added support for multiple variables, to scale out tests even further

scripts/backtestings/aws.sh

@@ -31,7 +31,7 @@ main() {
 
  ######################################
  ### EXPERIMENT DEFINITION
- source $my_dir/experiments/momentum/forex/momentum_14a2da93_focused
+ source $my_dir/experiments/momentum/focused/fixed
  ######################################
 
  # Remove binary files & tests
@@ -107,19 +107,69 @@ kineticTPFunc(){
  for pips in `seq $kineticLimitRange`
  do
  export kineticLimit=$pips
-
- randomStrategyHHLLFunc
+ variableA_range_Func
  done
 }
 
-randomStrategyHHLLFunc(){
- for pips in `seq $randomStrategyAmountOfHHLLSseq`
- do
- export randomStrategyAmountOfHHLL=$pips
+variableA_range_Func(){
+ if [ -z "$variableA_range" ]; then
  deploy
- done
+ else
+ for pips in `seq $variableA_range`
+ do
+ export variableA=$pips
+ variableB_range_Func
+ done
+ fi
+}
+
+variableB_range_Func(){
+ if [ -z "$variableB_range" ]; then
+ deploy
+ else
+ for pips in `seq $variableB_range`
+ do
+ export variableB=$pips
+ variableC_range_Func
+ done
+ fi
 }
 
+variableC_range_Func(){
+ if [ -z "$variableC_range" ]; then
+ deploy
+ else
+ for pips in `seq $variableC_range`
+ do
+ export variableC=$pips
+ variableD_range_Func
+ done
+ fi
+}
+
+variableD_range_Func(){
+ if [ -z "$variableD_range" ]; then
+ deploy
+ else
+ for pips in `seq $variableD_range`
+ do
+ export variableD=$pips
+ variableE_range_Func
+ done
+ fi
+}
+
+variableE_range_Func(){
+ if [ -z "$variableE_range" ]; then
+ deploy
+ else
+ for pips in `seq $variableE_range`
+ do
+ export variableE=$pips
+ deploy
+ done
+ fi
+}
 
 instanceCount=0
 
@@ -128,7 +178,7 @@ deploy () {
  let instanceCount=instanceCount+1
 
  envsubst < $SCRIPT_DIR/template.txt > $SCRIPT_DIR/data.sh
-
+ 
  # Deploy
  aws ec2 run-instances --image-id ${AWS_MACHINE_IMAGE} \
  --count 1 \

scripts/backtestings/experiments/momentum/focused/fixed

@@ -0,0 +1,32 @@
+declare -a strategies=("Momentum_59ca71ff")
+
+## Multiple Indexes
+declare -a symbolsArray=("GBRIDXGBP")
+
+# Forex from 2004
+yearsStart=2021
+yearsEnd=2023
+
+# These don't mean anything in RandomHHLL as the SL/TP is defined by the highest and lowest value from the last time period
+stopLossInPipsRange="200 1 200" # STOP LOSS Distance in PIPs
+limitInPipsRange="200 1 200" # TAKE PROFIT Distance in PIPs
+
+# Account Equity
+accountEquity=10000
+maximumDrawndownPercentage=75
+fasterProcessingBySkippingSomeTickData=true
+
+# ####################
+# Strategy Variables
+
+# amount of periods to keep
+variableA_range="5 5 15"
+
+# variableB = period
+variableB_range="30 30 90"
+
+# variableC = maxSpeed
+variableC_range="0.5 0.5 1.5"
+
+# variableD = max stop value
+variableD_range="100 900 1000"

scripts/backtestings/experiments/momentum/forex/fixed

@@ -15,4 +15,4 @@ maximumDrawndownPercentage=75
 fasterProcessingBySkippingSomeTickData=true
 
 # Strategy Variables
-randomStrategyAmountOfHHLLSseq="5 5 15"
+variableA_range="5 5 15"

scripts/backtestings/experiments/momentum/forex/momentum_14a2da93_focused

@@ -17,4 +17,4 @@ maximumDrawndownPercentage=75
 fasterProcessingBySkippingSomeTickData=true
 
 # Strategy Variables
-randomStrategyAmountOfHHLLSseq="5 5 15"
+variableA_range="5 5 15"

scripts/backtestings/experiments/momentum/indices/fixed

@@ -1,4 +1,4 @@
-declare -a strategies=("Momentum_4d991e3b")
+declare -a strategies=("Momentum_2ff0b2b2")
 
 ## Multiple Indexes
 declare -a symbolsArray=("JPNIDXJPY" "ESPIDXEUR" "FRAIDXEUR" "DEUIDXEUR" "AUSIDXAUD" "USATECHIDXUSD" "USA500IDXUSD" "USA30IDXUSD" "EUSIDXEUR" "GBRIDXGBP")
@@ -17,4 +17,4 @@ maximumDrawndownPercentage=75
 fasterProcessingBySkippingSomeTickData=true
 
 # Strategy Variables
-randomStrategyAmountOfHHLLSseq="5 5 15"
+variableA_range="5 5 15"

scripts/backtestings/experiments/random-hh-ll/bonds/range

@@ -16,6 +16,6 @@ maximumDrawndownPercentage=75
 fasterProcessingBySkippingSomeTickData=true
 
 # Strategy Variables
-randomStrategyAmountOfHHLLSseq="4 2 10"
+variableA_range="4 2 10"
 #RANDOMHHLL_HOURS_TO_KEEP=5
 #RANDOMHHLL_TP_LOOKBACK_OVER_HOURS=2

scripts/backtestings/experiments/random-hh-ll/crypto/range

@@ -17,6 +17,6 @@ maximumDrawndownPercentage=75
 fasterProcessingBySkippingSomeTickData=true
 
 # Strategy Variables
-randomStrategyAmountOfHHLLSseq="4 2 10"
+variableA_range="4 2 10"
 #RANDOMHHLL_HOURS_TO_KEEP=5
 #RANDOMHHLL_TP_LOOKBACK_OVER_HOURS=2

scripts/backtestings/experiments/random-hh-ll/forex/range

@@ -15,6 +15,6 @@ maximumDrawndownPercentage=75
 fasterProcessingBySkippingSomeTickData=true
 
 # Strategy Variables
-randomStrategyAmountOfHHLLSseq="4 2 10"
+variableA_range="4 2 10"
 #RANDOMHHLL_HOURS_TO_KEEP=5
 #RANDOMHHLL_TP_LOOKBACK_OVER_HOURS=2

scripts/backtestings/experiments/random-hh-ll/indices/range

@@ -17,6 +17,6 @@ maximumDrawndownPercentage=75
 fasterProcessingBySkippingSomeTickData=true
 
 # Strategy Variables
-randomStrategyAmountOfHHLLSseq="4 2 10"
+variableA_range="4 2 10"
 #RANDOMHHLL_HOURS_TO_KEEP=5
 #RANDOMHHLL_TP_LOOKBACK_OVER_HOURS=2

scripts/backtestings/template.txt

@@ -23,9 +23,13 @@ export tradingSize=${tradingSize}
 export instanceCount=${instanceCount}
 export kineticStopLoss=${kineticStopLoss}
 export kineticLimit=${kineticLimit}
-export randomStrategyAmountOfHHLL=${randomStrategyAmountOfHHLL}
 export operatingEnvironment=${operatingEnvironment}
 export fasterProcessingBySkippingSomeTickData=${fasterProcessingBySkippingSomeTickData}
+export variableA=${variableA}
+export variableB=${variableB}
+export variableC=${variableC}
+export variableD=${variableD}
+export variableE=${variableE}
 
 export consoleLog=false
 export systemLog=false

src/Models/IEnvironmentVariables.cs

@@ -31,9 +31,14 @@ public interface IEnvironmentVariables
  int kineticStopLoss {get; init;}
  int kineticLimit {get; init;}
  bool doNotCleanUpDataFolder {get;init;}
- int randomStrategyAmountOfHHLL {get; init;}
  bool fasterProcessingBySkippingSomeTickData {get;init;}
 
+ decimal? variableA {get;init;}
+ decimal? variableB {get;init;}
+ decimal? variableC {get;init;}
+ decimal? variableD {get;init;}
+ decimal? variableE {get;init;}
+
  Dictionary<string, decimal> getScalingFactorDictionary();
  decimal GetScalingFactor(string symbol);
 

src/backtesting/Analysis/Reporting.cs

@@ -78,7 +78,11 @@ public void EndOfRunReport(string reason = "")
  stopDistanceInPips = decimal.Parse(envVariables.stopDistanceInPips),
  limitDistanceInPips = decimal.Parse(envVariables.limitDistanceInPips),
  instanceCount = envVariables.instanceCount,
- randomHHLLValue = envVariables.randomStrategyAmountOfHHLL
+ variableA = envVariables.variableA,
+ variableB = envVariables.variableB,
+ variableC = envVariables.variableC,
+ variableD = envVariables.variableD,
+ variableE = envVariables.variableE,
  };
 
 
@@ -117,7 +121,7 @@ public virtual async Task SendStack(TradingException message)
 
  public void TradeUpdate(DateTime date, string symbol, decimal profit)
  {
- tradeUpdateArray.Add(new ReportTradeObj()
+ var tradeReport = new ReportTradeObj()
  {
  date = date,
  symbols = envVariables.symbols,
@@ -128,8 +132,14 @@ public void TradeUpdate(DateTime date, string symbol, decimal profit)
  stopDistanceInPips = stopDistanceInPips,
  limitDistanceInPips = limitDistanceInPips,
  trailingStopLoss = envVariables.kineticStopLoss,
- randomHHLLValue = envVariables.randomStrategyAmountOfHHLL
- });
+ variableA = envVariables.variableA,
+ variableB = envVariables.variableB,
+ variableC = envVariables.variableC,
+ variableD = envVariables.variableD,
+ variableE = envVariables.variableE,
+ };
+
+ tradeUpdateArray.Add(tradeReport);
 
  _=BatchTradeUpdate();
  }

src/backtesting/Utilities/ReportObj.cs

@@ -35,7 +35,12 @@ public class ReportFinalObj {
  public decimal limitDistanceInPips {get;set;}
 
  public int instanceCount { get;set; }
- public decimal randomHHLLValue {get;set;}
+
+ public decimal? variableA {get;set;}
+ public decimal? variableB {get;set;}
+ public decimal? variableC {get;set;} 
+ public decimal? variableD {get;set;} 
+ public decimal? variableE {get;set;} 
 
  public IEnvironmentVariables? environmentVariables {get;set;}
 }
@@ -51,7 +56,12 @@ public class ReportTradeObj {
  public decimal stopDistanceInPips {get;set;}
  public decimal limitDistanceInPips {get;set;}
  public decimal trailingStopLoss {get;set;}
- public decimal randomHHLLValue {get;set;}
  public int instanceCount { get; init; } = 0;
  public IEnvironmentVariables? environmentVariables {get;set;}
+
+ public decimal? variableA {get;set;}
+ public decimal? variableB {get;set;}
+ public decimal? variableC {get;set;} 
+ public decimal? variableD {get;set;} 
+ public decimal? variableE {get;set;} 
 }

src/strategies/BaseStrategy.cs

@@ -17,7 +17,7 @@ public class BaseStrategy
  protected readonly IWebNotification webNotification;
  protected readonly ICloseOrder closeOrder;
 
- protected BaseStrategy(IRequestOpenTrade requestOpenTrade, ITradingObjects tradeObjs, IEnvironmentVariables envVariables,ICloseOrder closeOrder, IWebNotification webNotification)
+ protected BaseStrategy(IRequestOpenTrade requestOpenTrade, ITradingObjects tradeObjs, IEnvironmentVariables envVariables, ICloseOrder closeOrder, IWebNotification webNotification)
  {
  this.requestOpenTrade = requestOpenTrade;
  this.envVariables = envVariables;