public static ConstructGen<double> getFilters(TraderArgs args_, List<DateTime> rebalDates_, IDictionary<ProductBase,List<DatedDataCollectionGen<double>>> resultsFilter_)
{
ConstructGen<double> ret = new ConstructGen<double>(args_.Products.Count);
if (resultsFilter_==null || resultsFilter_.Count == 0)
{
ret.InitialiseToValue(rebalDates_, 1d);
}
else
{
for (int j = 0; j < args_.Products.Count; ++j)
{
DatedDataCollectionGen<double> dataForProductAndFilter = resultsFilter_[args_.Products[j]][0];
foreach (DateTime date in rebalDates_)
{
ret.SetValue(
date,
j,
dataForProductAndFilter.ValueOnDate(date, args_.DayOffset));
}
}
}
// use this opportunity to count out those products that are not valid on this date
for (int j = 0; j < args_.Products.Count; ++j)
{
foreach (DateTime date in rebalDates_)
{
if (args_.Products[j].IsValid(date) == false)
ret.SetValue(date, j, double.NaN);
}
}
// ConstructDisplay.Show(ret, args_.Products.ToArray(), "Filter series");
return ret;
}
private ConstructGen<double>[] getWeights(TraderArgs args_, List<DateTime> rebalDates_, ConstructGen<double> filter_)
{
if (m_resultsWts.Count == 0)
return null;
ConstructGen<double>[] allWts = new ConstructGen<double>[args_.WtIndicators.Count];
// go through all wtIndicators - will normally only be one
for (int i = 0; i < args_.WtIndicators.Count; ++i)
{
ConstructGen<double> all_c,rebal_c;
int length = args_.Products.Count;
all_c = new ConstructGen<double>(length);
rebal_c = new ConstructGen<double>(length);
for (int j = 0; j < args_.Products.Count; ++j)
{
// extract the signal series for this wtIndicator and product
DatedDataCollectionGen<double> dataForProductAndIndicator = m_resultsWts[args_.Products[j]][i];
// put the data in the contruct that represents the signal at every point
for (int y = 0; y < dataForProductAndIndicator.Length; ++y)
all_c.SetValue(
dataForProductAndIndicator.Dates[y],
j,
dataForProductAndIndicator.Data[y]);
// put the data in the construct that represents the signal just on rebal days
// NOTE: is offset by 1 day so not in sample
foreach (DateTime d in rebalDates_)
{
//if (d == new DateTime(2010, 3, 19))
// System.Diagnostics.Debugger.Break();
if (args_.Products[j].IsValid(d))
rebal_c.SetValue(d, j, dataForProductAndIndicator.ValueOnDate(d, args_.DayOffset));
}
}
// c is now a representation of the signal for all products on all days
// do we want the product of the weights to determine which products can have positions on different days?
if (args_.UseWeightsForFilter)
{
foreach (DateTime d in rebalDates_)
{
for (int ii = 0; ii < rebal_c.ArrayLength; ++ii)
if (double.IsNaN(rebal_c.GetValue(d, ii)))
filter_.SetValue(d, ii, double.NaN);
}
}
// multiply it by the filter to get rid of non-eligible days
rebal_c = multiply(rebal_c, filter_,false);
//ConstructDisplay.Show(rebal_c, args_.Products.ToArray(), "raw signal * filter");
// now need to scale the weights based on the weighting scheme supplied on the signal indicator
// create a construct which will be the multiple
foreach (SI.Research.Backtest.Builder.Model.WtScheme transform in args_.WtIndicators[i].TransformList)
{
ConstructGen<double> wts = new ConstructGen<double>(length);
wts.InitialiseToValue(rebalDates_,1d);
transform.DoWeights(rebal_c, all_c, wts, args_.Products,filter_);
wts = multiply(wts, filter_, true);
rebal_c = wts;
//ConstructDisplay.Show(rebal_c, args_.Products.ToArray(), "weights");
}
//ConstructDisplay.Show(rebal_c, new object[] { "wts" }, "transformed weights");
allWts[i] = rebal_c;
}
return allWts;
}
public override void DoWeights(ConstructGen<double> signalResults_, ConstructGen<double> fullSignalResults_, ConstructGen<double> wts_, List<ProductBase> products_, ConstructGen<double> filters_)
{
List<SortHelpClass> list = new List<SortHelpClass>();
// go through each rebal date
foreach (DateTime date in wts_.Dates)
{
list.Clear();
// pull out values and put into the list to sort
for (int i = 0; i < wts_.ArrayLength; ++i)
{
double val = signalResults_.GetValue(date, i);
double filt = filters_.GetValue(date, i);
// has been filtered out already? (indicated by NaN)
if (double.IsNaN(filt) == false)
{
// filter out certain values?
if (m_filterOutValues && (val >= m_lowerFilterOut && val <= m_higherFilterOut))
continue;
list.Add(new SortHelpClass(val, i, m_abs, m_smallestTopWeight,ReverseNegativeOrder));
}
}
// sort the list
QuickSort.Sort<SortHelpClass>(list);
// initialise the values to zero
wts_.InitialiseToValue(date, 0.0);
// determine how many to select (can't selected more than number in list)
int topCount = (m_topCount > list.Count) ? list.Count : m_topCount;
int bottomCount = (m_bottomCount > list.Count) ? list.Count : m_bottomCount;
if (topCount == 0) topCount = Convert.ToInt32(TopPercentage * Convert.ToDouble(list.Count));
if (bottomCount == 0) bottomCount = Convert.ToInt32(BottomPercentage * Convert.ToDouble(list.Count));
// ensure that, if doing top and bottom, there isn't overlap over the list
if (m_doTop && m_doBottom && (topCount + bottomCount) > list.Count)
{
if (PickInLineWithSign)
{
int posCount = 0;
int negCount = 0;
foreach (SortHelpClass shc in list)
{
if (shc.Value > 0)
++posCount;
else
++negCount;
}
topCount = posCount;
bottomCount = negCount;
}
else
{
if (list.Count % 2 == 0)
topCount = bottomCount = (list.Count / 2);
else
topCount = bottomCount = ((list.Count - 1) / 2);
}
}
if (m_doTop)
{
for (int i = 0; i < topCount; ++i)
{
wts_.SetValue(date, list[i].ArrayIndex, getWeight(list[i].Value, i + 1, topCount, true));
}
}
if (m_doBottom)
{
for (int i = 0; i < bottomCount; ++i)
{
int index = list.Count - 1 - i;
wts_.SetValue(date, list[index].ArrayIndex, getWeight(list[index].Value, i + 1, bottomCount, false));
}
}
}
}