BacktestingDataSourceDataType.OpenPrices;

            var dataId = new DataId(symbol.Name, selectedTimeFrame.Name, dataType);

            _panel.IsEnabled = false;

            BeginInvokeOnMainThread(() =>
            {
                try
                {
                    var minMaxTime = GetMinMaxTime(_selectedFilePath);
                    var data = new Data(_selectedFilePath, minMaxTime);

                    _addedData[dataId] = data;

                    SaveToLocalStorage(dataId, data);

                    Print($"Data for symbol {symbol} and time frame {selectedTimeFrame} is added: {_selectedFilePath}, Min/Max Time: {minMaxTime}");
                }
                finally
                {
                    _panel.IsEnabled = true;
                }
            });
        }

        private void SaveToLocalStorage(DataId dataId, Data data)
        {
            var existingData = LocalStorage.GetObject<List<(DataId DataId, Data Data)>>("Data", LocalStorageScope.Type) 
                               ?? new List<(DataId DataId, Data Data)>();

            existingData.Add((dataId, data));

            LocalStorage.SetObject("Data", existingData, LocalStorageScope.Type);
            LocalStorage.Flush(LocalStorageScope.Type);
        }


        private void OnShowDataClick(ButtonClickEventArgs obj)
        {
            var existingData =
                LocalStorage.GetObject<List<(DataId DataId, Data Data)>>("Data", LocalStorageScope.Type);

            if (existingData is null)
                return;

            Print("Showing data");

            foreach (var (dataId, data) in existingData)
            {
                Print($"Data '{dataId}' with '{data}'");
            }
        }

        private void LoadFromLocalStorage()
        {
            var existingData =
                LocalStorage.GetObject<List<(DataId DataId, Data Data)>>("Data", LocalStorageScope.Type);

            if (existingData is null)
                return;

            foreach (var (dataId, data) in existingData)
            {
                _addedData[dataId] = data with {MinMaxTime = data.MinMaxTime with
                {
                    MinTime = DateTime.SpecifyKind(data.MinMaxTime.MinTime, DateTimeKind.Utc),
                    MaxTime = DateTime.SpecifyKind(data.MinMaxTime.MaxTime, DateTimeKind.Utc)
                }};

                Print($"Added data '{dataId}' from local storage");
            }
        }

        private void OnSelectFileButtonClicked(ButtonClickEventArgs obj)
        {
            var openFileDialog = new OpenFileDialog();

            _panel.IsEnabled = false;
            _selectFileButton.Text = "Please wait...";

            BeginInvokeOnMainThread(() =>
            {
                try
                {
                    var result = openFileDialog.ShowDialog();

                    if (result != FileDialogResult.OK)
                        return;

                    _selectedFilePath = openFileDialog.FileName;
                }
                finally
                {
                    _selectFileButton.Text = "Select File";
                    _panel.IsEnabled = true;
                }
            });
        }

        private IEnumerable<TimeFrame> GetTimeFrames()
        {
            var timeFrameFields = typeof(TimeFrame).GetFields(BindingFlags.Static | BindingFlags.Public);

            foreach (var timeFrameField in timeFrameFields)
            {
                if (timeFrameField.GetValue(null) is not TimeFrame timeFrame)
                    continue;

                yield return timeFrame;
            }
        }

        private void OnDataRequested(BacktestingDataRequest request)
        {
            request.StatusChanged += request_StatusChanged;

            Print($"Data Request from {request.StartTime} to {request.EndTime}");

            var dataId = GetDataId(request.PriceDataSourceId, request.DataType);

            if (!_addedData.TryGetValue(dataId, out var data))
            {
                request.Fail($"Data not found for '{dataId}'.");

                return;
            }

            switch (request.DataType)
            {
                case BacktestingDataSourceDataType.Tick:
                    var ticks = GetRequestTicks(dataId, data, request);
                    Print($"Sending ticks.");

                    request.Complete(ticks);
                    break;
                default:
                    var bars = GetRequestBars(dataId, data, request);
                    Print($"Sending bars.");

                    request.Complete(bars);
                    break;
            }
        }

        private BacktestingData GetRequestTicks(DataId dataId, Data data, BacktestingDataRequest request)
        {
            if (!_cachedTickData.TryGetValue(dataId, out var tickData))
            {
                tickData = CacheTickData(dataId, data);

                _cachedTickData[dataId] = tickData;
            }

            var requestData = new List<BacktestingTick>();

            for (var i = DateOnly.FromDateTime(request.StartTime); i <= DateOnly.FromDateTime(request.EndTime); i = i.AddDays(1))
            {
                if (!tickData.TryGetValue(i, out var ticks))
                    continue;

                requestData.AddRange(ticks);
            }

            return new BacktestingTickData(requestData);
        }

        private BacktestingData GetRequestBars(DataId dataId, Data data, BacktestingDataRequest request)
        {
            if (!_cachedBarData.TryGetValue(dataId, out var barsData))
            {
                barsData = CacheBarData(dataId, data);

                _cachedBarData[dataId] = barsData;
            }

            return new BacktestingBarsData(barsData.Where(b => b.Time >= request.StartTime && b.Time <= request.EndTime).ToArray());
        }

        private List<BacktestingBar> CacheBarData(DataId dataId, Data data)
        {
            var result = new List<BacktestingBar>();

            using var fileStream = File.OpenRead(data.FilePath);
            using var streamReader = new StreamReader(fileStream);

            while (streamReader.ReadLine() is {} line)
            {
                var lineSplit = line.Split(',');

                if (lineSplit.Length != 6)
                {
                    throw new InvalidOperationException($"Invalid data format for '{dataId}'.");
                }

                result.Add(new BacktestingBar(DateTime.Parse(lineSplit[0]).ToUniversalTime(), double.Parse(lineSplit[1]), double.Parse(lineSplit[2]), double.Parse(lineSplit[3]), double.Parse(lineSplit[4]), long.Parse(lineSplit[5])));
            }

            return result;
        }

        private Dictionary<DateOnly, List<BacktestingTick>> CacheTickData(DataId dataId, Data data)
        {
            var result = new Dictionary<DateOnly, List<BacktestingTick>>();

            using var fileStream = File.OpenRead(data.FilePath);
            using var streamReader = new StreamReader(fileStream);

            while (streamReader.ReadLine() is {} line)
            {
                var lineSplit = line.Split(',');

                if (lineSplit.Length != 3)
                {
                    throw new InvalidOperationException($"Invalid data format for '{dataId}'.");
                }

                var time = DateTime.Parse(lineSplit[0]).ToUniversalTime();
                var date = DateOnly.FromDateTime(time);

                if (!result.TryGetValue(date, out var dateTicks))
                {
                    dateTicks = new List<BacktestingTick>();

                    result.Add(date, dateTicks);
                }

                dateTicks.Add(new BacktestingTick(time, double.Parse(lineSplit[1]), double.Parse(lineSplit[2])));
            }

            return result;
        }

        private void request_StatusChanged(BacktestingDataRequestStatusChangedEventArgs args)
        {
            Print($"Request '{args.DataRequest.PriceDataSourceId}' status changed: {args.DataRequest.Status}");
        }

        private BacktestingMinMaxTime OnMinMaxTimeRequested(BacktestingDataSourceMinMaxTimeArgs args)
        {
            Print($"Min/Max time requested, {args.PriceDataSourceId}, {args.DataType}");

            var dataId = GetDataId(args.PriceDataSourceId, args.DataType);

            Print($"Min/Max time request DataId: {dataId}");

            if (!_addedData.TryGetValue(dataId, out var data))
            {
                throw new InvalidOperationException("No data");
                //return default;    
            }

            Print($"Min/Max time sent, {data.MinMaxTime}");

            return data.MinMaxTime;
        }

        private DataId GetDataId(PriceDataSourceId priceDataSourceId, BacktestingDataSourceDataType dateType)
        {
            return new DataId(priceDataSourceId.Symbol.Name, dateType switch
            {
                BacktestingDataSourceDataType.Tick => TimeFrame.Tick.Name,
                BacktestingDataSourceDataType.M1OpenPrices => TimeFrame.Minute.Name,
                BacktestingDataSourceDataType.OpenPrices when _customTimeFrame != null && priceDataSourceId.TimeFrame == _customTimeFrame.TimeFrame => TimeFrame.Hour.Name,
                _ => priceDataSourceId.TimeFrame.Name
            }, dateType);
        }

        private BacktestingMinMaxTime GetMinMaxTime(string filePath)
        {
            using var fileStream = File.OpenRead(filePath);
            using var streamReader = new StreamReader(fileStream);

            string firstLine = null;
            string lastLine = null;

            while (streamReader.ReadLine() is {} line)
            {
                if (firstLine == null)
                    firstLine = line;

                lastLine = line;
            }

            Print($"First Line: {firstLine}");
            Print($"Last Line: {lastLine}");

            return new(
                !string.IsNullOrWhiteSpace(firstLine) ? DateTime.Parse(firstLine.Split(',')[0]).ToUniversalTime() : default,
                !string.IsNullOrWhiteSpace(lastLine) ? DateTime.Parse(lastLine.Split(',')[0]).ToUniversalTime() : default);
        }

        private readonly record struct DataId(string SymbolName, string TimeFrameName, BacktestingDataSourceDataType DataType);
        private readonly record struct Data(string FilePath, BacktestingMinMaxTime MinMaxTime);
    }
}

Operasi

Daftarkan sumber data

Sintaks dasar:

var options = new BacktestingDataSourceOptions(
    SupportedDataTypes: BacktestingDataSourceDataType.Tick | BacktestingDataSourceDataType.OpenPrices,
    MinMaxTimeHandler: args => new BacktestingMinMaxTime(DateTime.Parse("2023-01-01"), DateTime.Parse("2024-01-01")),
    DataRequestHandler: request => 
    {
        var data = LoadFromCsv(request); // your logic
        request.Complete(data);
    }
);

var dataSource = Backtesting.DataSources.Add("MyCSVData", options);

Di dalam plugin:

protected override void OnStart()
{

    LoadFromLocalStorage();

    var options = new BacktestingDataSourceOptions(
        BacktestingDataSourceDataType.Tick 
        | BacktestingDataSourceDataType.M1OpenPrices 
        | BacktestingDataSourceDataType.OpenPrices, 
        OnMinMaxTimeRequested, 
        OnDataRequested
    );

    _dataSource = Backtesting.DataSources.Add("CSV", options);

    var aspBlock = Asp.SymbolTab.AddBlock("Custom Data Source CSV Test");

    aspBlock.Child = GetAddDataPanel();
    aspBlock.Height = 400;
}

Sediakan data sesuai permintaan

Setiap BacktestingDataRequest berisi:

.StartTime, .EndTime – periode yang diminta
.PriceDataSourceId – kombinasi simbol/rentang waktu
.DateType – tick, m1, atau OHLCV
.Complete(data) – panggil ini setelah data siap
.Fail("reason") – panggil ini jika permintaan tidak dapat dipenuhi

Contoh handler:

void OnDataRequested(BacktestingDataRequest request)
{
    var bars = LoadBarsFromCsv("mydata.csv", request.StartTime, request.EndTime);
    request.Complete(new BacktestingBarsData(bars));
}

Di dalam plugin:

private void OnDataRequested(BacktestingDataRequest request)
{
    request.StatusChanged += request_StatusChanged;

    Print($"Data Request from {request.StartTime} to {request.EndTime}");

    var dataId = GetDataId(request.PriceDataSourceId, request.DataType);

    if (!_addedData.TryGetValue(dataId, out var data))
    {
        request.Fail($"Data not found for '{dataId}'.");
        return;
    }

    switch (request.DataType)
    {
        case BacktestingDataSourceDataType.Tick:
            var ticks = GetRequestTicks(dataId, data, request);
            Print($"Sending ticks.");
            request.Complete(ticks);
            break;

        default:
            var bars = GetRequestBars(dataId, data, request);
            Print($"Sending bars.");
            request.Complete(bars);
            break;
    }
}

Tangani ketersediaan rentang waktu

Ini memberi tahu mesin periode mana yang tersedia untuk backtesting dan mencegah kesalahan di luar batas.

Sintaks dasar:

BacktestingMinMaxTime MinMax(DateTime min, DateTime max)
    => new BacktestingMinMaxTime(min, max);

Di dalam plugin:

private BacktestingMinMaxTime OnMinMaxTimeRequested(BacktestingDataSourceMinMaxTimeArgs args)
{
    Print($"Min/Max time requested, {args.PriceDataSourceId}, {args.DataType}");

    var dataId = GetDataId(args.PriceDataSourceId, args.DataType);

    Print($"Min/Max time request DataId: {dataId}");

    if (!_addedData.TryGetValue(dataId, out var data))
    {
        throw new InvalidOperationException("No data");
    }

    Print($"Min/Max time sent, {data.MinMaxTime}");

    return data.MinMaxTime;
}

Gabungkan dengan periode kustom (opsional)

Anda dapat mengikat sumber data ke periode kustom.

Sintaks dasar:

var customTf = TimeFrameManager.Custom.Add("My 45min");

customTf.BarsNeeded = args =>
{
    var baseBars = LoadBarsFromCsv("source.csv");
    var grouped = AggregateBarsTo45min(baseBars);
    args.CustomBars.AppendBars(grouped);
};

Di dalam plugin:

private void OnAddCustomTimeFrameClick(ButtonClickEventArgs obj)
{
    _customTimeFrame = TimeFrameManager.Custom.Add("Custom Data Source Test (h1)");

    _customTimeFrame.BarsNeeded = args => 
    {
        Print($"Custom time frame bars needed for symbol '{args.CustomBars.Symbol.Name}'.");

        var bars = MarketData.GetBars(TimeFrame.Hour, args.CustomBars.Symbol.Name);

        Print($"Appending custom time frame bars '{bars.Count}' for symbol '{args.CustomBars.Symbol.Name}'.");

        args.CustomBars.AppendBars(bars.Select(b => new CustomBar(
            b.OpenTime,
            b.Open,
            b.High,
            b.Low,
            b.Close,
            b.TickVolume
        )));
    };

    Print("Custom time frame added.");
}

Tips

Bersihkan hasil lama saat memperbarui data menggunakan BacktestingDataSource.ClearCache().
Pertahankan referensi sumber menggunakan LocalStorage untuk dimuat ulang saat restart.
Gunakan PluginPanel, TextBox, dan FileDialog untuk membangun pemilih data visual untuk kenyamanan.

Ide praktis

Agregasi batang menjadi periode kustom

Anda dapat membuat resolusi grafik khusus, seperti batang 45 menit, dengan mengagregasi data m1 yang ada. Pendekatan ini memungkinkan Anda melakukan backtesting strategi Anda pada interval non-standar, dan Anda mungkin menemukan pola harga yang tidak muncul pada periode umum seperti m30 atau h1.

_customTimeFrame = TimeFrameManager.Custom.Add("Custom 45-min");

_customTimeFrame.BarsNeeded = args =>
{
    var m1Bars = MarketData.GetBars(TimeFrame.Minute, args.CustomBars.Symbol.Name);
    var groupedBars = m1Bars
        .GroupBy(bar => bar.OpenTime.Ticks / TimeSpan.FromMinutes(45).Ticks)
        .Select(group => new CustomBar(
            group.First().OpenTime,
            group.First().Open,
            group.Max(b => b.High),
            group.Min(b => b.Low),
            group.Last().Close,
            group.Sum(b => b.TickVolume)
        ));

    args.CustomBars.AppendBars(groupedBars);
};

Trading indeks sintetis yang dibangun dari beberapa simbol

Pertimbangkan untuk melakukan backtesting strategi pada indeks kustom dengan merata-ratakan atau menggabungkan data harga dari beberapa simbol. Misalnya, Anda dapat membuat indeks risk-on sintetis menggunakan EURUSD, GBPUSD, dan AUDUSD, lalu melakukan backtesting seperti simbol lainnya.

var base1 = Symbols.GetSymbol("EURUSD");
var base2 = Symbols.GetSymbol("GBPUSD");
var base3 = Symbols.GetSymbol("AUDUSD");

var syntheticSymbol = CustomSymbols.Add("SyntheticRiskOn", Account.Asset, Assets.GetAsset("USD"));
syntheticSymbol.BarsNeeded = args =>
{
    MarketData.GetBarsAsync(TimeFrame.Minute, base1.Name, bars1 =>
    {
        MarketData.GetBarsAsync(TimeFrame.Minute, base2.Name, bars2 =>
        {
            MarketData.GetBarsAsync(TimeFrame.Minute, base3.Name, bars3 =>
            {
                var bars = bars1.Zip(bars2, (b1, b2) => (b1, b2))
                                .Zip(bars3, (pair, b3) =>
                                {
                                    var (b1, b2) = pair;
                                    return new CustomBar(
                                        b1.OpenTime,
                                        (b1.Open + b2.Open + b3.Open) / 3,
                                        (b1.High + b2.High + b3.High) / 3,
                                        (b1.Low + b2.Low + b3.Low) / 3,
                                        (b1.Close + b2.Close + b3.Close) / 3,
                                        (b1.TickVolume + b2.TickVolume + b3.TickVolume)
                                    );
                                });

                args.CustomBars.AppendBars(bars);
            });
        });
    });
};

Jika Anda mendapatkan hasil backtesting positif, Anda dapat melanjutkan untuk trading simbol kustom.

Jalankan simulasi Monte Carlo dengan noise harga

Suntikkan sedikit keacakan ke dalam data harga historis untuk mensimulasikan ketidaksempurnaan dunia nyata seperti slippage atau lonjakan harga. Mengulang backtesting dengan pola noise yang berbeda membantu Anda mengungkap strategi yang rapuh dan memvalidasi ketahanan dalam ketidakpastian.

Random rand = new Random();
foreach (var bar in bars)
{
    var noise = 1 + rand.NextDouble() * 0.001 - 0.0005;
    modifiedBars.Add(new BacktestingBar(
        bar.Time,
        bar.Open * noise,
        bar.High * noise,
        bar.Low * noise,
        bar.Close * noise,
        bar.Volume
    ));
}