private EquityCurve EcFromEquitySummaries(List <EquitySummary> summaries, Dictionary <DateTime, decimal> depositsWithdrawals)
{
if (summaries.Count == 0)
{
return(new EquityCurve());
}
var ec = new EquityCurve();
decimal lastTotal = summaries[0].Total;
for (int i = 1; i < summaries.Count; i++)
{
var es = summaries[i];
decimal externalCashFlow = depositsWithdrawals.ContainsKey(es.Date) ? depositsWithdrawals[es.Date] : 0;
if (lastTotal != 0)
//make sure we avoid division by zero...equity can't change if we have 0 to start with anyway
{
double ret = (double)(((es.Total - externalCashFlow) - lastTotal) / lastTotal);
ec.AddReturn(ret, es.Date);
}
lastTotal = es.Total;
}
ec.CalcFinalValues(summaries.Last().Date);
return(ec);
}
private EquityCurve EcFromEquitySummaries(Dictionary <DateTime, decimal> summaries, Dictionary <DateTime, decimal> depositsWithdrawals)
{
if (summaries.Count == 0)
{
return(new EquityCurve(100, summaries.First().Key));
}
var ec = new EquityCurve(100, summaries.First().Key);
decimal lastTotal = summaries.First().Value;
bool first = true;
foreach (var kvp in summaries)
{
if (first)
{
first = false;
continue;
}
DateTime date = kvp.Key;
decimal total = kvp.Value;
decimal externalCashFlow = depositsWithdrawals.ContainsKey(date) ? depositsWithdrawals[date] : 0;
if (lastTotal != 0)
//make sure we avoid division by zero...equity can't change if we have 0 to start with anyway
{
double ret = (double)(((total - externalCashFlow) - lastTotal) / lastTotal);
ec.AddReturn(ret, date);
}
lastTotal = total;
}
ec.CalcFinalValues(summaries.Last().Key);
return(ec);
}
/// <summary>
/// Returns false is parsing failed.
/// </summary>
/// <returns></returns>
public bool Import()
{
var dates = new List <DateTime>();
var equityValues = new List <double>();
int count = 0;
foreach (var kvp in RawSplitData)
{
DateTime date;
if (!DateTime.TryParseExact(kvp.Key, DateTimeFormat, CultureInfo.InvariantCulture, DateTimeStyles.None, out date))
{
_dialogService.ShowMessageAsync("Parsing error.",
string.Format("Failed to date value at line {0}: {1}", count, kvp.Key));
return(false);
}
dates.Add(date);
double equity;
if (!double.TryParse(kvp.Value, out equity))
{
_dialogService.ShowMessageAsync("Parsing error.",
string.Format("Failed to parse equity value at line {0}: {1}", count, kvp.Value));
return(false);
}
equityValues.Add(equity);
count++;
}
//Make sure there's sufficient data
if (dates.Count <= 1)
{
_dialogService.ShowMessageAsync("Parsing error.", "Parsed backtest data too short.");
EquityCurve = null;
return(false);
}
//Then generate an EquityCurve using the data
EquityCurve = new EquityCurve(100, dates[0]);
for (int i = 1; i < dates.Count; i++)
{
EquityCurve.AddReturn(equityValues[i] / equityValues[i - 1] - 1, dates[i]);
}
return(true);
}
public PortfolioTracker(Dictionary <int, TimeSeries> data, Dictionary <int, TimeSeries> fxData, List <Trade> trades, string name)
{
_data = data;
_fxData = fxData;
Name = name;
Trades = trades;
TradeTrackers = trades.ToDictionary(t => t.ID, t => new TradeTracker(t));
ProfitLossEquityCurve = new EquityCurve(0);
ProfitLossLongEquityCurve = new EquityCurve(0);
ProfitLossShortEquityCurve = new EquityCurve(0);
RoacEquityCurve = new EquityCurve(1);
RotcEquityCurve = new EquityCurve(1);
Capital = new AllocatedCapital();
Positions = new Dictionary <int, Position>
{
//dummy position used for cash transactions without a related instrument
{ NullInstrumentId, new Position(new Instrument()) }
};
//group cash transactions by date so they're easily accessible
_cashTransactionsByDate =
trades
.Where(x => x.CashTransactions != null)
.SelectMany(x => x.CashTransactions)
.Where(x => x.Type != "Deposits & Withdrawals")
.GroupBy(x => x.TransactionDate.Date)
.ToDictionary(x => x.Key, x => x.ToList());
//group fx transactions
_fxTransactionsByDate =
trades
.Where(x => x.FXTransactions != null)
.SelectMany(x => x.FXTransactions)
.GroupBy(x => x.DateTime.Date)
.ToDictionary(x => x.Key, x => x.ToList());
_allOrders = Trades.Where(x => x.Orders != null).SelectMany(x => x.Orders).ToList();
}
public PortfolioTracker(Dictionary<int, TimeSeries> data, Dictionary<int, TimeSeries> fxData, List<Trade> trades, string name, DateTime firstDate, decimal optionsCapitalUsageMultiplier)
{
_data = data;
_fxData = fxData;
Name = name;
_optionsCapitalUsageMultiplier = optionsCapitalUsageMultiplier;
Trades = trades;
TradeTrackers = trades.ToDictionary(t => t.ID, t => new TradeTracker(t, optionsCapitalUsageMultiplier));
ProfitLossEquityCurve = new EquityCurve(0, firstDate);
ProfitLossLongEquityCurve = new EquityCurve(0, firstDate);
ProfitLossShortEquityCurve = new EquityCurve(0, firstDate);
RoacEquityCurve = new EquityCurve(1, firstDate);
RotcEquityCurve = new EquityCurve(1, firstDate);
Capital = new AllocatedCapital();
Positions = new Dictionary<int, Position>
{
//dummy position used for cash transactions without a related instrument
{ NullInstrumentId, new Position(new Instrument(), _optionsCapitalUsageMultiplier)}
};
//group cash transactions by date so they're easily accessible
_cashTransactionsByDate =
trades
.Where(x => x.CashTransactions != null)
.SelectMany(x => x.CashTransactions)
.Where(x => x.Type != "Deposits & Withdrawals")
.GroupBy(x => x.TransactionDate.Date)
.ToDictionary(x => x.Key, x => x.ToList());
//group fx transactions
_fxTransactionsByDate =
trades
.Where(x => x.FXTransactions != null)
.SelectMany(x => x.FXTransactions)
.GroupBy(x => x.DateTime.Date)
.ToDictionary(x => x.Key, x => x.ToList());
_allOrders = Trades.Where(x => x.Orders != null).SelectMany(x => x.Orders).ToList();
}
/// <summary>
/// Returns false is parsing failed.
/// </summary>
/// <returns></returns>
public bool Import()
{
var dates = new List<DateTime>();
var equityValues = new List<double>();
int count = 0;
foreach(var kvp in RawSplitData)
{
DateTime date;
if(!DateTime.TryParseExact(kvp.Key, DateTimeFormat, CultureInfo.InvariantCulture, DateTimeStyles.None, out date))
{
_dialogService.ShowMessageAsync(this, "Parsing error.",
string.Format("Failed to date value at line {0}: {1}", count, kvp.Key));
return false;
}
dates.Add(date);
double equity;
if(!double.TryParse(kvp.Value, out equity))
{
_dialogService.ShowMessageAsync(this, "Parsing error.",
string.Format("Failed to parse equity value at line {0}: {1}", count, kvp.Value));
return false;
}
equityValues.Add(equity);
count++;
}
//Make sure there's sufficient data
if (dates.Count <= 1)
{
_dialogService.ShowMessageAsync(this, "Parsing error.", "Parsed backtest data too short.");
EquityCurve = null;
return false;
}
//Then generate an EquityCurve using the data
EquityCurve = new EquityCurve(100, dates[0]);
for (int i = 1; i < dates.Count; i++)
{
EquityCurve.AddReturn(equityValues[i] / equityValues[i - 1] - 1, dates[i]);
}
return true;
}
/// <summary>
/// generate EC and other curves for a benchmark
/// </summary>
public static EquityCurve GetBenchmarkReturns(
int benchmarkID,
DBContext context,
List<DateTime> datesInPeriod,
IDataSourcer dataSourcer,
out Dictionary<DateTime, double> benchmarkSeries,
out List<double> benchmarkReturns)
{
Logger logger = LogManager.GetCurrentClassLogger();
List<BenchmarkComponent> components = context.BenchmarkComponents.Where(x => x.BenchmarkID == benchmarkID).ToList();
DateTime earliestDate = datesInPeriod[0].Date;
DateTime latestDate = datesInPeriod.Last();
Dictionary<int, TimeSeries> data =
components
.ToDictionary(
component => component.QDMSInstrumentID,
component => new TimeSeries(
dataSourcer.GetExternalData(component.QDMSInstrumentID, earliestDate, latestDate)));
Dictionary<int, decimal> weights = components.ToDictionary(x => x.QDMSInstrumentID, x => (decimal)x.Weight);
benchmarkSeries = new Dictionary<DateTime, double>();
benchmarkReturns = new List<double>();
var benchmarkEC = new EquityCurve(1, null);
decimal equity = 1;
bool first = true;
foreach (DateTime today in datesInPeriod)
{
decimal ret = 0;
foreach (var kvp in data)
{
var ts = kvp.Value;
ts.ProgressTo(today);
if (ts.CurrentBar > 0)
{
decimal todayClose = ts[0].AdjClose.HasValue ? ts[0].AdjClose.Value : ts[0].Close;
decimal lastClose = ts[1].AdjClose.HasValue ? ts[1].AdjClose.Value : ts[1].Close;
ret += weights[kvp.Key] * (todayClose / lastClose - 1);
#if DEBUG
logger.Log(LogLevel.Trace, "Benchmark component: Date: {0} Close: {1} PrevClose: {2} Ret: {3}", today, todayClose, lastClose, ret);
#endif
}
}
benchmarkEC.AddReturn((double)ret, today);
if (first)
{
first = false;
benchmarkReturns.Add((double)(1 + ret));
benchmarkSeries.Add(today, (double)equity);
continue;
}
equity *= 1 + ret;
benchmarkReturns.Add((double)(1 + ret));
benchmarkSeries.Add(today, (double)equity);
}
return benchmarkEC;
}
/// <summary>
/// generate EC and other curves for a benchmark
/// </summary>
public static EquityCurve GetBenchmarkReturns(
int benchmarkID,
DBContext context,
List <DateTime> datesInPeriod,
IDataSourcer dataSourcer,
out Dictionary <DateTime, double> benchmarkSeries,
out List <double> benchmarkReturns)
{
Logger logger = LogManager.GetCurrentClassLogger();
List <BenchmarkComponent> components = context.BenchmarkComponents.Where(x => x.BenchmarkID == benchmarkID).ToList();
DateTime earliestDate = datesInPeriod[0].Date;
DateTime latestDate = datesInPeriod.Last();
Dictionary <int, TimeSeries> data =
components
.ToDictionary(
component => component.QDMSInstrumentID,
component => new TimeSeries(
dataSourcer.GetExternalData(component.QDMSInstrumentID, earliestDate, latestDate)));
Dictionary <int, decimal> weights = components.ToDictionary(x => x.QDMSInstrumentID, x => (decimal)x.Weight);
benchmarkSeries = new Dictionary <DateTime, double>();
benchmarkReturns = new List <double>();
var benchmarkEC = new EquityCurve(1);
decimal equity = 1;
bool first = true;
foreach (DateTime today in datesInPeriod)
{
decimal ret = 0;
foreach (var kvp in data)
{
var ts = kvp.Value;
ts.ProgressTo(today);
if (ts.CurrentBar > 0)
{
decimal todayClose = ts[0].AdjClose.HasValue ? ts[0].AdjClose.Value : ts[0].Close;
decimal lastClose = ts[1].AdjClose.HasValue ? ts[1].AdjClose.Value : ts[1].Close;
ret += weights[kvp.Key] * (todayClose / lastClose - 1);
#if DEBUG
logger.Log(LogLevel.Trace, "Benchmark component: Date: {0} Close: {1} PrevClose: {2} Ret: {3}", today, todayClose, lastClose, ret);
#endif
}
}
benchmarkEC.AddReturn((double)ret, today);
if (first)
{
first = false;
benchmarkReturns.Add((double)(1 + ret));
benchmarkSeries.Add(today, (double)equity);
continue;
}
equity *= 1 + ret;
benchmarkReturns.Add((double)(1 + ret));
benchmarkSeries.Add(today, (double)equity);
}
return(benchmarkEC);
}
public static void GetRatios(EquityCurve ec, int daysInPeriod, out double sharpeRatio, out double marRatio, out double kRatio)
{
GetRatios(ec.Equity, ec.DrawdownPct, daysInPeriod, out sharpeRatio, out marRatio, out kRatio);
}
public static Dictionary <string, string> EquityCurveStats(EquityCurve ec, int calendarDaysInPeriod)
{
if (ec.Returns.Count <= 1)
{
return(new Dictionary <string, string>());
}
var stats = new Dictionary <string, string>();
var ds = new DescriptiveStatistics(ec.Returns);
stats.Add("Average Return", ds.Mean.ToString("p3"));
stats.Add("Total Period Return", ((ec.Equity.Last() / ec.Equity.First()) - 1).ToString("p2"));
double cagr = Math.Pow(ec.Equity.Last() / ec.Equity.First(), 365.0 / calendarDaysInPeriod) - 1;
stats.Add("CAGR", cagr.ToString("p2"));
stats.Add("Standard Deviation (Daily)", ds.StandardDeviation.ToString("p2"));
stats.Add("Standard Deviation (Annualized)", (ds.StandardDeviation * Math.Sqrt(252)).ToString("p2"));
stats.Add("Skewness", ds.Skewness.ToString("0.00"));
stats.Add("Best day", ds.Maximum.ToString("p2"));
stats.Add("Worst day", ds.Minimum.ToString("p2"));
stats.Add("Average Up Day", ec.Returns.Any(x => x > 0) ? ec.Returns.Where(x => x > 0).Average().ToString("p2") : "-");
stats.Add("Average Down Day", ec.Returns.Any(x => x < 0) ? ec.Returns.Where(x => x < 0).Average().ToString("p2") : "-");
if (ec.Returns.Any(x => x > 0) && ec.Returns.Any(x => x < 0))
{
stats.Add("Risk:Reward", (ec.Returns.Where(x => x > 0).Average() / -ec.Returns.Where(x => x < 0).Average()).ToString("0.00"));
}
else
{
stats.Add("Risk:Reward", "-");
}
double zeroLimit = 0.0000001;
stats.Add("% Up Days", ((double)ec.Returns.Count(x => x > zeroLimit) / ec.Returns.Count).ToString("p1"));
stats.Add("% Down Days", ((double)ec.Returns.Count(x => x < -zeroLimit) / ec.Returns.Count).ToString("p1"));
stats.Add("% Flat Days", ((double)ec.Returns.Count(x => Math.Abs(x) < zeroLimit) / ec.Returns.Count).ToString("p1"));
double grossWin = ec.Returns.Where(x => x > 0).Sum();
stats.Add("Gross Win", grossWin.ToString("p2"));
double grossLoss = ec.Returns.Where(x => x < 0).Sum();
stats.Add("Gross Loss", grossLoss.ToString("p2"));
stats.Add("Profit Factor", grossLoss != 0 ? (grossWin / -grossLoss).ToString("0.00") : "-");
double downsideDeviation = ec.Returns.DownsideDeviation(0);
double upsideDeviation = ec.Returns.Where(x => x > 0).StandardDeviation();
stats.Add("Volatility Skewness", (upsideDeviation / downsideDeviation).ToString("0.00"));
stats.Add("Max Drawdown", ec.DrawdownPct.Min().ToString("p2"));
stats.Add("Average Drawdown", ec.DrawdownPct.Average().ToString("p2"));
if (ec.DrawdownLengths.Count > 0)
{
stats.Add("Longest Drawdown", ec.DrawdownLengths.Max().TotalDays.ToString("0.0") + " days");
}
else
{
stats.Add("Longest Drawdown", "N/A");
}
string avgDDLengthStat = "N/A";
if (ec.DrawdownLengths.Count > 0)
{
avgDDLengthStat = ec.DrawdownLengths.Select(x => x.TotalDays).Average().ToString("0.00") + " days";
}
stats.Add("Average Drawdown Length", avgDDLengthStat);
double sharpe, mar, kratio;
GetRatios(ec, calendarDaysInPeriod, out sharpe, out mar, out kratio);
stats.Add("Sharpe ratio", sharpe.ToString("0.00"));
double sortino = (cagr - Properties.Settings.Default.assumedInterestRate) / (downsideDeviation * Math.Sqrt(252));
stats.Add("Sortino ratio", sortino.ToString("0.00"));
stats.Add("MAR Ratio", mar.ToString("0.00"));
stats.Add("K Ratio", kratio.ToString("0.00"));
double ulcerIndex = Math.Sqrt(ec.DrawdownPct.Sum(x => x * x) / ec.DrawdownPct.Count);
stats.Add("Ulcer Index", (ulcerIndex * 100).ToString("0.00"));
stats.Add("UPI/Martin Ratio", ((cagr - Properties.Settings.Default.assumedInterestRate) / ulcerIndex).ToString("0.00"));
return(stats);
}
public static void GetRatios(EquityCurve ec, int daysInPeriod, out double sharpeRatio, out double marRatio, out double kRatio)
{
GetRatios(ec.Equity, ec.DrawdownPct, daysInPeriod, out sharpeRatio, out marRatio, out kRatio);
}
public static Dictionary<string, string> EquityCurveStats(EquityCurve ec, int calendarDaysInPeriod)
{
if (ec.Returns.Count <= 1) return new Dictionary<string, string>();
var stats = new Dictionary<string, string>();
var ds = new DescriptiveStatistics(ec.Returns);
stats.Add("Average Return", ds.Mean.ToString("p3"));
stats.Add("Total Period Return", ((ec.Equity.Last() / ec.Equity.First()) - 1).ToString("p2"));
double cagr = Math.Pow(ec.Equity.Last() / ec.Equity.First(), 365.0 / calendarDaysInPeriod) - 1;
stats.Add("CAGR", cagr.ToString("p2"));
stats.Add("Standard Deviation (Daily)", ds.StandardDeviation.ToString("p2"));
stats.Add("Standard Deviation (Annualized)", (ds.StandardDeviation * Math.Sqrt(252)).ToString("p2"));
stats.Add("Skewness", ds.Skewness.ToString("0.00"));
stats.Add("Best day", ds.Maximum.ToString("p2"));
stats.Add("Worst day", ds.Minimum.ToString("p2"));
stats.Add("Average Up Day", ec.Returns.Any(x => x > 0) ? ec.Returns.Where(x => x > 0).Average().ToString("p2") : "-");
stats.Add("Average Down Day", ec.Returns.Any(x => x < 0) ? ec.Returns.Where(x => x < 0).Average().ToString("p2") : "-");
if (ec.Returns.Any(x => x > 0) && ec.Returns.Any(x => x < 0))
{
stats.Add("Risk:Reward", (ec.Returns.Where(x => x > 0).Average() / -ec.Returns.Where(x => x < 0).Average()).ToString("0.00"));
}
else
{
stats.Add("Risk:Reward", "-");
}
double zeroLimit = 0.0000001;
stats.Add("% Up Days", ((double)ec.Returns.Count(x => x > zeroLimit) / ec.Returns.Count).ToString("p1"));
stats.Add("% Down Days", ((double)ec.Returns.Count(x => x < -zeroLimit) / ec.Returns.Count).ToString("p1"));
stats.Add("% Flat Days", ((double)ec.Returns.Count(x => Math.Abs(x) < zeroLimit) / ec.Returns.Count).ToString("p1"));
double grossWin = ec.Returns.Where(x => x > 0).Sum();
stats.Add("Gross Win", grossWin.ToString("p2"));
double grossLoss = ec.Returns.Where(x => x < 0).Sum();
stats.Add("Gross Loss", grossLoss.ToString("p2"));
stats.Add("Profit Factor", grossLoss != 0 ? (grossWin / -grossLoss).ToString("0.00") : "-");
double downsideDeviation = ec.Returns.DownsideDeviation(0);
double upsideDeviation = ec.Returns.Where(x => x > 0).StandardDeviation();
stats.Add("Volatility Skewness", (upsideDeviation / downsideDeviation).ToString("0.00"));
stats.Add("Max Drawdown", ec.DrawdownPct.Min().ToString("p2"));
stats.Add("Average Drawdown", ec.DrawdownPct.Average().ToString("p2"));
if(ec.DrawdownLengths.Count > 0)
stats.Add("Longest Drawdown", ec.DrawdownLengths.Max().TotalDays.ToString("0.0") + " days");
else
stats.Add("Longest Drawdown", "N/A");
string avgDDLengthStat = "N/A";
if (ec.DrawdownLengths.Count > 0)
{
avgDDLengthStat = ec.DrawdownLengths.Select(x => x.TotalDays).Average().ToString("0.00") + " days";
}
stats.Add("Average Drawdown Length", avgDDLengthStat);
double sharpe, mar, kratio;
GetRatios(ec, calendarDaysInPeriod, out sharpe, out mar, out kratio);
stats.Add("Sharpe ratio", sharpe.ToString("0.00"));
double sortino = (cagr - Properties.Settings.Default.assumedInterestRate) / (downsideDeviation * Math.Sqrt(252));
stats.Add("Sortino ratio", sortino.ToString("0.00"));
stats.Add("MAR Ratio", mar.ToString("0.00"));
stats.Add("K Ratio", kratio.ToString("0.00"));
double ulcerIndex = Math.Sqrt(ec.DrawdownPct.Sum(x => x * x) / ec.DrawdownPct.Count);
stats.Add("Ulcer Index", (ulcerIndex * 100).ToString("0.00"));
stats.Add("UPI/Martin Ratio", ((cagr - Properties.Settings.Default.assumedInterestRate) / ulcerIndex).ToString("0.00"));
return stats;
}
private EquityCurve EcFromEquitySummaries(Dictionary<DateTime, decimal> summaries, Dictionary<DateTime, decimal> depositsWithdrawals)
{
if (summaries.Count == 0) return new EquityCurve(100, DateTime.Now);
var ec = new EquityCurve(100, summaries.First().Key);
decimal lastTotal = summaries.First().Value;
bool first = true;
foreach(var kvp in summaries)
{
if (first)
{
first = false;
continue;
}
DateTime date = kvp.Key;
decimal total = kvp.Value;
decimal externalCashFlow = depositsWithdrawals.ContainsKey(date) ? depositsWithdrawals[date] : 0;
if (lastTotal != 0)
//make sure we avoid division by zero...equity can't change if we have 0 to start with anyway
{
double ret = (double)(((total - externalCashFlow) - lastTotal) / lastTotal);
ec.AddReturn(ret, date);
}
lastTotal = total;
}
ec.CalcFinalValues(summaries.Last().Key);
return ec;
}
