Oda/managing-apps
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

Improve perf for backtests

Browse Source
This commit is contained in:
cryptooda
2025-11-10 02:15:43 +07:00
parent 7e52b7a734
commit 51a227e27e
24 changed files with 1327 additions and 443 deletions
Download Patch File Download Diff File Expand all files Collapse all files

97
src/Managing.Domain/Indicators/Signals/MacdCrossIndicatorBase.cs
View File

@@ -31,34 +31,10 @@ public class MacdCrossIndicatorBase : IndicatorBase
try
{
var macd = candles.GetMacd(FastPeriods.Value, SlowPeriods.Value, SignalPeriods.Value).ToList();
var macdCandle = MapMacdToCandle(macd, candles.TakeLast(SignalPeriods.Value));
if (macd.Count == 0)
return null;
var previousCandle = macdCandle[0];
foreach (var currentCandle in macdCandle.Skip(1))
{
// // Only trigger signals when Signal line is outside -100 to 100 range (extreme conditions)
// if (currentCandle.Signal < -200 || currentCandle.Signal > 200)
// {
//
// }
// Check for MACD line crossing below Signal line (bearish cross)
if (previousCandle.Macd > previousCandle.Signal && currentCandle.Macd < currentCandle.Signal)
{
AddSignal(currentCandle, TradeDirection.Short, Confidence.Medium);
}
// Check for MACD line crossing above Signal line (bullish cross)
if (previousCandle.Macd < previousCandle.Signal && currentCandle.Macd > currentCandle.Signal)
{
AddSignal(currentCandle, TradeDirection.Long, Confidence.Medium);
}
previousCandle = currentCandle;
}
ProcessMacdSignals(macd, candles);
return Signals.Where(s => s.Confidence != Confidence.None).OrderBy(s => s.Date).ToList();
}
@@ -68,6 +44,77 @@ public class MacdCrossIndicatorBase : IndicatorBase
}
}
/// <summary>
/// Runs the indicator using pre-calculated MACD values for performance optimization.
/// </summary>
public override List<LightSignal> Run(HashSet<Candle> candles, IndicatorsResultBase preCalculatedValues)
{
if (candles.Count <= 2 * (SlowPeriods + SignalPeriods))
{
return null;
}
try
{
// Use pre-calculated MACD values if available
List<MacdResult> macd = null;
if (preCalculatedValues?.Macd != null && preCalculatedValues.Macd.Any())
{
// Filter pre-calculated MACD values to match the candles we're processing
macd = preCalculatedValues.Macd
.Where(m => candles.Any(c => c.Date == m.Date))
.OrderBy(m => m.Date)
.ToList();
}
// If no pre-calculated values or they don't match, fall back to regular calculation
if (macd == null || !macd.Any())
{
return Run(candles);
}
ProcessMacdSignals(macd, candles);
return Signals.Where(s => s.Confidence != Confidence.None).OrderBy(s => s.Date).ToList();
}
catch (RuleException)
{
return null;
}
}
/// <summary>
/// Processes MACD signals based on MACD line crossing the Signal line.
/// This method is shared between the regular Run() and optimized Run() methods.
/// </summary>
/// <param name="macd">List of MACD calculation results</param>
/// <param name="candles">Candles to process</param>
private void ProcessMacdSignals(List<MacdResult> macd, HashSet<Candle> candles)
{
var macdCandle = MapMacdToCandle(macd, candles.TakeLast(SignalPeriods.Value));
if (macdCandle.Count == 0)
return;
var previousCandle = macdCandle[0];
foreach (var currentCandle in macdCandle.Skip(1))
{
// Check for MACD line crossing below Signal line (bearish cross)
if (previousCandle.Macd > previousCandle.Signal && currentCandle.Macd < currentCandle.Signal)
{
AddSignal(currentCandle, TradeDirection.Short, Confidence.Medium);
}
// Check for MACD line crossing above Signal line (bullish cross)
if (previousCandle.Macd < previousCandle.Signal && currentCandle.Macd > currentCandle.Signal)
{
AddSignal(currentCandle, TradeDirection.Long, Confidence.Medium);
}
previousCandle = currentCandle;
}
}
public override IndicatorsResultBase GetIndicatorValues(HashSet<Candle> candles)
{
return new IndicatorsResultBase()