public CapitalRequest(string email, TradeLink.AppKit.Results rs)
: this(email, rs.ToString())
{
SubmittedResults = rs;
usingresults = true;
result_symbols = rs.Symbols;
result = System.Text.RegularExpressions.Regex.Replace(result, "Symbols:.*\n", string.Empty);
Source = CapitalRequestSource.TradeLink;
}
public CapitalRequest(string email, string results)
{
result = results;
requestor_email = email;
id = 0;
requestor_id = string.Empty;
viewers = new string[0];
result_dates = string.Empty;
result_symbols = string.Empty;
result_symdates = string.Empty;
result_params = string.Empty;
date = null;
tag = string.Empty;
result_source = string.Empty;
requesttype = 0;
usingresults = false;
SubmittedResults = new Results();
Type = CapitalRequestType.Request;
}
public void RoundTurnStat()
{
rt = new Results();
// get some trades
Trade[] fills = new TradeImpl[] {
// go long
new TradeImpl(sym,p,s),
// increase bet
new TradeImpl(sym,p+inc,s*2),
// take some profits
new TradeImpl(sym,p+inc*2,s*-1),
// go flat (round turn)
new TradeImpl(sym,p+inc*2,s*-2),
// go short
new TradeImpl(sym,p,s*-2),
// decrease bet
new TradeImpl(sym,p,s),
// exit (round turn)
new TradeImpl(sym,p+inc,s),
// do another entry
new TradeImpl(sym,p,s)
};
// compute results
foreach (Trade fill in fills)
rt.GotFill(fill);
rt = rt.FetchResults();
// check trade count
Assert.AreEqual(fills.Length, rt.Trades, "trade is missing from results");
// check round turn count
Assert.AreEqual(2, rt.RoundTurns, "missing round turns");
// verify trade winners
Assert.AreEqual(2, rt.Winners,"missing trade winner");
// verify round turn winners
Assert.AreEqual(1, rt.RoundWinners, "missing round turn winners");
// verify round turn losers
Assert.AreEqual(1, rt.RoundLosers, "missing round turn loser");
}
public static Results FetchResults(List<TradeResult> results, decimal RiskFreeRate, decimal CommissionPerContractShare, bool persymbol, DebugDelegate d)
{
try
{
List<Trade> fills = new List<Trade>();
foreach (TradeResult tr in results)
fills.Add(tr.Source);
List<decimal> _MIU = new List<decimal>();
List<decimal> _grossreturn = new List<decimal>();
List<decimal> _netreturns = new List<decimal>();
List<decimal> pctrets = new List<decimal>();
List<int> days = new List<int>();
//clear position tracker
PositionTracker pt = new PositionTracker(results.Count);
// setup new results
Results r = new Results();
r.ResultsDateTime = Util.ToTLDateTime();
r.ComPerShare = CommissionPerContractShare;
int consecWinners = 0;
int consecLosers = 0;
List<long> exitscounted = new List<long>();
decimal winpl = 0;
decimal losepl = 0;
Dictionary<string, int> tradecount = new Dictionary<string, int>();
List<decimal> negret = new List<decimal>(results.Count);
decimal curcommiss = 0;
for (int i = 0; i<results.Count; i++)
{
var tr = results[i];
if (tradecount.ContainsKey(tr.Source.symbol))
tradecount[tr.Source.symbol]++;
else
tradecount.Add(tr.Source.symbol, 1);
if (!days.Contains(tr.Source.xdate))
days.Add(tr.Source.xdate);
var pos = pt[tr.Source.symbol];
int usizebefore = pos.UnsignedSize;
decimal pricebefore = pos.AvgPrice;
var islongbefore = pos.isLong;
var miubefore = pos.isFlat ? 0 : pos.UnsignedSize * pos.AvgPrice;
decimal pospl = pt.Adjust(tr.Source);
bool islong = pt[tr.Source.symbol].isLong;
bool isroundturn = (usizebefore != 0) && (pt[tr.Source.symbol].UnsignedSize == 0);
// get comissions
curcommiss += Math.Abs(tr.Source.xsize) * CommissionPerContractShare;
bool isclosing = pt[tr.Source.symbol].UnsignedSize<usizebefore;
// calculate MIU and store on array
var miu = pt[tr.Source.symbol].isFlat ? 0 : pt[tr.Source.symbol].AvgPrice * pt[tr.Source.symbol].UnsignedSize;
if (miu!=0)
_MIU.Add(miu);
// get miu up to this point
var maxmiu = _MIU.Count == 0 ? 0 : Math.Abs(Calc.Max(_MIU.ToArray()));
// if we closed something, update return
decimal grosspl = 0;
if (isclosing)
if (islongbefore)
grosspl = (tr.Source.xprice - pricebefore) * Math.Abs(tr.Source.xsize);
else
grosspl = (pricebefore - tr.Source.xprice) * Math.Abs(tr.Source.xsize);
decimal netpl = grosspl - (Math.Abs(tr.Source.xsize) * CommissionPerContractShare);
// get p&l for portfolio
curcommiss = 0;
// count return
_grossreturn.Add(grosspl);
_netreturns.Add(netpl);
// get pct return for portfolio
decimal pctret = 0;
if (miubefore == 0)
pctret = netpl / miu;
else
pctret = netpl / miubefore;
pctrets.Add(pctret);
// if it is below our zero, count it as negative return
if (pctret < 0)
negret.Add(pctret);
if (isroundturn)
{
r.RoundTurns++;
if (pospl >= 0)
r.RoundWinners++;
else if (pospl < 0)
r.RoundLosers++;
}
if (!r.Symbols.Contains(tr.Source.symbol))
r.Symbols += tr.Source.symbol + ",";
r.Trades++;
r.SharesTraded += Math.Abs(tr.Source.xsize);
r.GrossPL += tr.ClosedPL;
if ((tr.ClosedPL > 0) && !exitscounted.Contains(tr.Source.id))
{
if (tr.Source.side)
{
r.SellWins++;
r.SellPL += tr.ClosedPL;
}
else
{
r.BuyWins++;
r.BuyPL += tr.ClosedPL;
}
if (tr.Source.id != 0)
exitscounted.Add(tr.id);
r.Winners++;
consecWinners++;
consecLosers = 0;
}
else if ((tr.ClosedPL < 0) && !exitscounted.Contains(tr.Source.id))
{
if (tr.Source.side)
{
r.SellLosers++;
r.SellPL += tr.ClosedPL;
}
else
{
r.BuyLosers++;
r.BuyPL += tr.ClosedPL;
}
if (tr.Source.id != 0)
exitscounted.Add(tr.id);
r.Losers++;
consecLosers++;
consecWinners = 0;
}
if (tr.ClosedPL > 0)
winpl += tr.ClosedPL;
else if (tr.ClosedPL < 0)
losepl += tr.ClosedPL;
if (consecWinners > r.ConsecWin) r.ConsecWin = consecWinners;
if (consecLosers > r.ConsecLose) r.ConsecLose = consecLosers;
if ((tr.OpenSize == 0) && (tr.ClosedPL == 0)) r.Flats++;
if (tr.ClosedPL > r.MaxWin) r.MaxWin = tr.ClosedPL;
if (tr.ClosedPL < r.MaxLoss) r.MaxLoss = tr.ClosedPL;
if (tr.OpenPL > r.MaxOpenWin) r.MaxOpenWin = tr.OpenPL;
if (tr.OpenPL < r.MaxOpenLoss) r.MaxOpenLoss = tr.OpenPL;
}
if (r.Trades != 0)
{
r.AvgPerTrade = Math.Round((losepl + winpl) / r.Trades, 2);
r.AvgLoser = r.Losers == 0 ? 0 : Math.Round(losepl / r.Losers, 2);
r.AvgWin = r.Winners == 0 ? 0 : Math.Round(winpl / r.Winners, 2);
r.MoneyInUse = Math.Round(Calc.Max(_MIU.ToArray()), 2);
r.MaxPL = Math.Round(Calc.Max(_grossreturn.ToArray()), 2);
r.MinPL = Math.Round(Calc.Min(_grossreturn.ToArray()), 2);
r.MaxDD = Calc.MaxDDPct(fills);
r.SymbolCount = pt.Count;
r.DaysTraded = days.Count;
r.GrossPerDay = Math.Round(r.GrossPL / days.Count, 2);
r.GrossPerSymbol = Math.Round(r.GrossPL / pt.Count, 2);
if (persymbol)
{
for (int i = 0; i < pt.Count; i++)
{
r.PerSymbolStats.Add(pt[i].symbol + ": " + tradecount[pt[i].symbol] + " for " + pt[i].ClosedPL.ToString("C2"));
}
}
}
else
{
r.MoneyInUse = 0;
r.MaxPL = 0;
r.MinPL = 0;
r.MaxDD = 0;
r.GrossPerDay = 0;
r.GrossPerSymbol = 0;
}
r.PctReturns = pctrets.ToArray();
r.DollarReturns = _netreturns.ToArray();
r.NegPctReturns = negret.ToArray();
try
{
var fret = Calc.Avg(pctrets.ToArray());
if (pctrets.Count == 0)
r.SharpeRatio = 0;
else if (pctrets.Count == 1)
r.SharpeRatio = Math.Round((fret- RiskFreeRate), 3);
else
r.SharpeRatio = Math.Round(Calc.SharpeRatio(fret, Calc.StdDev(pctrets.ToArray()), RiskFreeRate), 3);
}
catch (Exception ex)
{
if (d != null)
d("sharpe error: " + ex.Message);
}
try
{
var fret = Calc.Avg(pctrets.ToArray());
if (pctrets.Count == 0)
r.SortinoRatio = 0;
else if (negret.Count == 1)
r.SortinoRatio = (fret - RiskFreeRate) / negret[0];
else if ((negret.Count == 0))
r.SortinoRatio = fret - RiskFreeRate;
else
r.SortinoRatio = Math.Round(Calc.SortinoRatio(fret, Calc.StdDev(negret.ToArray()), RiskFreeRate ), 3);
}
catch (Exception ex)
{
if (d != null)
d("sortino error: " + ex.Message);
}
return r;
}
catch (Exception ex)
{
if (d != null)
d("error generting report: " + ex.Message + ex.StackTrace);
return new Results();
}
}
public static List<string> GetDecideable()
{
Results r = new Results();
List<string> dr = new List<string>();
foreach (var pi in r.GetType().GetProperties())
{
if (!pi.GetAccessors()[0].IsPublic)
continue;
var pt = pi.PropertyType;
if ((pt == typeof(decimal)) || (pt == typeof(int)))
dr.Add(pi.Name);
}
foreach (var pi in r.GetType().GetFields())
{
if (!pi.IsPublic)
continue;
var pt = pi.FieldType;
if ((pt == typeof(decimal)) || (pt == typeof(int)))
dr.Add(pi.Name);
}
var tmp = dr.ToArray();
Array.Sort(tmp);
return new List<string>(tmp);
}
public static Results FetchResults(List<TradeResult> results, decimal RiskFreeRate, decimal CommissionPerContractShare, bool persymbol, DebugDelegate d)
{
try
{
List<Trade> fills = new List<Trade>();
foreach (TradeResult tr in results)
fills.Add(tr.Source);
List<decimal> _MIU = new List<decimal>();
List<decimal> _return = new List<decimal>();
List<int> days = new List<int>();
//clear position tracker
PositionTracker pt = new PositionTracker(results.Count);
// setup new results
Results r = new Results();
r.ResultsDateTime = Util.ToTLDate() * 1000000 + Util.ToTLTime();
r.ComPerShare = CommissionPerContractShare;
r.RiskFreeRet = string.Format("{0:P2}", RiskFreeRate);
int consecWinners = 0;
int consecLosers = 0;
List<long> exitscounted = new List<long>();
decimal winpl = 0;
decimal losepl = 0;
Dictionary<string, int> tradecount = new Dictionary<string, int>();
List<decimal> negret = new List<decimal>(results.Count);
foreach (TradeResult tr in results)
{
if (tradecount.ContainsKey(tr.Source.symbol))
tradecount[tr.Source.symbol]++;
else
tradecount.Add(tr.Source.symbol, 1);
if (!days.Contains(tr.Source.xdate))
days.Add(tr.Source.xdate);
int usizebefore = pt[tr.Source.symbol].UnsignedSize;
pt.Adjust(tr.Source);
bool isclosing = pt[tr.Source.symbol].UnsignedSize<usizebefore;
// calculate MIU and store on array
decimal miu = Calc.Sum(Calc.MoneyInUse(pt));
if (miu!=0)
_MIU.Add(miu);
// if we closed something, update return
if (isclosing)
{
// get p&l for portfolio
decimal pl = Calc.Sum(Calc.AbsoluteReturn(pt));
// count return
_return.Add(pl);
// get pct return for portfolio
decimal pctret = _MIU[_MIU.Count - 1] == 0 ? 0 : pl / _MIU[_MIU.Count - 1];
// if it is below our zero, count it as negative return
if (pctret < 0)
negret.Add(pl);
}
if (!r.Symbols.Contains(tr.Source.symbol))
r.Symbols += tr.Source.symbol + ",";
r.Trades++;
r.SharesTraded += Math.Abs(tr.Source.xsize);
r.GrossPL += tr.ClosedPL;
if ((tr.ClosedPL > 0) && !exitscounted.Contains(tr.Source.id))
{
if (tr.Source.side)
{
r.SellWins++;
r.SellPL += tr.ClosedPL;
}
else
{
r.BuyWins++;
r.BuyPL += tr.ClosedPL;
}
if (tr.Source.id != 0)
exitscounted.Add(tr.id);
r.Winners++;
consecWinners++;
consecLosers = 0;
}
else if ((tr.ClosedPL < 0) && !exitscounted.Contains(tr.Source.id))
{
if (tr.Source.side)
{
r.SellLosers++;
r.SellPL += tr.ClosedPL;
}
else
{
r.BuyLosers++;
r.BuyPL += tr.ClosedPL;
}
if (tr.Source.id != 0)
exitscounted.Add(tr.id);
r.Losers++;
consecLosers++;
consecWinners = 0;
}
if (tr.ClosedPL > 0)
winpl += tr.ClosedPL;
else if (tr.ClosedPL < 0)
losepl += tr.ClosedPL;
if (consecWinners > r.ConsecWin) r.ConsecWin = consecWinners;
if (consecLosers > r.ConsecLose) r.ConsecLose = consecLosers;
if ((tr.OpenSize == 0) && (tr.ClosedPL == 0)) r.Flats++;
if (tr.ClosedPL > r.MaxWin) r.MaxWin = tr.ClosedPL;
if (tr.ClosedPL < r.MaxLoss) r.MaxLoss = tr.ClosedPL;
if (tr.OpenPL > r.MaxOpenWin) r.MaxOpenWin = tr.OpenPL;
if (tr.OpenPL < r.MaxOpenLoss) r.MaxOpenLoss = tr.OpenPL;
}
if (r.Trades != 0)
{
r.AvgPerTrade = Math.Round((losepl + winpl) / r.Trades, 2);
r.AvgLoser = r.Losers == 0 ? 0 : Math.Round(losepl / r.Losers, 2);
r.AvgWin = r.Winners == 0 ? 0 : Math.Round(winpl / r.Winners, 2);
r.MoneyInUse = Math.Round(Calc.Max(_MIU.ToArray()), 2);
r.MaxPL = Math.Round(Calc.Max(_return.ToArray()), 2);
r.MinPL = Math.Round(Calc.Min(_return.ToArray()), 2);
r.MaxDD = string.Format("{0:P1}", Calc.MaxDDPct(fills));
r.SymbolCount = pt.Count;
r.DaysTraded = days.Count;
r.GrossPerDay = Math.Round(r.GrossPL / days.Count, 2);
r.GrossPerSymbol = Math.Round(r.GrossPL / pt.Count, 2);
if (persymbol)
{
for (int i = 0; i < pt.Count; i++)
{
r.PerSymbolStats.Add(pt[i].Symbol + ": " + tradecount[pt[i].Symbol] + " for " + pt[i].ClosedPL.ToString("C2"));
}
}
}
else
{
r.MoneyInUse = 0;
r.MaxPL = 0;
r.MinPL = 0;
r.MaxDD = "0";
r.GrossPerDay = 0;
r.GrossPerSymbol = 0;
}
try
{
r.SharpeRatio = _return.Count < 2 ? 0 : Math.Round(Calc.SharpeRatio(_return[_return.Count - 1], Calc.StdDev(_return.ToArray()), (RiskFreeRate*r.MoneyInUse)), 3);
}
catch (Exception ex)
{
if (d != null)
d("sharp error: " + ex.Message);
}
try
{
if (_return.Count == 0)
r.SortinoRatio = 0;
else if (negret.Count == 1)
r.SortinoRatio = 0;
else if ((negret.Count == 0) && (_return[_return.Count - 1] == 0))
r.SortinoRatio = 0;
else if ((negret.Count == 0) && (_return[_return.Count - 1] > 0))
r.SortinoRatio = decimal.MaxValue;
else if ((negret.Count == 0) && (_return[_return.Count - 1] < 0))
r.SortinoRatio = decimal.MinValue;
else
r.SortinoRatio = Math.Round(Calc.SortinoRatio(_return[_return.Count - 1], Calc.StdDev(negret.ToArray()), (RiskFreeRate * r.MoneyInUse)), 3);
}
catch (Exception ex)
{
if (d != null)
d("sortino error: " + ex.Message);
}
return r;
}
catch (Exception ex)
{
if (d != null)
d("error generting report: " + ex.Message + ex.StackTrace);
return new Results();
}
}
public static bool ResultsSubmittable(Results rs)
{
bool ok = (rs.GrossPL - (rs.ComPerShare * rs.Trades) > 0) && (rs.Trades > 1) && (rs.DaysTraded + rs.SymbolCount > 2);
return ok;
}
void DisplayResults(Results r)
{
CurrentResults = r;
dt.BeginLoadData();
dt.Clear();
Type t = r.GetType();
FieldInfo[] fis = t.GetFields();
foreach (FieldInfo fi in fis)
{
string format = null;
if (fi.GetType() == typeof(Decimal)) format = "N2";
dt.Rows.Add(fi.Name, (format != null) ? string.Format(format, fi.GetValue(r)) : fi.GetValue(r).ToString());
}
PropertyInfo[] pis = t.GetProperties();
foreach (PropertyInfo pi in pis)
{
string format = null;
if (pi.GetType() == typeof(Decimal)) format = "N2";
dt.Rows.Add(pi.Name, (format != null) ? string.Format(format, pi.GetValue(r, null)) : pi.GetValue(r, null).ToString());
}
foreach (string ps in r.PerSymbolStats)
{
string[] rs= ps.Split(':');
if (rs.Length != 2) continue;
dt.Rows.Add(rs[0], rs[1]);
}
dt.EndLoadData();
refreshgrid();
}
public static Results FetchResults(List <TradeResult> results, decimal RiskFreeRate, decimal CommissionPerContractShare, bool persymbol, DebugDelegate d)
{
try
{
List <Trade> fills = new List <Trade>();
foreach (TradeResult tr in results)
{
fills.Add(tr.Source);
}
List <decimal> _MIU = new List <decimal>();
List <decimal> _return = new List <decimal>();
List <int> days = new List <int>();
//clear position tracker
PositionTracker pt = new PositionTracker(results.Count);
// setup new results
Results r = new Results();
r.ResultsDateTime = Util.ToTLDateTime();
r.ComPerShare = CommissionPerContractShare;
r.RiskFreeRet = string.Format("{0:P2}", RiskFreeRate);
int consecWinners = 0;
int consecLosers = 0;
List <long> exitscounted = new List <long>();
decimal winpl = 0;
decimal losepl = 0;
Dictionary <string, int> tradecount = new Dictionary <string, int>();
List <decimal> negret = new List <decimal>(results.Count);
foreach (TradeResult tr in results)
{
if (tradecount.ContainsKey(tr.Source.symbol))
{
tradecount[tr.Source.symbol]++;
}
else
{
tradecount.Add(tr.Source.symbol, 1);
}
if (!days.Contains(tr.Source.xdate))
{
days.Add(tr.Source.xdate);
}
int usizebefore = pt[tr.Source.symbol].UnsignedSize;
decimal pospl = pt.Adjust(tr.Source);
bool isroundturn = (usizebefore != 0) && (pt[tr.Source.symbol].UnsignedSize == 0);
bool isclosing = pt[tr.Source.symbol].UnsignedSize < usizebefore;
// calculate MIU and store on array
decimal miu = Calc.Sum(Calc.MoneyInUse(pt));
if (miu != 0)
{
_MIU.Add(miu);
}
// if we closed something, update return
if (isclosing)
{
// get p&l for portfolio
decimal pl = Calc.Sum(Calc.AbsoluteReturn(pt));
// count return
_return.Add(pl);
// get pct return for portfolio
decimal pctret = _MIU[_MIU.Count - 1] == 0 ? 0 : pl / _MIU[_MIU.Count - 1];
// if it is below our zero, count it as negative return
if (pctret < 0)
{
negret.Add(pl);
}
}
if (isroundturn)
{
r.RoundTurns++;
if (pospl >= 0)
{
r.RoundWinners++;
}
else if (pospl < 0)
{
r.RoundLosers++;
}
}
if (!r.Symbols.Contains(tr.Source.symbol))
{
r.Symbols += tr.Source.symbol + ",";
}
r.Trades++;
r.SharesTraded += Math.Abs(tr.Source.xsize);
r.GrossPL += tr.ClosedPL;
if ((tr.ClosedPL > 0) && !exitscounted.Contains(tr.Source.id))
{
if (tr.Source.side)
{
r.SellWins++;
r.SellPL += tr.ClosedPL;
}
else
{
r.BuyWins++;
r.BuyPL += tr.ClosedPL;
}
if (tr.Source.id != 0)
{
exitscounted.Add(tr.id);
}
r.Winners++;
consecWinners++;
consecLosers = 0;
}
else if ((tr.ClosedPL < 0) && !exitscounted.Contains(tr.Source.id))
{
if (tr.Source.side)
{
r.SellLosers++;
r.SellPL += tr.ClosedPL;
}
else
{
r.BuyLosers++;
r.BuyPL += tr.ClosedPL;
}
if (tr.Source.id != 0)
{
exitscounted.Add(tr.id);
}
r.Losers++;
consecLosers++;
consecWinners = 0;
}
if (tr.ClosedPL > 0)
{
winpl += tr.ClosedPL;
}
else if (tr.ClosedPL < 0)
{
losepl += tr.ClosedPL;
}
if (consecWinners > r.ConsecWin)
{
r.ConsecWin = consecWinners;
}
if (consecLosers > r.ConsecLose)
{
r.ConsecLose = consecLosers;
}
if ((tr.OpenSize == 0) && (tr.ClosedPL == 0))
{
r.Flats++;
}
if (tr.ClosedPL > r.MaxWin)
{
r.MaxWin = tr.ClosedPL;
}
if (tr.ClosedPL < r.MaxLoss)
{
r.MaxLoss = tr.ClosedPL;
}
if (tr.OpenPL > r.MaxOpenWin)
{
r.MaxOpenWin = tr.OpenPL;
}
if (tr.OpenPL < r.MaxOpenLoss)
{
r.MaxOpenLoss = tr.OpenPL;
}
}
if (r.Trades != 0)
{
r.AvgPerTrade = Math.Round((losepl + winpl) / r.Trades, 2);
r.AvgLoser = r.Losers == 0 ? 0 : Math.Round(losepl / r.Losers, 2);
r.AvgWin = r.Winners == 0 ? 0 : Math.Round(winpl / r.Winners, 2);
r.MoneyInUse = Math.Round(Calc.Max(_MIU.ToArray()), 2);
r.MaxPL = Math.Round(Calc.Max(_return.ToArray()), 2);
r.MinPL = Math.Round(Calc.Min(_return.ToArray()), 2);
r.MaxDD = string.Format("{0:P2}", Calc.MaxDDPct(fills));
r.SymbolCount = pt.Count;
r.DaysTraded = days.Count;
r.GrossPerDay = Math.Round(r.GrossPL / days.Count, 2);
r.GrossPerSymbol = Math.Round(r.GrossPL / pt.Count, 2);
if (persymbol)
{
for (int i = 0; i < pt.Count; i++)
{
r.PerSymbolStats.Add(pt[i].Symbol + ": " + tradecount[pt[i].Symbol] + " for " + pt[i].ClosedPL.ToString("C2"));
}
}
}
else
{
r.MoneyInUse = 0;
r.MaxPL = 0;
r.MinPL = 0;
r.MaxDD = "0";
r.GrossPerDay = 0;
r.GrossPerSymbol = 0;
}
try
{
r.SharpeRatio = _return.Count < 2 ? 0 : Math.Round(Calc.SharpeRatio(_return[_return.Count - 1], Calc.StdDev(_return.ToArray()), (RiskFreeRate * r.MoneyInUse)), 3);
}
catch (Exception ex)
{
if (d != null)
{
d("sharpe error: " + ex.Message);
}
}
try
{
if (_return.Count == 0)
{
r.SortinoRatio = 0;
}
else if (negret.Count == 1)
{
r.SortinoRatio = 0;
}
else if ((negret.Count == 0) && (_return[_return.Count - 1] == 0))
{
r.SortinoRatio = 0;
}
else if ((negret.Count == 0) && (_return[_return.Count - 1] > 0))
{
r.SortinoRatio = decimal.MaxValue;
}
else if ((negret.Count == 0) && (_return[_return.Count - 1] < 0))
{
r.SortinoRatio = decimal.MinValue;
}
else
{
r.SortinoRatio = Math.Round(Calc.SortinoRatio(_return[_return.Count - 1], Calc.StdDev(negret.ToArray()), (RiskFreeRate * r.MoneyInUse)), 3);
}
}
catch (Exception ex)
{
if (d != null)
{
d("sortino error: " + ex.Message);
}
}
return(r);
}
catch (Exception ex)
{
if (d != null)
{
d("error generting report: " + ex.Message + ex.StackTrace);
}
return(new Results());
}
}
public static bool ResultsSubmittable(Results rs)
{
bool ok = (rs.GrossPL - (rs.ComPerShare * rs.Trades) > 0) && (rs.Trades > 1) && (rs.DaysTraded + rs.SymbolCount > 2);
return(ok);
}
