private void ReverseAlphaDirection()
{
if (alphaDirection == AlphaDirection.Increasing)
alphaDirection = AlphaDirection.Decreasing;
else if (alphaDirection == AlphaDirection.Decreasing)
alphaDirection = AlphaDirection.Increasing;
if (reversalCount != -1)
reversalCount++;
}
public virtual void InitAlphaDirection(AlphaDirection direct)
{
if (direct == AlphaDirection.Decreasing)
{
AlphaValue = alphaUpper;
}
else if (direct == AlphaDirection.Increasing)
{
AlphaValue = alphaLower;
}
alphaDirection = direct;
}
/// <summary>
/// Initializes a new instance of the <see cref="ConstantAlphaModel"/> class
/// </summary>
/// <param name="type">The type of alpha</param>
/// <param name="direction">The direction of the alpha</param>
/// <param name="period">The period over which the alpha with come to fruition</param>
/// <param name="magnitude">The predicted change in magnitude as a +- percentage</param>
/// <param name="confidence">The confidence in the alpha</param>
public ConstantAlphaModel(AlphaType type, AlphaDirection direction, TimeSpan period, double?magnitude, double?confidence)
{
_type = type;
_direction = direction;
_period = period;
// Optional
_magnitude = magnitude;
_confidence = confidence;
_securities = new HashSet <Security>();
_alphaTimeBySymbol = new Dictionary <Symbol, DateTime>();
}
/// <summary>
/// Initializes a new instance of the <see cref="Alpha"/> class
/// </summary>
/// <param name="symbol">The symbol this alpha is for</param>
/// <param name="type">The type of alpha, price/volatility</param>
/// <param name="direction">The predicted direction</param>
/// <param name="period">The period over which the prediction will come true</param>
/// <param name="magnitude">The predicted magnitude as a percentage change</param>
/// <param name="confidence">The confidence in this alpha</param>
public Alpha(Symbol symbol, AlphaType type, AlphaDirection direction, TimeSpan period, double?magnitude, double?confidence)
{
Id = Guid.NewGuid();
Score = new AlphaScore();
Symbol = symbol;
Type = type;
Direction = direction;
Period = period;
// Optional
Magnitude = magnitude;
Confidence = confidence;
}
/// <summary>
/// Initializes a new instance of the <see cref="Alpha"/> class
/// </summary>
/// <param name="symbol">The symbol this alpha is for</param>
/// <param name="type">The type of alpha, price/volatility</param>
/// <param name="direction">The predicted direction</param>
/// <param name="period">The period over which the prediction will come true</param>
public Alpha(Symbol symbol, AlphaType type, AlphaDirection direction, TimeSpan period)
: this(symbol, type, direction, period, null, null)
{
}
/// <summary>
/// Initializes a new instance of the <see cref="Alpha"/> class.
/// This constructor is provided mostly for testing purposes. When running inside an algorithm,
/// the generated and close times are set based on the algorithm's time.
/// </summary>
/// <param name="generatedTimeUtc">The time this alpha was generated in utc</param>
/// <param name="symbol">The symbol this alpha is for</param>
/// <param name="type">The type of alpha, price/volatility</param>
/// <param name="direction">The predicted direction</param>
/// <param name="period">The period over which the prediction will come true</param>
/// <param name="magnitude">The predicted magnitude as a percentage change</param>
/// <param name="confidence">The confidence in this alpha</param>
public Alpha(DateTime generatedTimeUtc, Symbol symbol, AlphaType type, AlphaDirection direction, TimeSpan period, double?magnitude, double?confidence)
: this(symbol, type, direction, period, magnitude, confidence)
{
GeneratedTimeUtc = generatedTimeUtc;
CloseTimeUtc = generatedTimeUtc + period;
}
/// <summary>
/// Initializes a new instance of the <see cref="ConstantAlphaModel"/> class
/// </summary>
/// <param name="type">The type of alpha</param>
/// <param name="direction">The direction of the alpha</param>
/// <param name="period">The period over which the alpha with come to fruition</param>
public ConstantAlphaModel(AlphaType type, AlphaDirection direction, TimeSpan period)
: this(type, direction, period, null, null)
{
}
