[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank WFMulti
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[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank WFMultiOneRankEndOfDayTimerHandler.cs,1.1,1.2
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From: Glauco S. <gla...@us...> - 2005-11-27 00:11:38
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv29422/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank Modified Files: WFMultiOneRankEndOfDayTimerHandler.cs Log Message: Code has been better organized. Some bugs have been fixex. Index: WFMultiOneRankEndOfDayTimerHandler.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/WFMultiOneRankEndOfDayTimerHandler.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** WFMultiOneRankEndOfDayTimerHandler.cs 12 Nov 2005 19:01:01 -0000 1.1 --- WFMultiOneRankEndOfDayTimerHandler.cs 27 Nov 2005 00:11:29 -0000 1.2 *************** *** 43,51 **** public class WFMultiOneRankEndOfDayTimerHandler { ! private WFMultiOneRankEligibleTickers eligibleTickers; private WFMultiOneRankChosenTickers chosenTickers; private string tickerGroupID; ! private int numberEligibleTickers; private int numberOfPositionsToBeChosen; private int inSampleWindowDays; --- 43,51 ---- public class WFMultiOneRankEndOfDayTimerHandler { ! private WFMultiOneRankEligibleTickers eligibleTickers; private WFMultiOneRankChosenTickers chosenTickers; private string tickerGroupID; ! private int numberEligibleTickers; private int numberOfPositionsToBeChosen; private int inSampleWindowDays; *************** *** 131,167 **** this.InSampleNewProgress( sender , eventArgs ); } - // #region OneHourAfterMarketCloseEventHandler - // private void oneHourAfterMarketCloseEventHandler_orderChosenTickers_closePositions( - // IEndOfDayTimer endOfDayTimer ) - // { - // foreach ( Position position in this.account.Portfolio ) - // if ( this.chosenTickers.Contains( position.Instrument.Key ) ) - // { - // this.account.ClosePosition( position ); - // } - // } - // private void oneHourAfterMarketCloseEventHandler_orderChosenTickers_openPositions_forTicker( - // string ticker ) - // { - // double cashForSinglePosition = this.account.CashAmount / this.numberOfTickersToBeChosen; - // long quantity = - // Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( ticker ) ) ); - // Order order = new Order( OrderType.MarketBuy , new Instrument( ticker ) , quantity ); - // this.account.AddOrder( order ); - // } - // private void oneHourAfterMarketCloseEventHandler_orderChosenTickers_openPositions() - // { - // foreach ( string ticker in this.chosenTickers.Keys ) - // if ( !this.account.Contains( ticker ) ) - // { - // oneHourAfterMarketCloseEventHandler_orderChosenTickers_openPositions_forTicker( ticker ); - // } - // } - // private void oneHourAfterMarketCloseEventHandler_orderChosenTickers( - // IEndOfDayTimer endOfDayTimer ) - // { - // this.oneHourAfterMarketCloseEventHandler_orderChosenTickers_closePositions( endOfDayTimer ); - // this.oneHourAfterMarketCloseEventHandler_orderChosenTickers_openPositions(); - // } private bool areBestTickersToBeChosen() { --- 131,134 ---- *************** *** 186,212 **** // or outOfSampleWindowDays elapsed since last optimization { ! // this.eligibleTickers.SetTickers( endOfDayTimingEventArgs.EndOfDayDateTime.DateTime ); this.eligibleTickers.SetTickers(); this.chosenTickers.SetTickers( this.eligibleTickers ); this.lastOptimizationDate = this.now().DateTime; } ! // oneHourAfterMarketCloseEventHandler_orderChosenTickers( ( IEndOfDayTimer ) sender ); } ! // #endregion #region FiveMinutesBeforeMarketCloseEventHandler ! private void fiveMinutesBeforeMarketCloseEventHandler_closePosition( ! string ticker ) { ! this.account.ClosePosition( ticker ); } ! private void fiveMinutesBeforeMarketCloseEventHandler_closePositions() { ! ArrayList tickers = new ArrayList(); ! foreach ( string ticker in this.account.Portfolio.Keys ) ! tickers.Add( ticker ); ! foreach ( string ticker in tickers ) ! fiveMinutesBeforeMarketCloseEventHandler_closePosition( ticker ); } ! private bool todayHigherThanYesterday( string ticker ) { double todayMarketValueAtClose = --- 153,184 ---- // or outOfSampleWindowDays elapsed since last optimization { ! // this.eligibleTickers.SetTickers( endOfDayTimingEventArgs.EndOfDayDateTime.DateTime ); this.eligibleTickers.SetTickers(); this.chosenTickers.SetTickers( this.eligibleTickers ); this.lastOptimizationDate = this.now().DateTime; } ! // oneHourAfterMarketCloseEventHandler_orderChosenTickers( ( IEndOfDayTimer ) sender ); } ! // #endregion #region FiveMinutesBeforeMarketCloseEventHandler ! private string getTicker( string signedTicker ) { ! string returnValue; ! if ( signedTicker.IndexOf( "-" ) == 0 ) ! returnValue = signedTicker.Substring( 1 , signedTicker.Length - 1 ); ! else ! returnValue = signedTicker; ! return returnValue; } ! private int getReturnMultiplier( string signedTicker ) { ! int returnValue; ! if ( signedTicker.IndexOf( "-" ) == 0 ) ! returnValue = -1; ! else ! returnValue = 1; ! return returnValue; } ! private double getTodayReturnForTicker( string ticker ) { double todayMarketValueAtClose = *************** *** 219,264 **** this.historicalAdjustedQuoteProvider.GetMarketValue( ticker , yesterdayAtClose ); ! bool returnValue = ! ( todayMarketValueAtClose > yesterdayMarketValueAtClose ); return returnValue; } private void fiveMinutesBeforeMarketCloseEventHandler_openPosition( ! string ticker ) { double maxPositionValue = this.account.GetMarketValue() / this.numberOfPositionsToBeChosen; long sharesToBeTraded = OneRank.MaxBuyableShares( ticker , maxPositionValue , this.account.DataStreamer ); ! if ( this.todayHigherThanYesterday( ticker ) ) ! // today close value for ticker is higher than yesterday ! // close for ticker ! this.account.AddOrder( new Order( OrderType.MarketBuy , ! new Instrument( ticker ) , sharesToBeTraded ) ); ! else ! // today close value for ticker is not higher than yesterday ! // close for ticker ! this.account.AddOrder( new Order( OrderType.MarketSellShort , ! new Instrument( ticker ) , sharesToBeTraded ) ); ! } ! private string getTicker( string signedTicker ) ! { ! string returnValue; ! if ( signedTicker.IndexOf( "-" ) == 0 ) ! returnValue = signedTicker.Substring( 1 , signedTicker.Length - 1 ); ! else ! returnValue = signedTicker; ! return returnValue; } private void fiveMinutesBeforeMarketCloseEventHandler_openPositions() { foreach ( string signedTicker in this.chosenTickers.Keys ) this.fiveMinutesBeforeMarketCloseEventHandler_openPosition( ! this.getTicker( signedTicker ) ); } public void FiveMinutesBeforeMarketCloseEventHandler( Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs ) { ! this.fiveMinutesBeforeMarketCloseEventHandler_closePositions(); ! fiveMinutesBeforeMarketCloseEventHandler_openPositions(); } #endregion --- 191,301 ---- this.historicalAdjustedQuoteProvider.GetMarketValue( ticker , yesterdayAtClose ); ! double returnValue = ! ( todayMarketValueAtClose - yesterdayMarketValueAtClose ) / ! yesterdayMarketValueAtClose ; return returnValue; } + private double getTodayReturnForSignedTicker( string signedTicker ) + { + double todayReturnForTicker = this.getTodayReturnForTicker( + this.getTicker( signedTicker ) ); + int returnMultiplier = this.getReturnMultiplier( signedTicker ); + return todayReturnForTicker * returnMultiplier; + } + /// <summary> + /// true iff chosen tickers linear combination daily return is down today + /// </summary> + /// <returns></returns> + private bool isToReverse() + { + double totalReturn = 0; + foreach ( string signedTicker in this.chosenTickers.Keys ) + totalReturn += this.getTodayReturnForSignedTicker( signedTicker ); + return totalReturn < 0; + } + private OrderType fiveMinutesBeforeMarketCloseEventHandler_openPosition_getOrderType( + string signedTicker , bool isToReverse ) + { + OrderType orderType = OrderType.MarketBuy; + if ( ( signedTicker.StartsWith( "-" ) && !isToReverse ) || + ( !signedTicker.StartsWith( "-" ) && isToReverse ) ) + orderType = OrderType.MarketSellShort; + return orderType; + } private void fiveMinutesBeforeMarketCloseEventHandler_openPosition( ! string signedTicker , bool isToReverse ) { + string ticker = this.getTicker( signedTicker ); + OrderType orderType = + this.fiveMinutesBeforeMarketCloseEventHandler_openPosition_getOrderType( + signedTicker , isToReverse ); double maxPositionValue = this.account.GetMarketValue() / this.numberOfPositionsToBeChosen; long sharesToBeTraded = OneRank.MaxBuyableShares( ticker , maxPositionValue , this.account.DataStreamer ); ! this.account.AddOrder( new Order( orderType , ! new Instrument( ticker ) , sharesToBeTraded ) ); } private void fiveMinutesBeforeMarketCloseEventHandler_openPositions() { + bool isToReverse = this.isToReverse(); foreach ( string signedTicker in this.chosenTickers.Keys ) this.fiveMinutesBeforeMarketCloseEventHandler_openPosition( ! signedTicker , isToReverse ); ! } ! private void fiveMinutesBeforeMarketCloseEventHandler_closePosition( ! string ticker ) ! { ! this.account.ClosePosition( ticker ); ! } ! private double getTodayReturnForPosition( Position position ) ! { ! string signedTicker = position.Instrument.Key; ! double returnValue; ! if ( position.Type == PositionType.Short ) ! signedTicker = "-" + signedTicker; ! returnValue = ! this.getTodayReturnForSignedTicker( signedTicker ); ! return returnValue; ! } ! private double getTodayReturnForPortfolioPositions() ! { ! double totalReturn = 0; ! foreach ( Position position in this.account.Portfolio.Positions ) ! totalReturn += this.getTodayReturnForPosition( position ); ! return totalReturn; ! } ! private bool arePositionsToBeClosed() ! { ! double todayReturnForPortfolioPositions = ! this.getTodayReturnForPortfolioPositions(); ! return todayReturnForPortfolioPositions < 0; ! } ! private void fiveMinutesBeforeMarketCloseEventHandler_closePositions_actually() ! { ! ArrayList tickers = new ArrayList(); ! foreach ( string ticker in this.account.Portfolio.Keys ) ! tickers.Add( ticker ); ! foreach ( string ticker in tickers ) ! fiveMinutesBeforeMarketCloseEventHandler_closePosition( ticker ); ! } ! private void fiveMinutesBeforeMarketCloseEventHandler_closePositions() ! { ! if ( this.arePositionsToBeClosed() ) ! this.fiveMinutesBeforeMarketCloseEventHandler_closePositions_actually(); } public void FiveMinutesBeforeMarketCloseEventHandler( Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs ) { ! if ( this.account.Portfolio.Count == 0 ) ! fiveMinutesBeforeMarketCloseEventHandler_openPositions(); ! else ! { ! if ( this.arePositionsToBeClosed() ) ! { ! this.fiveMinutesBeforeMarketCloseEventHandler_closePositions(); ! this.fiveMinutesBeforeMarketCloseEventHandler_openPositions(); ! } ! } } #endregion |
