Az ut\u00f3bbi p\u00e1r h\u00e9tben rendk\u00edv\u00fcl intenz\u00edven egy programot \u00edrok – egy Automated Trading System-et, \u00edgy mondj\u00e1k ezeket angolul. Azaz egy olyan programot, amely real-time t\u0151zsdei adatok alapj\u00e1n automatikusan d\u00f6nt\u00e9seket hoz, ad-vesz. Persze a dolog a val\u00f3s\u00e1gban elk\u00e9peszt\u0151en bonyolult tud lenni, de programoz\u00e1si gyakorlatnak mindenk\u00e9ppen \u00e9rdekes.<\/p>\n
A rendszer r\u00e9szleteir\u0151l egyel\u0151re nem akarok \u00edrni, majd ha m\u0171k\u00f6dik, besz\u00e9lek r\u00f3la – b\u00e1r lehet, hogy pont akkor nem kellene, mi? :)<\/p>\n
No, a l\u00e9nyeg, hogy az ilyen rendszereket az ember csak akkor ind\u00edt el, ha nagyon hossz\u00fa m\u00faltbeli adatokon v\u00e9gigpr\u00f3b\u00e1lva el\u00e9g j\u00f3 a nyeres\u00e9g\/vesztes\u00e9g ar\u00e1nya, \u00e9s nem csin\u00e1l zsin\u00f3rban annyi vesztes\u00e9get, ami m\u00e1r pszichol\u00f3gialiag f\u00e1j, vagy ak\u00e1r le is null\u00e1zza az erre sz\u00e1nt p\u00e9nzt.
\nEzt a tesztel\u00e9st h\u00edvj\u00e1k backtest-nek. Ehhez adatok kellenek, amit persze p\u00e9nz\u00e9rt adnak, de ez m\u00e1r csak ilyen, ha ez ember p\u00e9nzt akar keresni, ahhoz be is kell fektetni.
\nNekem most m\u00e1r van t\u00f6bb mint 10 \u00e9vnyi perces adatom a legnagyobb likvidit\u00e1s\u00fa futures-\u00f6kh\u00f6z (S&P 500 E-Mini, Nasdaq E-Mini, stb.).
\nJ\u00f6het a szakma. A backtest \u00edr\u00e1sakor kialakult a k\u00f6vetkez\u0151 k\u00f3dr\u00e9szlet:<\/p>\n
class BackTestSession K\u00f6vetkez\u0151 refactoring lenne az out param\u00e9terek kiirt\u00e1sa, lecser\u00e9l\u00e9se member v\u00e1ltoz\u00f3ra. Erre m\u00e9g a VS is ad refactoring t\u00e1mogat\u00e1st.<\/p>\n \u00c9s most j\u00f6n a shameless plug<\/a> (b\u00e1r nem ez\u00e9rt kezdem el \u00edrni a cikket, de ki nem hagyn\u00e1m a lehet\u0151s\u00e9get :): A Netacademi\u00e1ban m\u00e1rciusban lesz \u00fajra Design Patterns tanfolyamom<\/a>, ahol az objektumorient\u00e1lt programoz\u00e1s praktik\u00e1it mutatom meg 4 napban, ilyen egyszer\u0171eket mint a fenti, \u00e9s sokkal bonyolultabbakat is. A r\u00e9gi tananyagot \u00e1t\u00edrom a k\u00f6vetkez\u0151 hetekben, kieg\u00e9sz\u00edtve .NET Fw. 3.5-\u00f6s p\u00e9ld\u00e1kkal (WCF-ben \u00e9s WPF-ben nagyon sz\u00e9p p\u00e9ld\u00e1kat l\u00e1tni a patternekre).<\/p>\n","protected":false},"excerpt":{"rendered":" Az ut\u00f3bbi p\u00e1r h\u00e9tben rendk\u00edv\u00fcl intenz\u00edven egy programot \u00edrok – egy Automated Trading System-et, \u00edgy mondj\u00e1k ezeket angolul. Azaz egy olyan programot,…<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[8,13,34,69,3,4],"tags":[],"class_list":["post-720","post","type-post","status-publish","format-standard","hentry","category-net","category-design","category-felhivas","category-tozsde","category-elet","category-szakmai-elet"],"_links":{"self":[{"href":"https:\/\/soci.hu\/blog\/index.php\/wp-json\/wp\/v2\/posts\/720","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/soci.hu\/blog\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/soci.hu\/blog\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/soci.hu\/blog\/index.php\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/soci.hu\/blog\/index.php\/wp-json\/wp\/v2\/comments?post=720"}],"version-history":[{"count":6,"href":"https:\/\/soci.hu\/blog\/index.php\/wp-json\/wp\/v2\/posts\/720\/revisions"}],"predecessor-version":[{"id":729,"href":"https:\/\/soci.hu\/blog\/index.php\/wp-json\/wp\/v2\/posts\/720\/revisions\/729"}],"wp:attachment":[{"href":"https:\/\/soci.hu\/blog\/index.php\/wp-json\/wp\/v2\/media?parent=720"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/soci.hu\/blog\/index.php\/wp-json\/wp\/v2\/categories?post=720"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/soci.hu\/blog\/index.php\/wp-json\/wp\/v2\/tags?post=720"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}
\n{
\n…
\n for (int i = 0; i < bars.Count; i++)\n {\n foreach (TradingAlgorithm alg in algs)\n {\n StepOne(alg, i);\n }\n }\n\nprivate void StepOne(TradingAlgorithm alg, int i)\n{\n if (!alg.InLong && !alg.InShort)\n {\n decimal entryPrice;\n TradeActionReason reason = alg.WantToBuyLong(i, out entryPrice);\n if (reason != TradeActionReason.None)\n {\n return;\n }\n\n reason = alg.WantToSellShort(i, out entryPrice);\n if (reason != TradeActionReason.None)\n {\n return;\n }\n return;\n }\n\n if (alg.InLong)\n {\n TradeActionReason reason = alg.WantToSellLong(i);\n if (reason != TradeActionReason.None)\n {\n return;\n }\n }\n\n if (alg.InShort)\n {\n TradeActionReason reason = alg.WantToCoverShort(i);\n if (reason != TradeActionReason.None)\n {\n return;\n }\n }\n return;\n}\n...\n}\n[\/source]\n\nEz a k\u00f3d messzir\u0151l b\u0171zlik. Mi a gond vele? Nem j\u00f3 helyen lakik. Figyelj\u00fck meg, hogy egyfolyt\u00e1ban egy m\u00e1sik t\u00edpuson (TradingAlgorithm) v\u00e9gez m\u0171veleteket, \u00e1tny\u00falk\u00e1l oda adatok\u00e9rt \u00e9s m\u0171veleteket v\u00e9gezve rajta.\nEz egy code smell a refactoringok h\u00e1zat\u00e1j\u00e1n, amire megold\u00e1s, ha elk\u00f6lt\u00f6ztetj\u00fck a met\u00f3dust a hely\u00e9re. Move method refactoring.\n\n[source='C#']\n\nclass BackTestSession\n{\n for (int i = 0; i < bars.Count; i++)\n {\n foreach (TradingAlgorithm alg in algs)\n {\n alg.StepOne(i);\n }\n }\n}\n\nclass TradingAlgorithm\n{\n public void StepOne(int i)\n {\n if (!InLong && !InShort)\n {\n decimal entryPrice;\n TradeActionReason reason = WantToBuyLong(i, out entryPrice);\n if (reason != TradeActionReason.None)\n {\n return;\n }\n\n reason = WantToSellShort(i, out entryPrice);\n if (reason != TradeActionReason.None)\n {\n return;\n }\n return;\n }\n\n if (InLong)\n {\n TradeActionReason reason = WantToSellLong(i);\n if (reason != TradeActionReason.None)\n {\n return;\n }\n }\n\n if (InShort)\n {\n TradeActionReason reason = WantToCoverShort(i);\n if (reason != TradeActionReason.None)\n {\n return;\n }\n }\n return;\n }\n}\n[\/source]\n\nL\u00e1that\u00f3 a k\u00fcl\u00f6nbs\u00e9g? Sokkal direktebb lett a k\u00f3d, oda ker\u00fclt a met\u00f3dus, ahov\u00e1 val\u00f3. Err\u0151l sz\u00f3l az els\u0151 GRASP pattern<\/a>, az Information Expert.<\/p>\n