public void Start()
{
//TODO implement Equity Picker
PeriodicEquityPicker equityPicker =
new PeriodicEquityPicker(_mds, _selectionPeriod, _lookupPeriod,
EquityVolPredefinedVariables.EquitySelectionNumber, _startDate, _endDate);
equityPicker.UseHighRankMarketCap();
Dictionary<DateTime, List<MarketDataSetKey>> selectedEquities = equityPicker.Select();
List<IPnLResult> pnLResults = new List<IPnLResult>();
//EquityStockDeltaVolExecutor stockTradingExecutor = new EquityStockDeltaVolExecutor(_mds, _input);
//Dictionary<MarketDataSetKey, IPnLResult> allEquityPnLResults = stockTradingExecutor.Execute();
EquityStockSimpleExecutor stockTradingExecutor =
new EquityStockSimpleExecutor(_mds, _startDate, _endDate, _input.IssueInterval, _input.BaseInvest);
Dictionary<MarketDataSetKey, IPnLResult> allEquityPnLResults = stockTradingExecutor.Execute();
Dictionary<MarketDataSetKey, IPnLResult> seletecdEquityPnLResults =
GetSelectedEquityPnLResults(allEquityPnLResults, selectedEquities);
pnLResults.AddRange(seletecdEquityPnLResults.Values.ToList());
Dictionary<DateTime, double> grossDeltas = AggregateGrossDeltas(pnLResults);
EquityDeltaHedger hedger =new EquityDeltaHedger(MarketDataSetKey.KospiFuture,
_input.StartDate, _input.EndDate, grossDeltas, _input.BaseInvest, _input.IssueInterval);
if (_input.bMATrendHedging)
{
hedger.AddMATrendTester(
EquityVolPredefinedVariables.LeadingMAPeriod, EquityVolPredefinedVariables.BaseMAPeriod);
if (_input.bDeltaSwitchUpDown)
{
hedger.UseMASpreadSwitch(
EquityVolPredefinedVariables.MASpreadUpperBound,
EquityVolPredefinedVariables.MASpreadLowerBound);
}
}
IPnLResult hedgePnL;
if (_input.bVoliatilityHedging)
{
hedger.UseVolTest(10);
}
hedgePnL = hedger.ExecuteHedge();
pnLResults.Add(hedgePnL);
//BandTradingHedger auxHedger = new BandTradingHedger(MarketDataSetKey.KospiFuture,
// _input.StartDate, _input.EndDate, grossDeltas, _input.BaseInvest);
//auxHedger.AddMATrendTester(1, 20);
//IPnLResult auxHedgePnL = auxHedger.ExecuteHedge();
//pnLResults.Add(auxHedgePnL);
IPnLResult sumPnlResult = AggregatePnLResult(pnLResults);
HandleResult(sumPnlResult);
}
private void button1_Click(object sender, EventArgs e)
{
DateTime curDate = DateTime.FromOADate(Convert.ToDouble((this.Cells[1, 2] as Excel.Range).Value2));
int selectionNum = (int)Convert.ToInt32((this.Cells[1, 5] as Excel.Range).Value2);
Dictionary<string, double> curPriceData = ReadCurPriceData();
MarketDataSet mds = GetNewMarketDataSet(curDate, curPriceData);
PeriodicEquityPicker equityPicker = new PeriodicEquityPicker(
mds, EquityVolPredefinedVariables.SelectionPeriod, EquityVolPredefinedVariables.LookupPeriod,
selectionNum, curDate, curDate);
Dictionary<MarketDataSetKey, double> keyscoreDic =
equityPicker.GetAllMarketKeyScores(curDate, ScoreCriteria.Volatility);
Dictionary<DateTime, List<MarketDataSetKey>> dateKeysDic = equityPicker.Select();
List<MarketDataSetKey> curSelectedKeys = dateKeysDic[curDate];
WriteCurEquityScores(keyscoreDic);
WriteCurSelectedKeys(curSelectedKeys);
}
