public void Purge(DateTime t0, DateTime t1, int nTI)
{
bool[] delflag = new bool[titles.Length];
for (int i = 0; i < delflag.Length; i++)
{
delflag[i] = false;
}
for (int i = 0; i < titles.Length; i++)
{
if (titles[i].Tstart > t0 || titles[i].Tend < t1)
{
delflag[i] = true;
}
if (!titles[i].Cut(t0, t1, nTI))
{
delflag[i] = true;
}
double total = titles[i].Close[titles[i].Close.Length - 1] / titles[i].Close[0];
if (total > 5)
{
delflag[i] = true;
}
if (total < 0.2)
{
delflag[i] = true;
}
total = titles[i].High[titles[i].High.Length - 1] / titles[i].High[0];
if (total > 5)
{
delflag[i] = true;
}
if (total < 0.2)
{
delflag[i] = true;
}
total = titles[i].Low[titles[i].Low.Length - 1] / titles[i].Low[0];
if (total > 5)
{
delflag[i] = true;
}
if (total < 0.2)
{
delflag[i] = true;
}
double[] dperc = TI.calculate_dperc(titles[i].Close, 1);
for (int k = 1; k < dperc.Length; k++)
{
if (Math.Abs(dperc[k]) > 0.5)
{
delflag[i] = true;
break;
}
}
dperc = TI.calculate_dperc(titles[i].High, 1);
for (int k = 1; k < dperc.Length; k++)
{
if (Math.Abs(dperc[k]) > 0.5)
{
delflag[i] = true;
break;
}
}
dperc = TI.calculate_dperc(titles[i].Low, 1);
for (int k = 1; k < dperc.Length; k++)
{
if (Math.Abs(dperc[k]) > 0.5)
{
delflag[i] = true;
break;
}
}
double gamma = 6;
for (int k = 1; k < 10; k++)
{
dperc = TI.calculate_dperc(titles[i].Close, k);
for (int z = 1; z < dperc.Length; z++)
{
if (Math.Abs(dperc[z]) > gamma * TI.SimulationSigmaFTSEraw(k))
{
delflag[i] = true;
break;
}
}
}
}
// remove elements and stuff
int newlength = 0;
for (int i = 0; i < titles.Length; i++)
{
if (!delflag[i])
{
newlength++;
}
}
Title[] newtitles = new Title[newlength];
// MessageBox.Show("Total Purged(): " + newtitles.Length + " over: " + titles.Length);
int index = 0;
for (int i = 0; i < titles.Length; i++)
{
if (!delflag[i])
{
titles[i].SetDay0(t0);
newtitles[index++] = titles[i];
} // else System.Console.WriteLine("purged: " + i);
}
titles = newtitles;
}
public static void init()
{
TI.init();
}
private static bool evaluate_subexpr(String expression, DBTrade db)
{
String lefttitle = "";
String leftfield = "";
String righttitle = "";
String rightfield = "";
String command = "";
double[] parms = new double[10];
NumberFormatInfo ni = (NumberFormatInfo)CultureInfo.InstalledUICulture.NumberFormat.Clone();
ni.NumberDecimalSeparator = ".";
expression = expression.Trim();
if (expression.Contains('='))
{
leftfield = expression.Substring(0, expression.IndexOf('=')).Trim();
// per farlo bene, x.(__) x è un nome di titolo?
if (leftfield.Contains('.'))
{
lefttitle = leftfield.Substring(0, leftfield.IndexOf('.'));
leftfield = leftfield.Substring(leftfield.IndexOf('.') + 1);
}
expression = expression.Substring(expression.IndexOf('=') + 1).Trim();
}
// lefttitle e leftfield apposto.
expression = expression.Replace(")", "");
if (!expression.Contains('('))
{
return(false);
}
command = expression.Substring(0, expression.IndexOf('('));
expression = expression.Substring(expression.IndexOf('(') + 1);
String[] otherparms = expression.Trim().Split(',');
if (!otherparms[0].Contains('.'))
{
return(false);
}
righttitle = otherparms[0].Substring(0, otherparms[0].IndexOf('.'));
rightfield = otherparms[0].Substring(otherparms[0].IndexOf('.') + 1);
for (int j = 1; j < otherparms.Length; j++)
{
try { parms[j - 1] = Double.Parse(otherparms[j], ni); }
catch (FormatException) { return(false); }
}
if (lefttitle.Equals("")) // if not specified left title
{
lefttitle = righttitle;
}
// now left* right*, command, parms are ok
// MessageBox.Show(lefttitle + "." + leftfield + " = "+command+"(" + righttitle + "." + rightfield+")");
DBTitle srcTitle = db.getByName(righttitle);
DBTitle dstTitle = db.getByName(lefttitle);
if (srcTitle == null || dstTitle == null)
{
return(false);
}
double[] srcSerie = srcTitle.GetSerieByName(rightfield);
if (srcSerie == null)
{
return(false);
}
double[] result = null;
if (command.Equals("const"))
{
result = TI.calculate_const(srcSerie.Length, parms[0]);
}
else if (command.Equals("mm"))
{
result = TI.calculate_mm(srcSerie, (int)parms[0]);
}
else if (command.Equals("emm"))
{
result = TI.calculate_emm(srcSerie, (int)parms[0], parms[1]);
}
else if (command.Equals("d") || command.Equals("d-"))
{
result = TI.calculate_d(srcSerie, (int)parms[0]);
}
else if (command.Equals("d%") || command.Equals("d-%") || command.Equals("dperc") || command.Equals("d-perc"))
{
result = TI.calculate_dperc(srcSerie, (int)parms[0]);
}
else if (command.Equals("d2") || command.Equals("d2-"))
{
result = TI.calculate_d2(srcSerie, (int)parms[0]);
}
else if (command.Equals("sigma"))
{
result = TI.calculate_sigma(srcSerie, (int)parms[0]);
}
else if (command.Equals("esigma"))
{
result = TI.calculate_esigma(srcSerie, (int)parms[0], parms[1]);
}
else if (command.Equals("BBhigh"))
{
result = TI.calculate_BBhigh(srcSerie, (int)parms[0], parms[1]);
}
else if (command.Equals("BBlow"))
{
result = TI.calculate_BBlow(srcSerie, (int)parms[0], parms[1]);
}
else if (command.Equals("BBWp"))
{
result = TI.calculate_BBWp(srcSerie, (int)parms[0], parms[1]);
}
else if (command.Equals("BBBp"))
{
result = TI.calculate_BBBp(srcSerie, (int)parms[0], parms[1]);
}
else if (command.Equals("range"))
{
result = TI.calculate_range(srcSerie, (int)parms[0]);
}
else if (command.Equals("stochK"))
{
result = TI.calculate_stochasticK(srcSerie, (int)parms[0], parms[1]);
}
else if (command.Equals("RSIC"))
{
result = TI.calculate_RSIC(srcSerie, (int)parms[0]);
}
else if (command.Equals("RSIV"))
{
result = TI.calculate_RSIV(srcSerie, (int)parms[0]);
}
else if (command.Equals("rand"))
{
result = TI.calculate_rand(srcSerie, parms[0], parms[1]);
}
if (result != null)
{
dstTitle.AddSerie(leftfield, result);
return(true);
}
else
{
return(false);
}
}
private void TradeSystemActionsRun_Click(object sender, EventArgs e)
{
TradeSystemActionsTextbox.Clear();
sim_results = null;
sim_done = 0;
if (!first_run)
{
first_run = false;
db.Clear();
db.ImportCSVDir(CSV_Dirname);
}
int RunN;
try { RunN = Int32.Parse(textBox1.Text); }
catch (Exception) { RunN = 1; }
try { InitLambda = Int32.Parse(initlambdaTextbox.Text); }
catch (Exception) { InitLambda = 1; }
try { MaxLambda = Int32.Parse(maxlambdaTextbox.Text); }
catch (Exception) { MaxLambda = InitLambda + 1; }
if (MaxLambda <= InitLambda)
{
MaxLambda = InitLambda + 1;
}
sim_done = 0;
textBox1.ReadOnly = true;
sim_results = new RunResults[RunN * MaxLambda];
maxlambdaTextbox.ReadOnly = true;
initlambdaTextbox.ReadOnly = true;
if (tradesystem_tasklist != null)
{
MessageBox.Show("Treads still running");
return;
}
tradesystem_tasklist = new LinkedList <TradeSystem>();
for (int k = InitLambda; k < MaxLambda; k++)
{
for (int i = 0; i < RunN; i++)
{
TradeSystem tss = null;
if (TradesystemTypeComboBox.SelectedItem.ToString().Equals("Random"))
{
if ((k == InitLambda) && (i == 0))
{
InitDB();
}
tss = new TradeSystemRandom(db, this);
}
else if (TradesystemTypeComboBox.SelectedItem.ToString().Equals("Analytic"))
{
if ((k == InitLambda) && (i == 0))
{
InitAnalytic();
}
tss = new TradeSystemAnalytic(db, this);
}
else if (TradesystemTypeComboBox.SelectedItem.ToString().Equals("Delu"))
{
if ((k == InitLambda) && (i == 0))
{
InitDelu();
}
tss = new TradeSystemDelu(db, this);
System.Threading.Thread.Sleep(1);
}
else if (TradesystemTypeComboBox.SelectedItem.ToString().Equals("Silly"))
{
if ((k == InitLambda) && (i == 0))
{
InitDB();
}
tss = new TradeSystemSilly(db, this);
}
else if (TradesystemTypeComboBox.SelectedItem.ToString().Equals("Neural"))
{
double[] prova = new double[100];
for (int zz = 0; zz < prova.Length; zz++)
{
prova[zz] = zz;
}
double[] prova1 = TI.calculate_mm(prova, 30);
double[] prova11 = TI.calculate_mm_base(prova, 30, 1);
double[] prova2 = TI.calculate_mm_base_new(prova, 30, 1);
double[] prova3 = TI.calculate_emm(prova, 30, 0.5);
double[] prova33 = TI.calculate_mm_base(prova, 30, 2);
double[] prova4 = TI.calculate_mm_base_new(prova, 30, 2);
System.Console.WriteLine(prova1[99] + " " + prova11[99] + " " + prova2[99]);
System.Console.WriteLine(prova3[99] + " " + prova33[99] + " " + prova4[99]);
/*
* StreamWriter SW = null;
* try { SW = new StreamWriter("test"); }
* catch (Exception) { SW = null; }
*
*
* for(int z=0;z<vals.Length;z++)
* SW.WriteLine(vals[z] + " " + oldmean[z] + " " + newmean[z]);
*/
if ((k == InitLambda) && (i == 0))
{
InitDB();
}
tss = new TradeSystemRandom(db, this);
}
else
{
continue;
}
// try { tss.InitialCapital = Double.Parse(textBoxInitialCapital.Text); }
// catch (Exception) { tss.InitialCapital = 0; }
try { tss.MaxInvestment = Double.Parse(textBox2.Text); }
catch (Exception) { tss.MaxInvestment = 0; }
tss.AdvancedStatistics = checkBox2.Checked;
tss.ScatterPlot = checkBox1.Checked;
tss.BeginLambda = InitLambda;
tss.Lambda = k;
tradesystem_tasklist.AddLast(tss);
}
}
time_start = DateTime.Now;
int thread_num = Math.Min(max_threads, tradesystem_tasklist.Count);
for (int i = 0; i < thread_num; i++)
{
tradesystem_tasklist.ElementAt(i).run();
}
}
