public TimeSeries GetTotalReturnTimeSeries()
{
TimeSeries last_ts = this.GetTimeSeries(TimeSeriesType.Close);
if (last_ts == null || last_ts.Count == 0)
{
return(null);
}
int count = last_ts.Count;
DateTime lastDate = last_ts.DateTimes[count - 1];
if (_trDB.ContainsKey(lastDate))
{
return(_trDB[lastDate]);
}
TimeSeries tr_ts = new TimeSeries(1);
tr_ts.AddDataPoint(last_ts.DateTimes[0], last_ts[0]);
var all_corps = this.CorporateActions();
for (int i = 1; i < count; i++)
{
DateTime date = last_ts.DateTimes[i];
DateTime date_1 = last_ts.DateTimes[i - 1];
double value = last_ts[i];
double value_1 = last_ts[i - 1];
double adjustment = 1.0;
foreach (CorporateAction c in all_corps)
{
if (c.ExDate >= date.Date)
{
if (c.Type == "Stock Split")
{
adjustment *= c.Amount;
}
else if (c.Type == "Scrip" && c.Amount != 0.0)
{
adjustment /= c.Amount;
}
else if (c.Type == "Spinoff" && c.Amount != 1.0)
{
adjustment /= 1 - c.Amount;
}
}
}
var corps = this.CorporateActions(date.Date);
if (corps != null)
{
foreach (CorporateAction corp in corps)
{
double amount = corp.Amount;
if (corp.Type != "Stock Split" && corp.Type != "Scrip" && corp.Type != "Spinoff")// && corp.Type != "Rights Issue")
{
value += amount * adjustment;
}
else if (corp.Type == "Spinoff" && corp.Amount != 1.0)
{
value /= 1 - amount;
}
else if (corp.Type == "Stock Split")
{
value *= amount;
}
else if (corp.Type == "Scrip" && corp.Amount != 0.0)
{
value /= amount;
}
}
}
double v_1 = tr_ts[i - 1];
double v = v_1 * (value / value_1);
tr_ts.AddDataPoint(date, v);
}
double scale = last_ts[count - 1] / tr_ts[count - 1];
tr_ts *= scale;
_trDB.TryAdd(lastDate, tr_ts);
return(tr_ts);
}
public TimeSeries GetPriceReturnTimeSeries()
{
TimeSeries last_ts = this.GetTimeSeries(TimeSeriesType.Close);
if (last_ts == null || last_ts.Count == 0)
{
return(null);
}
int count = last_ts.Count;
DateTime lastDate = last_ts.DateTimes[count - 1];
if (_prDB.ContainsKey(lastDate))
{
return(_prDB[lastDate]);
}
TimeSeries tr_ts = new TimeSeries(1);
tr_ts.AddDataPoint(last_ts.DateTimes[0], last_ts[0]);
for (int i = 1; i < count; i++)
{
DateTime date = last_ts.DateTimes[i];
DateTime date_1 = last_ts.DateTimes[i - 1];
double value = last_ts[i];
double value_1 = last_ts[i - 1];
//var corps = this.CorporateActions(date_1.Date);
var corps = this.CorporateActions(date.Date);
if (corps != null)
{
foreach (CorporateAction corp in corps)
{
//Console.WriteLine(corp);
double amount = corp.Amount;
if (corp.Type != "Stock Split" && corp.Type != "Scrip" && corp.Type != "Spinoff")
{
value += amount * 0;// No Dividend Reinvestment
}
else if (corp.Type == "Spinoff" && corp.Amount != 1.0)
{
value /= 1 - amount;
}
else if (corp.Type == "Stock Split")
{
value *= amount;
}
else if (corp.Type == "Scrip" && corp.Amount != 0.0)
{
value /= amount;
}
}
}
double v_1 = tr_ts[i - 1];
double v = v_1 * (value / value_1);
tr_ts.AddDataPoint(date, v);
}
double scale = last_ts[count - 1] / tr_ts[count - 1];
tr_ts *= scale;
_prDB.TryAdd(lastDate, tr_ts);
return(tr_ts);
}
public TimeSeries GetTotalReturnTimeSeries()
{
TimeSeries _last_ts = this.GetTimeSeries(TimeSeriesType.Close);
if (_last_ts == null || _last_ts.Count == 0)
{
return(null);
}
TimeSeries last_ts = _last_ts.RemoveValue(0);
int count = last_ts.Count;
DateTime lastDate = last_ts.DateTimes[count - 1];
if (_trDB.ContainsKey(lastDate))
{
return(_trDB[lastDate]);
}
TimeSeries tr_ts = new TimeSeries(1);
tr_ts.AddDataPoint(last_ts.DateTimes[0], last_ts[0]);
var all_corps = this.CorporateActions();
if (all_corps == null || all_corps.Count == 0)
{
_trDB.TryAdd(lastDate, _last_ts);
return(_last_ts);
}
for (int i = 1; i < count; i++)
{
DateTime date = last_ts.DateTimes[i];
DateTime date_1 = last_ts.DateTimes[i - 1];
double value = last_ts[i];
double value_1 = last_ts[i - 1];
double adjustment = 1.0;
foreach (CorporateAction c in all_corps)
{
if (c.ExDate >= date.Date)
{
// if (c.Type == "Stock Split")
// adjustment *= c.Amount;
// else
if (c.Type == "Scrip" && c.Amount != 0.0)
{
adjustment /= c.Amount;
}
else if (c.Type == "Spinoff" && c.Amount != 1.0)
{
adjustment /= 1 - c.Amount;
}
}
}
var corps = this.CorporateActions(date.Date);
if (corps != null)
{
foreach (CorporateAction corp in corps)
{
double amount = corp.Amount;
if (corp.Type != "Stock Split" && corp.Type != "Scrip" && corp.Type != "Spinoff")// && corp.Type != "Rights Issue")
{
value += amount * adjustment;
}
else if (corp.Type == "Spinoff" && corp.Amount != 1.0)
{
value /= 1 - amount;
}
// else if (corp.Type == "Stock Split")
// {
// if(value / value_1 > amount*0.75 && value / value_1 < amount*1.25)
// {
// Console.WriteLine(" --- APPLY STOCK SPLIT(" + this.Name + "): " + date_1 + " - " + date + " -- " + value_1 + " -> " + value + " | " + amount);
// value *= amount;
// }
// }
else if (corp.Type == "Scrip" && corp.Amount != 0.0)
{
value /= amount;
}
}
}
double v_1 = tr_ts[i - 1];
double v = v_1 * (value_1 == 0.0 ? 1.0 : value / value_1);
tr_ts.AddDataPoint(date, v);
}
double scale = tr_ts[count - 1] == 0.0 ? 1.0 : last_ts[count - 1] / tr_ts[count - 1];
tr_ts *= scale;
_trDB.TryAdd(lastDate, tr_ts);
return(tr_ts);
}
