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Improve perf for backtests

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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
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103
src/Managing.Domain/Indicators/Signals/SuperTrendIndicatorBase.cs
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@@ -29,38 +29,13 @@ public class SuperTrendIndicatorBase : IndicatorBase
try
{
var superTrend = candles.GetSuperTrend(Period.Value, Multiplier.Value).Where(s => s.SuperTrend.HasValue);
var superTrendCandle = MapSuperTrendToCandle(superTrend, candles.TakeLast(MinimumHistory));
if (superTrendCandle.Count == 0)
var superTrend = candles.GetSuperTrend(Period.Value, Multiplier.Value)
.Where(s => s.SuperTrend.HasValue)
.ToList();
if (superTrend.Count == 0)
return null;
var previousCandle = superTrendCandle[0];
foreach (var currentCandle in superTrendCandle.Skip(1))
{
// // Short
// if (currentCandle.Close < previousCandle.SuperTrend && previousCandle.Close > previousCandle.SuperTrend)
// {
// AddSignal(currentCandle, TradeDirection.Short, Confidence.Medium);
// }
//
// // Long
// if (currentCandle.Close > previousCandle.SuperTrend && previousCandle.Close < previousCandle.SuperTrend)
// {
// AddSignal(currentCandle, TradeDirection.Long, Confidence.Medium);
// }
if (currentCandle.SuperTrend < currentCandle.Close)
{
AddSignal(currentCandle, TradeDirection.Long, Confidence.Medium);
}
else if (currentCandle.SuperTrend > currentCandle.Close)
{
AddSignal(currentCandle, TradeDirection.Short, Confidence.Medium);
}
previousCandle = currentCandle;
}
ProcessSuperTrendSignals(superTrend, candles);
return Signals.Where(s => s.Confidence != Confidence.None).OrderBy(s => s.Date).ToList();
}
@@ -70,6 +45,74 @@ public class SuperTrendIndicatorBase : IndicatorBase
}
}
/// <summary>
/// Runs the indicator using pre-calculated SuperTrend values for performance optimization.
/// </summary>
public override List<LightSignal> Run(HashSet<Candle> candles, IndicatorsResultBase preCalculatedValues)
{
if (candles.Count <= MinimumHistory)
{
return null;
}
try
{
// Use pre-calculated SuperTrend values if available
List<SuperTrendResult> superTrend = null;
if (preCalculatedValues?.SuperTrend != null && preCalculatedValues.SuperTrend.Any())
{
// Filter pre-calculated SuperTrend values to match the candles we're processing
superTrend = preCalculatedValues.SuperTrend
.Where(s => s.SuperTrend.HasValue && candles.Any(c => c.Date == s.Date))
.OrderBy(s => s.Date)
.ToList();
}
// If no pre-calculated values or they don't match, fall back to regular calculation
if (superTrend == null || !superTrend.Any())
{
return Run(candles);
}
ProcessSuperTrendSignals(superTrend, candles);
return Signals.Where(s => s.Confidence != Confidence.None).OrderBy(s => s.Date).ToList();
}
catch (RuleException)
{
return null;
}
}
/// <summary>
/// Processes SuperTrend signals based on price position relative to SuperTrend line.
/// This method is shared between the regular Run() and optimized Run() methods.
/// </summary>
/// <param name="superTrend">List of SuperTrend calculation results</param>
/// <param name="candles">Candles to process</param>
private void ProcessSuperTrendSignals(List<SuperTrendResult> superTrend, HashSet<Candle> candles)
{
var superTrendCandle = MapSuperTrendToCandle(superTrend, candles.TakeLast(MinimumHistory));
if (superTrendCandle.Count == 0)
return;
var previousCandle = superTrendCandle[0];
foreach (var currentCandle in superTrendCandle.Skip(1))
{
if (currentCandle.SuperTrend < currentCandle.Close)
{
AddSignal(currentCandle, TradeDirection.Long, Confidence.Medium);
}
else if (currentCandle.SuperTrend > currentCandle.Close)
{
AddSignal(currentCandle, TradeDirection.Short, Confidence.Medium);
}
previousCandle = currentCandle;
}
}
public override IndicatorsResultBase GetIndicatorValues(HashSet<Candle> candles)
{
return new IndicatorsResultBase()