internal static void Go()
{
DatedDataCollectionGen<double> stratReturns = null;
{
var pathToReturns = @"e:\stratReturnsSeries.csv";
var dates = new List<DateTime>();
var data = new List<double>();
foreach (var v in CsvFile.Read<LineItem>(pathToReturns))
{
dates.Add(v.Date);
data.Add(v.Return);
}
stratReturns = new DatedDataCollectionGen<double>(dates.ToArray(), data.ToArray());
}
var stratEval = new ReturnsEval.DataSeriesEvaluator(stratReturns.Dates, stratReturns.Data, "strat", ReturnsEval.DataSeriesType.Returns);
var spx = BbgTalk.HistoryRequester.GetHistory(stratReturns.Dates[0], "SPX INDEX", "PX_CLOSE_1D", false);
{
for (int i = 1; i < spx.Length; ++i)
{
spx.Data[i - 1] = spx.Data[i];
}
}
var spxR = spx.ToReturns();
var spxEval = new ReturnsEval.DataSeriesEvaluator(spxR.Dates, spxR.Data, "SPX", ReturnsEval.DataSeriesType.Returns);
spxEval.Evaluate();
spxEval.Display("spx");
double[] perfDuringDrawdown = new double[stratReturns.Length];
var listOfRecords = new List<DrawdownItem>();
foreach (var dd in spxEval.Daily.DrawDowns)
{
if (Math.Abs(dd.ValueDown) > 0.03)
{
double perf = 0d;
for (int i = 0; i < stratReturns.Length; ++i)
{
if (stratReturns.Dates[i] >= dd.StartDate && stratReturns.Dates[i] <= dd.LowDate)
{
perfDuringDrawdown[i] = stratReturns.Data[i];
perf += stratReturns.Data[i];
}
}
if (perf != 0d)
{
stratEval.Evaluate(dd.StartDate, dd.LowDate);
listOfRecords.Add(new DrawdownItem()
{
DateStart = dd.StartDate,
DateBottomOut = dd.LowDate,
ChangeInSPX = -dd.ValueDown,
StrategyPerformance = perf,
TopStratDrawdown = stratEval.Daily.DrawDowns.Count()==0 ? 0d : -stratEval.Daily.DrawDowns.OrderByDescending(x=>x.ValueDown).First().ValueDown
});
}
}
}
{
var origStratCumulative = stratReturns.ToCumulative();
var perDuringDrawdownCumulative = new DatedDataCollectionGen<double>(stratReturns.Dates, perfDuringDrawdown).ToCumulative();
var spxCumulative = spxEval.Daily.ToCumulative();
var linechart = new SI.Controls.LineChartDataDisplay();
linechart.AddSeries(origStratCumulative.Dates, origStratCumulative.Data, "Original strategy");
linechart.AddSeries(perDuringDrawdownCumulative.Dates, perDuringDrawdownCumulative.Data, "Strat during SPX drawdown");
linechart.AddSeries(spxCumulative.Dates, spxCumulative.Data, "SPX cumulative return", 80, "####0.0");
{
var legend = linechart.AddCompositeLegendForAllLayers();
legend.Bounds = new System.Drawing.Rectangle(30, 0, 20, 30);
legend.BoundsMeasureType = Infragistics.UltraChart.Shared.Styles.MeasureType.Percentage;
legend.PE.ElementType = PaintElementType.Gradient;
legend.PE.FillGradientStyle = GradientStyle.ForwardDiagonal;
legend.PE.Fill = Color.DarkGray;
legend.PE.FillStopColor = Color.DarkGray;
legend.Border.CornerRadius = 10;
legend.Border.Color = Color.White;
legend.Border.Thickness = 1;
}
linechart.DisplayInShowForm("Strat analysis during >3% SPX drawdowns");
}
var g = listOfRecords.DisplayInGrid("Records");
g.SetHeaderClickSort();
}
