public async Task Optimize()
{
//Portfolio 1: 5d80d0587d2d4657d8e1fe8f
//Portfolio 2: 5d83dbda7d2d4604505722e5
var portfolio = await _portfolioDataAccess.GetPortfolio("5d83dbda7d2d4604505722e5");
portfolio.Categories = portfolio.Categories.Where(c => !c.Name.Contains("Risk")).ToList();
var symbols = portfolio.AllStocks.Select(p => p.Symbol).ToList();
var getHistory = _alphaClient.GetPortfolioHistory(symbols);
var result = await OptimizeCategory(portfolio);
var portfolioSummary = string.Join("\n", result.AllStocks.Select(s => $"{s.Symbol}: {s.DesiredAmount}%"));
Console.WriteLine(portfolioSummary);
var finalSet = new RunScenarioDataSet
{
InitialInvestment = 10000,
CashInfluxAmount = 150,
CashInfluxCadence = CadenceTypeEnum.Weekly,
Portfolios = new List <Portfolio> {
result
},
History = await getHistory
};
var finalResult = await _rebalanceLogic.Simulate(finalSet);
var simulationResult = finalResult.First();
var percents = simulationResult.Results.Select(r => Math.Round(r.PercentIncrease, 2) * 100).OrderBy(r => r).ToList();
var min = percents[0];
var percentile25 = percents[(int)(.25 * percents.Count)];
var percentile50 = percents[(int)(.50 * percents.Count)];
var percentile75 = percents[(int)(.75 * percents.Count)];
var max = percents.Last();
string percentilesString = $"{min}%, {percentile25}%, {percentile50}%, {percentile75}%, {max}%";
var firstScenario = simulationResult.Results.First();
var averagePercent = Math.Round(percents.Average(), 2);
//var maxPercent = Math.Round(simulationResult.Results.Max(r => r.PercentIncrease), 2);
//var minPercent = Math.Round(simulationResult.Results.Min(r => r.PercentIncrease), 2);
//Console.WriteLine($"Portfolio {result.IndexOf(simulationResult)} experienced growth between {minPercent * 100}% and {maxPercent * 100}% with an average of {averagePercent * 100}% from {firstScenario.StartDate.Date.ToShortDateString()} to {firstScenario.EndDate.Date.ToShortDateString()}");
Console.WriteLine($"Optimal portfolio experienced an average growth of {averagePercent}% from {firstScenario.StartDate.Date.ToShortDateString()} to {firstScenario.EndDate.Date.ToShortDateString()} with the following percentiles: {percentilesString}.");
}
public async Task <List <ScenarioResult> > RunScenario(RunScenarioDataSet dataSet)
{
if (dataSet.CashInfluxCadence != CadenceTypeEnum.Weekly)
{
throw new Exception($"{dataSet.CashInfluxCadence} cadence not yet supported.");
}
ConcurrentQueue <ScenarioResult> results = new ConcurrentQueue <ScenarioResult>();
await Task.WhenAll(dataSet.Portfolios.Select(p => Task.Run(() =>
{
var portfolio = p.Copy();
var symbols = portfolio.AllStocks.Select(a => a.Symbol).ToList();
var currentAllocations = symbols.Select(s => new StockAllocation
{
Symbol = s,
DesiredAmount = 0,
DesiredAmountType = AllocationTypeEnum.StockAmount
}).ToList();
decimal cashOnHand = dataSet.InitialInvestment;
foreach (var period in dataSet.History)
{
var quotes = period.Stocks.Select(s => new Quote
{
Symbol = s.Symbol,
Price = s.PeriodData.AdjustedClose,
QuoteDate = period.ClosingDate
}).ToList();
portfolio.CashOnHand = cashOnHand;
foreach (var allocation in portfolio.AllStocks)
{
var currentAllocation = currentAllocations.Find(s => s.Symbol == allocation.Symbol);
allocation.CurrentShares = currentAllocation.CurrentShares;
}
var rebalanceDataSet = new RebalanceDataSet
{
Portfolio = portfolio,
Quotes = quotes
};
var rebalanceResult = Rebalance(rebalanceDataSet);
cashOnHand = rebalanceResult.RemainingCashOnHand + dataSet.CashInfluxAmount;
foreach (var action in rebalanceResult.Actions)
{
var actualAllocation = currentAllocations.Find(a => a.Symbol == action.Symbol);
if (action.ActionType == RebalanceActionTypeEnum.Buy)
{
actualAllocation.CurrentShares += action.Amount;
}
else
{
actualAllocation.CurrentShares -= action.Amount;
}
}
}
decimal finalPortfolioValue = cashOnHand - dataSet.CashInfluxAmount;
var lastPeriod = dataSet.History.Last();
foreach (var allocation in currentAllocations)
{
finalPortfolioValue += allocation.CurrentShares *lastPeriod.Stocks.Find(s => s.Symbol == allocation.Symbol).PeriodData.AdjustedClose;
}
var totalCashInvested = (dataSet.InitialInvestment + dataSet.CashInfluxAmount * (dataSet.History.Count - 1));
var result = new ScenarioResult
{
PercentIncrease = (finalPortfolioValue / totalCashInvested) - 1,
StartDate = dataSet.History.First().ClosingDate,
EndDate = lastPeriod.ClosingDate,
FinalPortfolioValue = finalPortfolioValue,
TotalCashInvested = totalCashInvested
};
results.Enqueue(result);
})));
return(results.ToList());
}
public async Task <List <SimulationResult> > Simulate(RunScenarioDataSet dataSet)
{
for (int d = 0; d < dataSet.Portfolios.Count; d++)
{
dataSet.Portfolios[d].Id = d.ToString();
}
ConcurrentDictionary <string, ConcurrentQueue <ScenarioResult> > mapping = new ConcurrentDictionary <string, ConcurrentQueue <ScenarioResult> >();
foreach (var portfolio in dataSet.Portfolios)
{
mapping[portfolio.Id] = new ConcurrentQueue <ScenarioResult>();
}
var realScenario = RunScenario(dataSet);
var tasks = new List <Task>();
int stockCount = (int)dataSet.Portfolios.Average(p => p.AllStocks.Count);
//int iterationCount = 16000000 / (dataSet.Portfolios.Count * dataSet.History.Count);
int iterationCount = 5000000 / (int)(Math.Pow(dataSet.Portfolios.Count * 2, 1.1) * (int)Math.Pow(dataSet.History.Count, .5) * (int)Math.Pow(stockCount, .9));
//int iterationCount = 500000 / (int)(Math.Pow(dataSet.Portfolios.Count, .9) * (int)Math.Pow(dataSet.History.Count, .5) * (int)Math.Pow(stockCount, .9));
//int iterationCount = 4000 / (dataSet.Portfolios.Count * dataSet.History.Count);
var start = DateTime.Now;
for (var i = 0; i < iterationCount; i++)
{
tasks.Add(Task.Run(async() =>
{
var revisedHistory = dataSet.History.ShuffleCopy();
var revisedDataSet = new RunScenarioDataSet
{
CashInfluxAmount = dataSet.CashInfluxAmount,
CashInfluxCadence = dataSet.CashInfluxCadence,
History = revisedHistory,
InitialInvestment = dataSet.InitialInvestment,
Portfolios = dataSet.Portfolios.Copy()
};
var nextResults = await RunScenario(revisedDataSet);
foreach (var scenarioResult in nextResults)
{
var index = nextResults.IndexOf(scenarioResult);
var portfolio = dataSet.Portfolios[index];
mapping[portfolio.Id].Enqueue(scenarioResult);
}
}));
}
await Task.WhenAll(tasks);
var results = await realScenario;
foreach (var scenarioResult in results)
{
var index = results.IndexOf(scenarioResult);
var portfolio = dataSet.Portfolios[index].Copy();
mapping[portfolio.Id].Enqueue(scenarioResult);
}
var duration = DateTime.Now.Subtract(start).TotalSeconds;
Console.WriteLine($"{dataSet.Portfolios.Count} portfolios, {dataSet.History.Count} weeks, {stockCount} stocks took {duration}s");
return(mapping.Select(kp => new SimulationResult
{
Portfolio = dataSet.Portfolios.First(p => kp.Key == p.Id),
Results = kp.Value.ToList()
}).ToList());
}
public async Task <T> OptimizeCategoryv2 <T>(T cat, DateTimeOffset?fromDate = null) where T : OptimizableCategory
{
var categorySymbols = cat.AllSymbols;
var categoryPeriods = await _alphaClient.GetPortfolioHistory(categorySymbols);
if (fromDate != null)
{
categoryPeriods = categoryPeriods.Where(p => p.ClosingDate > fromDate).ToList();
}
var getCategories = Task.Run(async() =>
{
if (cat.Categories == null || !cat.Categories.Any())
{
return(cat.Categories);
}
var categories = new List <OptimizableCategory>();
var optimizeCategories = cat.Categories.Select(c => OptimizeCategoryv2(c, fromDate));
foreach (var optimizeCategory in optimizeCategories)
{
var optimized = await optimizeCategory;
if (optimized != null)
{
categories.Add(optimized.Copy());
}
}
return(categories);
});
var optimizedCategories = await getCategories;
if (cat.Stocks == null || !cat.Stocks.Any())
{
cat.Categories = optimizedCategories;
return(cat);
}
var stockCombinations = GetPossibleStockCombinationsv2(cat.AllocatedAmount, cat.Stocks);
var portfolios = stockCombinations.Select((allocations, i) => new Portfolio
{
Id = i.ToString(),
Name = i.ToString(),
CashOnHand = 0,
Stocks = allocations?.Where(a => a.AllocatedAmount > 0).Select(a => a.Create()).ToList(),
Categories = optimizedCategories?.Select(c => c.Create()).ToList()
}).ToList();
RunScenarioDataSet dataSet = new RunScenarioDataSet
{
InitialInvestment = 10000,
CashInfluxAmount = 150,
CashInfluxCadence = CadenceTypeEnum.Weekly,
Portfolios = portfolios,
History = categoryPeriods
};
var result = await _rebalanceLogic.Simulate(dataSet);
var winner = result.Aggregate((r1, r2) => r1.Results.Average(r => r.PercentIncrease) > r2.Results.Average(r => r.PercentIncrease) ? r1 : r2);
cat.Categories = optimizedCategories;
cat.Stocks = winner.Portfolio.Stocks.Select(s => new OptimizableStock {
Symbol = s.Symbol, AllocatedAmount = (int)s.DesiredAmount
}).ToList();
return(cat);
}
public async Task Scenarios()
{
//SHY,TLT,IEF,LQD,AGG
var stocks = new[]
{
new[]
{
new { Symbol = "SOXL", Type = AllocationTypeEnum.Percentage, DesiredAmount = 6m },
new { Symbol = "CIBR", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3m },
new { Symbol = "MJ", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3m },
new { Symbol = "TAN", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3m },
new { Symbol = "ICLN", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3m },
new { Symbol = "XBI", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3m },
new { Symbol = "ARKG", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3m },
new { Symbol = "XLF", Type = AllocationTypeEnum.Percentage, DesiredAmount = 6m },
new { Symbol = "SPY", Type = AllocationTypeEnum.Percentage, DesiredAmount = 14m },
new { Symbol = "QQQ", Type = AllocationTypeEnum.Percentage, DesiredAmount = 14m },
new { Symbol = "DIA", Type = AllocationTypeEnum.Percentage, DesiredAmount = 6m },
new { Symbol = "^RUT", Type = AllocationTypeEnum.Percentage, DesiredAmount = 6m },
new { Symbol = "TLT", Type = AllocationTypeEnum.Percentage, DesiredAmount = 17m },
new { Symbol = "VIXY", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3m }
},
new[]
{
new { Symbol = "SOXL", Type = AllocationTypeEnum.Percentage, DesiredAmount = 6m },
new { Symbol = "CIBR", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3m },
new { Symbol = "MJ", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3m },
new { Symbol = "TAN", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3m },
new { Symbol = "ICLN", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3m },
new { Symbol = "XBI", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3m },
new { Symbol = "ARKG", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3m },
new { Symbol = "XLF", Type = AllocationTypeEnum.Percentage, DesiredAmount = 6m },
new { Symbol = "SPY", Type = AllocationTypeEnum.Percentage, DesiredAmount = 14m },
new { Symbol = "QQQ", Type = AllocationTypeEnum.Percentage, DesiredAmount = 15m },
new { Symbol = "DIA", Type = AllocationTypeEnum.Percentage, DesiredAmount = 12m },
new { Symbol = "TLT", Type = AllocationTypeEnum.Percentage, DesiredAmount = 16m },
new { Symbol = "VIXY", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3m }
},
new[]
{
new { Symbol = "SOXL", Type = AllocationTypeEnum.Percentage, DesiredAmount = 6m },
new { Symbol = "CIBR", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3m },
new { Symbol = "MJ", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3m },
new { Symbol = "TAN", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3m },
new { Symbol = "ICLN", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3m },
new { Symbol = "XBI", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3m },
new { Symbol = "ARKG", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3m },
new { Symbol = "XLF", Type = AllocationTypeEnum.Percentage, DesiredAmount = 6m },
new { Symbol = "SPY", Type = AllocationTypeEnum.Percentage, DesiredAmount = 14m },
new { Symbol = "QQQ", Type = AllocationTypeEnum.Percentage, DesiredAmount = 15m },
new { Symbol = "DIA", Type = AllocationTypeEnum.Percentage, DesiredAmount = 12m },
new { Symbol = "TLT", Type = AllocationTypeEnum.Percentage, DesiredAmount = 16m },
new { Symbol = "VIXY", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3m }
}
}.ToList();
var symbols = stocks.SelectMany(s => s.Select(st => st.Symbol)).Distinct().ToList();
var relevantPeriods = await _alphaClient.GetPortfolioHistory(symbols);
var portfolios = stocks.Select(stockSet => new Portfolio
{
Stocks = stockSet.Select(s => new StockAllocation
{
Symbol = s.Symbol,
DesiredAmountType = s.Type,
DesiredAmount = s.DesiredAmount
}).ToList()
}).ToList();
RunScenarioDataSet dataSet = new RunScenarioDataSet
{
InitialInvestment = 10000,
CashInfluxAmount = 150,
CashInfluxCadence = CadenceTypeEnum.Weekly,
Portfolios = portfolios,
History = relevantPeriods
};
var results = await _rebalanceLogic.RunScenario(dataSet);
//foreach (var action in result.Actions)
//{
// Console.WriteLine($"{action.ActionType} {action.Amount} shares of {action.Symbol}");
//}
foreach (var result in results)
{
Console.WriteLine($"Portfolio {results.IndexOf(result)} grew by {result.PercentIncrease * 100} percent from {result.StartDate.Date.ToShortDateString()} to {result.EndDate.Date.ToShortDateString()}");
}
}
public async Task Simulate()
{
var stocks = new[]
{
new[]
{
new { Symbol = "SOXL", Type = AllocationTypeEnum.Percentage, DesiredAmount = 6 },
new { Symbol = "CIBR", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3 },
new { Symbol = "MJ", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3 },
new { Symbol = "TAN", Type = AllocationTypeEnum.Percentage, DesiredAmount = 5 },
new { Symbol = "ICLN", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3 },
new { Symbol = "XBI", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3 },
new { Symbol = "ARKG", Type = AllocationTypeEnum.Percentage, DesiredAmount = 6 },
new { Symbol = "XLF", Type = AllocationTypeEnum.Percentage, DesiredAmount = 5 },
new { Symbol = "SPY", Type = AllocationTypeEnum.Percentage, DesiredAmount = 14 },
new { Symbol = "QQQ", Type = AllocationTypeEnum.Percentage, DesiredAmount = 13 },
new { Symbol = "DIA", Type = AllocationTypeEnum.Percentage, DesiredAmount = 12 },
new { Symbol = "VIXY", Type = AllocationTypeEnum.Percentage, DesiredAmount = 4 },
new { Symbol = "TLT", Type = AllocationTypeEnum.Percentage, DesiredAmount = 14 }
},
new[]
{
new { Symbol = "SOXL", Type = AllocationTypeEnum.Percentage, DesiredAmount = 6 },
new { Symbol = "CIBR", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3 },
new { Symbol = "MJ", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3 },
new { Symbol = "TAN", Type = AllocationTypeEnum.Percentage, DesiredAmount = 5 },
new { Symbol = "ICLN", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3 },
new { Symbol = "XBI", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3 },
new { Symbol = "ARKG", Type = AllocationTypeEnum.Percentage, DesiredAmount = 6 },
new { Symbol = "XLF", Type = AllocationTypeEnum.Percentage, DesiredAmount = 5 },
new { Symbol = "SPY", Type = AllocationTypeEnum.Percentage, DesiredAmount = 14 },
new { Symbol = "QQQ", Type = AllocationTypeEnum.Percentage, DesiredAmount = 12 },
new { Symbol = "DIA", Type = AllocationTypeEnum.Percentage, DesiredAmount = 13 },
new { Symbol = "VIXY", Type = AllocationTypeEnum.Percentage, DesiredAmount = 4 },
new { Symbol = "TLT", Type = AllocationTypeEnum.Percentage, DesiredAmount = 14 }
},
new[]
{
new { Symbol = "SOXL", Type = AllocationTypeEnum.Percentage, DesiredAmount = 6 },
new { Symbol = "CIBR", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3 },
new { Symbol = "MJ", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3 },
new { Symbol = "TAN", Type = AllocationTypeEnum.Percentage, DesiredAmount = 5 },
new { Symbol = "ICLN", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3 },
new { Symbol = "XBI", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3 },
new { Symbol = "ARKG", Type = AllocationTypeEnum.Percentage, DesiredAmount = 6 },
new { Symbol = "XLF", Type = AllocationTypeEnum.Percentage, DesiredAmount = 5 },
new { Symbol = "SPY", Type = AllocationTypeEnum.Percentage, DesiredAmount = 13 },
new { Symbol = "QQQ", Type = AllocationTypeEnum.Percentage, DesiredAmount = 14 },
new { Symbol = "DIA", Type = AllocationTypeEnum.Percentage, DesiredAmount = 12 },
new { Symbol = "VIXY", Type = AllocationTypeEnum.Percentage, DesiredAmount = 4 },
new { Symbol = "TLT", Type = AllocationTypeEnum.Percentage, DesiredAmount = 14 }
},
new[]
{
new { Symbol = "SOXL", Type = AllocationTypeEnum.Percentage, DesiredAmount = 6 },
new { Symbol = "CIBR", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3 },
new { Symbol = "MJ", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3 },
new { Symbol = "TAN", Type = AllocationTypeEnum.Percentage, DesiredAmount = 5 },
new { Symbol = "ICLN", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3 },
new { Symbol = "XBI", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3 },
new { Symbol = "ARKG", Type = AllocationTypeEnum.Percentage, DesiredAmount = 6 },
new { Symbol = "XLF", Type = AllocationTypeEnum.Percentage, DesiredAmount = 5 },
new { Symbol = "SPY", Type = AllocationTypeEnum.Percentage, DesiredAmount = 13 },
new { Symbol = "QQQ", Type = AllocationTypeEnum.Percentage, DesiredAmount = 12 },
new { Symbol = "DIA", Type = AllocationTypeEnum.Percentage, DesiredAmount = 14 },
new { Symbol = "VIXY", Type = AllocationTypeEnum.Percentage, DesiredAmount = 4 },
new { Symbol = "TLT", Type = AllocationTypeEnum.Percentage, DesiredAmount = 14 }
},
new[]
{
new { Symbol = "SOXL", Type = AllocationTypeEnum.Percentage, DesiredAmount = 6 },
new { Symbol = "CIBR", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3 },
new { Symbol = "MJ", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3 },
new { Symbol = "TAN", Type = AllocationTypeEnum.Percentage, DesiredAmount = 5 },
new { Symbol = "ICLN", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3 },
new { Symbol = "XBI", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3 },
new { Symbol = "ARKG", Type = AllocationTypeEnum.Percentage, DesiredAmount = 6 },
new { Symbol = "XLF", Type = AllocationTypeEnum.Percentage, DesiredAmount = 5 },
new { Symbol = "SPY", Type = AllocationTypeEnum.Percentage, DesiredAmount = 12 },
new { Symbol = "QQQ", Type = AllocationTypeEnum.Percentage, DesiredAmount = 13 },
new { Symbol = "DIA", Type = AllocationTypeEnum.Percentage, DesiredAmount = 14 },
new { Symbol = "VIXY", Type = AllocationTypeEnum.Percentage, DesiredAmount = 4 },
new { Symbol = "TLT", Type = AllocationTypeEnum.Percentage, DesiredAmount = 14 }
},
new[]
{
new { Symbol = "SOXL", Type = AllocationTypeEnum.Percentage, DesiredAmount = 6 },
new { Symbol = "CIBR", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3 },
new { Symbol = "MJ", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3 },
new { Symbol = "TAN", Type = AllocationTypeEnum.Percentage, DesiredAmount = 5 },
new { Symbol = "ICLN", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3 },
new { Symbol = "XBI", Type = AllocationTypeEnum.Percentage, DesiredAmount = 3 },
new { Symbol = "ARKG", Type = AllocationTypeEnum.Percentage, DesiredAmount = 6 },
new { Symbol = "XLF", Type = AllocationTypeEnum.Percentage, DesiredAmount = 5 },
new { Symbol = "SPY", Type = AllocationTypeEnum.Percentage, DesiredAmount = 12 },
new { Symbol = "QQQ", Type = AllocationTypeEnum.Percentage, DesiredAmount = 14 },
new { Symbol = "DIA", Type = AllocationTypeEnum.Percentage, DesiredAmount = 13 },
new { Symbol = "VIXY", Type = AllocationTypeEnum.Percentage, DesiredAmount = 4 },
new { Symbol = "TLT", Type = AllocationTypeEnum.Percentage, DesiredAmount = 14 }
}
}.ToList();
var symbols = stocks.SelectMany(s => s.Select(st => st.Symbol)).Distinct().ToList();
var relevantPeriods = await _alphaClient.GetPortfolioHistory(symbols);
var portfolios = stocks.Select(stockSet => new Portfolio
{
Stocks = stockSet.Select(s => new StockAllocation
{
Symbol = s.Symbol,
DesiredAmountType = s.Type,
DesiredAmount = s.DesiredAmount
}).ToList()
}).ToList();
RunScenarioDataSet dataSet = new RunScenarioDataSet
{
InitialInvestment = 10000,
CashInfluxAmount = 150,
CashInfluxCadence = CadenceTypeEnum.Weekly,
Portfolios = portfolios,
History = relevantPeriods
};
var result = await _rebalanceLogic.Simulate(dataSet);
foreach (var simulationResult in result)
{
var percents = simulationResult.Results.Select(r => Math.Round(r.PercentIncrease, 2) * 100).OrderBy(r => r).ToList();
var min = percents[0];
var percentile25 = percents[(int)(.25 * percents.Count)];
var percentile50 = percents[(int)(.50 * percents.Count)];
var percentile75 = percents[(int)(.75 * percents.Count)];
var max = percents.Last();
string percentilesString = $"{min}%, {percentile25}%, {percentile50}%, {percentile75}%, {max}%";
var firstScenario = simulationResult.Results.First();
var averagePercent = Math.Round(percents.Average(), 2);
//var maxPercent = Math.Round(simulationResult.Results.Max(r => r.PercentIncrease), 2);
//var minPercent = Math.Round(simulationResult.Results.Min(r => r.PercentIncrease), 2);
//Console.WriteLine($"Portfolio {result.IndexOf(simulationResult)} experienced growth between {minPercent * 100}% and {maxPercent * 100}% with an average of {averagePercent * 100}% from {firstScenario.StartDate.Date.ToShortDateString()} to {firstScenario.EndDate.Date.ToShortDateString()}");
Console.WriteLine($"Portfolio {result.IndexOf(simulationResult)} experienced an average growth of {averagePercent}% from {firstScenario.StartDate.Date.ToShortDateString()} to {firstScenario.EndDate.Date.ToShortDateString()} with the following percentiles: {percentilesString}.");
}
}
public async Task <T> OptimizeCategory <T>(T cat) where T : Category
{
var categorySymbols = cat.AllStocks.Select(st => st.Symbol).Distinct().ToList();
var getCategoryPeriods = _alphaClient.GetPortfolioHistory(categorySymbols);
var getCategories = Task.Run(async() =>
{
if (cat.Categories == null || !cat.Categories.Any())
{
return(cat.Categories);
}
var categories = new List <Category>();
var optimizeCategories = cat.Categories.Select(OptimizeCategory);
foreach (var optimizeCategory in optimizeCategories)
{
var optimized = await optimizeCategory;
Clean(optimized);
categories.Add(optimized);
}
return(categories);
});
var optimizedCategories = await getCategories;
if (cat.Stocks == null || !cat.Stocks.Any())
{
cat.Categories = optimizedCategories;
return(cat);
}
var stockPercent = (int)cat.Stocks.Sum(s => s.DesiredAmount);
var stockCombinations = GetPossibleStockCombinations(stockPercent, cat.Stocks.Copy(), 3, 6);
var portfolios = stockCombinations.Select((allocations, i) => new Portfolio
{
Id = i.ToString(),
Name = i.ToString(),
CashOnHand = 0,
Stocks = allocations.Where(a => a.DesiredAmount > 0).Copy(),
Categories = optimizedCategories
}).ToList();
RunScenarioDataSet dataSet = new RunScenarioDataSet
{
InitialInvestment = 10000,
CashInfluxAmount = 150,
CashInfluxCadence = CadenceTypeEnum.Weekly,
Portfolios = portfolios,
History = await getCategoryPeriods
};
var result = await _rebalanceLogic.Simulate(dataSet);
var winner = result.Aggregate((r1, r2) => r1.Results.Average(r => r.PercentIncrease) > r2.Results.Average(r => r.PercentIncrease) ? r1 : r2);
cat.Categories = winner.Portfolio.Categories.Copy();
cat.Stocks = winner.Portfolio.Stocks.Copy();
return(cat);
}
