public static void RunSignalProportionVolTargetted_BondFutures(bool persist_, bool zScoreIsFromMean_ = false, double scoreShift_ = 0.1)
{
var name = BondFutures_SignalProportionVolTargetted;
var args = getBaseFuturesTraderArgs(x => x.AssetClass.Equals("Fixed Income") && (x.Country.Equals("US") || x.Country.Equals("Germany")));
args.DayOffset = 0;
args.WtIndicators.Add(new Multi_NPeriodMomentum_SharpeFilter_Fade()
{
ZScoreIsFromMean = zScoreIsFromMean_,
ScoreShift = scoreShift_
});
args.ScaleToVol = false;
{
var valWt = new Backtest.Builder.Model.WtScheme();
valWt.ValueWt.Enabled = true;
args.WtIndicators[0].TransformList.Add(valWt);
}
var trader = Singleton<Backtest.TraderGen>.Instance;
var fullStrengthVolTarget = 0.06;
// get the raw weights (unscaled)
var wts = trader.GetWeights(args);
Dictionary<DateTime, double> dailyVolTargets = new Dictionary<DateTime, double>();
// scale each day
foreach (var date in wts.Dates)
{
var dayWts = wts.GetValues(date);
var numNonZero = dayWts.Where(x => Math.Abs(x) > 1e-07).ToArray();
if (numNonZero.Length == 0) continue;
var dayStrength = numNonZero.SumAbs();
var proportion = dayStrength / Convert.ToDouble(numNonZero.Length);
dailyVolTargets.Add(date, proportion * fullStrengthVolTarget);
}
wts = Backtest.TraderGen.DoScaleWeights(wts, args, x => dailyVolTargets[x]);
var pnl = trader.DoPnl(args, wts);
if (persist_)
persistResult(name, wts, pnl);
else
pnl.Display(name + zScoreIsFromMean_);
}
public static void RunSignalProportionVolTargetted_FX(bool persist_, bool zScoreIsFromMean_ = false, double scoreShift_ = 0.1)
{
var name = FX_SignalProportionVolTargetted;
var args = getBaseFXTraderArgs();
args.DayOffset = 0;
args.WtIndicators.Add(new Multi_NPeriodMomentum_SharpeFilter_Fade()
{
ZScoreIsFromMean = zScoreIsFromMean_,
ScoreShift = scoreShift_
});
args.ScaleToVol = false;
{
var valWt = new Backtest.Builder.Model.WtScheme();
valWt.ValueWt.Enabled = true;
args.WtIndicators[0].TransformList.Add(valWt);
}
var trader = Singleton<Backtest.TraderFX>.Instance;
var fullStrengthVolTarget = 0.06;
// get the raw weights (unscaled)
var wts = trader.GetWeights(args);
// scale each day
foreach (var date in wts.Dates)
{
var dayWts = wts.GetValues(date);
var numNonZero = dayWts.Where(x => Math.Abs(x) > 1e-07).ToArray();
if (numNonZero.Length == 0) continue;
var dayStrength = numNonZero.SumAbs();
var proportion = dayStrength / Convert.ToDouble(numNonZero.Length);
var cov = Singleton<SI.Data.ComCovarianceSource>.Instance.GetCovarianceForDateElesePrevious(date, 45);
if (cov == null)
{
if (date.Year < 2002)
{
cov =
Singleton<SI.Data.CovarianceSource>.Instance.GetCovarianceForDateElesePrevious(new DateTime(2002, 1, 2));
}
}
var scaledWts = Backtest.TraderFX.weightFX(dayWts, cov, args, proportion*fullStrengthVolTarget);
wts.SetValues(date, scaledWts);
}
var pnl = trader.DoPnl(args, wts);
if(persist_)
persistResult(name, wts, pnl);
else
pnl.Display(name + zScoreIsFromMean_);
}
public static void RunConstantVolTargetted_BondFutures(bool persist_, bool zScoreIsFromMean_ = false, double scoreShift_ = 0.1)
{
var name = BondFutures_ConstantVolTargetted;
var args = getBaseFuturesTraderArgs(x => x.AssetClass.Equals("Fixed Income") && (x.Country.Equals("US") || x.Country.Equals("Germany")));
args.DayOffset = 0;
{
var volWt = new Backtest.Builder.Model.WtScheme();
volWt.VolWt.Enabled = true;
volWt.VolWt.VolType = Backtest.VolType.hist;
volWt.VolWt.WindowLength = 252;
args.WtIndicators.Add(new Multi_NPeriodMomentum_SharpeFilter_Fade()
{
ZScoreIsFromMean = zScoreIsFromMean_,
ScoreShift = scoreShift_
}
);
args.WtIndicators[0].TransformList.Add(volWt);
}
{
args.ScaleToThisVol = 0.06;
args.ScaleToVol = true;
args.VolTypeForScaling = Backtest.VolType.covar;
}
var trader = Singleton<Backtest.TraderGen>.Instance;
var wts = trader.GetWeights(args);
var pnl = trader.DoPnl(args, wts);
if (persist_)
persistResult(name, wts, pnl);
else
pnl.Display(name + zScoreIsFromMean_);
}
public static void RunConstantVolTargetted_FX(bool persist_, bool zScoreIsFromMean_ = false, double scoreShift_ = 0.1)
{
var name = FX_ConstantVolTargetted;
var args = getBaseFXTraderArgs();
args.DayOffset = 0;
{
var volWt = new Backtest.Builder.Model.WtScheme();
volWt.VolWt.Enabled = true;
volWt.VolWt.VolType = Backtest.VolType.covar;
args.WtIndicators.Add(new Multi_NPeriodMomentum_SharpeFilter_Fade()
{
ZScoreIsFromMean = zScoreIsFromMean_,
ScoreShift = scoreShift_
}
);
args.WtIndicators[0].TransformList.Add(volWt);
}
{
args.ScaleToThisVol = 0.06;
args.ScaleToVol = true;
args.VolTypeForScaling = Backtest.VolType.covar;
}
var trader = Singleton<Backtest.TraderFX>.Instance;
var wts = trader.GetWeights(args);
var pnl = trader.DoPnl(args, wts);
if(persist_)
persistResult(name, wts, pnl);
else
pnl.Display(name + zScoreIsFromMean_);
}