[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting AccountReport.cs,1.3,1.4

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting
In directory sc8-pr-cvs1:/tmp/cvs-serv24939/b4_Business/a1_Financial/a2_Accounting/h5_Reporting

Modified Files:
	AccountReport.cs 
Log Message:
- Fixed %return in round trade table: as a consequence, the average
profit per trade now is fixed

- Added Buy and Hold percentage return to the report summary table
(this is an optional information, got by overriding
the create method)

Index: AccountReport.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/AccountReport.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** AccountReport.cs	30 Oct 2003 22:06:51 -0000	1.3
--- AccountReport.cs	2 Nov 2003 18:26:04 -0000	1.4
***************
*** 29,33 ****
  using QuantProject.ADT;
  using QuantProject.ADT.Histories;
! 
  namespace QuantProject.Business.Financial.Accounting.Reporting
  {
--- 29,33 ----
  using QuantProject.ADT;
  using QuantProject.ADT.Histories;
! using QuantProject.Business.Financial.Instruments;
  namespace QuantProject.Business.Financial.Accounting.Reporting
  {
***************
*** 39,44 ****
--- 39,47 ----
      private Account account;
      private Account accountCopy = new Account( "AccountCopy" );
+     private ExtendedDateTime endDateTime;
+     private string buyAndHoldTicker;
      private double totalPnl;
      private double finalAccountValue;
+     private double buyAndHoldPercentageReturn;
      private long intervalDays;
      private ReportTable transactionTable;
***************
*** 63,66 ****
--- 66,76 ----
        get { return summary; }
      }
+     public DateTime StartDateTime
+     {
+       get
+       {
+         return (DateTime) account.Transactions.GetKey( 0 );
+       }
+     }
  
      /// <summary>
***************
*** 145,155 ****
          addRowForPnl_actually( currentDate , detailedDataTable );
      }
!     private void setRows(  int numDaysForInterval ,
!       ExtendedDateTime endDateTime, System.Data.DataTable detailedDataTable )
      {
        DateTime currentDate = (DateTime) account.Transactions.GetKey( 0 );
        try
        {
!         while ( currentDate < endDateTime.DateTime )
          {
            //addTransactionsToAccountCopy( currentDate );
--- 155,164 ----
          addRowForPnl_actually( currentDate , detailedDataTable );
      }
!     private void setRows(  int numDaysForInterval , System.Data.DataTable detailedDataTable )
      {
        DateTime currentDate = (DateTime) account.Transactions.GetKey( 0 );
        try
        {
!         while ( currentDate < this.endDateTime.DateTime )
          {
            //addTransactionsToAccountCopy( currentDate );
***************
*** 168,177 ****
      }
      #endregion
!     private System.Data.DataTable getDetailedDataTable( int numDaysForInterval ,
!       ExtendedDateTime endDateTime )
      {
        System.Data.DataTable detailedDataTable = new System.Data.DataTable();
        setColumns( detailedDataTable );
!       setRows( numDaysForInterval , endDateTime , detailedDataTable );
        return detailedDataTable;
      }
--- 177,185 ----
      }
      #endregion
!     private System.Data.DataTable getDetailedDataTable( int numDaysForInterval )
      {
        System.Data.DataTable detailedDataTable = new System.Data.DataTable();
        setColumns( detailedDataTable );
!       setRows( numDaysForInterval , detailedDataTable );
        return detailedDataTable;
      }
***************
*** 282,286 ****
            roundTrade[ "ExitPrice" ] = dataRow[ "Price" ];
            roundTrade[ "%chg" ] =
!             ((double)roundTrade[ "ExitPrice" ] - (double)roundTrade[ "EntryPrice" ])/100;
            roundTrade[ "%Profit" ] = - ((double)roundTrade[ "%chg" ]);
            roundTrade[ "#bars" ] =
--- 290,295 ----
            roundTrade[ "ExitPrice" ] = dataRow[ "Price" ];
            roundTrade[ "%chg" ] =
!             ((double)roundTrade[ "ExitPrice" ] - (double)roundTrade[ "EntryPrice" ])/
!             ((double)roundTrade[ "EntryPrice" ])*100;
            roundTrade[ "%Profit" ] = - ((double)roundTrade[ "%chg" ]);
            roundTrade[ "#bars" ] =
***************
*** 303,307 ****
        return roundTradeDataTable;
      }
!     public ReportTable getRoundTrades( string reportName )
      {
        DataTable roundTradeDataTable = getRoundTradeDataTable();
--- 312,316 ----
        return roundTradeDataTable;
      }
!     private ReportTable getRoundTrades( string reportName )
      {
        DataTable roundTradeDataTable = getRoundTradeDataTable();
***************
*** 343,347 ****
        return equityDataTable;
      }
!     public ReportTable getEquity( string reportName , DataTable detailedDataTable )
      {
        DataTable equityDataTable = getEquityDataTable( detailedDataTable );
--- 352,356 ----
        return equityDataTable;
      }
!     private ReportTable getEquity( string reportName , DataTable detailedDataTable )
      {
        DataTable equityDataTable = getEquityDataTable( detailedDataTable );
***************
*** 369,372 ****
--- 378,397 ----
        summary[ "Value" ] = this.totalPnl / ( this.finalAccountValue - this.totalPnl ) * 100;
      }
+     private void getSummaryTable_setRow_BuyAndHoldPercentageReturn( DataRow summary )
+     {
+       if ( this.buyAndHoldTicker != "" )
+       {
+         // the report has to compare to a buy and hold benchmark
+         Instrument buyAndHoldInstrument = new Instrument( this.buyAndHoldTicker );
+         this.buyAndHoldPercentageReturn =
+           ( buyAndHoldInstrument.GetMarketValue( this.endDateTime ) -
+           buyAndHoldInstrument.GetMarketValue(
+           new ExtendedDateTime( this.StartDateTime , BarComponent.Open ) ) ) /
+           buyAndHoldInstrument.GetMarketValue(
+           new ExtendedDateTime( this.StartDateTime , BarComponent.Open ) ) * 100;
+         summary[ "Information" ] = "Buy & hold % return";
+         summary[ "Value" ] = this.buyAndHoldPercentageReturn;
+       }
+     }
      private void getSummaryTable_setRow_AnnualSystemPercentageReturn( DataRow summary )
      {
***************
*** 386,394 ****
      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 ,
        getSummaryTable_setRow getSummaryTable_setRow_object )
--- 411,424 ----
      private void getSummaryTable_setRow_NumberWinningTrades( DataRow summary )
      {
        summary[ "Information" ] = "Number winning trades";
        DataRow[] DataRows = this.roundTrades.DataTable.Select( "([%Profit] > 0)" );
        summary[ "Value" ] = DataRows.Length;
      }
+     private void getSummaryTable_setRow_AverageTradePercentageReturn( DataRow summary )
+     {
+       summary[ "Information" ] = "Average trade % Return";
+       double avgReturn = (double) this.roundTrades.DataTable.Compute( "avg([%Profit])" , "true" );
+       summary[ "Value" ] = avgReturn;
+     }
      private void getSummary_setRow( DataTable summaryDataTable ,
        getSummaryTable_setRow getSummaryTable_setRow_object )
***************
*** 405,408 ****
--- 435,440 ----
          new getSummaryTable_setRow( getSummaryTable_setRow_ReturnOnAccount ) );
        getSummary_setRow( summaryDataTable ,
+         new getSummaryTable_setRow( getSummaryTable_setRow_BuyAndHoldPercentageReturn ) );
+       getSummary_setRow( summaryDataTable ,
          new getSummaryTable_setRow( getSummaryTable_setRow_AnnualSystemPercentageReturn ) );
        getSummary_setRow( summaryDataTable ,
***************
*** 410,413 ****
--- 442,447 ----
        getSummary_setRow( summaryDataTable ,
          new getSummaryTable_setRow( getSummaryTable_setRow_NumberWinningTrades ) );
+       getSummary_setRow( summaryDataTable ,
+         new getSummaryTable_setRow( getSummaryTable_setRow_AverageTradePercentageReturn ) );
      }
      #endregion
***************
*** 419,423 ****
        return summaryDataTable;
      }
!     public ReportTable getSummary( string reportName )
      {
        this.totalPnl =
--- 453,457 ----
        return summaryDataTable;
      }
!     private ReportTable getSummary( string reportName )
      {
        this.totalPnl =
***************
*** 435,441 ****
      #endregion
      public AccountReport Create( string reportName , int numDaysForInterval ,
!       ExtendedDateTime endDateTime )
      {
!       DataTable detailedDataTable = getDetailedDataTable( numDaysForInterval , endDateTime );
        this.transactionTable = getTransactionTable( reportName , detailedDataTable );
        this.roundTrades = getRoundTrades( reportName );
--- 469,477 ----
      #endregion
      public AccountReport Create( string reportName , int numDaysForInterval ,
!       ExtendedDateTime endDateTime , string buyAndHoldTicker )
      {
!       this.endDateTime = endDateTime;
!       this.buyAndHoldTicker = buyAndHoldTicker;
!       DataTable detailedDataTable = getDetailedDataTable( numDaysForInterval );
        this.transactionTable = getTransactionTable( reportName , detailedDataTable );
        this.roundTrades = getRoundTrades( reportName );
***************
*** 446,450 ****
      #endregion
  
! 
  	}
  }
--- 482,490 ----
      #endregion
  
!     public AccountReport Create( string reportName , int numDaysForInterval ,
!       ExtendedDateTime endDateTime )
!     {
!       return Create( reportName , numDaysForInterval , endDateTime , "" );
!     }
  	}
  }