static List <DailyData> DoBacktestBasic(IList <List <DailyData> > p_allQuotes, string p_bullishTicker, string p_bearishTicker, string p_strategyName, string p_rebalancingFrequency, ref string p_noteToUserCheckData, ref string p_htmlNoteFromStrategy)
{
var bullishQoutes = p_allQuotes[0]; // URE, XIV, FAS, ZIV
var bearishQoutes = p_allQuotes[1]; // SRS, VXX, FAZ, VXZ
List <DailyData> pv = StrategiesCommon.DetermineBacktestPeriodCheckDataCorrectness(bullishQoutes, bearishQoutes, ref p_noteToUserCheckData);
if (String.Equals(p_strategyName, "LETFDiscrepancy2", StringComparison.InvariantCultureIgnoreCase))
{
DoBacktestInTheTimeInterval_RebalanceToNeutral(bullishQoutes, bearishQoutes, p_rebalancingFrequency, pv, ref p_htmlNoteFromStrategy);
}
else if (String.Equals(p_strategyName, "LETFDiscrepancy3", StringComparison.InvariantCultureIgnoreCase))
{
DoBacktestInTheTimeInterval_AddToTheWinningSideWithLeverage(bullishQoutes, bearishQoutes, p_rebalancingFrequency, pv, ref p_htmlNoteFromStrategy);
}
else
{
}
return(pv);
}
public static async Task <string> GenerateQuickTesterResponse(GeneralStrategyParameters p_generalParams, string p_strategyName, string p_params)
{
Stopwatch stopWatchTotalResponse = Stopwatch.StartNew();
if (p_strategyName != "LETFDiscrepancy1" && p_strategyName != "LETFDiscrepancy2" && p_strategyName != "LETFDiscrepancy3")
{
return(null);
}
string strategyParams = p_params;
int ind = -1;
string etfPairs = null;
if (strategyParams.StartsWith("ETFPairs=", StringComparison.InvariantCultureIgnoreCase))
{
strategyParams = strategyParams.Substring("ETFPairs=".Length);
ind = strategyParams.IndexOf('&');
if (ind == -1)
{
return(@"{ ""errorMessage"": ""Error: uriQuery.IndexOf('&') 2. Uri: " + strategyParams + @""" }");
}
etfPairs = strategyParams.Substring(0, ind);
strategyParams = strategyParams.Substring(ind + 1);
}
string rebalancingFrequency = null;
if (strategyParams.StartsWith("rebalancingFrequency=", StringComparison.InvariantCultureIgnoreCase))
{
strategyParams = strategyParams.Substring("rebalancingFrequency=".Length);
ind = strategyParams.IndexOf('&');
if (ind == -1)
{
ind = strategyParams.Length;
}
rebalancingFrequency = strategyParams.Substring(0, ind);
if (ind < strategyParams.Length)
{
strategyParams = strategyParams.Substring(ind + 1);
}
else
{
strategyParams = "";
}
}
ind = etfPairs.IndexOf('-');
if (ind == -1)
{
return(@"{ ""errorMessage"": ""Error: cannot find tickers in : " + etfPairs + @""" }");
}
string bullishTicker = etfPairs.Substring(0, ind);
string bearishTicker = etfPairs.Substring(ind + 1);
// startDates
// URE: Feb 2, 2007
// SRS: Feb 1, 2007
// XIV: Nov 30, 2010
// VXX: Jan 30, 2009
// FAS: Nov 19, 2008
// FAZ: Nov 19, 2008
Stopwatch stopWatch = Stopwatch.StartNew();
var getAllQuotesTask = StrategiesCommon.GetHistoricalAndRealtimesQuotesAsync(p_generalParams, (new string[] { bullishTicker, bearishTicker }).ToList());
// Control returns here before GetHistoricalQuotesAsync() returns. // ... Prompt the user.
Console.WriteLine("Please wait patiently while I do SQL and realtime price queries.");
var getAllQuotesData = await getAllQuotesTask;
stopWatch.Stop();
string htmlNoteFromStrategy = "", noteToUserCheckData = "", noteToUserBacktest = "", debugMessage = "", errorMessage = "";
List <DailyData> pv = null;
if (String.Equals(p_strategyName, "LETFDiscrepancy1", StringComparison.InvariantCultureIgnoreCase))
{
pv = DoBacktestExample(getAllQuotesData.Item1, bullishTicker, bearishTicker, rebalancingFrequency);
}
else
{
pv = DoBacktestBasic(getAllQuotesData.Item1, bullishTicker, bearishTicker, p_strategyName, rebalancingFrequency, ref noteToUserCheckData, ref htmlNoteFromStrategy);
}
stopWatchTotalResponse.Stop();
StrategyResult strategyResult = StrategiesCommon.CreateStrategyResultFromPV(pv,
htmlNoteFromStrategy + ". " + noteToUserCheckData + "***" + noteToUserBacktest, errorMessage,
debugMessage + String.Format("SQL query time: {0:000}ms", getAllQuotesData.Item2.TotalMilliseconds) + String.Format(", RT query time: {0:000}ms", getAllQuotesData.Item3.TotalMilliseconds) + String.Format(", All query time: {0:000}ms", stopWatch.Elapsed.TotalMilliseconds) + String.Format(", TotalC#Response: {0:000}ms", stopWatchTotalResponse.Elapsed.TotalMilliseconds));
string jsonReturn = JsonConvert.SerializeObject(strategyResult);
return(jsonReturn);
//{
// "Name": "Apple",
// "Expiry": "2008-12-28T00:00:00",
// "Sizes": [
// "Small"
// ]
//}
//returnStr = "[" + String.Join(Environment.NewLine,
// (await Tools.GetHistoricalQuotesAsync(new[] {
// new QuoteRequest { Ticker = "VXX", nQuotes = 2, StartDate = new DateTime(2011,1,1), NonAdjusted = true },
// new QuoteRequest { Ticker = "SPY", nQuotes = 3 }
// }, HQCommon.AssetType.Stock))
// .Select(row => String.Join(",", row))) + "]";
//returnStr = returnStr.Replace(" 00:00:00", "");
//returnStr = returnStr.Replace("\n", ",");
//return @"[{""Symbol"":""VXX""},{""Symbol"":""^VIX"",""LastUtc"":""2015-01-08T19:25:48"",""Last"":17.45,""UtcTimeType"":""LastChangedTime""}]";
}
public static async Task<string> GenerateQuickTesterResponse(GeneralStrategyParameters p_generalParams, string p_strategyName, string p_params)
{
Stopwatch stopWatchTotalResponse = Stopwatch.StartNew();
if (p_strategyName != "VXX_SPY_Controversial")
return null;
string strategyParams = p_params;
int ind = -1;
string spyMinPctMoveStr = null;
if (strategyParams.StartsWith("SpyMinPctMove=", StringComparison.InvariantCultureIgnoreCase))
{
strategyParams = strategyParams.Substring("SpyMinPctMove=".Length);
ind = strategyParams.IndexOf('&');
if (ind == -1)
{
ind = strategyParams.Length;
}
spyMinPctMoveStr = strategyParams.Substring(0, ind);
if (ind < strategyParams.Length)
strategyParams = strategyParams.Substring(ind + 1);
else
strategyParams = "";
}
string vxxMinPctMoveStr = null;
if (strategyParams.StartsWith("VxxMinPctMove=", StringComparison.InvariantCultureIgnoreCase))
{
strategyParams = strategyParams.Substring("VxxMinPctMove=".Length);
ind = strategyParams.IndexOf('&');
if (ind == -1)
{
ind = strategyParams.Length;
}
vxxMinPctMoveStr = strategyParams.Substring(0, ind);
if (ind < strategyParams.Length)
strategyParams = strategyParams.Substring(ind + 1);
else
strategyParams = "";
}
string longOrShortTrade = null;
if (strategyParams.StartsWith("LongOrShortTrade=", StringComparison.InvariantCultureIgnoreCase))
{
strategyParams = strategyParams.Substring("LongOrShortTrade=".Length);
ind = strategyParams.IndexOf('&');
if (ind == -1)
{
ind = strategyParams.Length;
}
longOrShortTrade = strategyParams.Substring(0, ind);
if (ind < strategyParams.Length)
strategyParams = strategyParams.Substring(ind + 1);
else
strategyParams = "";
}
double spyMinPctMove;
bool isParseSuccess = Double.TryParse(spyMinPctMoveStr, out spyMinPctMove);
if (!isParseSuccess)
{
throw new Exception("Error: spyMinPctMoveStr as " + spyMinPctMoveStr + " cannot be converted to number.");
}
double vxxMinPctMove;
isParseSuccess = Double.TryParse(vxxMinPctMoveStr, out vxxMinPctMove);
if (!isParseSuccess)
{
throw new Exception("Error: vxxMinPctMoveStr as " + vxxMinPctMoveStr + " cannot be converted to number.");
}
Stopwatch stopWatch = Stopwatch.StartNew();
var getAllQuotesTask = StrategiesCommon.GetHistoricalAndRealtimesQuotesAsync(p_generalParams, (new string[] { "VXX", "SPY" }).ToList());
// Control returns here before GetHistoricalQuotesAsync() returns. // ... Prompt the user.
Console.WriteLine("Please wait patiently while I do SQL and realtime price queries.");
var getAllQuotesData = await getAllQuotesTask;
stopWatch.Stop();
var vxxQoutes = getAllQuotesData.Item1[0];
var spyQoutes = getAllQuotesData.Item1[1];
string noteToUserCheckData = "", noteToUserBacktest = "", debugMessage = "", errorMessage = "";
List<DailyData> pv = StrategiesCommon.DetermineBacktestPeriodCheckDataCorrectness(vxxQoutes, spyQoutes, ref noteToUserCheckData);
if (String.Equals(p_strategyName, "VXX_SPY_Controversial", StringComparison.InvariantCultureIgnoreCase))
{
DoBacktestInTheTimeInterval_VXX_SPY_Controversial(vxxQoutes, spyQoutes, spyMinPctMove, vxxMinPctMove, longOrShortTrade, pv, ref noteToUserBacktest);
}
//else if (String.Equals(p_strategyName, "LETFDiscrepancy3", StringComparison.InvariantCultureIgnoreCase))
//{
// //DoBacktestInTheTimeInterval_AddToTheWinningSideWithLeverage(bullishQoutes, bearishQoutes, p_rebalancingFrequency, pv, ref noteToUserBacktest);
//}
else
{
}
stopWatchTotalResponse.Stop();
StrategyResult strategyResult = StrategiesCommon.CreateStrategyResultFromPV(pv,
noteToUserCheckData + "***" + noteToUserBacktest, errorMessage,
debugMessage + String.Format("SQL query time: {0:000}ms", getAllQuotesData.Item2.TotalMilliseconds) + String.Format(", RT query time: {0:000}ms", getAllQuotesData.Item3.TotalMilliseconds) + String.Format(", All query time: {0:000}ms", stopWatch.Elapsed.TotalMilliseconds) + String.Format(", TotalC#Response: {0:000}ms", stopWatchTotalResponse.Elapsed.TotalMilliseconds));
string jsonReturn = JsonConvert.SerializeObject(strategyResult);
return jsonReturn;
}
