Merge pull request #5 from EA31337/dev

Final release updates
EA31337 · Feb 22, 2021 · 2cfd016 · 2cfd016
2 parents 97e791d + 73e0ee6
commit 2cfd016
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diff --git a/.clang-format b/.clang-format
@@ -1,4 +1,4 @@
 ---
-Language:        Cpp
-BasedOnStyle:    Google
-ColumnLimit:     120
+Language: Cpp
+BasedOnStyle: Google
+ColumnLimit: 120
diff --git a/.github/workflows/backtest.yml b/.github/workflows/backtest.yml
@@ -0,0 +1,75 @@
+---
+name: Backtest
+
+# yamllint disable-line rule:truthy
+on:
+  push:
+    branches:
+      - 'v*-backtest'
+  release:
+    types:
+      - published
+
+jobs:
+
+  Compile:
+    runs-on: windows-latest
+    steps:
+      - uses: actions/checkout@v2
+        with:
+          submodules: recursive
+      - name: List MQL files
+        run: '(Get-ChildItem -Recurse -Path . -Include *.mq[45]).fullname'
+        shell: powershell
+      - name: Compiles EA (MQL4)
+        uses: fx31337/mql-compile-action@master
+        with:
+          path: src\EA31337-Libre.mq4
+          verbose: true
+
+      - name: Compiles EA (MQL5)
+        uses: fx31337/mql-compile-action@master
+        with:
+          path: src\EA31337-Libre.mq5
+          verbose: true
+      - name: List compiled files
+        run: '(Get-ChildItem -Recurse -Path . -Include *.ex[45]).fullname'
+
+      - name: Upload artifacts
+        uses: actions/upload-artifact@v2
+        with:
+          name: EA
+          path: 'src/*.ex?'
+
+  Backtest:
+
+    defaults:
+      run:
+        shell: bash
+
+    needs: Compile
+    runs-on: ubuntu-latest
+
+    strategy:
+      matrix:
+        deposit: [10000, 100000]
+        spread: [1, 10]
+        year: [2019]
+
+    steps:
+
+      - uses: actions/download-artifact@v2
+        with:
+          name: EA
+
+      - name: Test ${{ matrix.year }}.${{ matrix.month }}
+        uses: fx31337/mql-tester-action@master
+        with:
+          BtDeposit: ${{ matrix.deposit }}
+          BtDigits: 5
+          BtMonths: 1-12
+          BtSpread: ${{ matrix.spread }}
+          BtYears: ${{ matrix.year }}
+          RunOnWarning: 'show_logs && parse_results $@'
+          TestExpert: EA31337-Libre
+          TestPeriod: M1
diff --git a/.github/workflows/compile.yml b/.github/workflows/compile.yml
@@ -4,41 +4,43 @@ name: Compile
 # yamllint disable-line rule:truthy
 on:
   pull_request:
-    paths:
-      - '**.mq?'
-      - '.github/workflows/compile.yml'
-      - 'src/include/**'
+    paths-ignore:
+      - '**.md'
   push:
-    paths:
-      - '**.mq?'
-      - '.github/workflows/compile.yml'
-      - 'src/include/**'
+    paths-ignore:
+      - '**.md'
 
 jobs:
   Compile:
     defaults:
       run:
-        shell: bash
+        shell: powershell
         working-directory: src
     runs-on: windows-latest
     steps:
+      - uses: actions/checkout@v2
       - uses: actions/checkout@v2
         with:
           submodules: recursive
       - name: List MQL files
         run: '(Get-ChildItem -Recurse -Path . -Include *.mq[45]).fullname'
         shell: powershell
-      - name: Compile for MQL4
+      - name: Compiles EA (MQL4)
         uses: fx31337/mql-compile-action@master
         with:
           path: src\EA31337-Libre.mq4
-          include: src
-          mt-version: 5.0.0.2361
           verbose: true
-      - name: Compile for MQL5
+
+      - name: Compiles EA (MQL5)
         uses: fx31337/mql-compile-action@master
         with:
           path: src\EA31337-Libre.mq5
-          include: src
-          mt-version: 5.0.0.2515
           verbose: true
+      - name: List compiled files
+        run: '(Get-ChildItem -Recurse -Path . -Include *.ex[45]).fullname'
+
+      - name: Upload artifacts
+        uses: actions/upload-artifact@v2
+        with:
+          name: EA31337-${{ matrix.mode }}
+          path: 'src/*.ex?'
diff --git a/.github/workflows/optimize-strats.yml b/.github/workflows/optimize-strats.yml
@@ -0,0 +1,137 @@
+---
+name: Optimize Strategies
+
+# yamllint disable-line rule:truthy
+on:
+  push:
+    branches:
+      - 'optimize-strats'
+
+jobs:
+  Compile:
+    defaults:
+      run:
+        shell: powershell
+        working-directory: src
+    runs-on: windows-latest
+    steps:
+      - uses: actions/checkout@v2
+      - uses: actions/checkout@v2
+        with:
+          submodules: recursive
+      - name: List MQL files
+        run: '(Get-ChildItem -Recurse -Path . -Include *.mq[45]).fullname'
+        shell: powershell
+      - name: Compile for MQL4
+        uses: fx31337/mql-compile-action@master
+        with:
+          path: src\EA31337-Libre.mq4
+          include: src
+          mt-version: 4.0.0.1320
+          verbose: true
+      - name: Compile for MQL5
+        uses: fx31337/mql-compile-action@master
+        with:
+          path: src\EA31337-Libre.mq5
+          include: src
+          mt-version: 5.0.0.2766
+          verbose: true
+      - name: List compiled files
+        run: '(Get-ChildItem -Recurse -Path . -Include *.ex[45]).fullname'
+      - name: Upload artifacts
+        uses: actions/upload-artifact@v2
+        with:
+          name: EA
+          path: 'src/*.ex?'
+  Process:
+    env:
+      SETS_DIR: sets/optimize/strategies
+    outputs:
+      sets-list: ${{ steps.get-sets.outputs.sets }}
+    runs-on: ubuntu-latest
+    steps:
+      - uses: actions/checkout@v2
+      - name: Set output with list of sets
+        id: get-sets
+        run: |
+          import glob, json, os
+          os.chdir(os.getenv('SETS_DIR'))
+          files = glob.glob("*.set")
+          print("::set-output name=sets::{}".format(json.dumps(files)))
+        shell: python
+      - name: Display output
+        run: echo ${{ steps.get-sets.outputs.sets }}
+      - name: Upload sets
+        uses: actions/upload-artifact@v2
+        with:
+          name: sets
+          path: ${{ env.SETS_DIR }}
+  Optimize:
+    needs: [Compile, Process]
+    runs-on: ubuntu-latest
+    strategy:
+      matrix:
+        setfile: ${{ fromJson(needs.Process.outputs.sets-list) }}
+    steps:
+      - uses: actions/download-artifact@v2
+        with:
+          path: .
+      - name: Display SET file
+        run: cat sets/${{ matrix.setfile }}
+      - uses: ea31337/mql-tester-action@master
+        with:
+          BtDeposit: 100000
+          BtDest: ${{ github.workspace }}/_results
+          BtMonths: 11-12
+          BtPair: EURUSD
+          BtYears: 2019
+          OptFormatBrief: true
+          OptFormatJson: true
+          OptOptimize: true
+          OptVerbose: true
+          SetFile: ${{ github.workspace }}/sets/${{ matrix.setfile }}
+          SetParams: ${{ steps.data.outputs.param }}
+          TestExpert: "EA31337-Libre"
+          TestPeriod: M1
+          TestReportName: Report
+      - name: Upload result files
+        uses: actions/upload-artifact@v2
+        with:
+          name: results
+          path: ./_results/*.*
+      - name: Process results
+        run: |
+          pwd
+          ls
+          jq --version
+          jq . _results/*.json
+          jq -r '(."Result params"/";")[0]' _results/*.json
+          jq -r '((."Result params"/";")[0]/"=")[0]'
+          jq -r '(."Result params"/";")[0]' _results/*.json \
+            >> $GITHUB_ENV
+          jq -r '"pname="+((."Result params"/";")[0]/"=")[0]' \
+            _results/*.json >> $GITHUB_ENV
+  Results:
+    needs: Optimize
+    runs-on: ubuntu-latest
+    steps:
+      - uses: actions/checkout@v2
+        with:
+          persist-credentials: false
+          # Otherwise, you will failed to push refs to dest repo.
+          fetch-depth: 0
+      - uses: actions/download-artifact@v2
+        with:
+          name: results
+          path: .results
+      - name: Parse results
+        run: |
+          cat << EOF >> $GITHUB_ENV
+          RES_DD=$(jq -rs '.[0]|."Drawdown %"' .results/*.json)
+          RES_PF=$(jq -rs '.[0]|."Profit factor"' .results/*.json)
+          RES_TT=$(jq -rs '.[0]|."Total trades"' .results/*.json)
+          EOF
+        shell: bash -ex {0}
+      - name: Check differences
+        id: git-details
+        run: echo "::set-output name=changed::$(git diff | wc -l)"
diff --git a/.github/workflows/test.yml b/.github/workflows/test.yml
@@ -0,0 +1,88 @@
+---
+name: Test
+
+# yamllint disable-line rule:truthy
+on:
+  pull_request:
+    paths:
+      - '**.h'
+      - '**.mq?'
+      - .github/workflows/test.yml
+      - src/*.mq?
+      - src/*.mq[45h]
+      - src/include/**
+  push:
+    paths:
+      - '**.h'
+      - '**.mq?'
+      - .github/workflows/test.yml
+      - src/*.mq?
+      - src/*.mq[45h]
+      - src/include/**
+
+jobs:
+
+  Compile:
+    defaults:
+      run:
+        shell: powershell
+        working-directory: src
+    runs-on: windows-latest
+    steps:
+      - uses: actions/checkout@v2
+      - uses: actions/checkout@v2
+        with:
+          submodules: recursive
+      - name: List MQL files
+        run: '(Get-ChildItem -Recurse -Path . -Include *.mq[45]).fullname'
+        shell: powershell
+      - name: Compiles EA (MQL4)
+        uses: fx31337/mql-compile-action@master
+        with:
+          path: src\EA31337-Libre.mq4
+          verbose: true
+
+      - name: Compiles EA (MQL5)
+        uses: fx31337/mql-compile-action@master
+        with:
+          path: src\EA31337-Libre.mq5
+          verbose: true
+      - name: List compiled files
+        run: '(Get-ChildItem -Recurse -Path . -Include *.ex[45]).fullname'
+
+      - name: Upload artifacts
+        uses: actions/upload-artifact@v2
+        with:
+          name: EA
+          path: 'src/*.ex?'
+
+  Test:
+
+    defaults:
+      run:
+        shell: bash
+
+    needs: Compile
+    runs-on: ubuntu-latest
+
+    strategy:
+      matrix:
+        month: [1, 2]
+        year: [2019]
+
+    steps:
+
+      - uses: actions/download-artifact@v2
+        with:
+          name: EA
+
+      - name: Test ${{ matrix.year }}.${{ matrix.month }}
+        uses: fx31337/mql-tester-action@master
+        with:
+          BtDeposit: 10000
+          BtDigits: 5
+          BtMonths: ${{ matrix.month }}
+          BtYears: ${{ matrix.year }}
+          RunOnWarning: 'show_logs && parse_results $@'
+          TestExpert: EA31337-Libre
+          TestPeriod: M1
diff --git a/.gitmodules b/.gitmodules
@@ -1,6 +1,6 @@
-[submodule "EA31337-classes"]
-	path = src/include/EA31337-classes
+[submodule "classes"]
+	path = src/include/classes
 	url = https://github.com/EA31337/EA31337-classes
-[submodule "EA31337-strategies"]
-	path = src/include/EA31337-strategies
+[submodule "strategies"]
+	path = src/include/strategies
 	url = https://github.com/EA31337/EA31337-strategies