//****************************************************************************************************
//
//****************************************************************************************************
public void ShowNavModeAssets(ApplicationMain.NAVIGATION_MODE mode)
{
ASSETS assets = ASSETS.COORDS;
if (mode == ApplicationMain.NAVIGATION_MODE.MAP)
{
assets |= ASSETS.MAP_DISPLAY_MODE;
}
if (mode == ApplicationMain.NAVIGATION_MODE.MAP)
{
assets |= ASSETS.MAP_ZOOM;
}
if (m_UI != null)
{
m_UI.SetActive(assets != 0);
if (m_UI.activeInHierarchy)
{
if (m_coords != null)
{
m_coords.SetActive((assets & ASSETS.COORDS) != 0);
}
if (m_mapDisplatMode != null)
{
m_mapDisplatMode.SetActive((assets & ASSETS.MAP_DISPLAY_MODE) != 0);
}
if (m_mapZoom != null)
{
m_mapZoom.SetActive((assets & ASSETS.MAP_ZOOM) != 0);
}
if (m_mapSourceIcon != null)
{
m_mapSourceIcon.SetActive((assets & ASSETS.MAP_DISPLAY_MODE) != 0);
}
if (m_mapSource != null)
{
m_mapSource.SetActive((assets & ASSETS.MAP_DISPLAY_MODE) != 0);
}
if (m_mapButtons != null)
{
m_mapButtons.SetActive((assets & ASSETS.MAP_DISPLAY_MODE) != 0);
}
}
}
}
public static string GetAssetUrl(ASSETS asset)
{
switch (asset)
{
case ASSETS.android_asset:
return(m_szAndroidAssetUrl);
case ASSETS.json:
return(m_szJsonUrl);
case ASSETS.windows_asset:
return(m_szWindowsAssetUrl);
default:
return("error");
}
}
public override IEnumerable <Bar> Run(DateTime?startTime, DateTime?endTime)
{
//========== initialization ==========
StartTime = startTime ?? Globals.START_TIME;
EndTime = endTime ?? Globals.END_TIME;
WarmupStartTime = StartTime - TimeSpan.FromDays(90);
CommissionPerShare = Globals.COMMISSION;
Deposit(Globals.INITIAL_CAPITAL);
var assets = ASSETS
.Select(o => AddDataSource(o))
.ToList();
var tbill = TBILL != null?AddDataSource(TBILL) : null;
var bench = AddDataSource(BENCH);
//========== simulation loop ==========
var weights = new Dictionary <Instrument, double>();
foreach (var s in SimTimes)
{
if (!HasInstruments(assets) || !HasInstrument(bench))
{
continue;
}
if (weights.Count == 0 || IsOptimizationDay)
{
var weightsNew = Optimize(assets.Select(a => a.Instrument), tbill?.Instrument);
weights = Tranching(weightsNew);
}
var assetReturns = Instruments
.ToDictionary(
i => i,
i => i.Close.LogReturn());
var rawPortfolioReturns = IndicatorsBasic.BufferedLambda(
prev => weights.Sum(kv => kv.Value * assetReturns[kv.Key][0]),
0.0);
var volAdj = IndicatorsBasic.BufferedLambda(
prev => VolatilityOverlay(rawPortfolioReturns),
0.0);
if (Positions.Count == 0 || IsTradingDay)
{
foreach (var kv in weights)
{
var i = kv.Key;
var w = volAdj[0] * kv.Value;
Alloc.Allocation[i] = w;
var shares = (int)Math.Floor(w * NetAssetValue[0] / i.Close[0]);
i.Trade(shares - i.Position);
}
}
if (!IsOptimizing && TradingDays > 0)
{
_plotter.AddNavAndBenchmark(this, bench.Instrument);
_plotter.AddStrategyHoldings(this, assets.Select(a => a.Instrument));
if (Alloc.LastUpdate == SimTime[0])
{
_plotter.AddTargetAllocationRow(Alloc);
}
_plotter.SelectChart("Portfolio Volatility", "Date");
_plotter.SetX(SimTime[0]);
_plotter.Plot("Volatility NAV", 100.0 * Math.Sqrt(252.0) * NetAssetValue.Volatility(21)[0]);
_plotter.Plot("Volatility Raw", 100.0 * Math.Sqrt(252.0) * rawPortfolioReturns.StandardDeviation(21)[0]);
_plotter.Plot("Total Exposure", 100.0 * volAdj[0]);
}
var v = 10.0 * NetAssetValue[0] / Globals.INITIAL_CAPITAL;
yield return(Bar.NewOHLC(
Name, SimTime[0],
v, v, v, v, 0));
}
//========== post processing ==========
if (!IsOptimizing)
{
_plotter.AddTargetAllocation(Alloc);
_plotter.AddOrderLog(this);
_plotter.AddPositionLog(this);
_plotter.AddPnLHoldTime(this);
_plotter.AddMfeMae(this);
_plotter.AddParameters(this);
}
FitnessValue = this.CalcFitness();
yield break;
}
