public static void Go()
{
{
var dailyData = BbgTalk.HistoryRequester.GetHistory(DataRetriever._dataStart, "ES1 Index", "PX_LAST", true);
var dailyChart = dailyData.DisplayLineChart("Daily ES");
var firstWindow = 50;
//dailyChart.AddSeries(HelperMethods.GetRollingStat(dailyData, 21, (x) => HelperMethods.GetK(x)), "K21", 80, "##0.0#");
//var boll = HelperMethods.CalculateBollingerBands(dailyData, 21, 1.5d);
//for (int i = 0; i < boll.ArrayLength; ++i)
//{
// dailyChart.AddSeries(boll.GetColumnValuesAsDDC(i), boll.ColumnHeadings[i], 40, "##0.0");
//}
dailyChart.AddSeries(HelperMethods.GetRollingStat(dailyData, firstWindow, x => x.Average()), "ma1", 40, "##0.0");
dailyChart.AddSeries(HelperMethods.GetRollingStat(dailyData, firstWindow*2, x => x.Average()), "ma2", 40, "##0.0");
dailyChart.AddSeries(HelperMethods.GetRollingStat(dailyData, firstWindow*4, x => x.Average()), "ma3", 40, "##0.0");
dailyChart.AddSeries(HelperMethods.GetRollingStat(dailyData.ToReturns(),42,x=>Statistics.Stdev(x)*Math.Sqrt(252d)), "vol", 80, "##0.0%");
var ma3Args = new SI.Research.Technicals.MA3ComplexArgs()
{
MA1Win = firstWindow,
MA2Win = firstWindow*2,
MA3Win = firstWindow*4
};
var signal = new SI.Research.Technicals.MA3ComplexIndicator(ma3Args).GenerateWeightSeries(dailyData,null);
signal = CollapseToChanges(signal);
signal.DisplayInGrid("signals");
var pnl = GeneratePnl(dailyData, signal);
pnl.ToCumulative().DisplayLineChart("daily ma3 trend");
}
}
public static void Go_ES_NthContract(int contractIndex_ = 1)
{
var data = DataRetriever.GetData("ES", "Index", contractIndex_);
var args = new SI.Research.Technicals.MA3ComplexArgs()
{
MA1Win = 10,
MA2Win = 20,
MA3Win = 40,
Long = -1d,
Long_1MA = -0.5d,
Long_2MA = 0.5d,
Short = 1d,
Short_1MA = 0.5d,
Short_2MA = -0.5d
};
var indic = new SI.Research.Technicals.MA3ComplexIndicator(args);
var signals = indic.GenerateWeightSeries(data, null);
signals = CollapseToChanges(signals);
{
var con = new ConstructGen<double>(new[] { "Signal", "CleanPrice" });
con.SetColumnValues(0, signals);
foreach (var date in con.Dates)
con.SetValue(date, 1, data.ValueOnExactDate(date));
//con.DisplayInGrid("changes with price levels");
}
//signals.DisplayInGrid("changes");
var pnl = GeneratePnl(data, signals);
var chart = pnl.ToCumulative().DisplayLineChart("ES");
chart.AddSeries(data, "FuturePrice", 80, "#,##0.0");
//var percentilRankedVol = HelperMethods.GetRollingStat(data, 48, (x) => Statistics.Stdev(x)).ToPercentileRanked(252);
//for (int i = 0; i < percentilRankedVol.Length; ++i)
// percentilRankedVol.Data[i] = percentilRankedVol.Data[i] < 0.5 ? 0d : 1d;
//chart.AddSeries(percentilRankedVol, "Rolling vol", 120, "#,##0.0%");
}
public static void Go_multiMA3Complex_MR(string futureStart_, string suffix_, int contractIndex_)
{
//var data = DataRetriever.GetData("ES", "Index", contractIndex_);
var data = DataRetriever.GetData(futureStart_, suffix_, contractIndex_);
DataRetriever.ChartData(futureStart_, suffix_, contractIndex_);
//data = Singleton<SI.Data.FXSpots>.Instance.GetData(new DateTime(2003, 1, 1), DateTime.Today).GetColumnValuesAsDDC(SI.Data.Currency.TWD.ArrayIndex);
//data = BbgTalk.HistoryRequester.GetHistory(new DateTime(2009, 1, 1), "ES1 Index", "PX_LAST", true);
var listOfEvals = new List<ReturnsEval.DataSeriesEvaluator>();
var mas = new int[] {5, 10, 15, 20, 25, 30, 35, 40, 45, 50};
mas = new int[] {15};
foreach (var firstWindow in mas )
{
var args = new SI.Research.Technicals.MA3ComplexArgs()
{
MA1Win = firstWindow,
MA2Win = firstWindow*2,
MA3Win = firstWindow*4,
Long = -1d,
Long_1MA = -0.5d,
Long_2MA = 0.5d,
Short = 1d,
Short_1MA = 0.5d,
Short_2MA = -0.5d
};
var indic = new SI.Research.Technicals.MA3ComplexIndicator(args);
var signals = indic.GenerateWeightSeries(data, null);
signals = CollapseToChanges(signals);
if (true)
{
var con = new ConstructGen<double>(new[] { "Signal", "CleanPrice" });
con.SetColumnValues(0, signals);
foreach (var date in con.Dates)
con.SetValue(date, 1, data.ValueOnExactDate(date));
con.DisplayInGrid("changes with price levels");
}
//signals.DisplayInGrid("changes");
var pnl = GeneratePnl(data, signals);
var eval = new ReturnsEval.DataSeriesEvaluator(pnl.Dates, pnl.Data, string.Format("{2}_{0}_{1}", contractIndex_, args.ToString(),futureStart_), ReturnsEval.DataSeriesType.Returns);
listOfEvals.Add(eval);
//eval.Display(eval.Name);
//pnl.ToCumulative().DisplayLineChart("ES");
}
listOfEvals.Display("blah");
}
