Ujian belakang sumber data tersuai

API sumber data tersuai ujian belakang menyediakan jenis yang membolehkan pembangun memasukkan data harga tersuai ke dalam enjin ujian belakang, pengoptimuman dan Ulangan Pasaran dalam cTrader. Fungsi API ini membolehkan aliran kerja baharu dan berkuasa menggunakan format data luar talian, pihak ketiga, sintetik atau eksperimen.

Antara muka dan jenis teras termasuk:

BacktestingDataSources.Add(name, options) untuk mendaftarkan sumber baharu tersuai.
BacktestingDataSourceOptions untuk mengkonfigurasi jenis data yang disokong, julat masa data dan logik pengambilan.
BacktestingDataRequest dikeluarkan oleh enjin apabila data diperlukan semasa ujian.
BacktestingTickData dan BacktestingBarsData merangkumi data yang dikembalikan daripada plugin.

Enjin ujian belakang berinteraksi dengan data yang disediakan melalui komponen berikut:

Jenis data – pilih antara tick (bid/ask), harga pembukaan m1, bar OHLCV penuh, dll.
Pembekal data – laksanakan panggilan balik untuk membekalkan data atas permintaan.
Pengurusan julat masa – tentukan tempoh yang disokong.
Tempoh tersuai – gabungkan dengan TimeFrameManager.Custom untuk mensimulasikan jenis bar atau resolusi baharu.
Simbol tersuai – jalankan simulasi pada instrumen sintetik.

Petua

Gunakan API untuk menguji strategi anda pada suapan pihak ketiga, seperti data tick broker, dan gunakan set data luar talian dalam persekitaran terkawal. Ulang, optimumkan dan uji tekanan strategi pada data yang benar-benar mencerminkan keadaan dagangan langsung, dan lakukan semuanya dalam UI cTrader yang biasa.

API sumber data tersuai ujian belakang membolehkan perkara berikut:

Ciri atau operasi	Contoh
Integrasi data alternatif	Uji belakang menggunakan suapan tick institusi. Jalankan Ulangan Pasaran pada data khusus broker. Import bar AlphaVantage atau Nasdaq Data Link (Quandl).
Ujian belakang berasaskan peristiwa	Simulasikan kesan laporan berita, seperti CPI atau NFP. Suntik letusan turun naik semasa tempoh yang diketahui.
Ujian bar alternatif	Uji belakang pada logik bar Renko, Heikin Ashi atau tersuai.
Eksperimen tempoh masa	Cuba strategi pada tempoh masa yang tidak biasa, seperti m25, m40, h10, dll.
Ujian keteguhan strategi	Suntik hingar rawak ke dalam harga. Jalankan simulasi Monte Carlo.
Lapisan lengkung ekuiti atau risiko	Uji belakang menggunakan lengkung baki strategi sejarah.

Aliran kerja asas

Contoh plugin

Apabila diaktifkan, plugin ini memaparkan komponen dengan butang dalam Panel Simbol Aktif yang membolehkan anda menambah dan menguruskan sumber data tersuai, termasuk yang untuk tempoh tersuai.

Sebarang data tersuai yang ditambah menjadi tersedia sebagai pilihan data dalam tetingkap Ulangan Pasaran dan Ujian Belakang, manakala sebarang tempoh tersuai yang ditambah muncul dalam UI Tempoh biasa.

Ulangan PasaranUjian belakang

Kod 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

Daftar sumber data

Sintaks asas:

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);

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 atas permintaan

Setiap BacktestingDataRequest mengandungi:

.StartTime, .EndTime – tempoh yang diminta
.PriceDataSourceId – kombinasi simbol/tempoh masa
.DateType – tick, m1 atau OHLCV
.Complete(data) – panggil ini apabila data sedia
.Fail("reason") – panggil ini jika permintaan tidak dapat dipenuhi

Contoh pengendali:

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

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;
    }
}

Kendalikan ketersediaan julat masa

Ini memberitahu enjin tempoh mana yang tersedia untuk ujian belakang dan menghalang ralat di luar sempadan.

Sintaks asas:

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

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 tempoh tersuai (pilihan)

Anda boleh mengikat sumber data kepada tempoh tersuai.

Sintaks asas:

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

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

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.");
}

Petua

Buang hasil lama apabila mengemas kini data menggunakan BacktestingDataSource.ClearCache().
Kekalkan rujukan sumber menggunakan LocalStorage untuk dimuat semula semasa mula semula.
Gunakan PluginPanel, TextBox dan FileDialog untuk membina pemilih data visual untuk kemudahan.

Idea praktikal

Gabungkan bar ke dalam tempoh tersuai

Anda boleh mencipta resolusi carta tersuai, seperti bar 45 minit, dengan menggabungkan data m1 sedia ada. Pendekatan ini membolehkan anda menguji belakang strategi anda pada selang masa bukan standard, dan anda mungkin menemui corak harga yang tidak muncul pada tempoh biasa 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);
};

Berdagang indeks sintetik yang dibina daripada pelbagai simbol

Pertimbangkan untuk menguji belakang strategi pada indeks tersuai dengan merata-ratakan atau menggabungkan data harga daripada beberapa simbol. Contohnya, anda boleh mencipta indeks risiko sintetik menggunakan EURUSD, GBPUSD dan AUDUSD, dan kemudian menguji belakangnya seperti mana-mana simbol lain.

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 mendapat keputusan ujian belakang yang positif, anda boleh meneruskan untuk berdagang simbol tersuai.

Jalankan simulasi Monte Carlo dengan hingar harga

Suntikkan sedikit kerawakan ke dalam data harga sejarah untuk mensimulasikan ketidaksempurnaan dunia sebenar seperti gelinciran atau lonjakan harga. Mengulangi ujian belakang dengan corak hingar yang berbeza membantu anda menemui strategi yang rapuh dan mengesahkan keteguhan dalam keadaan yang tidak menentu.

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
    ));
}