/*****************************************************************************
* FUNCTION: RunAnalysis
* Description:
* Parameters: None
*****************************************************************************/
public AnalysisResult RunAnalysis()
{
int i;
bool buy, sell;
string str_expression, str_evaluated_rule;
double gain_loss = 0.0, cash = inPrincipalAmt, investments = 0.0, transaction_amt = 0.0;
int units = 0, units_held = 0, total_transactions = 0;
String[] buy_conditions = inBuyRule.Split(RuleParserInputs.Operators, StringSplitOptions.RemoveEmptyEntries);
String[] sell_conditions = inSellRule.Split(RuleParserInputs.Operators, StringSplitOptions.RemoveEmptyEntries);
AnalysisResult analysis_result = new AnalysisResult();
PercentComplete = 0.0;
//Get the list of functions passed in the current Buy and Sell rules
//(so that we don't have to itterate again for each data point)
current_buy_functions.Clear();
current_sell_functions.Clear();
foreach (Fn func in RuleParserInputs.Fns)
{
foreach (String buy_cond in buy_conditions)
{
if (buy_cond.Contains(StringEnum.GetStringValue(func)))
{
current_buy_functions.Add(func);
}
}
foreach (String sell_cond in sell_conditions)
{
if (sell_cond.Contains(StringEnum.GetStringValue(func)))
{
current_sell_functions.Add(func);
}
}
}
//ex. ((MACD_DIFF > 0) AND (P < AVG[P][-5..0]))
//For every day in data
for (i = 0; i < inEquity.HistoricalPriceDate.Count; i++)
{
//Initialize analysis result values
analysis_result.cash_totals.Add(0.0);
analysis_result.investments_totals.Add(0.0);
analysis_result.net_change_daily.Add(0.0);
analysis_result.units_change_daily.Add(0);
//Evaluate the given historical data point against each of the buy rules
buy = false;
str_evaluated_rule = inBuyRule;
//Get the number of units to buy
units = GetNumberOfUnits(str_evaluated_rule, out str_evaluated_rule, inEquity.HistoricalPrice[i], cash);
//Parse each of the individual conditional expressions and evaluate the overall rule
foreach (String buy_cond in buy_conditions)
{
str_expression = Parse(buy_cond, inEquity, i, current_buy_functions);
str_evaluated_rule = str_evaluated_rule.Replace(buy_cond, str_expression);
}
buy = Evaluate(str_evaluated_rule);
//Update holdings if the buy rule evaluates to True
if (buy)
{
transaction_amt = inEquity.HistoricalPrice[i] * units;
if (cash >= (transaction_amt))
{
units_held += units;
cash -= transaction_amt;
investments = (inEquity.HistoricalPrice[i] * units_held);
total_transactions++;
}
}
//Evaluate the given historical data point against each of the sell rules
sell = false;
str_evaluated_rule = inSellRule;
//Get the number of units to sell
units = GetNumberOfUnits(str_evaluated_rule, out str_evaluated_rule, 1.0, investments);
foreach (String sell_cond in sell_conditions)
{
str_expression = Parse(sell_cond, inEquity, i, current_sell_functions);
str_evaluated_rule = str_evaluated_rule.Replace(sell_cond, str_expression);
}
sell = Evaluate(str_evaluated_rule);
if (sell)
{
transaction_amt = inEquity.HistoricalPrice[i] * units;
if (investments >= transaction_amt)
{
units_held -= units;
cash += transaction_amt;
investments = (inEquity.HistoricalPrice[i] * units_held);
total_transactions++;
units = 0;
}
}
//update Analyis result structure
analysis_result.cash_totals[i] = cash;
analysis_result.investments_totals[i] = investments;
analysis_result.net_change_daily[i] = (cash + investments);
analysis_result.units_change_daily[i] = units_held;
analysis_result.dates_from_to = new Tuple <DateTime, DateTime>(inEquity.HistoricalPriceDate[0],
inEquity.HistoricalPriceDate[inEquity.HistoricalPriceDate.Count - 1]);
if (i > 0)
{
analysis_result.net_change_daily[i] -= (analysis_result.cash_totals[i - 1] +
analysis_result.investments_totals[i - 1]);
analysis_result.units_change_daily[i] -= analysis_result.units_change_daily[i - 1];
}
//Update progress
PercentComplete = ((double)(i + 1) / (double)inEquity.HistoricalPriceDate.Count);
}
PercentComplete = 1.0;
gain_loss = (cash + investments) - inPrincipalAmt;
analysis_result.net_change = gain_loss;
return(analysis_result);
}
private int ExpressionEndIndex(string pRuleString, int pFromIndex)
{
int nesting_level = 0, param_level = 0;
int index1 = 0;
string tempStr = "";
bool isfound = false;
//find the end of the expression
nesting_level = 0;
param_level = 0;
isfound = false;
index1 = pFromIndex;
while (index1 < pRuleString.Length)
{
switch (pRuleString[index1])
{
case '(':
nesting_level++;
break;
case ')':
nesting_level--;
break;
case '[':
param_level++;
break;
case ']':
param_level--;
break;
default:
break;
}
tempStr = pRuleString.SubWord(index1);
try
{
double.Parse(tempStr);
isfound = true;
index1 += tempStr.Length;
}
catch
{
if (RuleParserInputs.Fns.Where(a => StringEnum.GetStringValue(a) == tempStr).Count() > 0)
{
isfound = true;
index1 += tempStr.Length - 1;
}
else if (RuleParserInputs.VarList.Where(a => StringEnum.GetStringValue(a) == tempStr).Count() > 0 &&
(param_level == 0))
{
isfound = true;
index1 += tempStr.Length - 1;
}
}
if (isfound && (param_level == 0) && (nesting_level == 0))
{
//look ahead to the next character in case a valid fn or param string is found
// to ensure the whole parameter is taken
if (index1 < (pRuleString.Length - 1) && pRuleString[index1 + 1] == '[')
{
param_level++;
}
else
{
break;
}
}
index1++;
}
return(index1);
}
/*****************************************************************************
* FUNCTION: Parse
* Description: Replaces a primitive expression with corresponding numeric values
* to enable evaluation.
*
* Ex. (P < AVG[P][-5..0])
* Parameters:
*
*****************************************************************************/
private String Parse(String pExpression, Equity pEqIn, int pIndex, List <Fn> pFNs)
{
string parameter, str_expression, fn_str;
double parameter_value = 0.0;
string[] split_str;
int index1, index2;
Variable in_param;
str_expression = pExpression;
//For each function in the expression being parsed
foreach (Fn func in pFNs)
{
fn_str = "";
if (pExpression.Contains(StringEnum.GetStringValue(func)))
{
//Get the substring containing only the logical expression for this function
index1 = pExpression.IndexOf(StringEnum.GetStringValue(func));
index2 = pExpression.IndexOf("]", index1);
if (pExpression.Length > index2 && pExpression.ToCharArray()[index2 + 1] == '[')
{
index2 = pExpression.IndexOf("]", index2 + 1);
}
fn_str = pExpression.Substring(index1, index2 - index1 + 1);
try
{
//Evaluate the function and replace the substring in the original parent expression with the value
str_expression = str_expression.Replace(fn_str.Trim(), GetFunction(func, pEqIn, fn_str, pIndex).ToString());
}
catch (IndexOutOfRangeException)
{
//The index will be out of range even for a valid command if the function operates on past data that
// isn't available at the start of a series.
//
// Ex. AVG[P][-5..0] --> at the start of the price data series, there aren't 5 previous data points available
// to calculate an average on.
//
// In this case, just return false to allow the rest of the command to be processed.
return("false");
}
catch (Exception)
{
errorIndex[0] = index1;
errorIndex[1] = index2;
return("ERROR");
}
}
}
split_str = str_expression.Split(RuleParserInputs.Comparators, StringSplitOptions.RemoveEmptyEntries);
foreach (string exp_part in split_str)
{
parameter = CleanExpression(exp_part.Trim()).Replace("NOT", "");
if (Helpers.ValidateNumeric(parameter) == false)
{
in_param = GetParameterType(parameter);
try
{
//If the data to be analyzed is one of the MACD signals, ensure the passed index is valid
if (in_param == Variable.MACD_DIFF || in_param == Variable.MACD_SIG)
{
if (pIndex > (pEqIn.HistoricalPrice.Count() - pEqIn.MACD_C.Count()))
{
parameter_value = GetParameter(pEqIn, parameter, pIndex);
str_expression = str_expression.ReplaceFirstOccurrence(parameter, parameter_value.ToString());
}
}
else
{
parameter_value = GetParameter(pEqIn, parameter, pIndex);
str_expression = str_expression.ReplaceFirstOccurrence(parameter, parameter_value.ToString());
}
}
catch (IndexOutOfRangeException)
{
return("false");
}
catch (Exception)
{
errorIndex[0] = 0;
errorIndex[1] = 0;
return("ERROR");
}
}
}
return(str_expression);
}
private String PreprocessRule(String pRuleString)
{
string subexpression = "", returnString = "";
int index1 = 0, index2 = 0;
string indexStr = "", newRule = "";
returnString = pRuleString;
returnString = (new Regex("\\s+")).Replace(returnString, " ");
//Find all instances of the "becomes" keyword and create the edge-detection string
foreach (int index in pRuleString.AllIndexesOf("becomes"))
{
index1 = ExpressionStartIndex(pRuleString, index - 1);
index2 = ExpressionEndIndex(pRuleString, index + 7);
subexpression = pRuleString.Substring(index1, index2 - index1);
//Replace all existing index specifiers with ones decremented by 1
index1 = subexpression.IndexOf('[');
newRule = subexpression;
while (index1 >= 0)
{
index2 = subexpression.IndexOf(']', index1);
if (index2 > index1)
{
indexStr = subexpression.Substring(index1 + 1, index2 - index1 - 1);
}
else
{
break;
}
//replace the indexStr with indexes decremented by 1
foreach (Match si in Regex.Matches(indexStr, "[-]*[0-9]+"))
{
indexStr = indexStr.ReplaceFirstOccurrence(si.Value, (int.Parse(si.Value) - 1).ToString());
}
newRule = newRule.ReplaceFirstOccurrence(subexpression.Substring(index1 + 1, index2 - index1 - 1), indexStr);
index1 = subexpression.IndexOf('[', index2);
}
//For variables used without an index specifier (indicating current data), need to add [-1] specifier
foreach (Variable vari in RuleParserInputs.VarList)
{
MatchCollection mc = Regex.Matches(newRule, "\\b" + StringEnum.GetStringValue(vari) + "\\b");
int i = 0, offset = 0;
while (i < mc.Count)
{
index1 = mc[i++].Index + offset;
index2 = index1 + StringEnum.GetStringValue(vari).Length;
if (newRule[index2] != '[' && newRule[index2] != ']')
{
newRule = newRule.Insert(index2, "[-1]");
offset += 4;
}
}
}
//Create the new subexpression, replacing "becomes" with the same rule using 'previous' indexes
newRule = "(" + subexpression.Replace("becomes", "") + " AND NOT(" + newRule.Replace("becomes", "") + "))";
newRule = newRule.Replace(" ", " ").Trim();
returnString = returnString.Replace(subexpression, newRule);
returnString = (new Regex("\\s+")).Replace(returnString, " ");
}
return(returnString);
}
