protected ATMVolsRankGroup(FXGroup group_)
{
var currencies = Singleton<FXIDs>.Instance.Where(x => x.IsGroup(group_)).ToArray();
var oneWeek = new ConstructGen<double>(currencies.Select(x => x.Code).ToArray());
var oneMonth = new ConstructGen<double>(currencies.Select(x => x.Code).ToArray());
for (int i = 0; i < currencies.Length; ++i)
{
{
var vols = BbgTalk.HistoryRequester.GetHistory(DataConstants.DATA_START, currencies[i].AtTheMoneyVolTicker_1W, "PX_LAST", false);
oneWeek.SetColumnValues(i, vols);
}
{
var vols = BbgTalk.HistoryRequester.GetHistory(DataConstants.DATA_START, currencies[i].AtTheMoneyVolTicker_1M, "PX_LAST", false);
oneMonth.SetColumnValues(i, vols);
}
}
{
oneWeek.SortKeys();
var avg1W = oneWeek.AvgRows();
ATM_1W_Avg = avg1W;
ATM_1W_o6M = avg1W.ToPercentileRanked(126);
ATM_1W_o1Y = avg1W.ToPercentileRanked(252);
}
{
oneMonth.SortKeys();
var avg1M = oneMonth.AvgRows();
ATM_1M_Avg = avg1M;
ATM_1M_o6M = avg1M.ToPercentileRanked(126);
ATM_1M_o1Y = avg1M.ToPercentileRanked(252);
}
}
public static DatedDataCollectionGen<double> GetIndicator(IndicType type_)
{
DatedDataCollectionGen<double> ret = null;
switch (type_)
{
case IndicType.ATM1WVol_actual:
ret = Singleton<ATMVolsRank>.Instance.ATM_1W_Avg;
break;
case IndicType.ATM1WVols_pr126:
ret = Singleton<ATMVolsRank>.Instance.ATM_1W_o6M;
break;
case IndicType.ATM1WVols_pr252:
ret = Singleton<ATMVolsRank>.Instance.ATM_1W_o1Y;
break;
case IndicType.ATM1WVol_actual_vol21:
ret = HelperMethods.GetRollingStdev(Singleton<ATMVolsRank>.Instance.ATM_1W_o1Y, 21);
break;
case IndicType.ATM1MVol_actual:
ret = Singleton<ATMVolsRank>.Instance.ATM_1M_Avg;
break;
case IndicType.ATM1MVols_pr126:
ret = Singleton<ATMVolsRank>.Instance.ATM_1M_o6M;
break;
case IndicType.ATM1MVols_pr252:
ret = Singleton<ATMVolsRank>.Instance.ATM_1M_o1Y;
break;
case IndicType.ATMDelivs1MVols_pr252:
ret = Singleton<ATMVolsRankDelivs>.Instance.ATM_1M_o1Y;
break;
case IndicType.ATM_EMs_1MVols_actual_pr252:
ret = Singleton<ATMVolsRankEMs>.Instance.ATM_1M_o1Y;
break;
case IndicType.EWMA_Vol_pr252:
{
ret = new SI.Data.FXEWMAVariances(0.94, 252).Values.SumRows()
.ToPercentileRanked(252);
}
break;
case IndicType.CommodsMultiUniverse:
{
ret = Singleton<MultiCommodsIndicator.CommodsUniverseScore_21>.Instance.Pxs;
}
break;
case IndicType.CommodsMultiAgs:
ret = Singleton<MultiCommodsIndicator.CommodsGrainsScore_21>.Instance.Pxs;
break;
case IndicType.CommodsMultiBase:
ret = Singleton<MultiCommodsIndicator.CommodsBaseScore_21>.Instance.Pxs;
break;
case IndicType.CcyMultiUniverse:
ret = Singleton<MultiCcyIndicator.CurrencyUniverseScore_21>.Instance.Pxs;
break;
case IndicType.CcyMultAsiaIncG10:
ret = Singleton<MultiCcyIndicator.CurrencyAsiaIncG10_21>.Instance.Pxs;
break;
case IndicType.CcyMultCEEMEA:
ret = Singleton<MultiCcyIndicator.CurrencyCEEMEAScore_21>.Instance.Pxs;
break;
case IndicType.CcyMultAmericas:
ret = Singleton<MultiCcyIndicator.CurrencyAmericasScore_21>.Instance.Pxs;
break;
case IndicType.CcyMultiG10:
ret = Singleton<MultiCcyIndicator.CurrencyG10Score_21>.Instance.Pxs;
break;
case IndicType.FI_Futures:
ret = Singleton<Futures.Breakout.FutChainOptArgs>.Instance.Index;
break;
case IndicType.CcyMultiEM:
ret = Singleton<MultiCcyIndicator.CurrencyEMScore_21>.Instance.Pxs;
break;
case IndicType.DXY_sc21: ret = Singleton<DXYScore_21>.Instance.Scores; break;
case IndicType.DXY_sc21_contextMA252:
{
var rawScores = (DatedDataCollectionGen<double>)Singleton<DXYScore_21>.Instance.Scores.Clone();
var pxsSeries = Singleton<DXYScore_21>.Instance.Pxs;
var maSeries = HelperMethods.GetMA(pxsSeries, 252);
for (int i = 0; i < maSeries.Length; ++i)
{
var date = maSeries.Dates[i];
var px = pxsSeries.ValueOnExactDate(date);
var ma = maSeries.Data[i];
var score = rawScores.ValueOnExactDate(date);
if (score > 0d && px < ma)
{
rawScores.Data[rawScores.IndexOf(date)] = 0d;
}
else if (score < 0d && px > ma)
{
rawScores.Data[rawScores.IndexOf(date)] = 0d;
}
}
return rawScores;
}
case IndicType.DXY_sc42_contextMA252:
{
var pxsSeries = Singleton<DXYScore_21>.Instance.Pxs;
var rawScores = HelperMethods.CalculateStdevFromMean(pxsSeries, 42, 42);
var maSeries = HelperMethods.GetMA(pxsSeries, 252);
for (int i = 0; i < maSeries.Length; ++i)
{
var date = maSeries.Dates[i];
var px = pxsSeries.ValueOnExactDate(date);
var ma = maSeries.Data[i];
var score = rawScores.ValueOnExactDate(date);
if (score > 0d && px < ma)
{
rawScores.Data[rawScores.IndexOf(date)] = 0d;
}
else if (score < 0d && px > ma)
{
rawScores.Data[rawScores.IndexOf(date)] = 0d;
}
}
return rawScores;
}
case IndicType.DXY_sc63_contextMA252:
{
var pxsSeries = Singleton<DXYScore_21>.Instance.Pxs;
var rawScores = HelperMethods.CalculateStdevFromMean(pxsSeries, 63, 63);
var maSeries = HelperMethods.GetMA(pxsSeries, 252);
for (int i = 0; i < maSeries.Length; ++i)
{
var date = maSeries.Dates[i];
var px = pxsSeries.ValueOnExactDate(date);
var ma = maSeries.Data[i];
var score = rawScores.ValueOnExactDate(date);
if (score > 0d && px < ma)
{
rawScores.Data[rawScores.IndexOf(date)] = 0d;
}
else if (score < 0d && px > ma)
{
rawScores.Data[rawScores.IndexOf(date)] = 0d;
}
}
return rawScores;
}
//case IndicType.CustomDXY_sc21: ret = Singleton<CurrencyUniverseScore_21>.Instance.Scores; break;
case IndicType.MoveIndex_pr252:
ret = Singleton<MOVEScore_21>.Instance.Pxs.ToPercentileRanked(252);
break;
case IndicType.MoveIndex_pr100:
ret = Singleton<MOVEScore_21>.Instance.Pxs.ToPercentileRanked(100);
break;
case IndicType.VIX_sc: ret = Singleton<VIXScore_21>.Instance.Scores; break;
case IndicType.VIX_actual:
{
DatedDataCollectionGen<double> dd = BbgTalk.Core.Instance.GetHistory(Environment.UserName, DataConstants.DATA_START, "VIX INDEX", "PX_LAST", true);
ret = new DatedDataCollectionGen<double>(dd.Dates, dd.Data);
}
break;
//case IndicType.AllVsDow_actual:
// {
// DatedDataCollectionGen<double> dd = BbgTalk.Core.Instance.GetHistory(Environment.UserName, DataConstants.DATA_START, ".ALLVSDOW INDEX", "PX_LAST", true);
// ret = new DatedDataCollectionGen<double>(dd.Dates, dd.Data);
// }
// break;
case IndicType.DXY_actual:
{
DatedDataCollectionGen<double> dd = BbgTalk.Core.Instance.GetHistory(Environment.UserName, DataConstants.DATA_START, "DXY CURNCY", "PX_LAST", true);
ret = new DatedDataCollectionGen<double>(dd.Dates, dd.Data);
}
break;
case IndicType.VIX_pr20:
{
DatedDataCollectionGen<double> dd = BbgTalk.Core.Instance.GetHistory(Environment.UserName, DataConstants.DATA_START, "VIX INDEX", "PX_LAST", true);
ret = new DatedDataCollectionGen<double>(dd.Dates, dd.Data).ToPercentileRanked(20);
}
break;
case IndicType.VIX_pr252:
{
DatedDataCollectionGen<double> dd = BbgTalk.Core.Instance.GetHistory(Environment.UserName, DataConstants.DATA_START, "VIX INDEX", "PX_LAST", true);
ret = new DatedDataCollectionGen<double>(dd.Dates, dd.Data).ToPercentileRanked(126);
}
break;
//case IndicType.GoldCopper_pr20:
// {
// DatedDataCollectionGen<double> dd = BbgTalk.Core.Instance.GetHistory(Environment.UserName, DataConstants.DATA_START, ".GLDCOP INDEX", "PX_LAST", true);
// ret = new DatedDataCollectionGen<double>(dd.Dates, dd.Data).ToPercentileRanked(20);
// }
// break;
//case IndicType.GoldCopper_pr126:
// {
// DatedDataCollectionGen<double> dd = BbgTalk.Core.Instance.GetHistory(Environment.UserName, DataConstants.DATA_START, ".GLDCOP INDEX", "PX_LAST", true);
// ret = new DatedDataCollectionGen<double>(dd.Dates, dd.Data).ToPercentileRanked(126);
// }
// break;
//case IndicType.GoldCopper_pr252:
// {
// DatedDataCollectionGen<double> dd = BbgTalk.Core.Instance.GetHistory(Environment.UserName, DataConstants.DATA_START, ".GLDCOP INDEX", "PX_LAST", true);
// ret = new DatedDataCollectionGen<double>(dd.Dates, dd.Data).ToPercentileRanked(252);
// }
// break;
//case IndicType.GoldGoldEqu_pr252:
// {
// DatedDataCollectionGen<double> dd = BbgTalk.Core.Instance.GetHistory(Environment.UserName, DataConstants.DATA_START, ".GLDGLDEQ INDEX", "PX_LAST", true);
// ret = new DatedDataCollectionGen<double>(dd.Dates, dd.Data).ToPercentileRanked(252);
// }
// break;
//case IndicType.SPXRUSS_pr20:
// {
// DatedDataCollectionGen<double> dd = BbgTalk.Core.Instance.GetHistory(Environment.UserName, DataConstants.DATA_START, ".SPXRTY INDEX", "PX_LAST", true);
// ret = new DatedDataCollectionGen<double>(dd.Dates, dd.Data).ToPercentileRanked(20);
// }
// break;
//case IndicType.SPXRUSS_pr252:
// {
// DatedDataCollectionGen<double> dd = BbgTalk.Core.Instance.GetHistory(Environment.UserName, DataConstants.DATA_START, ".SPXRTY INDEX", "PX_LAST", true);
// ret = new DatedDataCollectionGen<double>(dd.Dates, dd.Data).ToPercentileRanked(252);
// }
// break;
//case IndicType.TEDSpread_pr:
// {
// DatedDataCollectionGen<double> dd = BbgTalk.Core.Instance.GetHistory(Environment.UserName, DataConstants.DATA_START, ".TED INDEX", "PX_LAST", true);
// ret = new DatedDataCollectionGen<double>(dd.Dates, dd.Data).ToPercentileRanked(252);
// }
// break;
//case IndicType.VIXVDAX_pr252:
// {
// DatedDataCollectionGen<double> dd = BbgTalk.Core.Instance.GetHistory(Environment.UserName, DataConstants.DATA_START, ".VV INDEX", "PX_LAST", true);
// ret = new DatedDataCollectionGen<double>(dd.Dates, dd.Data).ToPercentileRanked(252);
// }
// break;
//case IndicType.CVIXVIX_pr252:
// {
// DatedDataCollectionGen<double> dd = BbgTalk.Core.Instance.GetHistory(Environment.UserName, DataConstants.DATA_START, ".VCV INDEX", "PX_LAST", true);
// ret = new DatedDataCollectionGen<double>(dd.Dates, dd.Data).ToPercentileRanked(252);
// }
// break;
//case IndicType.LIBORoisSpread_pr20:
// {
// DatedDataCollectionGen<double> dd = BbgTalk.Core.Instance.GetHistory(Environment.UserName, DataConstants.DATA_START, ".LOISS INDEX", "PX_LAST", true);
// ret = new DatedDataCollectionGen<double>(dd.Dates, dd.Data).ToPercentileRanked(20);
// }
// break;
//case IndicType.LIBORoisSpread_pr252:
// {
// DatedDataCollectionGen<double> dd = BbgTalk.Core.Instance.GetHistory(Environment.UserName, DataConstants.DATA_START, ".LOISS INDEX", "PX_LAST", true);
// ret = new DatedDataCollectionGen<double>(dd.Dates, dd.Data).ToPercentileRanked(252);
// }
// break;
//case IndicType.IGCS_pr252:
// {
// DatedDataCollectionGen<double> dd = BbgTalk.Core.Instance.GetHistory(Environment.UserName, DataConstants.DATA_START, ".IGCS INDEX", "PX_LAST", true);
// ret = new DatedDataCollectionGen<double>(dd.Dates, dd.Data).ToPercentileRanked(252);
// }
// break;
//case IndicType.FSR_pr20:
// {
// DatedDataCollectionGen<double> dd = BbgTalk.Core.Instance.GetHistory(Environment.UserName, DataConstants.DATA_START, ".FSRE INDEX", "PX_LAST", true);
// ret = new DatedDataCollectionGen<double>(dd.Dates, dd.Data).ToPercentileRanked(20);
// }
// break;
//case IndicType.FSR_pr252:
// {
// DatedDataCollectionGen<double> dd = BbgTalk.Core.Instance.GetHistory(Environment.UserName, DataConstants.DATA_START, ".FSRE INDEX", "PX_LAST", true);
// ret = new DatedDataCollectionGen<double>(dd.Dates, dd.Data).ToPercentileRanked(252);
// }
// break;
//case IndicType.VolSlope_pr252:
// {
// DatedDataCollectionGen<double> dd = BbgTalk.Core.Instance.GetHistory(Environment.UserName, DataConstants.DATA_START, ".VSL INDEX", "PX_LAST", true);
// ret = new DatedDataCollectionGen<double>(dd.Dates, dd.Data).ToPercentileRanked(252);
// }
// break;
case IndicType.AvgCarry_actual:
{
var spots = Singleton<FXSpots>.Instance.GetData(DataConstants.DATA_START, DateTime.Today, true);
var fwds = Singleton<FXForwards1Wk>.Instance.GetData(DataConstants.DATA_START, DateTime.Today, true);
Currency[] ccys = Singleton<FXIDs>.Instance.ToArray();
ConstructGen<double> con = new ConstructGen<double>(ccys.Select(x=>x.Code).ToArray());
for (int d = 0; d < spots.Dates.Count; ++d)
{
DateTime date = spots.Dates[d];
double ccyCarry = 0d;
for (int c = 0; c < ccys.Length; ++c)
{
if (ccys[c].IsValid(date) == false)
continue;
if (ccys[c].Convention == 1)
ccyCarry = ((spots.GetValue(date, c) / fwds.GetValue(date, c)) - 1d) * (252d / 5d);
else
ccyCarry = ((fwds.GetValue(date, c) / spots.GetValue(date, c)) - 1d) * (252d / 5d);
con.SetValue(date, c, ccyCarry);
}
}
ret = con.AvgRows();
for (int i = 1; i < ret.Length; ++i)
{
if (double.IsInfinity(ret.Data[i]))
ret.Data[i] = ret.Data[i - 1];
ret.Data[i] = Math.Max(ret.Data[i], -0.01);
}
}
break;
//case IndicType.sigNumRebals21:
// {
// DateTime[] allDates = Singleton<FXSpots>.Instance.GetData(DataConstants.DATA_START, DateTime.Today, true).Dates;
// double[] rebalInd = new double[allDates.Length];
// for (int i = 0; i < allDates.Length; ++i)
// if (sigWeights_.Dates.Contains(allDates[i]))
// rebalInd[i] = 1d;
// ret = new DatedDataCollectionGen<double>(allDates, rebalInd).ToRollingSum(21);
// }
// break;
//case IndicType.sigTurnover21:
// {
// List<DateTime> allDates = new List<DateTime>(Singleton<FXSpots>.Instance.GetData(DataConstants.DATA_START, DateTime.Today, true).Dates);
// double[] tOver = new double[allDates.Count];
// double[] prevweights = sigWeights_.GetValues(sigWeights_.Dates[0]);
// for (int i = 0; i < sigWeights_.Dates.Count; ++i)
// {
// DateTime date = sigWeights_.Dates[i];
// int index = allDates.IndexOf(date);
// if (index == -1)
// continue;
// double[] todayWts = sigWeights_.GetValues(date);
// double totalTurnover = 0d;
// for (int j = 0; j < todayWts.Length; ++j)
// {
// double diff = todayWts[j] - prevweights[j];
// if (diff == 0d) continue;
// if (prevweights[j] == 0d) continue;
// totalTurnover += (Math.Abs(diff) / Math.Abs(prevweights[j]));
// }
// tOver[index] = totalTurnover;
// }
// ret = new DatedDataCollectionGen<double>(allDates.ToArray(), tOver).ToRollingSum(21);
// }
// break;
//case IndicType.sigReturn21:
// {
// ret = sigDailyReturns_.ToRollingSum(21);
// }
// break;
//case IndicType.sigTOverReturn21:
// {
// ret = GetIndicator(IndicType.sigReturn21, sigWeights_, sigDailyReturns_).MultiplyBy(GetIndicator(IndicType.sigTurnover21, sigWeights_, sigDailyReturns_));
// }
// break;
//case IndicType.sigPnlVsMA100:
// {
// ret = GetDiffVsMA(sigDailyReturns_, 100);
// }
// break;
//case IndicType.sigPnlVsMA50:
// {
// ret = GetDiffVsMA(sigDailyReturns_, 50);
// }
// break;
case IndicType.ccyRankPers21to5:
{
ret = getPersistenceOfCurrencyReturns(42, 5, FXGroup.EM);
}
break;
case IndicType.EmVolAvg21_actual:
{
ret = getRollingAvgVol(FXGroup.EM, 21);
}
break;
case IndicType.G10VolAvg21_actual:
{
ret = getRollingAvgVol(FXGroup.G10, 21);
}
break;
case IndicType.EMVolAvg21_pr126:
{
ret = getRollingAvgVol(FXGroup.EM, 21).ToPercentileRanked(126);
}
break;
//case IndicType.G4SwpSprd_actual:
// {
// ret = Singleton<GXSwapRates>.Instance.G4;
// }
// break;
//case IndicType.G4SwpSprd_pr20:
// {
// ret = Singleton<GXSwapRates>.Instance.G4.ToPercentileRanked(20);
// }
// break;
//case IndicType.G4SwpSprd_pr252:
// {
// ret = Singleton<GXSwapRates>.Instance.G4.ToPercentileRanked(252);
// }
// break;
//case IndicType.G10SwpSprd_actual:
// {
// ret = Singleton<GXSwapRates>.Instance.G10;
// }
// break;
//case IndicType.G10SwpSprd_pr20:
// {
// ret = Singleton<GXSwapRates>.Instance.G10.ToPercentileRanked(20);
// }
// break;
//case IndicType.G10SwpSprd_pr126:
// {
// ret = Singleton<GXSwapRates>.Instance.G10.ToPercentileRanked(126);
// }
// break;
//case IndicType.G10SwpSprd_pr252:
// {
// ret = Singleton<GXSwapRates>.Instance.G10.ToPercentileRanked(252);
// }
// break;
case IndicType.RVOL_sc21:
{
ret = FXStrat.BacktestHelper.getWE(FXStrat.Strat.RVOL).Value.Daily.ToStdevFromMean(21, 21);
}
break;
}
return ret;
}