public static List<HoldingPeriod> GenerateHoldingPeriods(ConstructGen<double> historicalWeights_, double? trimDistributionsBy_=null)
{
var ret = new List<HoldingPeriod>();
for (int colIndex = 0; colIndex < historicalWeights_.ArrayLength; ++colIndex)
{
var colVals = historicalWeights_.GetColumnValuesAsDDC(colIndex);
if (colVals.Data.SumAbs() == 0d)
continue;
Dictionary<WtState, List<double>> dict = new Dictionary<WtState, List<double>>();
WtState currentState = WtState.None;
DateTime stateStart = DateTime.MinValue;
for (int i = 0; i < colVals.Length; ++i)
{
var wt = colVals.Data[i];
WtState newState = (wt > 0d) ? WtState.Long : (wt < 0d) ? WtState.Short : WtState.Flat;
if (currentState == WtState.None)
{
stateStart = colVals.Dates[i];
currentState = newState;
}
else if (newState == currentState)
{
// do nothing
}
else // we have a new state
{
var ts = colVals.Dates[i] - stateStart;
if (!dict.ContainsKey(currentState)) dict[currentState] = new List<double>();
dict[currentState].Add(MyCalendar.NumBusinessDaysBetween(stateStart,colVals.Dates[i]));
currentState = newState;
stateStart = colVals.Dates[i];
}
}
// commit the last values
{
}
var hp = new HoldingPeriod()
{
Ccy=historicalWeights_.ColumnHeadings[colIndex],
State=currentState,
Held=MyCalendar.NumBusinessDaysBetween(stateStart,DateTime.Today),
Wt=colVals.Data.Last()
};
foreach (var key in dict.Keys)
{
if (trimDistributionsBy_.HasValue && trimDistributionsBy_.Value >0d && trimDistributionsBy_ <1d)
{
var series = dict[key].OrderBy(x => x);
int numberInTail = Convert.ToInt32(series.Count() * trimDistributionsBy_.Value);
//var subset = series.TakeWhile<double>(
}
hp.SetValues(key, dict[key]);
}
ret.Add(hp);
}
return ret;
}
