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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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31
src/Managing.Domain/Shared/Helpers/TradingBox.cs
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@@ -3,6 +3,7 @@ using Managing.Domain.Indicators;
using Managing.Domain.MoneyManagements;
using Managing.Domain.Scenarios;
using Managing.Domain.Strategies;
using Managing.Domain.Strategies.Base;
using Managing.Domain.Trades;
using static Managing.Common.Enums;
@@ -53,11 +54,25 @@ public static class TradingBox
public static LightSignal GetSignal(HashSet<Candle> newCandles, LightScenario scenario,
Dictionary<string, LightSignal> previousSignal, int? loopbackPeriod = 1)
{
return GetSignal(newCandles, scenario, previousSignal, _defaultConfig, loopbackPeriod);
return GetSignal(newCandles, scenario, previousSignal, _defaultConfig, loopbackPeriod, null);
}
public static LightSignal GetSignal(HashSet<Candle> newCandles, LightScenario scenario,
Dictionary<string, LightSignal> previousSignal, int? loopbackPeriod,
Dictionary<IndicatorType, IndicatorsResultBase> preCalculatedIndicatorValues)
{
return GetSignal(newCandles, scenario, previousSignal, _defaultConfig, loopbackPeriod, preCalculatedIndicatorValues);
}
public static LightSignal GetSignal(HashSet<Candle> newCandles, LightScenario lightScenario,
Dictionary<string, LightSignal> previousSignal, IndicatorComboConfig config, int? loopbackPeriod = 1)
{
return GetSignal(newCandles, lightScenario, previousSignal, config, loopbackPeriod, null);
}
public static LightSignal GetSignal(HashSet<Candle> newCandles, LightScenario lightScenario,
Dictionary<string, LightSignal> previousSignal, IndicatorComboConfig config, int? loopbackPeriod,
Dictionary<IndicatorType, IndicatorsResultBase> preCalculatedIndicatorValues)
{
var signalOnCandles = new List<LightSignal>();
var limitedCandles = newCandles.ToList().TakeLast(600).ToList();
@@ -65,7 +80,19 @@ public static class TradingBox
foreach (var indicator in lightScenario.Indicators)
{
IIndicator indicatorInstance = indicator.ToInterface();
var signals = indicatorInstance.Run(newCandles);
// Use pre-calculated indicator values if available (for backtest optimization)
List<LightSignal> signals;
if (preCalculatedIndicatorValues != null && preCalculatedIndicatorValues.ContainsKey(indicator.Type))
{
// Use pre-calculated values to avoid recalculating indicators
signals = indicatorInstance.Run(newCandles, preCalculatedIndicatorValues[indicator.Type]);
}
else
{
// Normal path: calculate indicators on the fly
signals = indicatorInstance.Run(newCandles);
}
if (signals == null || signals.Count() == 0)
{