public static void CommitBacktest(Strat strat_,
KeyValuePair<ConstructGen<double>, ReturnsEval.DataSeriesEvaluator> kvp_)
{
Logger.Debug(string.Format("Commiting {0} backtest to disk", strat_), typeof (BacktestHelper));
kvp_.WriteToDisk(getPath(strat_));
}
private void btnTrade_Click(object sender, EventArgs e)
{
try
{
TraderArgs args = buildArgs();
if (args == null) return;
ReturnsEval.DataSeriesEvaluator eval = null;
ConstructGen<double> wts = null;
Trader trader = null;
if (m_model.ProductType == ProductType.FX)
trader = Singleton<TraderFX>.Instance;
else if (m_model.ProductType == ProductType.Commods)
trader = Singleton<TraderGen>.Instance;
else if (m_model.ProductType == ProductType.Dynamic || m_model.ProductType==ProductType.EquityFutures || m_model.ProductType==ProductType.FIFutures)
trader = Singleton<TraderGen>.Instance;
//else if (m_model.ProductType == ProductType.ComSpread)
// trader = Singleton<TraderComSpread>.Instance;
//else if (m_model.ProductType == ProductType.FXCross)
// trader = Singleton<TraderFXCross>.Instance;
//else
// throw new Exception("Trader not set in btnTrade_Click");
wts = trader.GetWeights(args);
bool writeToDisk = string.Compare(tbSavePath.Text.Trim(), string.Empty) != 0;
if ((writeToDisk || cbShowPnl.Checked || cbShowWtsPnlDetail.Checked || cbShowInWeightsComparer.Checked ) && args.RebalFrequency != RebalFreq.JustNow)
eval = trader.DoPnl(args, wts);
if (writeToDisk)
{
KeyValuePair<ConstructGen<double>, ReturnsEval.DataSeriesEvaluator> kvp = new KeyValuePair<ConstructGen<double>, ReturnsEval.DataSeriesEvaluator>(
wts,
eval);
kvp.Key.ColumnHeadings = args.Products.Select(x => x.ToString()).ToArray<string>();
kvp.Value.Name = (tbSavePath.Text.Contains(@"\")) ? tbSavePath.Text.Trim().Split('\\').Last<string>() : tbSavePath.Text.Trim();
kvp.WriteToDisk(@"c:\temp\", string.Format("{0}.we", tbSavePath.Text.Trim()));
}
if (cbShowPnl.Checked && eval != null)
{
if (cbClearCache.Checked)
{
Singleton<SI.Data.CentralEvents>.Instance.FireClearCached();
System.GC.WaitForPendingFinalizers();
System.GC.Collect();
System.GC.WaitForFullGCComplete();
}
eval.Display(eval.Name);
}
//if (cbShowInWeightsComparer.Checked)
//{
// QC.Common.WtsAnalysis.WtsAnalysisCompareControl wtsComp = new QC.Common.WtsAnalysis.WtsAnalysisCompareControl();
// wtsComp.Create(new QC.Common.WtsAnalysis.WtsSeriesAnalyzer(eval.Name, FXStrat.Backtests.expandToFullUniverse(args, wts).ToGenContruct(), eval.GetInnerDailyAsConstruct(),
// delegate(DateTime date_)
// {
// DateTime covDate = date_;
// FX.Data.CovarianceItem cov;
// while ((cov = Singleton<FX.Data.FXCovarianceSource>.Instance[covDate, false]) == null)
// covDate = MyCalendar.PrevWeekDay(covDate);
// return cov;
// })
// );
// wtsComp.DisplayInShowForm(string.Format("wts / perf analysis of result ({0})", eval.Name));
//}
if (cbShowWeights.Checked)
{
wts.DisplayInGrid("Weights");
//if (trader is TraderFXCross)
// ConstructDisplay.Show(TraderFXCross.getInTermsOfUSD(args, wts), Singleton<FX.Data.FXIDs>.Instance.Headings, "In terms of usd");
//SaveWeightsFX(args, wts, "MA3T_BT");
}
if (cbShowOrigScores.Checked)
{
var list = new List<KeyValuePair<string, Control>>();
foreach (var product in args.Products)
{
foreach (var indic in args.WtIndicators)
{
string key = string.Format("{0}_{1}", product, indic);
var chart = indic.ChartSignal(product, false);
list.Add(new KeyValuePair<string, Control>(key, chart));
}
}
list.DisplayInShowForm("indicators");
}
//if (cbShowNetExposure.Checked)
// DisplayExposure.DoIt(wts, args);
////if (cbGenFXIntraDayConfig.Checked)
//// FXIntraDayConfigGen.Generator.Gen(args.Products.ToArray(), wts.GetValues(wts.Dates[0]));
//if (cbShowTradingFreq.Checked)
//{
// //DisplayTradingFrequency.DoItPerWeek(wts.Dates);
// DisplayTradingFrequency.DoIt(wts.ToGenContruct());
//}
//if (cbShowWtsPnlDetail.Checked && eval != null)
//{
// PnlPosControl ppc = new PnlPosControl();
// List<Data.DatedDataCollection2> pxs = new List<FX.Data.DatedDataCollection2>();
// foreach (Technicals.ProductBase pb in args.Products)
// pxs.Add(pb.GetHistData().Close_Series);
// ppc.Create(wts, eval, pxs);
// FX.Controls.ShowForm.Show(ppc, "Wts Pnl Detail");
//}
//if (cbShowDistScores.Checked)
//{
// FX.Controls.ConstructKernelDistributionChart ckdc = new FX.Controls.ConstructKernelDistributionChart();
// ckdc.Create(wts.ToGenContruct(),args.Products.ToArray(),m_distScoresParams.Rows,m_distScoresParams.Cols,30);
// FX.Controls.ShowForm.Show(ckdc,"Distribution of scores");
//}
//if (cbShowScoresOnZones.Checked)
//{
// for (int i = 0; i < args.Products.Count; ++i)
// {
// Technicals.ProductBase product = args.Products[i];
// QC.Common.CycleAttribPnl.FundWtsAllocationStudyChart chart = new QC.Common.CycleAttribPnl.FundWtsAllocationStudyChart();
// chart.Create(
// product.GetHistData().Close_Series.ToGen(),
// new Data.DatedDataCollectionGen<double>(wts.Dates.ToArray(), wts.GetColumnValues(i)),
// wts.Dates[0],
// wts.Dates[wts.Dates.Count - 1],
// 1D);
// FX.Controls.ShowForm.Show(chart, string.Format("Scores for '{0}'", product.ToString()));
// }
//}
//// show number of zero scores?
//if (cbShowNumZeroScores.Checked)
//{
// ConstructGen<double> d = new ConstructGen<double>(args.Products.Count);
// double[] zeroCount = new double[wts.Dates.Count];
// for (int i = 0; i < args.Products.Count; ++i)
// {
// Data.DatedDataCollection2 w = args.WtIndicators[0].GenerateWeightSeries(args.Products[i],args.WtsMinDate);
// for (int j = 0; j < wts.Dates.Count; ++j)
// if (w.ValueOnDate(wts.Dates[j], args.DayOffset) == 0D)
// zeroCount[j] += 1D;
// }
// FX.Controls.SimpleWtsColumnChart ccc = new FX.Controls.SimpleWtsColumnChart();
// string[] headings = wts.Dates.Select<DateTime, string>(x => x.ToString("dd-MMM-yyyy")).ToArray<string>();
// ccc.Create(headings, zeroCount);
// FX.Controls.ShowForm.Show(ccc, "Zero Score Count");
// //AverageZeroWeightsPerMonthChart azwpmc = new AverageZeroWeightsPerMonthChart();
// //azwpmc.CreateMonthly(wts,args.Products.ToArray());
// //FX.Controls.ShowForm.Show(azwpmc, "Average zero weights per month");
//}
}
finally
{
btnTrade.Enabled = true;
//cmbFxFixType.Enabled = false;
}
}