public ConstructGen<double> GetWeights(TraderArgs args_)
{
generateRawResults(args_);
// generate all indicators
List<DateTime> rebalDates = getRebalDates(args_);
// save them so we can use them later
args_.RebalDates = rebalDates;
// get the filter construct first
ConstructGen<double> filter = getFilters(args_, rebalDates, m_resultsFilter);
//ConstructDisplay.Show(filter, args_.Products.ToArray(), "Filter Values");
// get the wts
ConstructGen<double>[] wts = getWeights(args_, rebalDates, filter);
if (wts.Length > 0 && args_.CombineWeightArgs != null)
{
// do we want to scale each signal before combining?
if (args_.CombineWeightArgs.ScaleBeforeCombine)
for (int i = 0; i < wts.Length; ++i)
wts[i] = ScaleWeights(wts[i], args_.ScaleToThisVol, args_);
// do we want to scale the allocation to each signal?
if (args_.CombineWeightArgs.ScaleWeightSignalsEnabled)
{
double currAlloc = args_.CombineWeightArgs.StratWeightStartAlloc;
for (int i = 0; i < wts.Length; ++i)
{
wts[i] = wts[i].MultiplyBy(currAlloc);
currAlloc += args_.CombineWeightArgs.StratWeightAllocIncrement;
}
}
}
// combine the different signals
ConstructGen<double> c = wts[0];
if (args_.CombineWeightArgs != null && args_.CombineWeightArgs.CombineMethod == StratCombineMethod.MULT)
{
c = wts[0];
for (int i = 1; i < wts.Length; ++i)
c = multiply(c, wts[i], false);
}
else if (args_.CombineWeightArgs != null && args_.CombineWeightArgs.CombineMethod == StratCombineMethod.AGREE)
{
c = wts[0];
for (int i = 1; i < wts.Length; ++i)
c = agreeSign(c, wts[i]);
}
else if (args_.CombineWeightArgs != null && args_.CombineWeightArgs.CombineMethod == StratCombineMethod.ADD)
{
c = wts[0];
for (int i = 1; i < wts.Length; ++i)
c = c.Plus(wts[i]);
}
else if (args_.CombineWeightArgs != null && args_.CombineWeightArgs.CombineMethod == StratCombineMethod.LIST)
{
System.Diagnostics.Debug.Assert(args_.CombineWeightArgs.AllocList != null, "Combine method has been set to 'LIST' but no allocation list has been set");
System.Diagnostics.Debug.Assert(args_.CombineWeightArgs.AllocList.ArrayLength == wts.Length, "Set of weights to combine doesn't match arraylength of ConstructGen<double> that has been set to express the allocations.");
// get a list of common dates
List<DateTime> commondates = new List<DateTime>();
foreach (DateTime date in wts[0].Dates)
{
for (int i = 1; i < wts.Length; ++i)
if (wts[i].Dates.Contains(date) == false)
continue;
commondates.Add(date);
}
ConstructGen<double> comb = new ConstructGen<double>(wts[0].ArrayLength);
for (int i = 0; i < wts.Length; ++i)
{
foreach (DateTime date in commondates)
{
if(comb.Dates.Contains(date)==false)
comb.SetValues(date,new double[comb.ArrayLength]);
double alloc = args_.CombineWeightArgs.AllocList.GetValue(date, i);
for (int j = 0; j < comb.ArrayLength; ++j)
comb.AddValue(date, j, alloc * wts[i].GetValue(date, j));
}
}
c = comb;
}
else if (args_.CombineWeightArgs == null && wts.Length > 1)
throw new Exception("Don't know how to combine the signals into one.");
else if (args_.CombineWeightArgs != null)
throw new Exception("Strategy combine method not implemented");
// scale to the target vol
if (args_.ScaleToVol)
c = ScaleWeights(c, args_.ScaleToThisVol, args_);
// if we want to
if (args_.RebalFrequency == RebalFreq.Trigger)
processToTrigger(c, args_, this);
//ConstructDisplay.Show(c, args_.Products.ToArray(), "final wts");
c.ColumnHeadings = args_.Products.Select<ProductBase, string>(x => x.ToString()).ToArray<string>();
return c;
}