public TradeResult CalculateReturn()
{
var result = new TradeResult();
double cash = 1;
double shares = 0;
var buyDate = DateTime.MinValue;
var start = _stock.DateToIndex(_fromDate, true);
var end = _stock.DateToIndex(_toDate, false);
_logWriter.Write(string.Format("Start Price = {0:0.00} on {1}", _stock.Rates[start].OpenAdj,
_stock.Rates[start].Date.ToString("d")));
for (var i = start+1; i < end-1; i++)
{
var yesterday = _stock.Rates[i - 1];
var today = _stock.Rates[i];
var tomorrow = _stock.Rates[i + 1];
//buy
// ReSharper disable once CompareOfFloatsByEqualityOperator
if (shares == 0 & (((yesterday.CloseAdj - today.CloseAdj) / yesterday.CloseAdj) * 100 >= _fallThreshold))
{
shares = cash/tomorrow.OpenAdj;
result.NumberOfTrades++;
buyDate = tomorrow.Date;
_logWriter.Write(
string.Format("Buying on {0}, at price {1:0.00}, because priced dropped by {2} [({3}) -> ({4})]",
tomorrow.Date.ToString("d"),
tomorrow.OpenAdj,
((yesterday.CloseAdj - today.CloseAdj) / yesterday.CloseAdj).ToString("P"),
yesterday.CloseAdj,
today.CloseAdj));
continue;
}
//sell
if (shares > 0 & (((today.CloseAdj - yesterday.CloseAdj) / yesterday.CloseAdj) * 100 >= _raiseThreshold))
{
var cashBefore = cash;
cash = shares * tomorrow.OpenAdj;
result.NumberOfTrades++;
result.DaysIn += (int) (tomorrow.Date - buyDate).TotalDays;
_logWriter.Write(
string.Format(
"Selling on {0}, at price {1:0.00} (that's {2}), because priced increased by {3} [({4}) -> ({5})]",
tomorrow.Date.ToString("d"),
tomorrow.OpenAdj,
((cash - cashBefore)/cashBefore).ToString("P"),
((today.CloseAdj - yesterday.CloseAdj) / yesterday.CloseAdj).ToString("P"),
yesterday.CloseAdj,
today.CloseAdj));
shares = 0;
}
}
//sell if reached the end while holding stocks
if (shares > 0)
{
var cashBefore = cash;
cash = shares*_stock.Rates[end].OpenAdj;
result.NumberOfTrades++;
result.DaysIn += (int) (_stock.Rates[end].Date - buyDate).TotalDays;
_logWriter.Write(string.Format("Selling on {0}, at price {1:0.00} (that's {2}), because reached last day",
_stock.Rates[end].Date.ToString("d"), _stock.Rates[end].OpenAdj,
((cash - cashBefore)/cashBefore).ToString("P")));
}
_logWriter.Write(string.Format("End Price = {0:0.00} on {1}", _stock.Rates[end].CloseAdj,
_stock.Rates[end].Date.ToString("d")));
result.Return = cash - 1;
result.TotalDays = (int)(_stock.Rates[end].Date - _stock.Rates[start].Date).TotalDays;
result.StockReturn = ((_stock.Rates[end].CloseAdj - _stock.Rates[start].CloseAdj) / _stock.Rates[start].CloseAdj);
return result;
}
public TradeResult CalculateReturn()
{
var result = new TradeResult();
double cash = 1;
double shares = 0;
var buyDate = DateTime.MinValue;
var start = _stock.DateToIndex(_fromDate, true);
var end = _stock.DateToIndex(_toDate, false);
_logWriter.Write(string.Format("Start Price = {0:0.00} on {1}", _stock.Rates[start].OpenAdj,
_stock.Rates[start].Date.ToString("d")));
for (var i = start + 1; i < end - 1; i++)
{
var yesterday = _stock.Rates[i - 1];
var today = _stock.Rates[i];
var tomorrow = _stock.Rates[i + 1];
//buy
// ReSharper disable once CompareOfFloatsByEqualityOperator
if (shares == 0 & (((yesterday.CloseAdj - today.CloseAdj) / yesterday.CloseAdj) * 100 >= _fallThreshold))
{
shares = cash / tomorrow.OpenAdj;
result.NumberOfTrades++;
buyDate = tomorrow.Date;
_logWriter.Write(
string.Format("Buying on {0}, at price {1:0.00}, because priced dropped by {2} [({3}) -> ({4})]",
tomorrow.Date.ToString("d"),
tomorrow.OpenAdj,
((yesterday.CloseAdj - today.CloseAdj) / yesterday.CloseAdj).ToString("P"),
yesterday.CloseAdj,
today.CloseAdj));
continue;
}
//sell
if (shares > 0 & (((today.CloseAdj - yesterday.CloseAdj) / yesterday.CloseAdj) * 100 >= _raiseThreshold))
{
var cashBefore = cash;
cash = shares * tomorrow.OpenAdj;
result.NumberOfTrades++;
result.DaysIn += (int)(tomorrow.Date - buyDate).TotalDays;
_logWriter.Write(
string.Format(
"Selling on {0}, at price {1:0.00} (that's {2}), because priced increased by {3} [({4}) -> ({5})]",
tomorrow.Date.ToString("d"),
tomorrow.OpenAdj,
((cash - cashBefore) / cashBefore).ToString("P"),
((today.CloseAdj - yesterday.CloseAdj) / yesterday.CloseAdj).ToString("P"),
yesterday.CloseAdj,
today.CloseAdj));
shares = 0;
}
}
//sell if reached the end while holding stocks
if (shares > 0)
{
var cashBefore = cash;
cash = shares * _stock.Rates[end].OpenAdj;
result.NumberOfTrades++;
result.DaysIn += (int)(_stock.Rates[end].Date - buyDate).TotalDays;
_logWriter.Write(string.Format("Selling on {0}, at price {1:0.00} (that's {2}), because reached last day",
_stock.Rates[end].Date.ToString("d"), _stock.Rates[end].OpenAdj,
((cash - cashBefore) / cashBefore).ToString("P")));
}
_logWriter.Write(string.Format("End Price = {0:0.00} on {1}", _stock.Rates[end].CloseAdj,
_stock.Rates[end].Date.ToString("d")));
result.Return = cash - 1;
result.TotalDays = (int)(_stock.Rates[end].Date - _stock.Rates[start].Date).TotalDays;
result.StockReturn = ((_stock.Rates[end].CloseAdj - _stock.Rates[start].CloseAdj) / _stock.Rates[start].CloseAdj);
return(result);
}