public PerformanceReportWindow(filterReportDS data, ReportSettings settings)
{
InitializeComponent();
//hiding the tab headers
Style s = new Style();
s.Setters.Add(new Setter(VisibilityProperty, Visibility.Collapsed));
MainTabCtrl.ItemContainerStyle = s;
ViewModel = new PerformanceReportViewModel(data, settings, DialogCoordinator.Instance);
DataContext = ViewModel;
//give instrument pnl chart 30 pixels height for every bar, there's no better way of fitting it to the contents
RealizedPLByInstrumentChart.Height = 50 + ViewModel.Data.pnlByInstrument.Rows.Count * 30;
ROACByInstrumentChart.Height = 50 + ViewModel.Data.instrumentROAC.Rows.Count * 30;
TotalPLByTagChart.Height = 50 + ViewModel.Data.PLByTag.Rows.Count * 30;
AvgPLByTagChart.Height = 50 + ViewModel.Data.PLByTag.Rows.Count * 30;
}
public PerformanceReportViewModel(filterReportDS data, ReportSettings settings, IDialogCoordinator dialogService) : base(null)
{
Data = data;
Settings = settings;
CopyChart = new RelayCommand <PlotView>(x => x.CopyToClipboard());
SaveChart = new RelayCommand <PlotView>(x =>
{
try
{
x.SaveAsPNG();
}
catch (Exception ex)
{
dialogService.ShowMessageAsync(this, "Error saving image", ex.Message);
}
});
//Calculate best fit line for the return vs size scatter chart
double rsq;
double[] b;
MathUtils.MLR(
Data.positionSizesVsReturns.Select(x => x.size).ToList(),
Data.positionSizesVsReturns.Select(x => x.ret).ToList(),
out b,
out rsq);
_retVsSizeBestFitLineConstant = b[0];
_retVsSizeBestFitLineSlope = b[1];
//Calculate best fit line for the return vs length scatter chart
MathUtils.MLR(
Data.tradeLengthsVsReturns.Select(x => x.ret).ToList(),
Data.tradeLengthsVsReturns.Select(x => x.length).ToList(),
out b,
out rsq);
_retVsLengthBestFitLineConstant = b[0];
_retVsLengthBestFitLineSlope = b[1];
//Histograms
try
{
var sharpeHistogram = new Histogram(Enumerable.Select(Data.MCRatios, x => x.Sharpe), 20);
MCSharpeHistogramBuckets = sharpeHistogram.GetBuckets();
var marHistogram = new Histogram(Enumerable.Select(Data.MCRatios, x => x.MAR), 20);
MCMARHistogramBuckets = marHistogram.GetBuckets();
var kRatioHistogram = new Histogram(Enumerable.Select(Data.MCRatios, x => x.KRatio), 20);
MCKRatioHistogramBuckets = kRatioHistogram.GetBuckets("0");
}
catch { } //Yeah this is bad, there's a ton of stupid errors that are not easy to check for...re-do this in the future
//Benchmark stats
if (Settings.Benchmark != null)
{
BenchmarkAlpha = ((filterReportDS.benchmarkStatsRow)Data.benchmarkStats.Rows[0]).alpha;
BenchmarkBeta = ((filterReportDS.benchmarkStatsRow)Data.benchmarkStats.Rows[0]).beta;
BenchmarkCorrelation = ((filterReportDS.benchmarkStatsRow)Data.benchmarkStats.Rows[0]).correlation;
BenchmarkRSquare = ((filterReportDS.benchmarkStatsRow)Data.benchmarkStats.Rows[0]).rsquare;
BenchmarkInformationRatio = ((filterReportDS.benchmarkStatsRow)Data.benchmarkStats.Rows[0]).informationRatio;
BenchmarkActiveReturn = ((filterReportDS.benchmarkStatsRow)Data.benchmarkStats.Rows[0]).activeReturn;
BenchmarkTrackingError = ((filterReportDS.benchmarkStatsRow)Data.benchmarkStats.Rows[0]).trackingError;
BenchmarkInstrument = Settings.Benchmark.Name;
}
//avg cumulative winner/loser returns by day in trade
AvgCumulativeWinnerRets =
Enumerable.Select(data
.AverageDailyRets
.Where(x => !x.IswinnersRetsNull()), x => new KeyValuePair <int, double>(x.day, x.winnersRets))
.ToList();
AvgCumulativeLoserRets =
Enumerable.Select(data
.AverageDailyRets
.Where(x => !x.IslosersRetsNull()), x => new KeyValuePair <int, double>(x.day, x.losersRets))
.ToList();
//build plot models
CreatePLByStrategyChartModel();
CreateCapitalUsageByStrategyChartModel();
CreateRelativeCapitalUsageByStrategyChartModel();
CreateRoacByStrategyChartModel();
CreateMdsChartModel();
CreateTradeRetsByDayAndHourChartModel();
}
public PerformanceReportPageViewModel(IDBContext context, IDialogCoordinator dialogService, MainViewModel parent, IDataSourcer datasourcer)
: base(dialogService)
{
Context = context;
Parent = parent;
Datasourcer = datasourcer;
ReportSettings = new ReportSettings();
TradeFilterSettings = new TradeFilterSettings(Context);
ToggleTagsText = "Select All";
ToggleStratsText = "Select All";
ToggleInstrumentsText = "Deselect All";
Strategies = new ObservableCollection<CheckListItem<Strategy>>();
Tags = new ObservableCollection<CheckListItem<Tag>>();
Instruments = new ObservableCollection<CheckListItem<Instrument>>();
Benchmarks = new ObservableCollection<Benchmark>();
BacktestSeries = new ObservableCollection<QDMS.Instrument>();
CreateCommands();
}
public PerformanceReportViewModel(filterReportDS data, ReportSettings settings, IDialogCoordinator dialogService) : base(null)
{
Data = data;
Settings = settings;
CopyChart = new RelayCommand<PlotView>(x => x.CopyToClipboard());
SaveChart = new RelayCommand<PlotView>(x =>
{
try
{
x.SaveAsPNG();
}
catch (Exception ex)
{
dialogService.ShowMessageAsync(this, "Error saving image", ex.Message);
}
});
//Calculate best fit line for the return vs size scatter chart
double rsq;
double[] b;
MathUtils.MLR(
Data.positionSizesVsReturns.Select(x => x.size).ToList(),
Data.positionSizesVsReturns.Select(x => x.ret).ToList(),
out b,
out rsq);
_retVsSizeBestFitLineConstant = b[0];
_retVsSizeBestFitLineSlope = b[1];
//Calculate best fit line for the return vs length scatter chart
MathUtils.MLR(
Data.tradeLengthsVsReturns.Select(x => x.ret).ToList(),
Data.tradeLengthsVsReturns.Select(x => x.length).ToList(),
out b,
out rsq);
_retVsLengthBestFitLineConstant = b[0];
_retVsLengthBestFitLineSlope = b[1];
//Histograms
try
{
var sharpeHistogram = new Histogram(Enumerable.Select(Data.MCRatios, x => x.Sharpe), 20);
MCSharpeHistogramBuckets = sharpeHistogram.GetBuckets();
var marHistogram = new Histogram(Enumerable.Select(Data.MCRatios, x => x.MAR), 20);
MCMARHistogramBuckets = marHistogram.GetBuckets();
var kRatioHistogram = new Histogram(Enumerable.Select(Data.MCRatios, x => x.KRatio), 20);
MCKRatioHistogramBuckets = kRatioHistogram.GetBuckets("0");
}
catch { } //Yeah this is bad, there's a ton of stupid errors that are not easy to check for...re-do this in the future
//Benchmark stats
if (Settings.Benchmark != null)
{
BenchmarkAlpha = ((filterReportDS.benchmarkStatsRow)Data.benchmarkStats.Rows[0]).alpha;
BenchmarkBeta = ((filterReportDS.benchmarkStatsRow)Data.benchmarkStats.Rows[0]).beta;
BenchmarkCorrelation = ((filterReportDS.benchmarkStatsRow)Data.benchmarkStats.Rows[0]).correlation;
BenchmarkRSquare = ((filterReportDS.benchmarkStatsRow)Data.benchmarkStats.Rows[0]).rsquare;
BenchmarkInformationRatio = ((filterReportDS.benchmarkStatsRow)Data.benchmarkStats.Rows[0]).informationRatio;
BenchmarkActiveReturn = ((filterReportDS.benchmarkStatsRow)Data.benchmarkStats.Rows[0]).activeReturn;
BenchmarkTrackingError = ((filterReportDS.benchmarkStatsRow)Data.benchmarkStats.Rows[0]).trackingError;
BenchmarkInstrument = Settings.Benchmark.Name;
}
//avg cumulative winner/loser returns by day in trade
AvgCumulativeWinnerRets =
Enumerable.Select(data
.AverageDailyRets
.Where(x => !x.IswinnersRetsNull()), x => new KeyValuePair<int, double>(x.day, x.winnersRets))
.ToList();
AvgCumulativeLoserRets =
Enumerable.Select(data
.AverageDailyRets
.Where(x => !x.IslosersRetsNull()), x => new KeyValuePair<int, double>(x.day, x.losersRets))
.ToList();
//build plot models
CreatePLByStrategyChartModel();
CreateCapitalUsageByStrategyChartModel();
CreateRelativeCapitalUsageByStrategyChartModel();
CreateRoacByStrategyChartModel();
CreateMdsChartModel();
CreateTradeRetsByDayAndHourChartModel();
}