protected CommodsMultiScore(ComID[] ccys_, int numDays_)
{
NumDays = numDays_;
ComIndexes = ccys_.Select(x => x.ArrayIndex).ToArray();
Weights = ccys_.Select(x => _RELATIVE_VOLS[x.Name]).ToArray();
Refresh(false);
}
public static ProductCom GetCached(ComID comid_)
{
if (!_CACHE.ContainsKey(comid_.ID))
lock(_CACHE)
if(!_CACHE.ContainsKey(comid_.ID))
_CACHE.Add(comid_.ID, new ProductCom(comid_));
return _CACHE[comid_.ID];
}
public static ConstructGen<PairTrade> CalculateWeights(ComID[] commodities_)
{
// calculate the weighting
var con = new ConstructGen<PairTrade>(commodities_.Select(x => x.Name).ToArray());
for (int i = 0; i < con.ArrayLength; ++i)
con.SetColumnValues(i, CalculateWeights(commodities_[i]));
if (con.NeedsToSortKeys())
con.SortKeys();
return con;
}
public static void Go(ComID[] commodities_, bool dispBW_=false)
{
var wts = CalculateWeights(commodities_);
//wts.DisplayInGrid("weightings");
var pnl = DoPnl(commodities_, wts);
//pnl.DisplayInGrid("pnl");
//return;
var eval = new ReturnsEval.DataSeriesEvaluator("blah", ReturnsEval.DataSeriesType.Returns);
var weightedBW = !dispBW_ ? null : DoBW(commodities_, wts);
for (int i = 0; i < pnl.ArrayLength; ++i)
{
var comPnl = pnl.GetColumnValuesAsDDC(i);
eval.AddInnerSeries(comPnl.Dates, comPnl.Data, pnl.ColumnHeadings[i]);
if (weightedBW != null)
{
var chart = new SI.Controls.LineChartDataDisplay();
chart.AddSeries(
dates_: comPnl.Dates,
values_: comPnl.ToCumulative().Data,
desc_: "pnl",
yAxisExtent_: 40,
yLabelFormat_: "##0.0#%",
yAxisLeft_: true);
var com = weightedBW.GetColumnValuesAsDDC(i);
com = new DatedDataCollectionGen<double>(wts.Dates.ToArray(), wts.Dates.Select(x => com.ValueOnDate(x)).ToArray());
chart.AddSeries(
dates_: com.Dates,
values_: com.Data,
desc_: "bw",
yAxisExtent_: 40,
yLabelFormat_: "##0.0###%",
yAxisLeft_: false);
chart.DisplayInShowForm(commodities_[i].Mnemonic);
}
}
eval.Evaluate();
eval.Display();
}
public static DatedDataCollectionGen<PairTrade> CalculateWeights(ComID comID_)
{
var contracts = Singleton<ComFuturesMetas>.Instance.Where(x => x.ComID == comID_.ID).OrderBy(x => x.LastLastDate);
var startDate = new DateTime(2001, 1, 2); // only have date up until april now
var endDate = new DateTime(2015, 3, 1);
var numContractsToConsider = 6;
var minNumContract = 4;
var rebalDates = Backtest.Trader.GenerateRebalDates(Backtest.RebalFreq.Monthly, startDate);
var dates = new List<DateTime>();
var vals = new List<PairTrade>();
for(int i=0;i<rebalDates.Count && rebalDates[i]<endDate ;++i)
{
var rebalDate = rebalDates[i];
//if (rebalDate == new DateTime(2013, 8, 2))
// System.Diagnostics.Debugger.Break();
var rebalDatePlusBuffer = rebalDate.AddDays(40d);
// we want those contracts that are 'live' now and will be up until next rebal date
var contractsForDate =
contracts.Where(
x =>
x.FirstTrade < rebalDate && x.LastLastDate > rebalDatePlusBuffer
&& x.Prices != null && x.Prices.HasDate(rebalDate))
.OrderBy(x => x.LastLastDate)
.Take(numContractsToConsider)
.ToArray();
if (contractsForDate.Length < minNumContract)
continue;
var prices = new double[contractsForDate.Length];
bool zeroPrice = false;
for (int c = 0; c < contractsForDate.Length; ++c)
{
var conPxs = contractsForDate[c].Prices;
prices[c] = conPxs.ValueOnExactDate(rebalDate);
if (prices[c] == 0d) zeroPrice = true;
}
if (zeroPrice)
continue;
// make it the same length as prices for ease of index, although first entry will be empty
var backw_cont = new double[prices.Length];
for (int c = 0; c < backw_cont.Length - 1; ++c)
backw_cont[c+1] = ((prices[c]/prices[c+1]) - 1d)/
Convert.ToDouble((contractsForDate[c + 1].LastTrade - contractsForDate[c].LastTrade).Days); // divide by the day gap between the contract prices to standardize
int maxBwIndex = 0;
int maxContIndex = 0;
for (int c = 1; c < backw_cont.Length; ++c)
{
maxBwIndex = backw_cont[maxBwIndex] > backw_cont[c] ? maxBwIndex : c;
maxContIndex = backw_cont[maxContIndex] < backw_cont[c] ? maxContIndex : c;
}
// long the most backwardated, short the most contangoed
dates.Add(rebalDate);
vals.Add(new PairTrade()
{
Trade1 = new Trade()
{
Future = contractsForDate[maxBwIndex],
Weight = 1d
},
Trade2 = new Trade()
{
Future = contractsForDate[maxContIndex],
Weight = -1d
},
ContractsConsidered=contractsForDate,
});
}
return new DatedDataCollectionGen<PairTrade>(dates.ToArray(), vals.ToArray());
}
public static ConstructGen<double> DoBW(ComID[] coms_, ConstructGen<PairTrade> pairTrades_)
{
var conRets = new ConstructGen<double>(coms_.Select(x => x.Name).ToArray());
for (int rebalIndex = 0; rebalIndex < pairTrades_.Dates.Count; ++rebalIndex)
{
var rebalDate = pairTrades_.Dates[rebalIndex];
var tradeEndDate = (rebalIndex < (pairTrades_.Dates.Count - 1) ? pairTrades_.Dates[rebalIndex + 1] : DateTime.Today);
var pairTradesOnDay = pairTrades_.GetValues(rebalDate);
for (int i = 0; i < pairTradesOnDay.Length; ++i)
{
var pairTrade = pairTradesOnDay[i];
if (pairTrade == null)
continue;
var rets = pairTrade.WeightedBackwardation.GetSubValues(rebalDate.AddDays(1d), tradeEndDate);
rets = rets.DivideBy(pairTrade.GetStdev(rebalDate, 63) * 3000d);
conRets.SetColumnValues(i, rets);
}
}
conRets.SortKeys();
conRets = conRets.ProcessEachCell(x => (double.IsNaN(x) || double.IsInfinity(x) || double.IsNegativeInfinity(x) ? 0d : x));
return conRets;
}
/// <summary>
/// This is the version that goes short the front and long the 3rd
/// </summary>
/// <param name="comID_"></param>
/// <returns></returns>
public static DatedDataCollectionGen<PairTrade> CalculateWeightsStatic(ComID comID_)
{
var contracts = Singleton<ComFuturesMetas>.Instance.Where(x => x.ComID == comID_.ID).OrderBy(x => x.LastLastDate);
var startDate = new DateTime(2001, 1, 2); // only have date up until april now
var endDate = new DateTime(2015, 3, 1);
var minNumContract = 7;
var rebalDates = Backtest.Trader.GenerateRebalDates(Backtest.RebalFreq.Monthly, startDate);
var dates = new List<DateTime>();
var vals = new List<PairTrade>();
for (int i = 0; i < rebalDates.Count && rebalDates[i] < endDate; ++i)
{
var rebalDate = rebalDates[i];
var rebalDatePlusBuffer = rebalDate.AddDays(40d);
// we want those contracts that are 'live' now and will be up until next rebal date
var contractsForDate =
contracts.Where(
x =>
x.FirstTrade < rebalDate && x.LastLastDate > rebalDatePlusBuffer && x.Prices != null &&
x.Prices.HasDate(rebalDate))
.OrderBy(x => x.LastLastDate)
.ToArray();
if (contractsForDate.Length < minNumContract)
continue;
// short the front, long the third
dates.Add(rebalDate);
vals.Add(new PairTrade()
{
Trade1 = new Trade()
{
Future = contractsForDate[4],
Weight = 1d
},
Trade2 = new Trade()
{
Future = contractsForDate[1],
Weight = -1d
},
ContractsConsidered = contractsForDate
});
}
return new DatedDataCollectionGen<PairTrade>(dates.ToArray(), vals.ToArray());
}
public MonthYearOffset(ComID underlying_, int yearOffset_, MonthCode month_)
{
Underlying = underlying_;
YearOffset = yearOffset_;
Month = month_;
}
public ProductCom(ComID ccy_)
: base(ccy_)
{
}
