public bool Sell(string strWKN)
{
// Verkaufe kompletten Bestand
Depot depot = this.RuleEngineInfo.Depot;
WorkDate today = this.RuleEngineInfo.Today;
depot.Sell(strWKN, 100000, today);
return(true);
}
public bool Buy(string strWKN)
{
WorkDate today = this.RuleEngineInfo.Today;
Depot depot = this.RuleEngineInfo.Depot;
double dPrice = DBEngine.GetInstance().GetPrice(strWKN, today);
int nQuantity = (int)(depot.Cash / dPrice);
depot.Buy(strWKN, nQuantity, today, dPrice);
return(true);
}
public static DataContainer CreateFrom(DataContainer source, int nRange)
{
DataContainer result = new DataContainer();
WorkDate reference = source.OldestDate.Clone();
reference += nRange;
WorkDate today = reference.Clone();
today += nRange;
WorkDate enddate = source.YoungestDate.Clone();
enddate -= nRange;
double dUpperPeak = Double.MaxValue;
double dLowerPeak = Double.MinValue;
double dTrend = TREND_UNKNOWN;
while (today <= source.YoungestDate)
{
result[today] = dTrend;
if (reference <= enddate)
{
if (IsPeak(reference, nRange, PeakType.UPPER, source))
{
dUpperPeak = source[reference];
}
if (IsPeak(reference, nRange, PeakType.LOWER, source))
{
dLowerPeak = source[reference];
}
}
if (source[today] > dUpperPeak)
{
result[today] = OUTPERFORM;
dTrend = CANCEL_OUTPERFORM;
}
if (source[today] < dLowerPeak)
{
result[today] = UNDERPERFORM;
dTrend = CANCEL_UNDERPERFORM;
}
today++;
reference++;
}
return(result);
}
void UpdateDepotPositions()
{
WorkDate today = m_TradeRule.RuleEngineInfo.Today;
Depot depot = m_TradeRule.RuleEngineInfo.Depot;
foreach (DepotPosition position in depot)
{
double dPrice = DBEngine.GetInstance().GetPrice(position.WKN, today);
position.Price = dPrice;
}
depot.UpdateStopLoss();
}
public static DataContainer CreateFrom(DataContainer source, WorkDate referenceDate)
{
DataContainer result = new DataContainer();
WorkDate workdate = source.OldestDate.Clone();
double dReference = source[referenceDate];
for (; workdate <= source.YoungestDate; workdate++)
{
result[workdate] = Math.Log(source[workdate] / dReference, 2.0) * 100.0;
//result[workdate] = ((source[workdate] / dReference) - 1.0) * 100.0;
}
return(result);
}
public static DataContainer CreateFrom(DataContainer source, int nRange)
{
DataContainer result = new DataContainer();
WorkDate workdate = source.OldestDate.Clone() + nRange;
for (; workdate <= source.YoungestDate; workdate++)
{
double dPerf = Math.Log(source[workdate] / source[workdate - nRange], 2.0) * 100.0;
//double dPerf = ((source[workdate] / source[workdate - 1]) - 1.0) * 100.0;
result[workdate] = dPerf;
}
return(result);
}
/// <summary>
/// Fuehrt eine Zinseszinsberechnung auf der Basis des angegebenen
/// Prozentsatzes und einem Startkapital von 100.0 aus.
/// Die Berechnung wird für jeden Arbeitstag (und Feiertage), jedoch
/// nicht fuer Wochenenden durchgefuehrt.
/// </summary>
/// <param name="fromDate">Beginn des Berechnungszeitraumes</param>
/// <param name="toDate">Ende des Berechnungszeitraumes</param>
/// <param name="dYearGrowth">Jahres-Performance in Prozent, z.B. 3.45</param>
public static DataContainer CreateFrom(WorkDate fromDate, WorkDate toDate, double dYearGrowth)
{
DataContainer result = new DataContainer();
dYearGrowth /= 100.0;
double dPerformanceFactor = Math.Pow(1.0 + dYearGrowth, 1.0 / WorkDate.WorkDaysPerYear);
double dEquity = 100.0;
for (WorkDate workdate = fromDate.Clone(); workdate <= toDate; workdate++)
{
result[workdate] = dEquity;
dEquity *= dPerformanceFactor;
}
return(result);
}
/// <summary>
/// Berechnet die relative Differenz und legt das Ergebnis in einem neuen Datencontainer ab.
/// </summary>
/// <param name="a">Datensatz a, von dem Datensatz B abgezogen werden soll</param>
/// <param name="b">Datensatz b, der von Datensatz A abgezogen werden soll</param>
/// <returns>Neuer DatenContainer mit den Ergebnisdaten</returns>
public static DataContainer CreateFrom(DataContainer a, DataContainer b)
{
DataContainer result = new DataContainer();
WorkDate workdate = a.OldestDate.Clone();
for (; workdate <= a.YoungestDate; workdate++)
{
if (b.Contains(workdate))
{
result[workdate] = Math.Log(a[workdate] / b[workdate], 2.0) * 100.0;
}
}
return(result);
}
protected override bool ParseAndStore(string input, Stock stock)
{
// plausibility check, if the quotes line matches the expectation
if (input.Contains("<tr><td> ") == false)
{
return(false);
}
int i = 0;
string[] arrTokens = new string[7];
int iStartIndex = input.IndexOf("<tr><td> ");
string strLine = input.Substring(iStartIndex);
XmlTextReader reader = new XmlTextReader(new StringReader(strLine));
reader.WhitespaceHandling = WhitespaceHandling.None;
while (reader.Read())
{
if (reader.NodeType == XmlNodeType.Text)
{
arrTokens[i] = reader.Value;
i++;
}
}
reader.Close();
//Date,Open,Close,High,Low,misc
// 0 1 2 3 4 5
DateTime priceDate = new DateTime();
DateTime.TryParse(arrTokens[0], out priceDate);
WorkDate workdate = new WorkDate(priceDate);
double priceClose = Double.Parse(arrTokens[2]);
double priceLow = Double.Parse(arrTokens[4]);
stock.QuotesClose[workdate] = priceClose;
stock.QuotesLow[workdate] = priceLow;
System.Console.Write(workdate.ToString() + "\r");
return(true);
}
public void PrintInfo()
{
WorkDate today = m_TradeRule.RuleEngineInfo.Today;
Depot depot = m_TradeRule.RuleEngineInfo.Depot;
Console.SetCursorPosition(0, 1);
Console.Out.WriteLine("Simulation von: " + m_TradeRule.RuleEngineInfo.FromDate + " bis " + m_TradeRule.RuleEngineInfo.ToDate + " Heute: " + today + " Compl.: " + m_TradeRule.RuleEngineInfo.Variants.Completeness + " ");
depot.Dump(today);
Console.Out.WriteLine("Variante: ");
foreach (string strVariantKey in m_TradeRule.RuleEngineInfo.Variants.ItemKeys)
{
Console.Out.WriteLine(strVariantKey + "=" + m_TradeRule.RuleEngineInfo.Variants[strVariantKey] + " ");
}
Console.Out.WriteLine("Performance: " + depot.Performance + " dB% ");
}
protected override string BuildURI(Stock stock, WorkDate startdate, WorkDate enddate)
{
//http://ichart.finance.yahoo.com/table.csv?s=D1A9.DE&d=1&e=27&f=2011&g=d&a=4&b=2&c=2007&ignore=.csv
string strQuoteString = "http://ichart.finance.yahoo.com/table.csv?";
strQuoteString += "s=" + stock.Symbol;
if (startdate.Year > 1900)
{
strQuoteString += string.Format("&a={0}&b={1}&c={2}", startdate.Month - 1, startdate.Day, startdate.Year);
strQuoteString += string.Format("&d={0}&e={1}&f={2}", enddate.Month - 1, enddate.Day, enddate.Year);
}
strQuoteString += "&g=d";
strQuoteString += "&ignore=.csv";
return(strQuoteString);
}
/// <summary>
/// Berechnet die Volatilitaet/Standardabweichung und legt das Ergebnis
/// in einem neuen Datencontainer ab.
/// </summary>
/// <param name="source">Datensatz, von dem die Volatilitaet gebildet werden soll</param>
/// <param name="nRange">Anzahl der einzubeziehenden Daten pro Berechnung</param>
/// <returns>Neuer DatenContainer mit den Ergebnisdaten</returns>
public static DataContainer CreateFrom(DataContainer source, int nRange)
{
if (nRange < 1)
{
throw new ArgumentOutOfRangeException("Average", nRange, "Must be greater than zero.");
}
DataContainer result = new DataContainer();
double dSum = 0;
double dSumSquare = 0;
WorkDate workdate = source.OldestDate.Clone();
WorkDate helperworkdate = source.OldestDate.Clone();
for (int i = 0; i < nRange - 1; i++, workdate++)
{
double dValue = source[workdate];
dSum += dValue;
dSumSquare += dValue * dValue;
}
do
{
double dValue = source[workdate];
dSum += dValue;
dSumSquare += dValue * dValue;
double dVariance = ((nRange * dSumSquare) - (dSum * dSum)) / (nRange * (nRange - 1));
dVariance = Math.Abs(dVariance);
double dStdDev = Math.Sqrt(dVariance);
result[workdate] = dStdDev;
workdate++;
double dPastValue = source[helperworkdate];
dSum -= dPastValue;
dSumSquare -= dPastValue * dPastValue;
helperworkdate++;
}while (workdate <= source.YoungestDate);
return(result);
}
/*
* Prüft, ob die Gerade X1/X2 keinen anderen Punkt im Chart
* innerhalb der vorgegebenen Grenzen schneidet.
* Berührungen sind erlaubt!
*/
private bool isTangential(DataContainer source, WorkDate left, WorkDate right, LimitType limit)
{
double iY1 = source[left];
double iY2 = source[right];
double dm = (double)(iY2 - iY1) / (double)(right - left);
for (WorkDate i = new WorkDate(left + 1); i < right; i++)
{
double iDiff = source[i] - source[left] - (double)(dm * (i - left));
if ((limit == LimitType.LOWER && iDiff <= 0) ||
(limit == LimitType.UPPER && iDiff >= 0))
{
return(false);
}
}
return(true);
}
///<summary>
/// Berechnet den PriceOscillator und legt das Ergebnis in einem neuen Datencontainer ab.
/// </summary>
/// <param name="source">Daten, von dem der Indikator gebildet werden soll</param>
/// <param name="nAverageFast">Anzahl der Daten, des kuerzeren GD</param>
/// <param name="nAverageSlow">Anzahl der Daten, des laengerem GD</param>
/// <returns>Neuer DatenContainer mit den Ergebnisdaten</returns>
public static DataContainer CreateFrom(DataContainer source, int nAverageFast, int nAverageSlow)
{
if (nAverageFast > nAverageSlow)
{
throw(new ArgumentOutOfRangeException());
}
DataContainer fast = MovingAverage.CreateFrom(source, nAverageFast);
DataContainer slow = MovingAverage.CreateFrom(source, nAverageSlow);
DataContainer result = new DataContainer();
for (WorkDate workdate = slow.OldestDate.Clone(); workdate <= slow.YoungestDate; workdate++)
{
//double dPerf = Math.Log(fast[workdate] / slow[workdate], 2.0) * 100.0;
double dPerf = (fast[workdate] / slow[workdate]) - 1.0;
result[workdate] = dPerf;
}
return(result);
}
/*
* Berechnet die obere oder untere Trendlinie eines Charts.
*/
private void trendLine(DataContainer target, DataContainer source, WorkDate today, LimitType limit)
{
WorkDate fromDate = new WorkDate(today);
fromDate -= m_nRange;
WorkDate bestLeft = new WorkDate(fromDate);
WorkDate bestRight = new WorkDate(fromDate);
for (; fromDate < today; fromDate++)
{
WorkDate scanDate = new WorkDate(today);
scanDate -= m_nRange / 2;
for (; scanDate < today; scanDate++)
{
if (isTangential(source, fromDate, scanDate, limit))
{
// laenger, als der bereits gefundene
// UND Linkes und rechtes Ende der Gerade muss in jeweils einer haelfte liegen
if (scanDate - fromDate > bestRight - bestLeft)
{
bestLeft = new WorkDate(fromDate);
bestRight = new WorkDate(scanDate);
}
}
}
}
double dm = (double)(source[bestRight] - source[bestLeft]) / (double)(bestRight - bestLeft);
target[today] = source[bestLeft] + (double)(dm * (today - bestLeft));
/*fromDate = new WorkDate(today);
* fromDate -= m_nRange;
*
* for (; fromDate < today; fromDate++ )
* {
* target[fromDate] = source[bestLeft] + (double)(dm * (fromDate - bestLeft));
* }*/
}
/// <summary>
/// Berechnet die ReturnRiskRatio und legt das Ergebnis in einem neuen Datencontainer ab.
/// </summary>
/// <param name="source">Datensatz, von dem die ReturnRiskRatio gebildet werden soll</param>
/// <param name="nRange">Anzahl der einzubeziehenden Daten pro Berechnung</param>
/// <returns>Neuer DatenContainer mit den Ergebnisdaten</returns>
public static DataContainer CreateFrom(DataContainer source, int nRange)
{
//DataContainer sourceperf = RelativePerformance.CreateFrom(source);
DataContainer sourcechange = RelativeChange.CreateFrom(source);
DataContainer changemovavg = MovingAverage.CreateFrom(sourcechange, nRange);
DataContainer volatility = Volatility.CreateFrom(sourcechange, nRange);
DataContainer result = new DataContainer();
//WorkDate historydate = volatility.OldestDate.Clone() - (int)nRange;
WorkDate workdate = volatility.OldestDate.Clone();
for (; workdate <= volatility.YoungestDate; workdate++ /*, historydate++*/)
{
double dReturn = changemovavg[workdate]; //sourceperf[workdate] - sourceperf[historydate];
double dRisk = volatility[workdate]; // Standardabweichung
//result[workdate] = dReturn / (dRisk + 1.0);
result[workdate] = dReturn - dRisk;
}
return(result);
}
public bool BuyRule()
{
//Depot depot = this.RuleEngineInfo.Depot;
WorkDate today = RuleEngineInfo.Today;
Console.WriteLine("{0} {1}", today, dax_rel_diff[today]);
if (dax_rel_diff[today] < -5 &&
dax_rel_diff[today - 1] < dax_rel_diff[today]
)
{
if (Buy("dbx1da"))
{
buy_events[today] = dax_rel_diff[today];
buy_events_dax[today] = dax_close[today];
}
return(true);
}
return(false);
}
/// <summary>
/// Berechnet Beta und legt das Ergebnis in einem neuen Datencontainer ab.
/// </summary>
/// <param name="source">Datensatz, von dem Beta gebildet werden soll</param>
/// <param name="reference">Referenz, zu dem Beta gebildet werden soll</param>
/// <param name="nRange">Anzahl der einzubeziehenden Daten pro Beta-Berechnung</param>
/// <returns>Neuer DatenContainer mit den Ergebnisdaten</returns>
public static DataContainer CreateFrom(DataContainer source, DataContainer reference, int nRange)
{
if (nRange < 1)
{
throw new ArgumentOutOfRangeException("Range", nRange, "Must be greater than zero.");
}
DataContainer covariance = CoVariance.CreateFrom(source, reference, nRange);
DataContainer sigma = Volatility.CreateFrom(reference, nRange);
DataContainer result = new DataContainer();
WorkDate workdate = covariance.OldestDate.Clone();
for (; workdate <= covariance.YoungestDate; workdate++)
{
double dSigma = sigma[workdate];
double dBeta = covariance[workdate] / (dSigma * dSigma);
result[workdate] = dBeta;
}
return(result);
}
public bool BuyRule()
{
Depot depot = this.RuleEngineInfo.Depot;
WorkDate today = RuleEngineInfo.Today;
if (dax_trend[today] >= 0)
{
if (depot.Contains("846900") == false)
{
if (dax_rel_diff[today] < -5 &&
dax_close[today - 1] < dax_close[today])
{
Buy("846900");
buy_events[today] = dax_rel_diff[today];
buy_events_dax[today] = dax_close[today];
return(true);
}
}
}
return(false);
}
protected static bool IsPeak(WorkDate testdate, int nRange, PeakType peaktype, DataContainer source)
{
WorkDate workdate = testdate.Clone();
workdate -= nRange;
WorkDate rangeend = testdate.Clone();
rangeend += nRange;
while (workdate <= rangeend)
{
if ((peaktype == PeakType.LOWER && source[workdate] < source[testdate]) ||
(peaktype == PeakType.UPPER && source[workdate] > source[testdate]))
{
return(false);
}
workdate++;
}
return(true);
}
/// <summary>
/// Berechnet die Korrelation und legt das Ergebnis in einem neuen Datencontainer ab.
/// </summary>
/// <param name="a">Datensatz A, zwischen denen die Korrelation gebildet werden soll</param>
/// <param name="b">Datensatz B, zwischen denen die Korrelation gebildet werden soll</param>
/// <param name="nRange">Anzahl der einzubeziehenden Daten pro Korrelationsberechnung</param>
/// <returns>Neuer DatenContainer mit den Ergebnisdaten</returns>
public static DataContainer CreateFrom(DataContainer a, DataContainer b, int nRange)
{
if (nRange < 1)
{
throw new ArgumentOutOfRangeException("Range", nRange, "Must be greater than zero.");
}
DataContainer covariance = CoVariance.CreateFrom(a, b, nRange);
DataContainer sigma_a = Volatility.CreateFrom(a, nRange);
DataContainer sigma_b = Volatility.CreateFrom(b, nRange);
DataContainer result = new DataContainer();
WorkDate workdate = covariance.OldestDate.Clone();
for (; workdate <= covariance.YoungestDate; workdate++)
{
double dCorrelation = covariance[workdate] / (sigma_a[workdate] * sigma_b[workdate]);
result[workdate] = dCorrelation;
}
return(result);
}
// Called only once to init trade rule
public void Setup()
{
this.RuleEngineInfo.FromDate = new WorkDate(1990, 1, 1);
this.RuleEngineInfo.ToDate = new WorkDate(2010, 10, 15);
this.RuleEngineInfo.Variants.Add("averaging", new int[] { 38 });
this.RuleEngineInfo.MinimumInvestment = 5000.0;
this.RuleEngineInfo.TargetPositions = 10;
this.RuleEngineInfo.MaxLoss = 0.90;
this.RuleEngineInfo.Depot.DefaultTrailingGap = 10;
// Create virtual instuments:
// Create DAXex from DAX-Index
DataContainer dax = DBEngine.GetInstance().GetQuotes("846900").Clone();
DataContainer put = new DataContainer();
double dRef = dax[dax.OldestDate];
for (WorkDate workdate = dax.OldestDate.Clone(); workdate <= dax.YoungestDate; workdate++)
{
put[workdate] = 100.0 * dRef / dax[workdate];
dax[workdate] = dax[workdate] / 100.0;
}
DBEngine.GetInstance().AddVirtualInvestment("dax_long", "DAX EX", dax);
DBEngine.GetInstance().AddVirtualInvestment("dax_short", "DAX EX Short", put);
// Create some fixed growth investment stocks
DataContainer fixedGrowth = FixedGrowthInvestment.CreateFrom(dax.OldestDate, dax.YoungestDate, 2);
DBEngine.GetInstance().AddVirtualInvestment("Bond", "Festgeld", fixedGrowth);
fixedGrowth = FixedGrowthInvestment.CreateFrom(dax.OldestDate, dax.YoungestDate, 10);
DBEngine.GetInstance().AddVirtualInvestment("TargetPerf", "Soll-Performance", fixedGrowth);
dax_trend = new DataContainer();
}
public void CreateFrom(DataContainer source, WorkDate today)
{
Console.Out.WriteLine("TrendChannel CreateFrom called\n");
this.Clear();
m_UpperLimit.Clear();
m_LowerLimit.Clear();
for (WorkDate date = new WorkDate(today); date > today - 300 /*source.GetOldestDate()+m_nRange*/; date--)
{
trendLine(m_UpperLimit, source, date, LimitType.UPPER);
trendLine(m_LowerLimit, source, date, LimitType.LOWER);
Console.Out.WriteLine(date);
}
for (WorkDate date = new WorkDate(m_UpperLimit.OldestDate); date <= m_UpperLimit.YoungestDate; date++)
{
if (m_LowerLimit.Contains(date))
{
this[date] = (m_UpperLimit[date] + m_LowerLimit[date]) / 2.0;
}
}
}
public static DataContainer CreateFrom(DataContainer source, int nRange, PeakType peaktype)
{
if (nRange < 1)
{
throw new ArgumentOutOfRangeException("nRange", nRange, "Must be greater than zero.");
}
DataContainer result = new DataContainer();
WorkDate reference = source.OldestDate.Clone();
reference += nRange;
WorkDate today = reference.Clone();
today += nRange;
WorkDate enddate = source.YoungestDate.Clone();
enddate -= nRange;
double dPeakValue = 0;
while (today <= source.YoungestDate)
{
if (reference <= enddate)
{
if (IsPeak(reference, nRange, peaktype, source))
{
dPeakValue = source[reference];
}
}
result[today] = dPeakValue;
today++;
reference++;
}
return(result);
}
//var model = new ValidationViewModel
//modle
public string this[string columnName]
{
get
{
string result = null;
if (columnName == "FirstName")
{
if (string.IsNullOrEmpty(FirstName))
{
result = "FirstName is a mandatory field!";
}
}
if (columnName == "LastName")
{
if (string.IsNullOrEmpty(LastName))
{
result = "LastName is a mandatory field!";
}
}
if (columnName == "Email")
{
if (string.IsNullOrEmpty(Email))
{
result = "Email a mandatory field!";
}
else if (!EmailValidation.IsValidEmailAddress(Email))
{
result = "The emails address is not valid!!";
}
}
if (columnName == "Phone")
{
if (string.IsNullOrEmpty(Phone))
{
result = "Phone is a mandatory field!";
}
}
if (columnName == "Dob")
{
DateTime hundredYearsPast = DateTime.Now.AddYears(-100);
if (Dob.Equals(null))
{
result = "Dob is a mandatory field!";
}
else if (Dob.CompareTo(DateTime.Now) > 0)
{
result = "Dob should be in the past!";
}
//else if(DateTime.Compare(hundredYearsPast, DateTime.Now.AddYears(-100))< 1)
else if (Dob < hundredYearsPast)
{
result = "Dob not should be in the 100+ years past";
}
}
if (columnName == "WorkDate")
{
DateTime tenYearsPast = DateTime.Now.AddYears(-10);
if (WorkDate.Equals(null))
{
result = "WorkDate is a mandatory field!";
}
else if (WorkDate.CompareTo(DateTime.Now) >= 0)
{
result = "WorkDate should be in the past or Today!";
}
//else if(DateTime.Compare(hundredYearsPast, DateTime.Now.AddYears(-100))< 1)
else if (WorkDate < tenYearsPast)
{
result = "WorkDate should not be in 10+ year past";
}
}
if (columnName == "Hours")
{
if (Hours <= 0 || Hours > 24)
{
result = "Hours must be between 0 and 24";
}
}
if (columnName == "BeginDate")
{
DateTime tenYearsPast = DateTime.Now.AddYears(-10);
if (BeginDate.Equals(null))
{
result = "BeginDate is a mandatory field to Calculate TotalHours for the period!";
}
else if (BeginDate.CompareTo(DateTime.Now) >= 0)
{
result = "BeginDate should be in the past or Today!";
}
//else if(DateTime.Compare(hundredYearsPast, DateTime.Now.AddYears(-100))< 1)
else if (BeginDate < tenYearsPast)
{
result = "BeginDate should not be in 10+ year past";
}
}
if (columnName == "EndDate")
{
DateTime tenYearsPast = DateTime.Now.AddYears(-10);
if (EndDate.Equals(null))
{
result = "EndDate is a mandatory field to Calculate TotalHours for the period!";
}
else if (EndDate.CompareTo(DateTime.Now) >= 0)
{
result = "EndDate should be in the past or Today!";
}
//else if(DateTime.Compare(hundredYearsPast, DateTime.Now.AddYears(-100))< 1)
else if (EndDate < tenYearsPast)
{
result = "EndDate should not be in 10+ year past";
}
}
return(result);
}
}
/// <summary> /// Build a URI to download a set of quotes from a public web site. /// </summary> /// <param name="stock">The stock object that a URI should be build for downloading quotes</param> /// <param name="startdate">The date to start updating quotes</param> /// <param name="enddate">The date to end updating quotes</param> /// <returns>The complete URI that downloaded the quotes from a web site</returns> protected abstract string BuildURI(Stock stock, WorkDate startdate, WorkDate enddate);
//[DisplayName("更新人")]
//[Property]
//[ManyToOne(Column="UpdateUserID")]
//virtual public User UpdateUser { get; set; }
public override string ToString()
{
return(WorkDate.ToShortDateString());
}
public void StepDate()
{
WorkDate today = RuleEngineInfo.Today;
today++;
}
private void analyzeFor(String wkn, String title)
{
const int nInvestPeriodStep = 5;
const int nMaxInvestPeriod = 30;
DBEngine dbengine = DBEngine.GetInstance();
DataContainer dcPerformancesAvg = new DataContainer();
DataContainer[] dcPerformances = new DataContainer[5];
for (int i = 0; i < dcPerformances.Length; i++)
{
dcPerformances[i] = new DataContainer();
}
if (dbengine.Exists(wkn) == false)
{
return;
}
Stock dax = dbengine.GetStock(wkn);
DataContainer quotes = dax.Quotes;
WorkDate fromDate = quotes.YoungestDate.Clone();
fromDate.Set(fromDate.Year - 4, fromDate.Month, 1);
WorkDate endDate = quotes.YoungestDate.Clone() - nMaxInvestPeriod;
DataContainer dax_ranged = quotes.Clone(fromDate);
DataContainer dax_ma200 = MovingAverage.CreateFrom(quotes, 200);
dax_ma200 = dax_ma200.Clone(fromDate);
DataContainer dax_ma38 = MovingAverage.CreateFrom(quotes, 38);
dax_ma38 = dax_ma38.Clone(fromDate);
DataContainer dax_rel_diff_38 = RelativeDifference.CreateFrom(quotes, dax_ma38);
dax_rel_diff_38 = dax_rel_diff_38.Clone(fromDate);
for (; fromDate < endDate; fromDate++)
{
for (int nInvestPeriod = 10; nInvestPeriod <= nMaxInvestPeriod; nInvestPeriod += nInvestPeriodStep)
{
double dPerf = ((quotes[fromDate + nInvestPeriod] / quotes[fromDate]) - 1) * 100.0;
dcPerformances[(nInvestPeriod / nInvestPeriodStep) - 2][fromDate] = dPerf;
}
}
foreach (WorkDate keydate in dcPerformances[0].Dates)
{
double dAvg = dcPerformances[0][keydate] + dcPerformances[1][keydate] + dcPerformances[2][keydate] +
dcPerformances[3][keydate] + dcPerformances[4][keydate];
dAvg /= 5;
dcPerformancesAvg[keydate] = dAvg;
}
DataContainer upperBarrier = dax_ranged.Clone();
upperBarrier.Set(5);
DataContainer middleBarrier = dax_ranged.Clone();
middleBarrier.Set(0);
DataContainer lowerBarrier = dax_ranged.Clone();
lowerBarrier.Set(-5);
// Create ProfitStatistik
Chart chart = new Chart();
chart.Width = 1500;
chart.Height = 800;
chart.Format = Chart.OutputFormat.SVG;
chart.Clear();
chart.LineWidth = 1;
chart.SubSectionsX = 6;
chart.TicsYInterval = 5;
chart.LogScaleY = false;
chart.Title = title + " Performance and MA 38/200\\n" +
dax_rel_diff_38.OldestDate.ToString() + " - " + dax_rel_diff_38.YoungestDate.ToString();
chart.LabelY = "Performance (%)";
chart.RightDate = quotes.YoungestDate + 10;
/*chart.Add(dcPerformances[0], Chart.LineType.SkyBlue, "10");
* chart.Add(dcPerformances[1], Chart.LineType.SkyBlue, "15");
* chart.Add(dcPerformances[2], Chart.LineType.SkyBlue, "20");
* chart.Add(dcPerformances[3], Chart.LineType.SkyBlue, "25");
* chart.Add(dcPerformances[4], Chart.LineType.SkyBlue, "30");*/
chart.Add(dcPerformancesAvg, Chart.LineType.Fuchsia, "Average Profit (5/10/15/20/25/30)");
chart.Add(dax_rel_diff_38, Chart.LineType.MediumBlue, "Rel. diff. to MA38");
chart.Add(upperBarrier, Chart.LineType.MediumRed);
chart.Add(middleBarrier, Chart.LineType.Black);
chart.Add(lowerBarrier, Chart.LineType.MediumGreen);
chart.Create(World.GetInstance().ResultPath + title + "ProfitStatistik");
// Create DAX
chart.Clear();
chart.LogScaleY = true;
chart.TicsYInterval = 200;
chart.Title = title + "\\n" +
dax_ranged.OldestDate.ToString() + " - " + dax_ranged.YoungestDate.ToString();
chart.LabelY = "Punkte (log.)";
chart.RightDate = quotes.YoungestDate + 10;
chart.Add(dax_ranged, Chart.LineType.MediumBlue, "Index");
//chart.Add(short_ranged, Chart.LineType.SeaGreen, "DAX Short");
chart.Add(dax_ma38, Chart.LineType.HeavyGreen, "Moving Average (38)");
chart.Add(dax_ma200, Chart.LineType.MediumRed, "Moving Average (200)");
chart.Create(World.GetInstance().ResultPath + title + "Overview");
}
/// <summary>
/// Download the most recent stock's quote data from a quote server.
/// It downloads max. 500 quote days. This method should be repeatedly called
/// until it loads less than 4 quotes.
/// </summary>
/// <param name="stock">The stock object to be updated</param>
/// <returns>The number of imported days</returns>
public int Load(Stock stock)
{
bool bDoImport = false;
int nImported = 0;
WebRequest webreq;
WebResponse webres;
WorkDate startdate = stock.QuotesClose.YoungestDate.Clone() - 2;
WorkDate enddate = WorkDate.Today;
Log.Info("Downloading quotes from " + startdate + " to " + enddate);
string strURI = BuildURI(stock, startdate, enddate);
Log.Info(strURI);
try
{
webreq = WebRequest.Create(strURI);
webres = webreq.GetResponse();
}
catch (UriFormatException)
{
System.Console.WriteLine("URI invalid. Can not send a web request.");
return(0);
}
catch (WebException)
{
System.Console.WriteLine("Can not send a web request. No network?");
return(0);
}
Stream stream = webres.GetResponseStream();
StreamReader strrdr = new StreamReader(stream);
string strLine = strrdr.ReadLine();
while ((strLine = strrdr.ReadLine()) != null)
{
if (EnableImport(strLine))
{
bDoImport = true;
}
if (DisableImport(strLine))
{
bDoImport = false;
}
if (bDoImport)
{
Log.Info(strLine);
if (ParseAndStore(strLine, stock))
{
nImported++;
}
}
}
strrdr.Close();
stream.Close();
Log.Info("Download and import finished.");
return(nImported);
}