/// <summary>
/// Returns the Simple Custom Sorting Value for the Generator
/// </summary>
/// <param name="cga">CustomGeneratorAnalysis Data</param>
/// <param name="value">Simple Custom Sorting Value</param>
/// <param name="displayName">Simple Custom Sorting Option Display Name</param>
public static void GetSimpleCustomSortingValue(ref CustomGeneratorAnalytics cga,
out float value,
out string displayName)
{
// Set the initial output values
displayName = cga.SimpleSortOption;
value = 0;
// Perform simple custom sorting calculations
switch (cga.SimpleSortOption)
{
case "System Quality Number":
value = Calc.SystemQualityNumber(ref cga.Positions);
break;
}
}
/// <summary>
/// Returns the Simple Custom Sorting Value for the Generator
/// </summary>
/// <param name="cga">CustomGeneratorAnalysis Data</param>
/// <param name="value">Simple Custom Sorting Value</param>
/// <param name="displayName">Simple Custom Sorting Option Display Name</param>
public static void GetSimpleCustomSortingValue(ref CustomGeneratorAnalytics cga,
out float value,
out string displayName)
{
// Set the initial output values
displayName = cga.SimpleSortOption;
value = 0;
// Perform simple custom sorting calculations
switch (cga.SimpleSortOption)
{
case "System Quality Number":
value = Calc.SystemQualityNumber(ref cga.Positions);
break;
}
}
/// <summary>
/// Returns the Advanced Custom Sorting Value for the Generator
/// </summary>
/// <param name="cga">CustomGeneratorAnalysis Data</param>
/// <param name="value">Simple Custom Sorting Value</param>
/// <param name="displayName">Advanced Custom Sorting Option Display Name</param>
public static void GetAdvancedCustomSortingValue(ref CustomGeneratorAnalytics cga,
out float value,
out string displayName)
{
// Set the initial output values
displayName = cga.AdvancedSortOption;
value = 0;
// Build the comparison curve
var curve = new List <double>();
switch (cga.AdvancedSortOptionCompareTo)
{
case "Balance":
foreach (Position pos in cga.Positions)
{
if (pos.Transaction != Transaction.Transfer)
{
curve.Add(pos.Balance);
}
}
break;
case "Balance (with Transfers)":
foreach (Position pos in cga.Positions)
{
curve.Add(pos.Balance);
}
break;
case "Equity":
foreach (Position pos in cga.Positions)
{
if (pos.Transaction != Transaction.Transfer)
{
curve.Add(pos.Equity);
}
}
break;
case "Equity (with Transfers)":
foreach (Position pos in cga.Positions)
{
curve.Add(pos.Equity);
}
break;
}
// Perform advanced custom sorting calculations
const double epsilon = 0.000001;
switch (cga.AdvancedSortOption)
{
case "Correlation":
value = (float)Calc.Correlation(curve);
if (Math.Abs(value - 1) < epsilon)
{
value = 0;
}
break;
}
}
/// <summary>
/// Returns the Advanced Custom Sorting Value for the Generator
/// </summary>
/// <param name="cga">CustomGeneratorAnalysis Data</param>
/// <param name="value">Simple Custom Sorting Value</param>
/// <param name="displayName">Advanced Custom Sorting Option Display Name</param>
public static void GetAdvancedCustomSortingValue(ref CustomGeneratorAnalytics cga,
out float value,
out string displayName)
{
// Set the initial output values
displayName = cga.AdvancedSortOption;
value = 0;
// Build the comparison curve
var curve = new List<double>();
switch (cga.AdvancedSortOptionCompareTo)
{
case "Balance":
foreach (Position pos in cga.Positions)
if (pos.Transaction != Transaction.Transfer)
curve.Add(pos.Balance);
break;
case "Balance (with Transfers)":
foreach (Position pos in cga.Positions)
curve.Add(pos.Balance);
break;
case "Equity":
foreach (Position pos in cga.Positions)
if (pos.Transaction != Transaction.Transfer)
curve.Add(pos.Equity);
break;
case "Equity (with Transfers)":
foreach (Position pos in cga.Positions)
curve.Add(pos.Equity);
break;
}
// Perform advanced custom sorting calculations
const double epsilon = 0.000001;
switch (cga.AdvancedSortOption)
{
case "Correlation":
value = (float) Calc.Correlation(curve);
if (Math.Abs(value - 1) < epsilon)
value = 0;
break;
}
}
