public List <Signal> GenerateOnClose(DateTime ts, int leadingIndex, SystemState systemState)
{
List <Signal> result = new List <Signal>();
SimplexFundsDataCalculator.Calculate(_fundsData, ts, _avgProfitRange, _avgChangeRange, _dataRange, _dataLoader);
float portfolioValue = new SystemValueCalculator().Calc(systemState, ts, _dataLoader);
float[] balance = SimplexExecutor.Execute(_fundsData,
portfolioValue, _acceptableSingleDD, _riskSigmaMultiplier, _maxSinglePositionSize, _maxPortfolioRisk, _truncateBalanceToNthPlace);
result.Add(CreateSignal(balance, _dataRange, _fundsData));
LogData(ts, balance);
return(result);
}
public void SetUp()
{
_dataLoader = Substitute.For <ISystemDataLoader>();
_testSys = new SystemState()
{
Cash = CashValue
};
_stockPrices = new StockPricesData(1);
_testObj = new SystemValueCalculator();
_stockPrices.TS[0] = CurrentTS;
_stockPrices.C[0] = PriceL;
_dataLoader
.Get(Arg.Compat.Any <string>(), Arg.Compat.Any <StockDataRange>(), Arg.Compat.Any <int>(), Arg.Compat.Any <DateTime>(), Arg.Compat.Any <DateTime>())
.Returns(_stockPrices);
}
