[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting AccountReport.cs,1.2,1.3

[<gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting
In directory sc8-pr-cvs1:/tmp/cvs-serv932/b4_Business/a1_Financial/a2_Accounting/h5_Reporting

Modified Files:
	AccountReport.cs 
Log Message:
Improved Summary report:
  - Added %Profit calculation.
  - Annual system return now is normalized to 100%
  - Added total number of trades statistics
  - Added number of winning trades statistics
Some variable names have been fixed

Index: AccountReport.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/AccountReport.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** AccountReport.cs	25 Oct 2003 16:48:58 -0000	1.2
--- AccountReport.cs	30 Oct 2003 22:06:51 -0000	1.3
***************
*** 265,268 ****
--- 265,269 ----
              ((double)roundTrade[ "ExitPrice" ] - (double)roundTrade[ "EntryPrice" ])/
              ((double)roundTrade[ "EntryPrice" ])*100;
+           roundTrade[ "%Profit" ] = roundTrade[ "%chg" ];
            roundTrade[ "#bars" ] =
              ((TimeSpan)((DateTime)roundTrade[ "ExitDate" ] - (DateTime)roundTrade[ "EntryDate" ])).Days;
***************
*** 282,285 ****
--- 283,287 ----
            roundTrade[ "%chg" ] =
              ((double)roundTrade[ "ExitPrice" ] - (double)roundTrade[ "EntryPrice" ])/100;
+           roundTrade[ "%Profit" ] = - ((double)roundTrade[ "%chg" ]);
            roundTrade[ "#bars" ] =
              ((TimeSpan)((DateTime)roundTrade[ "ExitDate" ] - (DateTime)roundTrade[ "EntryDate" ])).Days;
***************
*** 371,377 ****
        double totalROA = this.totalPnl / ( this.finalAccountValue - this.totalPnl );
        summary[ "Information" ] = "Annual system % return";
!       summary[ "Value" ] = ( Math.Pow( 1 + totalROA ,
!         1.0 / ( (double)this.intervalDays/365.0 ) ) ) - 1;
! //        r = [(1+T)^(1/n)]-1
      }
      private void getSummary_setRow( DataTable summaryDataTable ,
--- 373,393 ----
        double totalROA = this.totalPnl / ( this.finalAccountValue - this.totalPnl );
        summary[ "Information" ] = "Annual system % return";
!       summary[ "Value" ] = ( ( Math.Pow( 1 + totalROA ,
!         1.0 / ( (double)this.intervalDays/365.0 ) ) ) - 1 ) * 100;
!       //        r = [(1+T)^(1/n)]-1
!     }
!     private void getSummaryTable_setRow_TotalNumberOfTrades( DataRow summary )
!     {
!       double totalROA = this.totalPnl / ( this.finalAccountValue - this.totalPnl );
!       summary[ "Information" ] = "Total # of trades";
!       DataRow[] DataRows = this.roundTrades.DataTable.Select( "(ExitPrice is not null)" );
!       summary[ "Value" ] = DataRows.Length;
!     }
!     private void getSummaryTable_setRow_NumberWinningTrades( DataRow summary )
!     {
!       double totalROA = this.totalPnl / ( this.finalAccountValue - this.totalPnl );
!       summary[ "Information" ] = "Number winning trades";
!       DataRow[] DataRows = this.roundTrades.DataTable.Select( "([%Profit] > 0)" );
!       summary[ "Value" ] = DataRows.Length;
      }
      private void getSummary_setRow( DataTable summaryDataTable ,
***************
*** 390,393 ****
--- 406,413 ----
        getSummary_setRow( summaryDataTable ,
          new getSummaryTable_setRow( getSummaryTable_setRow_AnnualSystemPercentageReturn ) );
+       getSummary_setRow( summaryDataTable ,
+         new getSummaryTable_setRow( getSummaryTable_setRow_TotalNumberOfTrades ) );
+       getSummary_setRow( summaryDataTable ,
+         new getSummaryTable_setRow( getSummaryTable_setRow_NumberWinningTrades ) );
      }
      #endregion
***************
*** 408,414 ****
          ((TimeSpan)((DateTime)this.equity.DataTable.Rows[ this.equity.DataTable.Rows.Count - 1 ][ "Date" ] -
          (DateTime)this.equity.DataTable.Rows[ 0 ][ "Date" ])).Days;
!       DataTable equityDataTable = getSummaryDataTable();
        return new ReportTable( reportName + " - Summary" ,
!         equityDataTable );
      }
  
--- 428,434 ----
          ((TimeSpan)((DateTime)this.equity.DataTable.Rows[ this.equity.DataTable.Rows.Count - 1 ][ "Date" ] -
          (DateTime)this.equity.DataTable.Rows[ 0 ][ "Date" ])).Days;
!       DataTable summaryDataTable = getSummaryDataTable();
        return new ReportTable( reportName + " - Summary" ,
!         summaryDataTable );
      }