protected override void chartSignal(Backtest.ProductBase product_, Controls.LineChartDataDisplay chart_)
{
chart_.ClearSeries();
chart_.AddSeries(product_.Prices, "Prices", 40, "##0.0##");
chart_.AddSeries(HelperMethods.GetRollingStat(product_.Prices, MA, Statistics.Average), "MA", 40, "##0.0##");
var series = product_.Prices;
var rollingStdev = HelperMethods.GetRollingStat(product_.Prices.ToReturns(), 252, x => Statistics.Stdev(x)*Math.Sqrt(252d));
chart_.AddSeries(rollingStdev, "Stdev", 80,
"##0.0#%");
chart_.AddSeries(
HelperMethods.GetRollingStat(rollingStdev, 252, x => HelperMethods.GetPercentRank(x, x.Length - 1)),
"Stdev_Pctile", 120, "0.00");
}
public override void Chart(Controls.LineChartDataDisplay lcdd_, Backtest.ProductBase product_)
{
var pxs = product_.Prices;
lcdd_.ClearSeries();
lcdd_.AddSeries(pxs, string.Format("{0} price", product_.Name), 40, "##0.0##");
if (MA1.HasValue)
lcdd_.AddSeries(HelperMethods.GetRollingStat(pxs, MA1.Value, Statistics.Average),
string.Format("MA({0})", MA1), 40, "##0.0##");
if(MA2.HasValue)
lcdd_.AddSeries(HelperMethods.GetRollingStat(pxs, MA2.Value, Statistics.Average),
string.Format("MA({0})", MA2), 40, "##0.0##");
if (MA3.HasValue)
lcdd_.AddSeries(HelperMethods.GetRollingStat(pxs, MA3.Value, Statistics.Average),
string.Format("MA({0})", MA3), 40, "##0.0##");
}
protected override void chartSignal(Backtest.ProductBase product_, Controls.LineChartDataDisplay chart_)
{
chart_.AddSeries(product_.Prices, "Prices", 40, "##0.0##");
chart_.AddSeries(GenerateWeightSeries(product_, product_.Prices.Dates[0]), "Score", 80, "##0.0%");
}
protected override void chartSignal(ProductBase product_, Controls.LineChartDataDisplay chart_)
{
chart_.AddSeries(product_.Prices, "Pxs", 40, "###0.0##");
chart_.AddSeries(HelperMethods.GetMA(product_.Prices, FastMA), string.Format("MA({0})", FastMA), 40, "###0.0##");
chart_.AddSeries(HelperMethods.GetMA(product_.Prices, SlowMA), string.Format("MA({0})", SlowMA), 40, "###0.0##");
}
protected override void chartSignal(Backtest.ProductBase product_, Controls.LineChartDataDisplay chart_)
{
//chart_.AddSeries(getPeriodReturns(product_.Prices), "NPeriodReturns", 80, "##0.0#%");
//chart_.AddSeries(getZScores(product_.Prices), "zScores", 80, "##0.0#");
chart_.AddSeries(GenerateWeightSeries(product_,null), "SignalScores", 80, "##0.0#");
}
protected override void chartSignal(Backtest.ProductBase product_, Controls.LineChartDataDisplay chart_)
{
var cumultRet = product_.Prices.ToReturns(product_.Convention).ToCumulative();
var ma1 = HelperMethods.GetMA(cumultRet, MA1);
var ma2 = HelperMethods.GetMA(cumultRet, MA2);
var ma3 = HelperMethods.GetMA(cumultRet, MA3);
var ks = HelperMethods.GetRollingStat(cumultRet, KWindow, HelperMethods.GetK);
chart_.ClearSeries();
chart_.AddSeries(cumultRet, "Prices", 40, "##0.0##");
chart_.AddSeries(ma1, string.Format("MA({0})", MA1), 40, "##0.0##");
chart_.AddSeries(ma2, string.Format("MA({0})", MA2), 40, "##0.0##");
chart_.AddSeries(ma3, string.Format("MA({0})", MA3), 40, "##0.0##");
chart_.AddSeries(ks, string.Format("K({0})", KWindow), 80, "##0.0");
}
