public SystemDefinitionFactory(IStockDataProvider dataProvider, ISystemDataLoader dataLoader, ISlippage slippage, ICommission commission, ISystemExecutionLogger systemExecutionLogger)
{
_dataProvider = dataProvider;
_dataLoader = dataLoader;
_slippage = slippage;
_commission = commission;
_systemExecutionLogger = systemExecutionLogger;
}
public SignalsBBTrendFunds(ISystemDataLoader dataLoader, IStockDataProvider dataProvider, ISystemExecutionLogger systemExecutionLogger)
{
_dataLoader = dataLoader;
_systemExecutionLogger = systemExecutionLogger;
_dataRange = StockDataRange.Monthly;
_fundsData = new BBTrendFundsData(_fundsNames.Length);
BBTrendFundsDataCalculator.Initialize(_fundsData, _fundsNames, BBPeriod, BBSigmaWidth, HLPeriod, dataProvider);
_rebalanceSignal = new ModNCounter(RebalanceInterval);
}
public PriceCrossingSMA(IStockDataProvider dataProvider, ISystemDataLoader dataLoader,
ISlippage slippage, ICommission commission, ISystemExecutionLogger systemExecutionLogger)
{
_dataProvider = dataProvider;
_dataLoader = dataLoader;
_slippage = slippage;
_commission = commission;
_systemExecutionLogger = systemExecutionLogger;
SystemParams.Set(PriceCrossingSMAParams.StockName, "");
SystemParams.Set(PriceCrossingSMAParams.SMAPeriod, 20);
}
public BBTrendFunds(IStockDataProvider dataProvider, ISystemDataLoader dataLoader,
ISlippage slippage, ICommission commission, ISystemExecutionLogger systemExecutionLogger)
{
_dataProvider = dataProvider;
_dataLoader = dataLoader;
_slippage = slippage;
_commission = commission;
_systemExecutionLogger = systemExecutionLogger;
//SystemParams.Set(BBTrendParams.StockName, "");
//SystemParams.Set(BBTrendParams.BBPeriod, 20);
//SystemParams.Set(BBTrendParams.BBSigmaWidth, 2f);
}
//private readonly ModNCounter _rebalanceSignal;
public SignalsBBTrendMultiFunds(ISystemDataLoader dataLoader, IStockDataProvider dataProvider, ISystemExecutionLogger systemExecutionLogger)
{
_aggressiveFunds = _fundsNames.Select((_, i) => i > 0).ToArray();
if (_fundsNames.Length != _aggressiveFunds.Length)
{
throw new Exception("_fundsNames != _aggressiveFunds");
}
_dataLoader = dataLoader;
_systemExecutionLogger = systemExecutionLogger;
_dataRange = StockDataRange.Monthly;
_fundsData = new BBTrendFundsData(_fundsNames.Length);
BBTrendFundsDataCalculator.Initialize(_fundsData, _fundsNames, BBPeriod, BBSigmaWidth, HLPeriod, dataProvider);
//_rebalanceSignal = new ModNCounter(RebalanceInterval);
}
public SimplexMultiFunds(IStockDataProvider dataProvider, ISystemDataLoader dataLoader,
ISlippage slippage, ICommission commission, ISystemExecutionLogger systemExecutionLogger)
{
_dataProvider = dataProvider;
_dataLoader = dataLoader;
_slippage = slippage;
_commission = commission;
_systemExecutionLogger = systemExecutionLogger;
SystemParams.Set(SimplexMultiFundsParams.AvgProfitRange, 3);
SystemParams.Set(SimplexMultiFundsParams.AvgChangeRange, 6);
SystemParams.Set(SimplexMultiFundsParams.AcceptableSingleDD, 0.1);
SystemParams.Set(SimplexMultiFundsParams.RiskSigmaMultiplier, 2.0);
SystemParams.Set(SimplexMultiFundsParams.MaxSinglePositionSize, 0.8);
SystemParams.Set(SimplexMultiFundsParams.MaxPortfolioRisk, 0.8);
SystemParams.Set(SimplexMultiFundsParams.TruncateBalanceToNthPlace, 3);
}
public SignalsSimplexMultiFunds(ISystemDataLoader dataLoader, IStockDataProvider dataProvider, ISystemExecutionLogger systemExecutionLogger, MOParams systemParams)
{
_avgProfitRange = systemParams.Get(SimplexMultiFundsParams.AvgProfitRange).As <int>();
_avgChangeRange = systemParams.Get(SimplexMultiFundsParams.AvgChangeRange).As <int>();
_acceptableSingleDD = systemParams.Get(SimplexMultiFundsParams.AcceptableSingleDD).As <double>();
_riskSigmaMultiplier = systemParams.Get(SimplexMultiFundsParams.RiskSigmaMultiplier).As <double>();
_maxSinglePositionSize = systemParams.Get(SimplexMultiFundsParams.MaxSinglePositionSize).As <double>();
_maxPortfolioRisk = systemParams.Get(SimplexMultiFundsParams.MaxPortfolioRisk).As <double>();
_truncateBalanceToNthPlace = systemParams.Get(SimplexMultiFundsParams.TruncateBalanceToNthPlace).As <int>();
_aggressiveFunds = _fundsNames.Select((_, i) => i > 0).ToArray();
if (_fundsNames.Length != _aggressiveFunds.Length)
{
throw new Exception("_fundsNames != _aggressiveFunds");
}
_dataLoader = dataLoader;
_systemExecutionLogger = systemExecutionLogger;
_dataRange = StockDataRange.Monthly;
_fundsData = new SimplexFundsData(_fundsNames.Length);
SimplexFundsDataCalculator.Initialize(_fundsData, _fundsNames, dataProvider);
}
