public static void Go(ComID[] commodities_, bool dispBW_=false)
{
var wts = CalculateWeights(commodities_);
//wts.DisplayInGrid("weightings");
var pnl = DoPnl(commodities_, wts);
//pnl.DisplayInGrid("pnl");
//return;
var eval = new ReturnsEval.DataSeriesEvaluator("blah", ReturnsEval.DataSeriesType.Returns);
var weightedBW = !dispBW_ ? null : DoBW(commodities_, wts);
for (int i = 0; i < pnl.ArrayLength; ++i)
{
var comPnl = pnl.GetColumnValuesAsDDC(i);
eval.AddInnerSeries(comPnl.Dates, comPnl.Data, pnl.ColumnHeadings[i]);
if (weightedBW != null)
{
var chart = new SI.Controls.LineChartDataDisplay();
chart.AddSeries(
dates_: comPnl.Dates,
values_: comPnl.ToCumulative().Data,
desc_: "pnl",
yAxisExtent_: 40,
yLabelFormat_: "##0.0#%",
yAxisLeft_: true);
var com = weightedBW.GetColumnValuesAsDDC(i);
com = new DatedDataCollectionGen<double>(wts.Dates.ToArray(), wts.Dates.Select(x => com.ValueOnDate(x)).ToArray());
chart.AddSeries(
dates_: com.Dates,
values_: com.Data,
desc_: "bw",
yAxisExtent_: 40,
yLabelFormat_: "##0.0###%",
yAxisLeft_: false);
chart.DisplayInShowForm(commodities_[i].Mnemonic);
}
}
eval.Evaluate();
eval.Display();
}
protected override SI.ReturnsEval.DataSeriesEvaluator doPnl(TraderArgs args_, ConstructGen<double> wts_)
{
ConstructGen<double> allCcys = new ConstructGen<double>(Singleton<FXIDs>.Instance.ColumnHeadings);
for (int i = 0; i < args_.Products.Count; ++i)
{
ProductFX prod = (ProductFX)args_.Products[i];
allCcys.SetColumnValues(prod.CoreProduct.ArrayIndex, wts_.Dates.ToArray(), wts_.GetColumnValues(i));
}
var result = ReturnsFromFXWeights.DoIt_DailyWeights(allCcys);
var eval = new ReturnsEval.DataSeriesEvaluator("FX pnl", ReturnsEval.DataSeriesType.Returns);
if (args_.WtIndicators.Any())
eval.Name = string.Format("FX : {0}", args_.WtIndicators[0].ToString());
eval.AddInnerSeries(result.CombinedPnl.Dates.ToArray(), result.CombinedPnl.ToArray(), result.CombinedPnl.ColumnHeadings);
return eval;
}
protected override ReturnsEval.DataSeriesEvaluator doPnl(TraderArgs args_, ConstructGen<double> wts_)
{
var priceReturns =
args_.AllProductPrices(fillInGapsWithPrevious_: true)
.ToReturns(args_.Products.Select(x => x.Convention).ToArray());
var stratReturns = new ConstructGen<double>(priceReturns.ColumnHeadings);
double[] appliedWeights = null;
for (int i = 0; i < priceReturns.Dates.Count; ++i)
{
var date = priceReturns.Dates[i];
var priceReturnsArr = priceReturns.GetValues(date);
if (appliedWeights != null)
{
for (int j = 0; j < priceReturnsArr.Length; ++j)
stratReturns.SetValue(date, j, appliedWeights[j]*priceReturnsArr[j]);
}
if (wts_.Dates.Contains(date))
{
appliedWeights = wts_.GetValues(date);
}
}
var eval = new ReturnsEval.DataSeriesEvaluator("Gen pnl from weights", ReturnsEval.DataSeriesType.Returns);
eval.AddInnerSeries(stratReturns.Dates.ToArray(), stratReturns.ToArray(), stratReturns.ColumnHeadings);
return eval;
}
protected override void OnClick(EventArgs e)
{
ReturnsEval.DataSeriesEvaluator eval = new ReturnsEval.DataSeriesEvaluator(m_analyzer.Name, ReturnsEval.DataSeriesType.Returns);
eval.AddInnerSeries(m_analyzer.Performance.Dates.ToArray<DateTime>(), m_analyzer.Performance.ToArray(), m_analyzer.SourceWts.ColumnHeadings);
ReturnsEvalDisplay.ReturnsDisplay rd = new ReturnsEvalDisplay.ReturnsDisplay();
rd.RebalDates = m_analyzer.SourceWts.Dates;
rd.Bind(eval);
SI.Controls.ShowForm.Show(rd, eval.Name);
}
public static void Test()
{
const int lookback = 5;
const WeightGeneratorType genType = WeightGeneratorType.LongestZScoreOverThreshold;
SpreadWeightGenerator[] arr = new[]
{
new SpreadWeightGenerator(
new WeightGeneratorArgs()
{
Lookback = lookback,
WeightGenerationType = genType,
MinWindowLength = 50,
ZScoreThreshold = 1.3d
},
new SpreadDefinition(
new MonthYearOffset(ComIDs.Sugar, 0, MonthCode.V),
new MonthYearOffset(ComIDs.Sugar, 1, MonthCode.K),
false)),
//new SpreadWeightGenerator(
// new WeightGeneratorArgs()
// {
// Lookback = lookback,
// WeightGenerationType = genType,
// MinWindowLength = 40,
// ZScoreThreshold = 1d
// },
// new SpreadDefinition(
// new MonthYearOffset(ComIDs.Sugar, 0, MonthCode.V),
// new MonthYearOffset(ComIDs.Sugar, 1, MonthCode.K),
// false)),
//new SpreadWeightGenerator(
// new WeightGeneratorArgs()
// {
// Lookback = lookback,
// WeightGenerationType = genType,
// MinWindowLength = 40,
// ZScoreThreshold = 1.5d
// },
// new SpreadDefinition(
// new MonthYearOffset(ComIDs.NatGas, 0, MonthCode.H),
// new MonthYearOffset(ComIDs.NatGas, 0, MonthCode.X),
// false)),
new SpreadWeightGenerator(
new WeightGeneratorArgs()
{
Lookback = lookback,
WeightGenerationType = genType,
MinWindowLength = 60,
ZScoreThreshold = 1.2d
},
new SpreadDefinition(
new MonthYearOffset(ComIDs.NymexGas, 0, MonthCode.H),
new MonthYearOffset(ComIDs.NymexGas, 0, MonthCode.X),
false)),
//new SpreadWeightGenerator(
// new WeightGeneratorArgs()
// {
// Lookback = lookback,
// WeightGenerationType = genType,
// MinWindowLength = 90,
// ZScoreThreshold = 1.7d
// },
// new SpreadDefinition(
// new MonthYearOffset(ComIDs.NatGas, 0, MonthCode.H),
// new MonthYearOffset(ComIDs.NatGas, 0, MonthCode.X),
// false)),
//new SpreadWeightGenerator(
// new WeightGeneratorArgs()
// {
// Lookback = lookback,
// WeightGenerationType = genType,
// MinWindowLength = 40,
// ZScoreThreshold = 1.6d
// },
// new SpreadDefinition(
// new MonthYearOffset(ComIDs.Corn, 0, MonthCode.U),
// new MonthYearOffset(ComIDs.Corn, 0, MonthCode.Z),
// false)),
new SpreadWeightGenerator(
new WeightGeneratorArgs()
{
Lookback = lookback,
WeightGenerationType = genType,
MinWindowLength = 60,
ZScoreThreshold = 1.3d
},
new SpreadDefinition(
new MonthYearOffset(ComIDs.Corn, 0, MonthCode.U),
new MonthYearOffset(ComIDs.Corn, 0, MonthCode.Z),
false)),
//new SpreadWeightGenerator(
// new WeightGeneratorArgs()
// {
// Lookback = lookback,
// WeightGenerationType = genType,
// MinWindowLength = 90,
// ZScoreThreshold = 0.8d
// },
// new SpreadDefinition(
// new MonthYearOffset(ComIDs.Corn, 0, MonthCode.U),
// new MonthYearOffset(ComIDs.Corn, 0, MonthCode.Z),
// false)),
new SpreadWeightGenerator(
new WeightGeneratorArgs()
{
Lookback = lookback,
WeightGenerationType = genType,
MinWindowLength = 40,
ZScoreThreshold = 1.5d
},
new SpreadDefinition(
new MonthYearOffset(ComIDs.Wheat, 0, MonthCode.U),
new MonthYearOffset(ComIDs.Wheat, 0, MonthCode.Z),
false)),
//new SpreadWeightGenerator(
// new WeightGeneratorArgs()
// {
// Lookback = lookback,
// WeightGenerationType = genType,
// MinWindowLength = 50,
// ZScoreThreshold = 1.3d
// },
// new SpreadDefinition(
// new MonthYearOffset(ComIDs.Wheat, 0, MonthCode.U),
// new MonthYearOffset(ComIDs.Wheat, 0, MonthCode.Z),
// false)),
//new SpreadWeightGenerator(
// new WeightGeneratorArgs()
// {
// Lookback = lookback,
// WeightGenerationType = genType,
// MinWindowLength = 70,
// ZScoreThreshold = 1.1d
// },
// new SpreadDefinition(
// new MonthYearOffset(ComIDs.Wheat, 0, MonthCode.U),
// new MonthYearOffset(ComIDs.Wheat, 0, MonthCode.Z),
// false)),
new SpreadWeightGenerator(
new WeightGeneratorArgs()
{
Lookback = lookback,
WeightGenerationType = genType,
MinWindowLength = 50,
ZScoreThreshold = 1.6d
},
new SpreadDefinition(
new MonthYearOffset(ComIDs.RBOB, 0, MonthCode.J),
new MonthYearOffset(ComIDs.RBOB, 0, MonthCode.U),
false)),
};
var comb = new SpreadWeightGeneratorCombiner(arr) {NumDaysForCovariance = 42, TargetVol = 0.06};
comb.Go();
{
var combinedPnl = new ConstructGen<double>(arr.Length);
combinedPnl.ColumnHeadings =
arr.Select(x => string.Format("{0} / {1} / {2}", x.Spread, x.Args.MinWindowLength, x.Args.ZScoreThreshold))
.ToArray();
for (int i = 0; i < arr.Length; ++i)
combinedPnl.SetColumnValues(i, arr[i].GetCombinedPnl());
if (combinedPnl.NeedsToSortKeys())
combinedPnl.SortKeys();
var eval = new ReturnsEval.DataSeriesEvaluator("Combined", ReturnsEval.DataSeriesType.Returns);
eval.AddInnerSeries(combinedPnl.Dates.ToArray(), combinedPnl.ToArray(), combinedPnl.ColumnHeadings);
eval.Display("Combined");
combinedPnl.SumRows().ToCumulative().DisplayLineChart("combined pnl of scaled weights");
}
}
public static void EquityCTAEnviron()
{
//var copperIndex = Singleton<ComIDs>.Instance.First(x => x.Name.Equals("Copper")).ArrayIndex;
//var index =
// Singleton<ComIndexPrices>.Instance.GetData(DataConstants.DATA_START, DateTime.Today)
// .GetColumnValuesAsDDC(copperIndex);
//var index = EquityIndexOfSorts();
//var countries = new[] { "Germany", "US" };
//var instruments =
// Singleton<DBFut_Chains>.Instance.Where(
// x => x.AssetClass.Equals("Fixed Income") && countries.Any(y => y.Equals(x.Country))).ToArray();
var instruments=
Singleton<DBFut_Chains>.Instance.Where(
x => x.AssetClass.Equals("Equities")).ToArray();
foreach (var v in instruments)
{
var px = Singleton<DBFut_ChainGenericCache>.Instance.GetGenericSeries(v);
showCombinedStdevFromMean(px, v.BbgTicker, new[] {21, 42, 63, 89, 100, 126, 150, 189, 252, 512});
}
return;
//var instruments = Singleton<DBFut_Chains>.Instance.Where(x => x.AssetClass.Equals("Equities")).ToArray();
var con = new ConstructGen<double>(instruments.Select(x => x.BbgTicker).ToArray());
for(int i=0;i<instruments.Length;++i)
{
var index = Singleton<DBFut_ChainGenericCache>.Instance.GetGenericSeries(instruments[i]);
if (index == null || index.Length == 0) continue;
var prop = getMADiffPercentiles(index, new PercDiffArgs[]
{
//new PercDiffArgs() {MA1 = 21, MA2 = 42, PercWindow = 126},
//new PercDiffArgs() {MA1 = 21, MA2 = 63, PercWindow = 126},
//new PercDiffArgs() {MA1 = 21, MA2 = 89, PercWindow = 126},
new PercDiffArgs() {MA1 = 42, MA2 = 89, PercWindow = 126},
new PercDiffArgs() {MA1 = 42, MA2 = 126, PercWindow = 126},
new PercDiffArgs() {MA1 = 63, MA2 = 126, PercWindow = 126},
new PercDiffArgs() {MA1 = 89, MA2 = 180, PercWindow = 126},
new PercDiffArgs() {MA1 = 89, MA2 = 252, PercWindow = 126},
new PercDiffArgs() {MA1 = 126, MA2 = 252, PercWindow = 126},
//new PercDiffArgs() {MA1 = 21, MA2 = 42, PercWindow = 252},
//new PercDiffArgs() {MA1 = 21, MA2 = 63, PercWindow = 252},
//new PercDiffArgs() {MA1 = 21, MA2 = 89, PercWindow = 252},
new PercDiffArgs() {MA1 = 42, MA2 = 89, PercWindow = 252},
new PercDiffArgs() {MA1 = 42, MA2 = 126, PercWindow = 252},
new PercDiffArgs() {MA1 = 63, MA2 = 126, PercWindow = 252},
new PercDiffArgs() {MA1 = 89, MA2 = 180, PercWindow = 252},
new PercDiffArgs() {MA1 = 89, MA2 = 252, PercWindow = 252},
new PercDiffArgs() {MA1 = 126, MA2 = 252, PercWindow = 252},
new PercDiffArgs() {MA1 = 42, MA2 = 89, PercWindow = 504},
new PercDiffArgs() {MA1 = 42, MA2 = 126, PercWindow = 504},
new PercDiffArgs() {MA1 = 63, MA2 = 126, PercWindow = 504},
new PercDiffArgs() {MA1 = 89, MA2 = 180, PercWindow = 504},
new PercDiffArgs() {MA1 = 89, MA2 = 252, PercWindow = 504},
new PercDiffArgs() {MA1 = 126, MA2 = 252, PercWindow = 504},
});
//var c = new SI.Controls.LineChartDataDisplay();
//c.AddSeries(index, "index", 40, "##0.0#");
//c.AddSeries(dates_: prop.Dates,
// values_: prop.Data,
// desc_: "prop",
// yAxisExtent_: 40,
// yLabelFormat_: "##0.0#",
// color_: System.Drawing.Color.Orange,
// yAxisLeft_: false);
//c.DisplayInShowForm("blah");
con.SetColumnValues(i, index.ToReturns().MultiplyBy(prop));
}
con.SortKeys();
var eval = new ReturnsEval.DataSeriesEvaluator("combined", DataSeriesType.Returns);
eval.AddInnerSeries(con.Dates.ToArray(), con.ToArray(), con.ColumnHeadings);
eval.Display();
}
public static ReturnsEval.DataSeriesEvaluator DoCommodsPnl(ConstructGen<double> wts_, string name_)
{
var returns = ReturnsFromComWeights.DoIt_DailyWeights(wts_);
var eval = new ReturnsEval.DataSeriesEvaluator(name_, DataSeriesType.Returns);
eval.AddInnerSeries(returns.CombinedPnl.Dates.ToArray(), returns.CombinedPnl.ToArray(),
returns.CombinedPnl.ColumnHeadings);
return eval;
}
public static ReturnsEval.DataSeriesEvaluator DoFXPnl(ConstructGen<double> wts_, string name_,double mult_=1d)
{
var returns = ReturnsFromFXWeights.DoIt_DailyWeights(wts_);
var combReturns = returns.CombinedPnl.MultiplyBy(mult_);
var eval = new ReturnsEval.DataSeriesEvaluator(name_, ReturnsEval.DataSeriesType.Returns);
eval.AddInnerSeries(combReturns.Dates.ToArray(), combReturns.ToArray(),
combReturns.ColumnHeadings);
return eval;
}