public WtsAnalysisCompareControl Display(string title_)
{
var ctrol = new WtsAnalysisCompareControl();
ctrol.Create(this);
ctrol.DisplayInShowForm(title_);
return ctrol;
}
protected override void OnClick(EventArgs e)
{
BindingList<WtsSeriesAnalyzer.WtRestriction> list = new BindingList<WtsSeriesAnalyzer.WtRestriction>();
Array.ForEach(m_analyzer.SourceWts.ColumnHeadings, delegate(string name_) { list.Add(new WtsSeriesAnalyzer.WtRestriction(name_)); });
ShowForm sf = new ShowForm();
ApplyWeightRestrictionsControl con = new ApplyWeightRestrictionsControl(list);
sf.Create(con);
DialogResult result = DialogResult.Cancel;
try
{
result = sf.ShowDialog();
}
catch
{
result = DialogResult.Cancel;
}
if (result == DialogResult.Cancel)
return;
ConstructGen<double> processWeights = m_analyzer.WhatIfTradingRestrictions(list.ToArray());
var res = SI.Data.ReturnsFromFXWeights.DoIt_DailyWeights(processWeights);
GetCov covDel = date_ => Singleton<CovarianceSource>.Instance.GetCovarianceForDateElesePrevious(date_);
WtsSeriesAnalyzer w = new WtsSeriesAnalyzer(
name_: string.Format("{0}_restricted",m_analyzer.Name),
wts_: processWeights,
dailyReturns_: res.CombinedPnl,
covDelegate_: covDel
);
WtsSeriesAnalyzer original = new WtsSeriesAnalyzer(
m_analyzer.Name,
m_analyzer.SourceWts,
m_analyzer.Performance,
covDel);
List<WtsSeriesAnalyzer> ll = new List<WtsSeriesAnalyzer>();
ll.Add(original);
ll.Add(w);
WtsAnalysisCompareControl comparer = new WtsAnalysisCompareControl();
comparer.Create(ll);
comparer.DisplayInShowForm(string.Format("{0} before and after restricted weights", m_analyzer.Name));
}
private void btnRunStratAgainstEnvironment_Click(object sender, EventArgs e)
{
var kvp = SI.Research.FXStrat.BacktestHelper.getWE(m_calc.Strat);
var cum = new DatedDataCollectionGen<double>(kvp.Value.All.Dates, kvp.Value.All.CumulativeReturnSeries);
var result = m_calc.Run_newPnl_changes(kvp);
var newDaily = result.Item1;
var multChanges = result.Item2;
lineChartDataDisplayBottom.ClearSeries();
lineChartDataDisplayBottom.AddSeries(cum, "Original", 40, "##0.0#%");
lineChartDataDisplayBottom.AddSeries(newDaily.ToCumulative(), "New", 40, "##0.0#%");
var newWts = m_calc.GiveMeProcessedWeights();
var listOfControls = new List<KeyValuePair<string, Control>>();
if (cbShowAfterTransformStats.Checked)
{
listOfControls.Add(new KeyValuePair<string, Control>(
"New performance stats",
new ReturnsEval.DataSeriesEvaluator(newDaily.Dates, newDaily.Data, "New", ReturnsEval.DataSeriesType.Returns)
.GetReturnsDisplay()
));
}
if (cbShowBeforeEval.Checked)
{
listOfControls.Add(new KeyValuePair<string, Control>(
"Original performance stats",
kvp.Value.GetReturnsDisplay()
));
}
if (cbShowNewWeights.Checked)
{
listOfControls.Add(new KeyValuePair<string, Control>(
"New weights",
newWts.DisplayInGrid("New weights", false)
));
}
if (cbShowNewWeightsAnalysis.Checked)
{
var contr = new WtsAnalysisCompareControl();
var listOfWts = new List<WtsSeriesAnalyzer>();
//listOfWts.Add(new Strategy.WtsAnalysis.WtsSeriesAnalyzer("Original", kvp.Key,
// kvp.Value.GetInnerDailyAsConstruct(), x=>Singleton<CovarianceSource>.Instance.GetCovarianceForDateElesePrevious(x)));
//listOfWts.Add(new Strategy.WtsAnalysis.WtsSeriesAnalyzer("New", newWts,
// ReturnsFromFXWeights.DoIt_DailyWeights(newWts).CombinedPnl,
// x => Singleton<CovarianceSource>.Instance.GetCovarianceForDateElesePrevious(x)));
listOfWts.Add(new WtsSeriesAnalyzer("Original", kvp.Key,
kvp.Value.GetInnerDailyAsConstruct(), null));
listOfWts.Add(new WtsSeriesAnalyzer("New", newWts,
ReturnsFromFXWeights.DoIt_DailyWeights(newWts).CombinedPnl, null));
contr.Create(listOfWts);
listOfControls.Add(new KeyValuePair<string, Control>("Weights analysis", contr));
//var listOfEvals = new List<ReturnsEval.DataSeriesEvaluator>();
//{
// var oldFlow = BacktestHelper.GetFlow(kvp.Key);
// var eval = new ReturnsEval.DataSeriesEvaluator("Original flow", ReturnsEval.DataSeriesType.Returns);
// eval.AddInnerSeries(oldFlow.Dates.ToArray(), oldFlow.ToArray(), oldFlow.ColumnHeadings);
// listOfEvals.Add(eval);
//}
//{
// var newFlow = BacktestHelper.GetFlow(newWts);
// var eval = new ReturnsEval.DataSeriesEvaluator("New flow", ReturnsEval.DataSeriesType.Returns);
// eval.AddInnerSeries(newFlow.Dates.ToArray(), newFlow.ToArray(), newFlow.ColumnHeadings);
// listOfEvals.Add(eval);
//}
//listOfControls.Add(new KeyValuePair<string, Control>(
// "Before/After Flow comparison",
// listOfEvals.GetComparerDisplay()
// ));
}
if (cbShowInComparer.Checked)
{
var listOfEvals = new List<ReturnsEval.DataSeriesEvaluator>();
kvp.Value.Name = "Original";
listOfEvals.Add(kvp.Value);
listOfEvals.Add(new ReturnsEval.DataSeriesEvaluator(newDaily.Dates, newDaily.Data, "New",
ReturnsEval.DataSeriesType.Returns));
listOfControls.Add(new KeyValuePair<string, Control>(
"Before/After Performance Comparison",
listOfEvals.GetComparerDisplay()
));
}
if (listOfControls.Count > 0)
listOfControls.DisplayInShowForm("Results");
//if ((ModifierKeys & Keys.Shift) != 0 && (ModifierKeys & Keys.Control) != 0)
//{
// BacktestHelper.DisplayAvgFlow(kvp.Key, "Before - Average Flow");
// BacktestHelper.DisplayAvgFlow(m_calc.GiveMeProcessedWeights(), "After - Average Flow");
// return;
//}
//if ((ModifierKeys & Keys.Shift) != 0)
//{
// kvp.Value.Display("Original");
// new ReturnsEval.DataSeriesEvaluator(newDaily.Dates, newDaily.Data, "New", ReturnsEval.DataSeriesType.Returns).Display("New");
// return;
//}
//if ((ModifierKeys & Keys.Control) != 0)
//{
// var listOfEvals = new List<ReturnsEval.DataSeriesEvaluator>();
// kvp.Value.Name = "Original";
// listOfEvals.Add(kvp.Value);
// listOfEvals.Add(new ReturnsEval.DataSeriesEvaluator(newDaily.Dates, newDaily.Data, "New",
// ReturnsEval.DataSeriesType.Returns));
// listOfEvals.Display("Comparison");
// return;
//}
}