Class Algorithm

Base class for v2 trading algorithms.

Inheritance

object

Algorithm

Implements

IAlgorithm

Inherited Members

object.Equals(object)

object.Equals(object, object)

object.GetHashCode()

object.GetType()

object.MemberwiseClone()

object.ReferenceEquals(object, object)

object.ToString()

Namespace: TuringTrader.SimulatorV2

Assembly: TuringTrader.Simulator.dll

Syntax

public abstract class Algorithm : IAlgorithm

Constructors

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Algorithm()

Initialize trading algorithm. Most trading algorithms will only do very little here; the majority of the initialization should be performed in Run(), to allow multiple runs of the same instance.

Declaration

protected Algorithm()

Fields

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DataCache

Data cache, used to store algorithm data. The default behavior for this cache is a dummy, bypassing all requests directly to the miss function. Because the object cache is still active, this only prevents algorithms from sharing quotes and indicator results. However, the optimizer will activate this cache, reducing the memory footprint and increasing execution speed.

Declaration

public ICache DataCache

Field Value

Type	Description
ICache

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EquityCurve

Equity curve generated by this algorithm.

Declaration

public List<BarType<OHLCV>> EquityCurve

Field Value

Type	Description
System.Collections.Generic.List<T><BarType<OHLCV>>

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ObjectCache

Object cache, used to store algorithm-specific objects. Most importantly, algorithms store all time series in the cache, including those for quotes and indicators. It is worth noting that there is a separate cache for the actual raw data.

Declaration

public ICache ObjectCache

Field Value

Type	Description
ICache

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Plotter

Plotter for default report.

Declaration

public Plotter Plotter

Field Value

Type	Description
Plotter

Properties

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Account

Account model.

Declaration

public IAccount Account { get; set; }

Property Value

Type	Description
IAccount

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Cash

Algorithm's current cash holdings.

Declaration

public double Cash { get; }

Property Value

Type	Description
double

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CooldownPeriod

Cooldown period. This period follows EndDate. It is important to add a few days to the end of the backtest to make sure the simulator can calculate NextSimDate accordingly.

Declaration

public TimeSpan CooldownPeriod { get; set; }

Property Value

Type	Description
System.TimeSpan

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EndDate

Simulation end date.

Declaration

public DateTime? EndDate { get; set; }

Property Value

Type	Description
System.DateTime?

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FitnessReturn

Return algorithm's fitness value (return component).

Declaration

public virtual double FitnessReturn { get; set; }

Property Value

Type	Description
double

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FitnessRisk

Return algorithm's fitness value (risk component).

Declaration

public virtual double FitnessRisk { get; set; }

Property Value

Type	Description
double

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FitnessValue

Return algorithm's fitness value (composite value).

Declaration

public virtual double FitnessValue { get; set; }

Property Value

Type	Description
double

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IsDataSource

Return true, if algorithm is used as a data source. Use this feature to disable optional operations that are time or memory consuming.

Declaration

public bool IsDataSource { get; set; }

Property Value

Type	Description
bool

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IsFirstBar

Determine if this is the first bar.

Declaration

public bool IsFirstBar { get; }

Property Value

Type	Description
bool

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IsLastBar

Determine if this is the last bar.

Declaration

public bool IsLastBar { get; }

Property Value

Type	Description
bool

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IsOptimizerParamsValid

Determine if optimizer parameter set is valid.

Declaration

public virtual bool IsOptimizerParamsValid { get; }

Property Value

Type	Description
bool

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IsOptimizing

Return true, if algorithm is currently being optimized. Use this feature to disable optional operations that are time or memory consuming.

Declaration

public bool IsOptimizing { get; set; }

Property Value

Type	Description
bool

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Name

Return algorithm's friendly name.

Declaration

public virtual string Name { get; }

Property Value

Type	Description
string

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NetAssetValue

Algorithm's current net asset value.

Declaration

public double NetAssetValue { get; }

Property Value

Type	Description
double

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NextSimDate

Next simulation timestamp. This is useful for determining the end of the week/ month/ year.

Declaration

public DateTime NextSimDate { get; }

Property Value

Type	Description
System.DateTime

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OptimizerParams

Return full set of optimizer parameters.

Declaration

public Dictionary<string, OptimizerParam> OptimizerParams { get; }

Property Value

Type	Description
System.Collections.Generic.Dictionary<TKey, TValue><string, OptimizerParam>

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OptimizerParamsAsString

String representation of the current settings of all optimizable parameters.

Declaration

public string OptimizerParamsAsString { get; }

Property Value

Type	Description
string

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Positions

Positions currently held by algorithm.

Declaration

public Dictionary<string, double> Positions { get; }

Property Value

Type	Description
System.Collections.Generic.Dictionary<TKey, TValue><string, double>

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Progress

Return simulation progress as a number between 0 and 100. This is used to display a progress bar during simulation. Note that this method of calculation shows the percentage of simulation range completed, which is not identical to the percentage of simulation time completed.

Declaration

public virtual double Progress { get; }

Property Value

Type	Description
double

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SimDate

Current simulation timestamp.

Declaration

public DateTime SimDate { get; }

Property Value

Type	Description
System.DateTime

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StartDate

Simulation start date.

Declaration

public DateTime? StartDate { get; set; }

Property Value

Type	Description
System.DateTime?

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TradingCalendar

Trading calendar, converting simulation date range to enumerable of valid trading days.

Declaration

public ITradingCalendar TradingCalendar { get; set; }

Property Value

Type	Description
ITradingCalendar

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WarmupPeriod

Warmup period.This period comes before StartDate. It is crucial to have enough warmup before beginning to trade, so that indicators can settle on their correct values.

Declaration

public TimeSpan WarmupPeriod { get; set; }

Property Value

Type	Description
System.TimeSpan

Methods

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Asset(object)

Load quotations or run algorithm, dependent on the type of the object passed in.

Declaration

public virtual TimeSeriesAsset Asset(object obj)

Parameters

Type	Name	Description
object	obj	string or algorithm

Returns

Type	Description
TimeSeriesAsset	asset time series

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Asset(string, Func<List<BarType<OHLCV>>>)

Load asset data through custom code. Subsequent calls to this method with the same name will be served from the cache.

Declaration

public virtual TimeSeriesAsset Asset(string name, Func<List<BarType<OHLCV>>> retrieve)

Parameters

Type	Name	Description
string	name	name of asset
System.Func<TResult><System.Collections.Generic.List<T><BarType<OHLCV>>>	retrieve	retrieval function for custom data

Returns

Type	Description
TimeSeriesAsset

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Asset(string)

Load quotations for tradeable asset. Subsequent calls to this method with the same name will be served from a cache.

Declaration

public virtual TimeSeriesAsset Asset(string name)

Parameters

Type	Name	Description
string	name	name of asset

Returns

Type	Description
TimeSeriesAsset	asset time series

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Asset(IAlgorithm)

Run v2 algorithm and bring its results in as an asset. Subsequent calls to this method with the same generator will be served from a cache.

Declaration

public virtual TimeSeriesAsset Asset(IAlgorithm generator)

Parameters

Type	Name	Description
IAlgorithm	generator	algorithm used as asset

Returns

Type	Description
TimeSeriesAsset	asset time series

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Clone()

Clone algorithm, including all optimizer parameters. The application uses this method to clone the 'master' instance, and create new algorithm instances before running them.

Declaration

public IAlgorithm Clone()

Returns

Type	Description
IAlgorithm	new algorithm instance

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Lambda(string, Func<double, double>, double)

Calculate indicator from lambda function.

Declaration

public TimeSeriesFloat Lambda(string cacheId, Func<double, double> barFun, double init)

Parameters

Type	Name	Description
string	cacheId	unique cache id
System.Func<T, TResult><double, double>	barFun	lambda function
double	init	initial value

Returns

Type	Description
TimeSeriesFloat	output time series

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Lambda(string, Func<double>)

Calculate indicator from lambda function.

Declaration

public TimeSeriesFloat Lambda(string cacheId, Func<double> barFun)

Parameters

Type	Name	Description
string	cacheId	unique cache id>
System.Func<TResult><double>	barFun	lambda function

Returns

Type	Description
TimeSeriesFloat	output time series

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Report()

Render default report.

Declaration

public virtual void Report()

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Run()

Run backtest.

Declaration

public virtual void Run()

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SimLoop(Action)

Simulation loop. This override's bar function returns void. Therefore, the algorithm's output series is generated from the trading activity in the algorithm's Account object.

Declaration

public void SimLoop(Action barFun)

Parameters

Type	Name	Description
System.Action	barFun

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SimLoop(Func<OHLCV>)

Simulation loop. This override's bar function returns a bar object. This object is used to create teh algorithm's output series.

Declaration

public void SimLoop(Func<OHLCV> barFun)

Parameters

Type	Name	Description
System.Func<TResult><OHLCV>	barFun

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Universe(string)

Return constituents of universe at current simulator timestamp. Please note that not all data feeds support this feature. For those feeds, the list of symbols returned might be inaccurate or incomplete.

Declaration

public virtual HashSet<string> Universe(string name)

Parameters

Type	Name	Description
string	name

Returns

Type	Description
System.Collections.Generic.HashSet<T><string>

Implements

IAlgorithm

Extension Methods

GlobalSettings.GetRegistryValue(Algorithm, string, object)

GlobalSettings.SetRegistryValue(Algorithm, string, object)