quantproject-developers

[Quantproject-developers] QuantProject/b2_DataAccess DataBaseLocator.cs,NONE,1.1

[<mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b2_DataAccess
In directory sc8-pr-cvs1:/tmp/cvs-serv22990/b2_DataAccess

Added Files:
	DataBaseLocator.cs 
Log Message:
For the selection of the db file during run - time

--- NEW FILE: DataBaseLocator.cs ---
using System;
using System.Xml;
using System.IO;
using System.Windows.Forms;

namespace QuantProject.DataAccess
{
	/// <summary>
	/// Locate the database
	/// </summary>
	public class DataBaseLocator
	{
		private string dataBaseType;
		private StreamReader stream; 
		private XmlTextReader xmlTextReader;
		
		private string path;

		public DataBaseLocator(string fileExtension)
		{
			try
			{
				this.dataBaseType = fileExtension;
				//it looks for the file in the application directory
				if (!File.Exists("DataBase.xml"))
					createXmlFile();
						
				this.stream = new StreamReader(Application.ExecutablePath.Substring(0, Application.ExecutablePath.LastIndexOf('\\'))
											+ @"\DataBase.xml");
				this.xmlTextReader = new XmlTextReader(this.stream);
				
				while(xmlTextReader.Read())
				{
					if (xmlTextReader.LocalName.ToString() == this.dataBaseType)
					{
						//gets full path of the file that contains the database
						this.Path = xmlTextReader.GetAttribute(0);
					}
				}
				xmlTextReader.Close();
				stream.Close();
						
					
            }
			
			catch (Exception ex)
			{
				MessageBox.Show(ex.ToString());
				xmlTextReader.Close();
				stream.Close();
			}
		}
		
		public string Path
		{
			get
			{
				return path;
			}
			set
			{	
				path = value;
			}
		}

		/// <summary>
		/// create xmlFile in the application directory
		/// where to store name and path for the mdb file
		/// selected by the user
		/// </summary>
		private void createXmlFile()
		{
			string path;
			string xmlPath;
			string selectionByUser;
			selectionByUser = selectDataBase();
			if (selectionByUser == "")
				{
					MessageBox.Show("With no selection application won't run!");
					Application.Exit();
				}
			else
				{
					path = selectionByUser;
					
					xmlPath = 
							Application.ExecutablePath.Substring(0, Application.ExecutablePath.LastIndexOf('\\'))
								+ @"\DataBase.xml";
					XmlTextWriter xmlTextWriter = new XmlTextWriter(xmlPath, null);
					xmlTextWriter.Formatting = Formatting.Indented;
					xmlTextWriter.WriteStartDocument();
					xmlTextWriter.WriteStartElement("FILES");
					xmlTextWriter.WriteStartElement("MDB");
					xmlTextWriter.WriteAttributeString("fullpath",path);
					xmlTextWriter.WriteEndElement();
					xmlTextWriter.WriteEndElement();
					xmlTextWriter.WriteEndDocument();
					xmlTextWriter.Flush();
					xmlTextWriter.Close();
					
				}

		}
		private string selectDataBase()
		{
			string fileName = "";
			switch (this.dataBaseType)
			{
				case "MDB":
				fileName = "QuantProject.mdb";
				break;
			}

			OpenFileDialog openFileDialog = new OpenFileDialog();
			openFileDialog.Title = "Select " + fileName + " please ...";
			openFileDialog.Multiselect = false;
			openFileDialog.CheckFileExists = true;
			openFileDialog.Filter = fileName + "|" + fileName;
			openFileDialog.ShowDialog();
			return openFileDialog.FileName;
		}
		
	}
}

[Quantproject-developers] QuantProject/b4_Business b4_Business.csproj,1.2,1.3

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

Update of /cvsroot/quantproject/QuantProject/b4_Business
In directory sc8-pr-cvs1:/tmp/cvs-serv29442/b4_Business

Modified Files:
	b4_Business.csproj 
Log Message:
Updated the Account Report Summary object:
- Added the Max equity drawdown
- 'Total number of trades' now is computed by a
devoted object (it was a delegate before this revision)

Index: b4_Business.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/b4_Business.csproj,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** b4_Business.csproj	8 Nov 2003 20:54:41 -0000	1.2
--- b4_Business.csproj	9 Nov 2003 21:12:00 -0000	1.3
***************
*** 197,200 ****
--- 197,215 ----
                  />
                  <File
+                     RelPath = "a1_Financial\a2_Accounting\h5_Reporting\SummaryRows\MaxEquityDrawDown.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "a1_Financial\a2_Accounting\h5_Reporting\SummaryRows\SummaryRow.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "a1_Financial\a2_Accounting\h5_Reporting\SummaryRows\TotalNumberOfTrades.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "a1_Financial\a2_Accounting\h5_Reporting\Tables\Equity.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows TotalNumberOfTrades.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows
In directory sc8-pr-cvs1:/tmp/cvs-serv13476/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows

Added Files:
	TotalNumberOfTrades.cs 
Log Message:
Computes the total number of trades for the
account report summary object

--- NEW FILE: TotalNumberOfTrades.cs ---
using System;
using System.Data;
using QuantProject.Business.Financial.Accounting.Reporting.Tables;

namespace QuantProject.Business.Financial.Accounting.Reporting.SummaryRows
{
	/// <summary>
	/// Summary description for TotalNumberOfTrades.
	/// </summary>
	public class TotalNumberOfTrades : SummaryRow
	{
		public TotalNumberOfTrades( Summary summary )
		{
      double totalROA = summary.TotalPnl / ( summary.FinalAccountValue - summary.TotalPnl );
      this.rowDescription = "Total # of trades";
      DataRow[] DataRows =
        summary.AccountReport.RoundTrades.DataTable.Select( "(ExitPrice is not null)" );
      this.rowValue = DataRows.Length;
    }
	}
}

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows MaxEquityDrawDown.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows
In directory sc8-pr-cvs1:/tmp/cvs-serv13129/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows

Added Files:
	MaxEquityDrawDown.cs 
Log Message:
First version for the max drawdown calculation

--- NEW FILE: MaxEquityDrawDown.cs ---
using System;
using System.Data;
using QuantProject.Business.Financial.Accounting.Reporting.Tables;

namespace QuantProject.Business.Financial.Accounting.Reporting.SummaryRows
{
	/// <summary>
	/// Summary description for TotalNumberOfTrades.
	/// </summary>
	public class MaxEquityDrawDown : SummaryRow
	{
    private Summary summary;
    private double drawDown;
    private double maxEquityValue;
    private void updateDrawDownForCurrentRow( DataRow dataRow )
    {
      this.maxEquityValue = Math.Max( this.maxEquityValue , (double)dataRow[ "AccountValue" ] );
      this.drawDown =
        Math.Max( this.drawDown , this.maxEquityValue - (double)dataRow[ "AccountValue" ] );
    }
    private void setDrawDown()
    {
      drawDown = 0.0;
      maxEquityValue = double.MinValue;
      foreach ( DataRow row in summary.AccountReport.Equity.DataTable.Rows )
        updateDrawDownForCurrentRow( row );
    }
		public MaxEquityDrawDown( Summary summary )
		{
      this.summary = summary;
      this.rowDescription = "Max equity drawdown (%)";
      setDrawDown();
      this.rowValue = this.drawDown/this.maxEquityValue*100;

    }
	}
}

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows SummaryRow.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows
In directory sc8-pr-cvs1:/tmp/cvs-serv12798/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows

Added Files:
	SummaryRow.cs 
Log Message:
Base class for Summary rows

--- NEW FILE: SummaryRow.cs ---
using System;

namespace QuantProject.Business.Financial.Accounting.Reporting.SummaryRows
{
	/// <summary>
	/// Summary description for SummaryRow.
	/// </summary>
  public class SummaryRow
  {
    internal string rowDescription;
    internal object rowValue;

    public string Description
    {
      get { return rowDescription; }
//      set { rowDescription = value; }
    }
    public object Value
    {
      get { return rowValue; }
//      set { rowValue = value; }
    }

		public SummaryRow()
		{
			//
			// TODO: Add constructor logic here
			//
		}
	}
}

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables Summary.cs,1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables
In directory sc8-pr-cvs1:/tmp/cvs-serv12653/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables

Modified Files:
	Summary.cs 
Log Message:
- Added the Max equity drawdown.
- 'Total number of trades' now is computed by a
devoted object (it was a delegate before this revision)

Index: Summary.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables/Summary.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** Summary.cs	8 Nov 2003 20:57:54 -0000	1.1
--- Summary.cs	9 Nov 2003 19:42:15 -0000	1.2
***************
*** 4,7 ****
--- 4,8 ----
  using QuantProject.Business.Financial.Instruments;
  using QuantProject.Business.Financial.Accounting.Reporting;
+ using QuantProject.Business.Financial.Accounting.Reporting.SummaryRows;
  
  namespace QuantProject.Business.Financial.Accounting.Reporting.Tables
***************
*** 10,15 ****
  	/// Summary description for Summary.
  	/// </summary>
! 	public class Summary : ReportTable
! 	{
      private AccountReport accountReport;
      private double totalPnl;
--- 11,16 ----
  	/// Summary description for Summary.
  	/// </summary>
!   public class Summary : ReportTable
!   {
      private AccountReport accountReport;
      private double totalPnl;
***************
*** 17,20 ****
--- 18,33 ----
      private double finalAccountValue;
      private long intervalDays;
+     public AccountReport AccountReport
+     {
+       get { return accountReport; }
+     }
+     public double TotalPnl
+     {
+       get { return totalPnl; }
+     }
+     public double FinalAccountValue
+     {
+       get { return finalAccountValue; }
+     }
      public Summary( AccountReport accountReport ) :
        base( accountReport.Name + " - Summary" )
***************
*** 65,83 ****
        //        r = [(1+T)^(1/n)]-1
      }
-     private void getSummaryTable_setRow_MaxEquityDrawdown( DataRow summary )
-     {
-       //      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.accountReport.RoundTrades.DataTable.Select( "(ExitPrice is not null)" );
-       summary[ "Value" ] = DataRows.Length;
-     }
      private void getSummaryTable_setRow_NumberWinningTrades( DataRow summary )
      {
--- 78,81 ----
***************
*** 153,156 ****
--- 151,161 ----
        summaryDataTable.Rows.Add( summary );
      }
+     private void getSummary_setRow( SummaryRow summaryRow , DataTable summaryDataTable )
+     {
+       DataRow summary = summaryDataTable.NewRow();
+       summary[ "Information" ] = summaryRow.Description;
+       summary[ "Value" ] = summaryRow.Value;
+       summaryDataTable.Rows.Add( summary );
+     }
      private void getSummaryTable_setRows( DataTable summaryDataTable )
      {
***************
*** 163,170 ****
        getSummary_setRow( summaryDataTable ,
          new getSummaryTable_setRow( getSummaryTable_setRow_AnnualSystemPercentageReturn ) );
!       getSummary_setRow( summaryDataTable ,
!         new getSummaryTable_setRow( getSummaryTable_setRow_MaxEquityDrawdown ) );
!       getSummary_setRow( summaryDataTable ,
!         new getSummaryTable_setRow( getSummaryTable_setRow_TotalNumberOfTrades ) );
        getSummary_setRow( summaryDataTable ,
          new getSummaryTable_setRow( getSummaryTable_setRow_NumberWinningTrades ) );
--- 168,173 ----
        getSummary_setRow( summaryDataTable ,
          new getSummaryTable_setRow( getSummaryTable_setRow_AnnualSystemPercentageReturn ) );
!       getSummary_setRow( new MaxEquityDrawDown( this ) , summaryDataTable );
!       getSummary_setRow( new TotalNumberOfTrades( this ) , summaryDataTable );
        getSummary_setRow( summaryDataTable ,
          new getSummaryTable_setRow( getSummaryTable_setRow_NumberWinningTrades ) );

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows - New directory

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows
In directory sc8-pr-cvs1:/tmp/cvs-serv8102/SummaryRows

Log Message:
Directory /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows added to the repository

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables Transactions.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables
In directory sc8-pr-cvs1:/tmp/cvs-serv13402

Added Files:
	Transactions.cs 
Log Message:
Computes the transactions report table

--- NEW FILE: Transactions.cs ---
using System;
using System.Data;
using QuantProject.Business.Financial.Accounting.Reporting;

namespace QuantProject.Business.Financial.Accounting.Reporting.Tables
{
	/// <summary>
	/// Summary description for Transactions.
	/// </summary>
	public class Transactions : ReportTable
	{
		public Transactions( string reportName , DataTable detailedDataTable ) :
      base( reportName + " - Transactions" )
		{
      this.DataTable = this.getTransactionTable_actually( detailedDataTable );
		}
    private void getTransactionTable_setColumns( DataTable detailedDataTable ,
      DataTable transactionsDataTable )
    {
      transactionsDataTable.Columns.Add( "DateTime" , Type.GetType( "System.DateTime" ) );
      transactionsDataTable.Columns.Add( "BarComponent" , Type.GetType( "System.String" ) );
      transactionsDataTable.Columns.Add( "TransactionType"  , Type.GetType( "System.String" ) );
      transactionsDataTable.Columns.Add( "InstrumentKey"  , Type.GetType( "System.String" ) );
      transactionsDataTable.Columns.Add( "Quantity"  , Type.GetType( "System.Int32" ) );
      transactionsDataTable.Columns.Add( "Price"  , Type.GetType( "System.Double" ) );
      transactionsDataTable.Columns.Add( "TransactionAmount"  , Type.GetType( "System.Double" ) );
      transactionsDataTable.Columns.Add( "AccountCash"  , Type.GetType( "System.Double" ) );
      transactionsDataTable.Columns.Add( "PortfolioValue"  , Type.GetType( "System.Double" ) );
      transactionsDataTable.Columns.Add( "AccountValue"  , Type.GetType( "System.Double" ) );
      transactionsDataTable.Columns.Add( "PnL"  , Type.GetType( "System.Double" ) );
    }
    private void getTransactionTable_setRows(  DataTable detailedDataTable ,
      DataTable transactionsDataTable )
    {
      foreach ( DataRow detailedRow in detailedDataTable.Rows )
        if ( detailedRow[ "TransactionType" ] != System.DBNull.Value )
          // current detailed row reports a transaction
        {
          DataRow dataRow = transactionsDataTable.NewRow();
          dataRow[ "DateTime" ] = detailedRow[ "DateTime" ];
          dataRow[ "BarComponent" ] = detailedRow[ "BarComponent" ];
          dataRow[ "TransactionType" ] = detailedRow[ "TransactionType" ];
          dataRow[ "InstrumentKey" ] = detailedRow[ "InstrumentKey" ];
          dataRow[ "Quantity" ] = detailedRow[ "Quantity" ];
          dataRow[ "Price" ] = detailedRow[ "Price" ];
          dataRow[ "TransactionAmount" ] = detailedRow[ "TransactionAmount" ];
          dataRow[ "AccountCash" ] = detailedRow[ "AccountCash" ];
          dataRow[ "PortfolioValue" ] = detailedRow[ "PortfolioValue" ];
          dataRow[ "AccountValue" ] = detailedRow[ "AccountValue" ];
          dataRow[ "PnL" ] = detailedRow[ "PnL" ];
          transactionsDataTable.Rows.Add( dataRow );
        }
    }
    private DataTable getTransactionTable_actually( DataTable detailedDataTable )
    {
      DataTable transactionsDataTable = new DataTable();
      getTransactionTable_setColumns( detailedDataTable , transactionsDataTable );
      getTransactionTable_setRows( detailedDataTable , transactionsDataTable );
      return transactionsDataTable;
    }
//    private ReportTable getTransactionTable( string reportName , DataTable detailedDataTable )
//    {
//      DataTable transactionsDataTable = getTransactionTable_actually( detailedDataTable );
//      return new ReportTable( reportName + " - Transactions" ,
//        transactionsDataTable );
//      //ExcelManager.Add( reportTable ); daCanc
//    }

	}
}

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables Summary.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables
In directory sc8-pr-cvs1:/tmp/cvs-serv13260/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables

Added Files:
	Summary.cs 
Log Message:
Computes the summary report table

--- NEW FILE: Summary.cs ---
using System;
using System.Data;
using QuantProject.ADT;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Financial.Accounting.Reporting;

namespace QuantProject.Business.Financial.Accounting.Reporting.Tables
{
	/// <summary>
	/// Summary description for Summary.
	/// </summary>
	public class Summary : ReportTable
	{
    private AccountReport accountReport;
    private double totalPnl;
    private double buyAndHoldPercentageReturn;
    private double finalAccountValue;
    private long intervalDays;
    public Summary( AccountReport accountReport ) :
      base( accountReport.Name + " - Summary" )
    {
      this.accountReport = accountReport;
      this.getSummary();
    }
    #region "getSummary"
    private void getSummaryTable_setColumns( DataTable equityDataTable )
    {
      equityDataTable.Columns.Add( "Information"  , Type.GetType( "System.String" ) );
      equityDataTable.Columns.Add( "Value" , Type.GetType( "System.Double" ) );
    }
    #region "getSummaryTable_setRows"
    private delegate void getSummaryTable_setRow( DataRow summary );
    private void getSummaryTable_setRow_TotalNetProfit( DataRow summary )
    {
      summary[ "Information" ] = "Total net profit";
      summary[ "Value" ] = this.totalPnl;
    }
    private void getSummaryTable_setRow_ReturnOnAccount( DataRow summary )
    {
      summary[ "Information" ] = "Return on account";
      summary[ "Value" ] = this.totalPnl / ( this.finalAccountValue - this.totalPnl ) * 100;
    }
    private void getSummaryTable_setRow_BuyAndHoldPercentageReturn( DataRow summary )
    {
      if ( this.accountReport.BuyAndHoldTicker != "" )
      {
        // the report has to compare to a buy and hold benchmark
        Instrument buyAndHoldInstrument = new Instrument( this.accountReport.BuyAndHoldTicker );
        this.buyAndHoldPercentageReturn =
          ( buyAndHoldInstrument.GetMarketValue( this.accountReport.EndDateTime ) -
          buyAndHoldInstrument.GetMarketValue(
          new ExtendedDateTime( this.accountReport.StartDateTime , BarComponent.Open ) ) ) /
          buyAndHoldInstrument.GetMarketValue(
          new ExtendedDateTime( this.accountReport.StartDateTime , BarComponent.Open ) ) * 100;
        summary[ "Information" ] = "Buy & hold % return";
        summary[ "Value" ] = this.buyAndHoldPercentageReturn;
      }
    }
    private void getSummaryTable_setRow_AnnualSystemPercentageReturn( DataRow summary )
    {
      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_MaxEquityDrawdown( DataRow summary )
    {
      //      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.accountReport.RoundTrades.DataTable.Select( "(ExitPrice is not null)" );
      summary[ "Value" ] = DataRows.Length;
    }
    private void getSummaryTable_setRow_NumberWinningTrades( DataRow summary )
    {
      summary[ "Information" ] = "Number winning trades";
      DataRow[] DataRows = this.accountReport.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.accountReport.RoundTrades.DataTable.Compute( "avg([%Profit])" , "true" );
      summary[ "Value" ] = avgReturn;
    }
    private void getSummaryTable_setRow_LargestWinningTradePercentage( DataRow summary )
    {
      summary[ "Information" ] = "Largest winning trade";
      summary[ "Value" ] =
        (double) this.accountReport.RoundTrades.DataTable.Compute( "max([%Profit])" , "([%Profit]>0)" );
    }
    private void getSummaryTable_setRow_LargestLosingTradePercentage( DataRow summary )
    {
      summary[ "Information" ] = "Largest losing trade";
      summary[ "Value" ] =
        (double) this.accountReport.RoundTrades.DataTable.Compute( "min([%Profit])" , "([%Profit]<0)" );
    }
    private void getSummaryTable_setRow_TotalNumberOfLongTrades( DataRow summary )
    {
      double totalROA = this.totalPnl / ( this.finalAccountValue - this.totalPnl );
      summary[ "Information" ] = "Total # of long trades";
      DataRow[] DataRows =
        this.accountReport.RoundTrades.DataTable.Select( "((Trade='Long')and(ExitPrice is not null))" );
      summary[ "Value" ] = DataRows.Length;
    }
    private void getSummaryTable_setRow_NumberWinningLongTrades( DataRow summary )
    {
      summary[ "Information" ] = "Number winning long trades";
      DataRow[] DataRows = this.accountReport.RoundTrades.DataTable.Select( "((Trade='Long')and([%Profit] > 0))" );
      summary[ "Value" ] = DataRows.Length;
    }
    private void getSummaryTable_setRow_AverageLongTradePercentageReturn( DataRow summary )
    {
      summary[ "Information" ] = "Average long trade % Return";
      double avgReturn =
        (double) this.accountReport.RoundTrades.DataTable.Compute( "avg([%Profit])" , "(Trade='Long')" );
      summary[ "Value" ] = avgReturn;
    }
    private void getSummaryTable_setRow_TotalNumberOfShortTrades( DataRow summary )
    {
      double totalROA = this.totalPnl / ( this.finalAccountValue - this.totalPnl );
      summary[ "Information" ] = "Total # of short trades";
      DataRow[] DataRows =
        this.accountReport.RoundTrades.DataTable.Select( "((Trade='Short')and(ExitPrice is not null))" );
      summary[ "Value" ] = DataRows.Length;
    }
    private void getSummaryTable_setRow_NumberWinningShortTrades( DataRow summary )
    {
      summary[ "Information" ] = "Number winning short trades";
      DataRow[] DataRows = this.accountReport.RoundTrades.DataTable.Select( "((Trade='Short')and([%Profit] > 0))" );
      summary[ "Value" ] = DataRows.Length;
    }
    private void getSummaryTable_setRow_AverageShortTradePercentageReturn( DataRow summary )
    {
      summary[ "Information" ] = "Average short trade % Return";
      double avgReturn =
        (double) this.accountReport.RoundTrades.DataTable.Compute( "avg([%Profit])" , "(Trade='Short')" );
      summary[ "Value" ] = avgReturn;
    }
    private void getSummary_setRow( DataTable summaryDataTable ,
      getSummaryTable_setRow getSummaryTable_setRow_object )
    {
      DataRow summary = summaryDataTable.NewRow();
      getSummaryTable_setRow_object( summary );
      summaryDataTable.Rows.Add( summary );
    }
    private void getSummaryTable_setRows( DataTable summaryDataTable )
    {
      getSummary_setRow( summaryDataTable ,
        new getSummaryTable_setRow( getSummaryTable_setRow_TotalNetProfit ) );
      getSummary_setRow( summaryDataTable ,
        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 ,
        new getSummaryTable_setRow( getSummaryTable_setRow_MaxEquityDrawdown ) );
      getSummary_setRow( summaryDataTable ,
        new getSummaryTable_setRow( getSummaryTable_setRow_TotalNumberOfTrades ) );
      getSummary_setRow( summaryDataTable ,
        new getSummaryTable_setRow( getSummaryTable_setRow_NumberWinningTrades ) );
      getSummary_setRow( summaryDataTable ,
        new getSummaryTable_setRow( getSummaryTable_setRow_AverageTradePercentageReturn ) );
      getSummary_setRow( summaryDataTable ,
        new getSummaryTable_setRow( getSummaryTable_setRow_LargestWinningTradePercentage ) );
      getSummary_setRow( summaryDataTable ,
        new getSummaryTable_setRow( getSummaryTable_setRow_LargestLosingTradePercentage ) );
      getSummary_setRow( summaryDataTable ,
        new getSummaryTable_setRow( getSummaryTable_setRow_TotalNumberOfLongTrades ) );
      getSummary_setRow( summaryDataTable ,
        new getSummaryTable_setRow( getSummaryTable_setRow_NumberWinningLongTrades ) );
      getSummary_setRow( summaryDataTable ,
        new getSummaryTable_setRow( getSummaryTable_setRow_AverageLongTradePercentageReturn ) );
      getSummary_setRow( summaryDataTable ,
        new getSummaryTable_setRow( getSummaryTable_setRow_TotalNumberOfShortTrades ) );
      getSummary_setRow( summaryDataTable ,
        new getSummaryTable_setRow( getSummaryTable_setRow_NumberWinningShortTrades ) );
      getSummary_setRow( summaryDataTable ,
        new getSummaryTable_setRow( getSummaryTable_setRow_AverageShortTradePercentageReturn ) );
    }
    #endregion
    private DataTable getSummaryDataTable()
    {
      DataTable summaryDataTable = new DataTable();
      getSummaryTable_setColumns( summaryDataTable );
      getSummaryTable_setRows( summaryDataTable );
      return summaryDataTable;
    }
    private void getSummary()
    {
      this.totalPnl =
        (double)this.accountReport.Equity.DataTable.Rows[ this.accountReport.Equity.DataTable.Rows.Count - 1 ][ "PnL" ];
      this.finalAccountValue =
        (double)this.accountReport.Equity.DataTable.Rows[ this.accountReport.Equity.DataTable.Rows.Count - 1 ][ "AccountValue" ];
      this.intervalDays =
        ((TimeSpan)((DateTime)this.accountReport.Equity.DataTable.Rows[ this.accountReport.Equity.DataTable.Rows.Count - 1 ][ "Date" ] -
        (DateTime)this.accountReport.Equity.DataTable.Rows[ 0 ][ "Date" ])).Days;
      this.DataTable = getSummaryDataTable();
    }

    #endregion

	}
}

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables RoundTrades.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables
In directory sc8-pr-cvs1:/tmp/cvs-serv13175/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables

Added Files:
	RoundTrades.cs 
Log Message:
Computes the round trades report table

--- NEW FILE: RoundTrades.cs ---
using System;
using System.Data;
using QuantProject.Business.Financial.Accounting.Reporting;

namespace QuantProject.Business.Financial.Accounting.Reporting.Tables
{
	/// <summary>
	/// Summary description for RoundTrades.
	/// </summary>
	public class RoundTrades : ReportTable
	{
    private ReportTable transactionTable;

    public RoundTrades( string reportName , ReportTable transactionTable ) :
      base( reportName + " - Round Trades" )
		{
      this.transactionTable = transactionTable;
      this.DataTable = this.getRoundTrades();
    }
    #region "getRoundTrades"
    private void getRoundTradeTable_setColumns( DataTable roundTradeDataTable )
    {
      roundTradeDataTable.Columns.Add( "Trade" , Type.GetType( "System.String" ) );
      roundTradeDataTable.Columns.Add( "EntryDate"  , Type.GetType( "System.DateTime" ) );
      roundTradeDataTable.Columns.Add( "EntryPrice" , Type.GetType( "System.Double" ) );
      roundTradeDataTable.Columns.Add( "ExitDate"  , Type.GetType( "System.DateTime" ) );
      roundTradeDataTable.Columns.Add( "ExitPrice"  , Type.GetType( "System.Double" ) );
      roundTradeDataTable.Columns.Add( "%chg"  , Type.GetType( "System.Double" ) );
      roundTradeDataTable.Columns.Add( "Profit"  , Type.GetType( "System.Double" ) );
      roundTradeDataTable.Columns.Add( "%Profit"  , Type.GetType( "System.Double" ) );
      roundTradeDataTable.Columns.Add( "#bars"  , Type.GetType( "System.Int32" ) );
      roundTradeDataTable.Columns.Add( "ProfitPerBar"  , Type.GetType( "System.Double" ) );
      //roundTradeDataTable.Columns.Add( "AccountValue"  , Type.GetType( "System.Double" ) );
      //roundTradeDataTable.Columns.Add( "PnL"  , Type.GetType( "System.Double" ) );
    }
    private void getRoundTradeTable_setRow( DataRow dataRow , DataTable roundTradeDataTable )
    {
      DataRow roundTrade;
      switch ( (string)dataRow[ "TransactionType" ] )
      {
        case "BuyLong":
          roundTrade = roundTradeDataTable.NewRow();
          roundTrade[ "Trade" ] = "Long";
          roundTrade[ "EntryDate" ] = dataRow[ "DateTime" ];
          roundTrade[ "EntryPrice" ] = dataRow[ "Price" ];
          roundTradeDataTable.Rows.Add( roundTrade );
          break;
        case "Sell":
          roundTrade = roundTradeDataTable.Rows[ roundTradeDataTable.Rows.Count - 1 ];
          roundTrade[ "ExitDate" ] = dataRow[ "DateTime" ];
          roundTrade[ "ExitPrice" ] = dataRow[ "Price" ];
          roundTrade[ "%chg" ] =
            ((double)roundTrade[ "ExitPrice" ] - (double)roundTrade[ "EntryPrice" ])/
            ((double)roundTrade[ "EntryPrice" ])*100;
          roundTrade[ "%Profit" ] = roundTrade[ "%chg" ];
          roundTrade[ "#bars" ] =
            ((TimeSpan)((DateTime)roundTrade[ "ExitDate" ] - (DateTime)roundTrade[ "EntryDate" ])).Days;
          roundTrade[ "ProfitPerBar" ] = (double)roundTrade[ "%chg" ] / (int)roundTrade[ "#bars" ];
          break;
        case "SellShort":
          roundTrade = roundTradeDataTable.NewRow();
          roundTrade[ "Trade" ] = "Short";
          roundTrade[ "EntryDate" ] = dataRow[ "DateTime" ];
          roundTrade[ "EntryPrice" ] = dataRow[ "Price" ];
          roundTradeDataTable.Rows.Add( roundTrade );
          break;
        case "Cover":
          roundTrade = roundTradeDataTable.Rows[ roundTradeDataTable.Rows.Count - 1 ];
          roundTrade[ "ExitDate" ] = dataRow[ "DateTime" ];
          roundTrade[ "ExitPrice" ] = dataRow[ "Price" ];
          roundTrade[ "%chg" ] =
            ((double)roundTrade[ "ExitPrice" ] - (double)roundTrade[ "EntryPrice" ])/
            ((double)roundTrade[ "EntryPrice" ])*100;
          roundTrade[ "%Profit" ] = - ((double)roundTrade[ "%chg" ]);
          roundTrade[ "#bars" ] =
            ((TimeSpan)((DateTime)roundTrade[ "ExitDate" ] - (DateTime)roundTrade[ "EntryDate" ])).Days;
          roundTrade[ "ProfitPerBar" ] = (double)roundTrade[ "%chg" ] / (int)roundTrade[ "#bars" ];
          break;
      }

    }
    private void getRoundTradeTable_setRows( DataTable roundTradeDataTable )
    {
      foreach (DataRow dataRow in this.transactionTable.DataTable.Rows )
        getRoundTradeTable_setRow( dataRow , roundTradeDataTable );
    }
    private DataTable getRoundTrades()
    {
      DataTable roundTradeDataTable = new DataTable();
      getRoundTradeTable_setColumns( roundTradeDataTable );
      getRoundTradeTable_setRows( roundTradeDataTable );
      return roundTradeDataTable;
    }
    #endregion

	}
}

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables Equity.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables
In directory sc8-pr-cvs1:/tmp/cvs-serv13063/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables

Added Files:
	Equity.cs 
Log Message:
Computes the equity report table

--- NEW FILE: Equity.cs ---
using System;
using System.Data;
using QuantProject.Business.Financial.Accounting.Reporting;

namespace QuantProject.Business.Financial.Accounting.Reporting.Tables
{
	/// <summary>
	/// Summary description for Equity.
	/// </summary>
	public class Equity : ReportTable
	{
    public Equity( string reportName , DataTable detailedDataTable ) :
      base( reportName + " - Equity" )
		{
      this.DataTable = this.getEquity( detailedDataTable );
    }
    #region "getEquity"
    private void getEquityTable_setColumns( DataTable equityDataTable )
    {
      equityDataTable.Columns.Add( "Date"  , Type.GetType( "System.DateTime" ) );
      equityDataTable.Columns.Add( "PnL" , Type.GetType( "System.Double" ) );
      equityDataTable.Columns.Add( "AccountValue"  , Type.GetType( "System.Double" ) );
      equityDataTable.Columns.Add( "%chg"  , Type.GetType( "System.Double" ) );
    }
    private void getEquityTable_setRows( DataTable equityDataTable , DataTable detailedDataTable )
    {
      foreach (DataRow detailedRow in detailedDataTable.Rows )
        if ( detailedRow[ "TransactionType" ] == System.DBNull.Value )
          // current detailed row reports an equity row
        {
          DataRow dataRow = equityDataTable.NewRow();
          dataRow[ "Date" ] = detailedRow[ "DateTime" ];
          dataRow[ "PnL" ] = detailedRow[ "PnL" ];
          dataRow[ "AccountValue" ] = detailedRow[ "AccountValue" ];
          if ( equityDataTable.Rows.Count > 0 )
            dataRow[ "%chg" ] = ((double)dataRow[ "AccountValue" ] -
              (double)equityDataTable.Rows[ equityDataTable.Rows.Count - 1 ][ "AccountValue" ])/
              (double)equityDataTable.Rows[ equityDataTable.Rows.Count - 1 ][ "AccountValue" ]*
              100;
          equityDataTable.Rows.Add( dataRow );
        }
    }
    private DataTable getEquity( DataTable detailedDataTable )
    {
      DataTable equityDataTable = new DataTable();
      getEquityTable_setColumns( equityDataTable );
      getEquityTable_setRows( equityDataTable , detailedDataTable );
      return equityDataTable;
    }
    #endregion
	}
}

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting ReportTable.cs,1.1.1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting
In directory sc8-pr-cvs1:/tmp/cvs-serv12933/b4_Business/a1_Financial/a2_Accounting/h5_Reporting

Modified Files:
	ReportTable.cs 
Log Message:
Base class for report tables (like Transactions, RoundTrades,
Equity and Summary)

Index: ReportTable.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/ReportTable.cs,v
retrieving revision 1.1.1.1
retrieving revision 1.2
diff -C2 -d -r1.1.1.1 -r1.2
*** ReportTable.cs	13 Oct 2003 21:59:01 -0000	1.1.1.1
--- ReportTable.cs	8 Nov 2003 20:55:54 -0000	1.2
***************
*** 41,44 ****
--- 41,45 ----
      {
        get { return dataTable; }
+       set { dataTable = value; }
      }
  
***************
*** 47,50 ****
--- 48,55 ----
        this.name = name;
        this.dataTable = dataTable;
+     }
+     public ReportTable( string name )
+     {
+       this.name = name;
      }
    }

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting AccountReport.cs,1.5,1.6

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting
In directory sc8-pr-cvs1:/tmp/cvs-serv12622/b4_Business/a1_Financial/a2_Accounting/h5_Reporting

Modified Files:
	AccountReport.cs 
Log Message:
Added Report.Tables objects: splitted the AccountReport object in one
table object for Transactions, RoundTrades, Equity and Summary.

Index: AccountReport.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/AccountReport.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** AccountReport.cs	3 Nov 2003 22:26:35 -0000	1.5
--- AccountReport.cs	8 Nov 2003 20:54:41 -0000	1.6
***************
*** 39,53 ****
      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;
      private ReportTable roundTrades;
      private ReportTable equity;
      private ReportTable summary;
  
      public ReportTable TransactionTable
      {
--- 39,72 ----
      private Account account;
      private Account accountCopy = new Account( "AccountCopy" );
+     private string reportName;
      private ExtendedDateTime endDateTime;
      private string buyAndHoldTicker;
!     //private long numDaysForInterval;
!     private DataTable detailedDataTable;
!     private Tables.Transactions transactionTable;
      private ReportTable roundTrades;
      private ReportTable equity;
      private ReportTable summary;
  
+     public string Name
+     {
+       get { return reportName; }
+     }    
+     public ExtendedDateTime EndDateTime
+     {
+       get { return endDateTime; }
+     }    
+     public string BuyAndHoldTicker
+     {
+       get { return buyAndHoldTicker; }
+     }
+ //    public long NumDaysForInterval
+ //    {
+ //      get { return numDaysForInterval; }
+ //    }
+     public DataTable DetailedDataTable
+     {
+       get { return detailedDataTable; }
+     }
      public ReportTable TransactionTable
      {
***************
*** 147,151 ****
        detailedDataTable.Rows.Add( dataRow );
      }
!     private void addRowForPnl( int numDaysForInterval , DateTime currentDate ,
        System.Data.DataTable detailedDataTable )
      {
--- 166,170 ----
        detailedDataTable.Rows.Add( dataRow );
      }
!     private void addRowForPnl( long numDaysForInterval , DateTime currentDate ,
        System.Data.DataTable detailedDataTable )
      {
***************
*** 155,159 ****
          addRowForPnl_actually( currentDate , detailedDataTable );
      }
!     private void setRows(  int numDaysForInterval , System.Data.DataTable detailedDataTable )
      {
        DateTime currentDate = (DateTime) account.Transactions.GetKey( 0 );
--- 174,178 ----
          addRowForPnl_actually( currentDate , detailedDataTable );
      }
!     private void setRows(  long numDaysForInterval , System.Data.DataTable detailedDataTable )
      {
        DateTime currentDate = (DateTime) account.Transactions.GetKey( 0 );
***************
*** 177,181 ****
      }
      #endregion
!     private System.Data.DataTable getDetailedDataTable( int numDaysForInterval )
      {
        System.Data.DataTable detailedDataTable = new System.Data.DataTable();
--- 196,200 ----
      }
      #endregion
!     private System.Data.DataTable getDetailedDataTable( long numDaysForInterval )
      {
        System.Data.DataTable detailedDataTable = new System.Data.DataTable();
***************
*** 185,556 ****
      }
      #endregion
-     #region "getTransactionTable"
-     private void getTransactionTable_setColumns( DataTable detailedDataTable ,
-       DataTable transactionsDataTable )
-     {
-       transactionsDataTable.Columns.Add( "DateTime" , Type.GetType( "System.DateTime" ) );
-       transactionsDataTable.Columns.Add( "BarComponent" , Type.GetType( "System.String" ) );
-       transactionsDataTable.Columns.Add( "TransactionType"  , Type.GetType( "System.String" ) );
-       transactionsDataTable.Columns.Add( "InstrumentKey"  , Type.GetType( "System.String" ) );
-       transactionsDataTable.Columns.Add( "Quantity"  , Type.GetType( "System.Int32" ) );
-       transactionsDataTable.Columns.Add( "Price"  , Type.GetType( "System.Double" ) );
-       transactionsDataTable.Columns.Add( "TransactionAmount"  , Type.GetType( "System.Double" ) );
-       transactionsDataTable.Columns.Add( "AccountCash"  , Type.GetType( "System.Double" ) );
-       transactionsDataTable.Columns.Add( "PortfolioValue"  , Type.GetType( "System.Double" ) );
-       transactionsDataTable.Columns.Add( "AccountValue"  , Type.GetType( "System.Double" ) );
-       transactionsDataTable.Columns.Add( "PnL"  , Type.GetType( "System.Double" ) );
-     }
-     private void getTransactionTable_setRows(  DataTable detailedDataTable ,
-       DataTable transactionsDataTable )
-     {
-       foreach ( DataRow detailedRow in detailedDataTable.Rows )
-         if ( detailedRow[ "TransactionType" ] != System.DBNull.Value )
-           // current detailed row reports a transaction
-         {
-           DataRow dataRow = transactionsDataTable.NewRow();
-           dataRow[ "DateTime" ] = detailedRow[ "DateTime" ];
-           dataRow[ "BarComponent" ] = detailedRow[ "BarComponent" ];
-           dataRow[ "TransactionType" ] = detailedRow[ "TransactionType" ];
-           dataRow[ "InstrumentKey" ] = detailedRow[ "InstrumentKey" ];
-           dataRow[ "Quantity" ] = detailedRow[ "Quantity" ];
-           dataRow[ "Price" ] = detailedRow[ "Price" ];
-           dataRow[ "TransactionAmount" ] = detailedRow[ "TransactionAmount" ];
-           dataRow[ "AccountCash" ] = detailedRow[ "AccountCash" ];
-           dataRow[ "PortfolioValue" ] = detailedRow[ "PortfolioValue" ];
-           dataRow[ "AccountValue" ] = detailedRow[ "AccountValue" ];
-           dataRow[ "PnL" ] = detailedRow[ "PnL" ];
-           transactionsDataTable.Rows.Add( dataRow );
-         }
-     }
-     private DataTable getTransactionTable_actually( DataTable detailedDataTable )
-     {
-       DataTable transactionsDataTable = new DataTable();
-       getTransactionTable_setColumns( detailedDataTable , transactionsDataTable );
-       getTransactionTable_setRows( detailedDataTable , transactionsDataTable );
-       return transactionsDataTable;
-     }
-     private ReportTable getTransactionTable( string reportName , DataTable detailedDataTable )
-     {
-       DataTable transactionsDataTable = getTransactionTable_actually( detailedDataTable );
-       return new ReportTable( reportName + " - Transactions" ,
-         transactionsDataTable );
-       //ExcelManager.Add( reportTable ); daCanc
-     }
      #endregion
-     #region "getRoundTrades"
-     private void getRoundTradeTable_setColumns( DataTable roundTradeDataTable )
-     {
-       roundTradeDataTable.Columns.Add( "Trade" , Type.GetType( "System.String" ) );
-       roundTradeDataTable.Columns.Add( "EntryDate"  , Type.GetType( "System.DateTime" ) );
-       roundTradeDataTable.Columns.Add( "EntryPrice" , Type.GetType( "System.Double" ) );
-       roundTradeDataTable.Columns.Add( "ExitDate"  , Type.GetType( "System.DateTime" ) );
-       roundTradeDataTable.Columns.Add( "ExitPrice"  , Type.GetType( "System.Double" ) );
-       roundTradeDataTable.Columns.Add( "%chg"  , Type.GetType( "System.Double" ) );
-       roundTradeDataTable.Columns.Add( "Profit"  , Type.GetType( "System.Double" ) );
-       roundTradeDataTable.Columns.Add( "%Profit"  , Type.GetType( "System.Double" ) );
-       roundTradeDataTable.Columns.Add( "#bars"  , Type.GetType( "System.Int32" ) );
-       roundTradeDataTable.Columns.Add( "ProfitPerBar"  , Type.GetType( "System.Double" ) );
-       //roundTradeDataTable.Columns.Add( "AccountValue"  , Type.GetType( "System.Double" ) );
-       //roundTradeDataTable.Columns.Add( "PnL"  , Type.GetType( "System.Double" ) );
-     }
-     private void getRoundTradeTable_setRow( DataRow dataRow , DataTable roundTradeDataTable )
-     {
-       DataRow roundTrade;
-       switch ( (string)dataRow[ "TransactionType" ] )
-       {
-         case "BuyLong":
-           roundTrade = roundTradeDataTable.NewRow();
-           roundTrade[ "Trade" ] = "Long";
-           roundTrade[ "EntryDate" ] = dataRow[ "DateTime" ];
-           roundTrade[ "EntryPrice" ] = dataRow[ "Price" ];
-           roundTradeDataTable.Rows.Add( roundTrade );
-           break;
-         case "Sell":
-           roundTrade = roundTradeDataTable.Rows[ roundTradeDataTable.Rows.Count - 1 ];
-           roundTrade[ "ExitDate" ] = dataRow[ "DateTime" ];
-           roundTrade[ "ExitPrice" ] = dataRow[ "Price" ];
-           roundTrade[ "%chg" ] =
-             ((double)roundTrade[ "ExitPrice" ] - (double)roundTrade[ "EntryPrice" ])/
-             ((double)roundTrade[ "EntryPrice" ])*100;
-           roundTrade[ "%Profit" ] = roundTrade[ "%chg" ];
-           roundTrade[ "#bars" ] =
-             ((TimeSpan)((DateTime)roundTrade[ "ExitDate" ] - (DateTime)roundTrade[ "EntryDate" ])).Days;
-           roundTrade[ "ProfitPerBar" ] = (double)roundTrade[ "%chg" ] / (int)roundTrade[ "#bars" ];
-           break;
-         case "SellShort":
-           roundTrade = roundTradeDataTable.NewRow();
-           roundTrade[ "Trade" ] = "Short";
-           roundTrade[ "EntryDate" ] = dataRow[ "DateTime" ];
-           roundTrade[ "EntryPrice" ] = dataRow[ "Price" ];
-           roundTradeDataTable.Rows.Add( roundTrade );
-           break;
-         case "Cover":
-           roundTrade = roundTradeDataTable.Rows[ roundTradeDataTable.Rows.Count - 1 ];
-           roundTrade[ "ExitDate" ] = dataRow[ "DateTime" ];
-           roundTrade[ "ExitPrice" ] = dataRow[ "Price" ];
-           roundTrade[ "%chg" ] =
-             ((double)roundTrade[ "ExitPrice" ] - (double)roundTrade[ "EntryPrice" ])/
-             ((double)roundTrade[ "EntryPrice" ])*100;
-           roundTrade[ "%Profit" ] = - ((double)roundTrade[ "%chg" ]);
-           roundTrade[ "#bars" ] =
-             ((TimeSpan)((DateTime)roundTrade[ "ExitDate" ] - (DateTime)roundTrade[ "EntryDate" ])).Days;
-           roundTrade[ "ProfitPerBar" ] = (double)roundTrade[ "%chg" ] / (int)roundTrade[ "#bars" ];
-           break;
-       }
  
!     }
!     private void getRoundTradeTable_setRows( DataTable roundTradeDataTable )
!     {
!       foreach (DataRow dataRow in this.transactionTable.DataTable.Rows )
!         getRoundTradeTable_setRow( dataRow , roundTradeDataTable );
!     }
!     private DataTable getRoundTradeDataTable()
!     {
!       DataTable roundTradeDataTable = new DataTable();
!       getRoundTradeTable_setColumns( roundTradeDataTable );
!       getRoundTradeTable_setRows( roundTradeDataTable );
!       return roundTradeDataTable;
!     }
!     private ReportTable getRoundTrades( string reportName )
!     {
!       DataTable roundTradeDataTable = getRoundTradeDataTable();
!       return new ReportTable( reportName + " - Round Trades" ,
!         roundTradeDataTable );
!     }
!     #endregion
!     #region "getEquity"
!     private void getEquityTable_setColumns( DataTable equityDataTable )
!     {
!       equityDataTable.Columns.Add( "Date"  , Type.GetType( "System.DateTime" ) );
!       equityDataTable.Columns.Add( "PnL" , Type.GetType( "System.Double" ) );
!       equityDataTable.Columns.Add( "AccountValue"  , Type.GetType( "System.Double" ) );
!       equityDataTable.Columns.Add( "%chg"  , Type.GetType( "System.Double" ) );
!     }
!     private void getEquityTable_setRows( DataTable equityDataTable , DataTable detailedDataTable )
!     {
!       foreach (DataRow detailedRow in detailedDataTable.Rows )
!         if ( detailedRow[ "TransactionType" ] == System.DBNull.Value )
!           // current detailed row reports an equity row
!         {
!           DataRow dataRow = equityDataTable.NewRow();
!           dataRow[ "Date" ] = detailedRow[ "DateTime" ];
!           dataRow[ "PnL" ] = detailedRow[ "PnL" ];
!           dataRow[ "AccountValue" ] = detailedRow[ "AccountValue" ];
!           if ( equityDataTable.Rows.Count > 0 )
!             dataRow[ "%chg" ] = ((double)dataRow[ "AccountValue" ] -
!               (double)equityDataTable.Rows[ equityDataTable.Rows.Count - 1 ][ "AccountValue" ])/
!               (double)equityDataTable.Rows[ equityDataTable.Rows.Count - 1 ][ "AccountValue" ]*
!               100;
!           equityDataTable.Rows.Add( dataRow );
!         }
!     }
!     private DataTable getEquityDataTable( DataTable detailedDataTable )
!     {
!       DataTable equityDataTable = new DataTable();
!       getEquityTable_setColumns( equityDataTable );
!       getEquityTable_setRows( equityDataTable , detailedDataTable );
!       return equityDataTable;
!     }
!     private ReportTable getEquity( string reportName , DataTable detailedDataTable )
!     {
!       DataTable equityDataTable = getEquityDataTable( detailedDataTable );
!       return new ReportTable( reportName + " - Equity" ,
!         equityDataTable );
!     }
! 
!     #endregion
!     #region "getSummary"
!     private void getSummaryTable_setColumns( DataTable equityDataTable )
!     {
!       equityDataTable.Columns.Add( "Information"  , Type.GetType( "System.String" ) );
!       equityDataTable.Columns.Add( "Value" , Type.GetType( "System.Double" ) );
!     }
!     #region "getSummaryTable_setRows"
!     private delegate void getSummaryTable_setRow( DataRow summary );
!     private void getSummaryTable_setRow_TotalNetProfit( DataRow summary )
!     {
!       summary[ "Information" ] = "Total net profit";
!       summary[ "Value" ] = this.totalPnl;
!     }
!     private void getSummaryTable_setRow_ReturnOnAccount( DataRow summary )
!     {
!       summary[ "Information" ] = "Return on account";
!       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 )
!     {
!       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 )
!     {
!       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 getSummaryTable_setRow_LargestWinningTradePercentage( DataRow summary )
!     {
!       summary[ "Information" ] = "Largest winning trade";
!       summary[ "Value" ] =
!         (double) this.roundTrades.DataTable.Compute( "max([%Profit])" , "([%Profit]>0)" );
!     }
!     private void getSummaryTable_setRow_LargestLosingTradePercentage( DataRow summary )
!     {
!       summary[ "Information" ] = "Largest losing trade";
!       summary[ "Value" ] =
!         (double) this.roundTrades.DataTable.Compute( "min([%Profit])" , "([%Profit]<0)" );
!     }
!     private void getSummaryTable_setRow_TotalNumberOfLongTrades( DataRow summary )
!     {
!       double totalROA = this.totalPnl / ( this.finalAccountValue - this.totalPnl );
!       summary[ "Information" ] = "Total # of long trades";
!       DataRow[] DataRows =
!         this.roundTrades.DataTable.Select( "((Trade='Long')and(ExitPrice is not null))" );
!       summary[ "Value" ] = DataRows.Length;
!     }
!     private void getSummaryTable_setRow_NumberWinningLongTrades( DataRow summary )
!     {
!       summary[ "Information" ] = "Number winning long trades";
!       DataRow[] DataRows = this.roundTrades.DataTable.Select( "((Trade='Long')and([%Profit] > 0))" );
!       summary[ "Value" ] = DataRows.Length;
!     }
!     private void getSummaryTable_setRow_AverageLongTradePercentageReturn( DataRow summary )
!     {
!       summary[ "Information" ] = "Average long trade % Return";
!       double avgReturn =
!         (double) this.roundTrades.DataTable.Compute( "avg([%Profit])" , "(Trade='Long')" );
!       summary[ "Value" ] = avgReturn;
!     }
!     private void getSummaryTable_setRow_TotalNumberOfShortTrades( DataRow summary )
!     {
!       double totalROA = this.totalPnl / ( this.finalAccountValue - this.totalPnl );
!       summary[ "Information" ] = "Total # of short trades";
!       DataRow[] DataRows =
!         this.roundTrades.DataTable.Select( "((Trade='Short')and(ExitPrice is not null))" );
!       summary[ "Value" ] = DataRows.Length;
!     }
!     private void getSummaryTable_setRow_NumberWinningShortTrades( DataRow summary )
!     {
!       summary[ "Information" ] = "Number winning short trades";
!       DataRow[] DataRows = this.roundTrades.DataTable.Select( "((Trade='Short')and([%Profit] > 0))" );
!       summary[ "Value" ] = DataRows.Length;
!     }
!     private void getSummaryTable_setRow_AverageShortTradePercentageReturn( DataRow summary )
!     {
!       summary[ "Information" ] = "Average short trade % Return";
!       double avgReturn =
!         (double) this.roundTrades.DataTable.Compute( "avg([%Profit])" , "(Trade='Short')" );
!       summary[ "Value" ] = avgReturn;
!     }
!     private void getSummary_setRow( DataTable summaryDataTable ,
!       getSummaryTable_setRow getSummaryTable_setRow_object )
!     {
!       DataRow summary = summaryDataTable.NewRow();
!       getSummaryTable_setRow_object( summary );
!       summaryDataTable.Rows.Add( summary );
!     }
!     private void getSummaryTable_setRows( DataTable summaryDataTable )
!     {
!       getSummary_setRow( summaryDataTable ,
!         new getSummaryTable_setRow( getSummaryTable_setRow_TotalNetProfit ) );
!       getSummary_setRow( summaryDataTable ,
!         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 ,
!         new getSummaryTable_setRow( getSummaryTable_setRow_TotalNumberOfTrades ) );
!       getSummary_setRow( summaryDataTable ,
!         new getSummaryTable_setRow( getSummaryTable_setRow_NumberWinningTrades ) );
!       getSummary_setRow( summaryDataTable ,
!         new getSummaryTable_setRow( getSummaryTable_setRow_AverageTradePercentageReturn ) );
!       getSummary_setRow( summaryDataTable ,
!         new getSummaryTable_setRow( getSummaryTable_setRow_LargestWinningTradePercentage ) );
!       getSummary_setRow( summaryDataTable ,
!         new getSummaryTable_setRow( getSummaryTable_setRow_LargestLosingTradePercentage ) );
!       getSummary_setRow( summaryDataTable ,
!         new getSummaryTable_setRow( getSummaryTable_setRow_TotalNumberOfLongTrades ) );
!       getSummary_setRow( summaryDataTable ,
!         new getSummaryTable_setRow( getSummaryTable_setRow_NumberWinningLongTrades ) );
!       getSummary_setRow( summaryDataTable ,
!         new getSummaryTable_setRow( getSummaryTable_setRow_AverageLongTradePercentageReturn ) );
!       getSummary_setRow( summaryDataTable ,
!         new getSummaryTable_setRow( getSummaryTable_setRow_TotalNumberOfShortTrades ) );
!       getSummary_setRow( summaryDataTable ,
!         new getSummaryTable_setRow( getSummaryTable_setRow_NumberWinningShortTrades ) );
!       getSummary_setRow( summaryDataTable ,
!         new getSummaryTable_setRow( getSummaryTable_setRow_AverageShortTradePercentageReturn ) );
!     }
!     #endregion
!     private DataTable getSummaryDataTable()
!     {
!       DataTable summaryDataTable = new DataTable();
!       getSummaryTable_setColumns( summaryDataTable );
!       getSummaryTable_setRows( summaryDataTable );
!       return summaryDataTable;
!     }
!     private ReportTable getSummary( string reportName )
!     {
!       this.totalPnl =
!         (double)this.equity.DataTable.Rows[ this.equity.DataTable.Rows.Count - 1 ][ "PnL" ];
!       this.finalAccountValue =
!         (double)this.equity.DataTable.Rows[ this.equity.DataTable.Rows.Count - 1 ][ "AccountValue" ];
!       this.intervalDays =
!         ((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 );
!     }
! 
!     #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 );
!       this.equity = getEquity( reportName , detailedDataTable );
!       this.summary = getSummary( reportName );
        return this;
      }
-     #endregion
  
!     public AccountReport Create( string reportName , int numDaysForInterval ,
        ExtendedDateTime endDateTime )
      {
--- 204,227 ----
      }
      #endregion
      #endregion
  
!     public AccountReport Create( string reportName , long numDaysForInterval ,
        ExtendedDateTime endDateTime , string buyAndHoldTicker )
      {
+       this.reportName = reportName;
        this.endDateTime = endDateTime;
        this.buyAndHoldTicker = buyAndHoldTicker;
!       detailedDataTable = getDetailedDataTable( numDaysForInterval );
!       this.transactionTable = new Tables.Transactions( reportName , detailedDataTable );
! //      this.transactionTable = getTransactionTable( reportName , detailedDataTable );
!       this.roundTrades = new Tables.RoundTrades( reportName , this.transactionTable );
!       this.equity = new Tables.Equity( reportName , detailedDataTable );
!       //this.equity = getEquity( reportName , detailedDataTable );
!       //this.summary = getSummary( reportName );
!       this.summary = new Tables.Summary( this );
        return this;
      }
  
!     public AccountReport Create( string reportName , long numDaysForInterval ,
        ExtendedDateTime endDateTime )
      {

[Quantproject-developers] QuantProject/b4_Business b4_Business.csproj,1.1.1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b4_Business
In directory sc8-pr-cvs1:/tmp/cvs-serv12622/b4_Business

Modified Files:
	b4_Business.csproj 
Log Message:
Added Report.Tables objects: splitted the AccountReport object in one
table object for Transactions, RoundTrades, Equity and Summary.

Index: b4_Business.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/b4_Business.csproj,v
retrieving revision 1.1.1.1
retrieving revision 1.2
diff -C2 -d -r1.1.1.1 -r1.2
*** b4_Business.csproj	13 Oct 2003 21:58:20 -0000	1.1.1.1
--- b4_Business.csproj	8 Nov 2003 20:54:41 -0000	1.2
***************
*** 197,200 ****
--- 197,220 ----
                  />
                  <File
+                     RelPath = "a1_Financial\a2_Accounting\h5_Reporting\Tables\Equity.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "a1_Financial\a2_Accounting\h5_Reporting\Tables\RoundTrades.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "a1_Financial\a2_Accounting\h5_Reporting\Tables\Summary.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "a1_Financial\a2_Accounting\h5_Reporting\Tables\Transactions.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "a1_Financial\a3_Ordering\Order.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject QuantProject.suo,1.7,1.8

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

Update of /cvsroot/quantproject/QuantProject
In directory sc8-pr-cvs1:/tmp/cvs-serv12449

Modified Files:
	QuantProject.suo 
Log Message:
Added Report.Tables objects: splitted the AccountReport object in one
table object for Transactions, RoundTrades, Equity and Summary.

Index: QuantProject.suo
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/QuantProject.suo,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
Binary files /tmp/cvs9D4qhi and /tmp/cvs47NJcq differ

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables - New directory

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables
In directory sc8-pr-cvs1:/tmp/cvs-serv11358/Tables

Log Message:
Directory /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables added to the repository

[Quantproject-developers] QuantProject QuantProject.suo,1.6,1.7

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

Update of /cvsroot/quantproject/QuantProject
In directory sc8-pr-cvs1:/tmp/cvs-serv20134

Modified Files:
	QuantProject.suo 
Log Message:
no message

Index: QuantProject.suo
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/QuantProject.suo,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
Binary files /tmp/cvsoE4ik6 and /tmp/cvsyYOml2 differ

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting AccountReport.cs,1.4,1.5

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting
In directory sc8-pr-cvs1:/tmp/cvs-serv19812/b4_Business/a1_Financial/a2_Accounting/h5_Reporting

Modified Files:
	AccountReport.cs 
Log Message:
Summary report has been enhanced:
- 'Larges winning trade' added
- 'Largest losing trade' added
- 'Total number of long trades' added
- 'Number winning long trades' added
- 'Average long trade % return' added
- 'Total number of short trades' added
- 'Number winning short trades' added
- 'Average short trade % return' added

Index: AccountReport.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/AccountReport.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** AccountReport.cs	2 Nov 2003 18:26:04 -0000	1.4
--- AccountReport.cs	3 Nov 2003 22:26:35 -0000	1.5
***************
*** 421,424 ****
--- 421,478 ----
        summary[ "Value" ] = avgReturn;
      }
+     private void getSummaryTable_setRow_LargestWinningTradePercentage( DataRow summary )
+     {
+       summary[ "Information" ] = "Largest winning trade";
+       summary[ "Value" ] =
+         (double) this.roundTrades.DataTable.Compute( "max([%Profit])" , "([%Profit]>0)" );
+     }
+     private void getSummaryTable_setRow_LargestLosingTradePercentage( DataRow summary )
+     {
+       summary[ "Information" ] = "Largest losing trade";
+       summary[ "Value" ] =
+         (double) this.roundTrades.DataTable.Compute( "min([%Profit])" , "([%Profit]<0)" );
+     }
+     private void getSummaryTable_setRow_TotalNumberOfLongTrades( DataRow summary )
+     {
+       double totalROA = this.totalPnl / ( this.finalAccountValue - this.totalPnl );
+       summary[ "Information" ] = "Total # of long trades";
+       DataRow[] DataRows =
+         this.roundTrades.DataTable.Select( "((Trade='Long')and(ExitPrice is not null))" );
+       summary[ "Value" ] = DataRows.Length;
+     }
+     private void getSummaryTable_setRow_NumberWinningLongTrades( DataRow summary )
+     {
+       summary[ "Information" ] = "Number winning long trades";
+       DataRow[] DataRows = this.roundTrades.DataTable.Select( "((Trade='Long')and([%Profit] > 0))" );
+       summary[ "Value" ] = DataRows.Length;
+     }
+     private void getSummaryTable_setRow_AverageLongTradePercentageReturn( DataRow summary )
+     {
+       summary[ "Information" ] = "Average long trade % Return";
+       double avgReturn =
+         (double) this.roundTrades.DataTable.Compute( "avg([%Profit])" , "(Trade='Long')" );
+       summary[ "Value" ] = avgReturn;
+     }
+     private void getSummaryTable_setRow_TotalNumberOfShortTrades( DataRow summary )
+     {
+       double totalROA = this.totalPnl / ( this.finalAccountValue - this.totalPnl );
+       summary[ "Information" ] = "Total # of short trades";
+       DataRow[] DataRows =
+         this.roundTrades.DataTable.Select( "((Trade='Short')and(ExitPrice is not null))" );
+       summary[ "Value" ] = DataRows.Length;
+     }
+     private void getSummaryTable_setRow_NumberWinningShortTrades( DataRow summary )
+     {
+       summary[ "Information" ] = "Number winning short trades";
+       DataRow[] DataRows = this.roundTrades.DataTable.Select( "((Trade='Short')and([%Profit] > 0))" );
+       summary[ "Value" ] = DataRows.Length;
+     }
+     private void getSummaryTable_setRow_AverageShortTradePercentageReturn( DataRow summary )
+     {
+       summary[ "Information" ] = "Average short trade % Return";
+       double avgReturn =
+         (double) this.roundTrades.DataTable.Compute( "avg([%Profit])" , "(Trade='Short')" );
+       summary[ "Value" ] = avgReturn;
+     }
      private void getSummary_setRow( DataTable summaryDataTable ,
        getSummaryTable_setRow getSummaryTable_setRow_object )
***************
*** 444,447 ****
--- 498,517 ----
        getSummary_setRow( summaryDataTable ,
          new getSummaryTable_setRow( getSummaryTable_setRow_AverageTradePercentageReturn ) );
+       getSummary_setRow( summaryDataTable ,
+         new getSummaryTable_setRow( getSummaryTable_setRow_LargestWinningTradePercentage ) );
+       getSummary_setRow( summaryDataTable ,
+         new getSummaryTable_setRow( getSummaryTable_setRow_LargestLosingTradePercentage ) );
+       getSummary_setRow( summaryDataTable ,
+         new getSummaryTable_setRow( getSummaryTable_setRow_TotalNumberOfLongTrades ) );
+       getSummary_setRow( summaryDataTable ,
+         new getSummaryTable_setRow( getSummaryTable_setRow_NumberWinningLongTrades ) );
+       getSummary_setRow( summaryDataTable ,
+         new getSummaryTable_setRow( getSummaryTable_setRow_AverageLongTradePercentageReturn ) );
+       getSummary_setRow( summaryDataTable ,
+         new getSummaryTable_setRow( getSummaryTable_setRow_TotalNumberOfShortTrades ) );
+       getSummary_setRow( summaryDataTable ,
+         new getSummaryTable_setRow( getSummaryTable_setRow_NumberWinningShortTrades ) );
+       getSummary_setRow( summaryDataTable ,
+         new getSummaryTable_setRow( getSummaryTable_setRow_AverageShortTradePercentageReturn ) );
      }
      #endregion

[Quantproject-developers] QuantProject QuantProject.suo,1.5,1.6

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

Update of /cvsroot/quantproject/QuantProject
In directory sc8-pr-cvs1:/tmp/cvs-serv26250

Modified Files:
	QuantProject.suo 
Log Message:
no message

Index: QuantProject.suo
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/QuantProject.suo,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
Binary files /tmp/cvs4lHwsk and /tmp/cvsUDcKzu differ

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting Account.cs,1.1.1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting
In directory sc8-pr-cvs1:/tmp/cvs-serv26065/b4_Business/a1_Financial/a2_Accounting

Modified Files:
	Account.cs 
Log Message:
The CreateReport method has been overridden to (optionally) add 
the Buy and Hold percentage return benchmark to the report
summary table

Index: Account.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/Account.cs,v
retrieving revision 1.1.1.1
retrieving revision 1.2
diff -C2 -d -r1.1.1.1 -r1.2
*** Account.cs	13 Oct 2003 21:58:29 -0000	1.1.1.1
--- Account.cs	2 Nov 2003 18:29:47 -0000	1.2
***************
*** 176,179 ****
--- 176,186 ----
        return accountReport.Create( reportName , numDaysForInterval , extendedDateTime );
      }
+     public AccountReport CreateReport( string reportName ,
+       int numDaysForInterval , ExtendedDateTime extendedDateTime , string buyAndHoldTicker )
+     {
+       AccountReport accountReport = new AccountReport( this );
+       return accountReport.Create( reportName , numDaysForInterval ,
+         extendedDateTime , buyAndHoldTicker );
+     }
      public void Serialize( string filePathAndName )
      {

[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 , "" );
!     }
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/MSFTsimpleTest RunMSFTsimpleTest.cs,1.1.1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/MSFTsimpleTest
In directory sc8-pr-cvs1:/tmp/cvs-serv23448/b7_Scripts/MSFTsimpleTest

Modified Files:
	RunMSFTsimpleTest.cs 
Log Message:
Changed report creation call, to add Buy and Hold benchmark

Index: RunMSFTsimpleTest.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/MSFTsimpleTest/RunMSFTsimpleTest.cs,v
retrieving revision 1.1.1.1
retrieving revision 1.2
diff -C2 -d -r1.1.1.1 -r1.2
*** RunMSFTsimpleTest.cs	13 Oct 2003 22:00:07 -0000	1.1.1.1
--- RunMSFTsimpleTest.cs	2 Nov 2003 18:18:47 -0000	1.2
***************
*** 83,87 ****
  
        AccountReport accountReport = tester.Account.CreateReport( "MSFT" , 7 ,
!         new ExtendedDateTime( endDateTime , BarComponent.Close ) );
        ExcelManager.Add( accountReport );
        ExcelManager.ShowReport();
--- 83,87 ----
  
        AccountReport accountReport = tester.Account.CreateReport( "MSFT" , 7 ,
!         new ExtendedDateTime( endDateTime , BarComponent.Close ) , "MSFT" );
        ExcelManager.Add( accountReport );
        ExcelManager.ShowReport();

[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 );
      }
  

[Quantproject-developers] QuantProject QuantProject.suo,1.4,1.5

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

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

Modified Files:
	QuantProject.suo 
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: QuantProject.suo
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/QuantProject.suo,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
Binary files /tmp/cvs74SZub and /tmp/cvs8rrJWe differ

[Quantproject-developers] QuantProject/b7_Scripts b7_Scripts.csproj,1.3,1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs1:/tmp/cvs-serv28621/b7_Scripts

Modified Files:
	b7_Scripts.csproj 
Log Message:
Fixed ResultOk.txt warning

Index: b7_Scripts.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** b7_Scripts.csproj	25 Oct 2003 16:54:21 -0000	1.3
--- b7_Scripts.csproj	27 Oct 2003 19:12:24 -0000	1.4
***************
*** 118,125 ****
                  />
                  <File
-                     RelPath = "MSFTsimpleTest\ResultOk.txt"
-                     BuildAction = "Content"
-                 />
-                 <File
                      RelPath = "MSFTsimpleTest\RunMSFTsimpleTest.cs"
                      SubType = "Code"
--- 118,121 ----