public static double GetPnLRatePerYear(ProfitAndLossResult input)
{
double totalYear = ((double)(input.EndDate - input.StartDate).Days) / 365.00;
double totalPnLRate = GetPnLRateTotal(input);
return totalPnLRate / totalYear;
}
public void HandleResult(SimCaseResultOverview experimentData, ProfitAndLossResult result)
{
String fileName = String.Format("pnl_{0}.csv", result.Key);
CsvUtil.CsvOut(fileName, result);
DrawDown mdd = MathUtil.GetMaxDrawDown(result);
double pnLRateTotal = MathUtil.GetPnLRateTotal(result);
double pnlRatePerYear = MathUtil.GetPnLRatePerYear(result);
double ppm = MathUtil.GetPPM(result);
}
public static DrawDown GetMaxDrawDown(ProfitAndLossResult input)
{
DateTime curDate = input.StartDate;
DrawDown mdd = new DrawDown();
while (curDate <= input.EndDate)
{
if (input.IsExistDate(curDate))
{
DrawDown dd = GetDrawDown(curDate, input.EndDate, input);
if (dd.Value < mdd.Value)
{
mdd = dd;
}
}
curDate = curDate.AddDays(1);
}
return mdd;
}
public ProfitAndLossResult GetResult(AssetRateDataLog log)
{
ProfitAndLossResult result = new ProfitAndLossResult(_opSet.GetKey(), this.Input.InitInvestAmount);
result.CalculatePnL(log, _readyData);
return result;
}
void AddNewResult_Raw(SimCaseResultOverview overview, ProfitAndLossResult result)
{
_result.Add(result);
// UpdateDataGridView(experimentData);
UpdateOverview(overview);
}
public void HandleResult(SimCaseResultOverview experimentData, ProfitAndLossResult result)
{
this.Invoke(new AddNewResult(AddNewResult_Raw), new object[] { experimentData, result });
//this.Invoke(new AddNewResult(AddNewResult_Raw), result);
}
ProfitAndLossResult CalculatePnL(AssetRateDataLog log, MarketDataSet marketData)
{
ProfitAndLossResult pnl = new ProfitAndLossResult(String.Format("{0}", this.Name), this.InputData.InitInvestAmount);
pnl.CalculatePnL(log, marketData);
return pnl;
}
public static double GetPPM(ProfitAndLossResult input)
{
DrawDown mdd = GetMaxDrawDown(input);
double pnl = GetAvgPnLPerYear(input);
return pnl / Math.Abs(mdd.Value);
}
public static double GetPnLRateTotal(ProfitAndLossResult input)
{
return input.TotalPnL / input.InitInvestAmount;
}
public static double GetAvgPnLPerYear(ProfitAndLossResult input)
{
double totalYear = ((double) (input.EndDate - input.StartDate).Days) / 365.00;
double pnlPerYear = input.TotalPnL / totalYear;
return pnlPerYear;
}
static DrawDown GetDrawDown(DateTime startDate, DateTime endDate, ProfitAndLossResult input)
{
DateTime curDate = startDate;
double startDateCumPnL = input.GetCumPnL(startDate);
DrawDown dd = new DrawDown();
dd.StartDate = startDate;
dd.EndDate = endDate;
while (curDate <= endDate)
{
if (input.IsExistDate(curDate))
{
double curDateCumPnL = input.GetCumPnL(curDate);
double diff = curDateCumPnL - startDateCumPnL;
if (diff <= dd.Value)
{
//update
dd.Value = diff;
dd.EndDate = curDate;
}
}
curDate = curDate.AddDays(1);
}
return dd;
}
