public static void GoMulti()
{
var data = DataRetriever.GetData(indexStart_: "ES", suffix_: "Index", contractIndex_: 1);
var listOfEvals = new List<ReturnsEval.DataSeriesEvaluator>();
foreach (var firstWindow in new[] {5, 10, 15, 20, 25, 50, })
{
var indic = new SI.Research.Technicals.MACross(firstWindow, firstWindow * 2);
var signals = indic.GenerateWeightSeries(data, null);
for (int i = 0; i < signals.Length; ++i)
signals.Data[i] = signals.Data[i] < 0d ? -1d : 1d;
signals = CollapseToChanges(signals);
if (false)
{
var con = new ConstructGen<double>(new[] { "Signal", "CleanPrice" });
con.SetColumnValues(0, signals);
foreach (var date in con.Dates)
con.SetValue(date, 1, data.ValueOnExactDate(date));
con.DisplayInGrid("changes with price levels");
}
//signals.DisplayInGrid("changes");
var pnl = GeneratePnl(data, signals);
var eval = new ReturnsEval.DataSeriesEvaluator(pnl.Dates, pnl.Data, string.Format("ES_{0}", firstWindow), ReturnsEval.DataSeriesType.Returns);
listOfEvals.Add(eval);
}
listOfEvals.Display("blah");
}
public static void Go()
{
// var is like 'dim'
// make an array of size 10 - each initalized to the default double value i.e. 0d
var arr = new double[10];
// I could 'initialise' the values of this array in one call:
arr = new double[] {1, 2, 3, 4, 5, 6, 7, 8, 9, 10};
// an expanding construct is a list
// make a list that I can only put doubles into
var list = new List<double>();
list.Add(1);
list.Add(2);
list.Add(3);
// this is exactly the same as using an intializer:
list = new List<double> {1, 2, 3};
// I can use in built stuff to convert this to an array really easily
double[] arr2 = list.ToArray();
// dictionaries are lookups or hashmaps with types
var birthdays = new Dictionary<string, DateTime>();
birthdays.Add("Ben", new DateTime(1979, 12, 11));
//or
birthdays["Jess"] = new DateTime(1985, 1, 19);
// note, the first method (.Add) will throw an exception if the item already exists, the second method will just overwrite
// might be better to:
if (birthdays.ContainsKey("Ben"))
birthdays.Add("Ben", new DateTime(1979, 12, 11));
// as we're dealing with time series a lot, I have created some classes that make it easier to work with dates and associated values
// first of these is DatedDataCollection<T> where T is normally 'double'.
// these are created with an array of Dates, and an array of 'Ts', which obviously must be of the same length, as the values correspond
// NOTE: creating array on 1st, 3rd, 5th
var dtsArray = new DateTime[] {new DateTime(2001, 1, 1), new DateTime(2001, 1, 3), new DateTime(2001, 1, 5)};
var valuesArray = new double[] {1.21, 1.45, 1.65};
var ddc = new DatedDataCollectionGen<double>(dtsArray, valuesArray);
// obviously you wouldn't put normally create ddc like this - it normally gets populated from calls the the database or bbg initially, but we'll
// look at that later
var date4th = new DateTime(2001, 1, 4);
var value = ddc.ValueOnExactDate(date4th); // this will fail as I'm insisting on the date being exact and there's nothing for 4th
var value2 = ddc.ValueOnDate(date4th); // this will give me a value equal to that on the 3rd, since that is value for max date that is before 4th
var value3 = ddc.ValueOnExactDate_Zero(date4th); // this won't fail but will pass back zero if there isn't an exact date
// I've extended the classes to make it really easy to plot and see stuff
ddc.DisplayColumnChart("Values in column chart");
ddc.DisplayInGrid("values in grid");
ddc.DisplayLineChart("Line chart");
// this might be a bit of a leap, but I could very quickly extract EUR values from bloomberg in the following way, and display in a graph
BbgTalk.HistoryRequester.GetHistory(new DateTime(2001, 1, 1),"EUR Curncy","PX_CLOSE",true)
.DisplayLineChart("EUR from bbg from 2001");
// what's this done?
// BbgTalk.HistoryRequest knows how to connect to bloomberg and pulls out the series as a DatedDataCollection (so long as you're logged into bloomberg)
DatedDataCollectionGen<double> euroSeries = BbgTalk.HistoryRequester.GetHistory(new DateTime(2001, 1, 1),
"EUR Curncy", "PX_CLOSE", true);
// then we displayed in a line chart:
euroSeries.DisplayLineChart("EUR");
// what else could we do with this euro series?
// convert to returns:
var euroReturns = euroSeries.ToReturns();
var cumulative = euroReturns.ToCumulative();
var stdFromMean = euroSeries.ToStdevFromMean(meanWindowLength_: 21, sdWindowLength_: 126);
// I've also done a load of stuff to transform this series, take a look at HelperMethods.
// often, we don't deal with individual price series, though we need inline data
// for this I have made something called ConstructGen<T>, where again, T is normally a double
var firstConstruct = new ConstructGen<double>(9);
// this has made a construct that is set up to store dated values for 9 different variables
// it's good to set the columnHeadings on the construct so you know what they refer to
var headings = new string[] {"AUD", "CAD", "CHF", "EUR", "GBP", "JPY", "NOK", "NZD", "SEK"};
firstConstruct.ColumnHeadings = headings;
// (I'll show you how to do this more easily in a bit...
// let's look at what we can do with construct and how we use it
DateTime conDate = new DateTime(2014, 1, 1);
firstConstruct.SetValue(conDate, 0, 100.2);
// this has set the value for the first column (AUD) on the given Date
// we get it out by:
var v1 = firstConstruct.GetValue(conDate, 0);
// set the second value:
firstConstruct.SetValue(conDate, 1, 45.6);
// this has set the value for the given date for 'CAD'
// we could set all values at once using SetValues rather than SetValue
firstConstruct.SetValues(conDate, new double[] {1, 2, 3, 4, 5, 6, 7, 8, 9});
// and we could get them out using:
double[] allValuesOnDate = firstConstruct.GetValues(conDate);
// there are lots of methods on Construct<T> to make our life easier when dealing with data
// we can fill it up randomly using the SetValues, and then just call SortKeys() to ensure teh dates are in order
firstConstruct.SortKeys();
// this means that we will be iterate over the dates in order when we go through it
// e.g.
foreach (DateTime date in firstConstruct.Dates)
{
var datesVAlues = firstConstruct.GetValues(date);
// here we could process them...
}
// there are methods on ConstructGen<T> to make it easy to see what's in it. e.g.
firstConstruct.DisplayInGrid("Grid of construct values");
firstConstruct.DisplayInDataCollectionDisplay("Display each column as a line in a chart");
// there is also a useful method to get the column of values as a DatedDataCollection<T>
DatedDataCollectionGen<double> firstColumn = firstConstruct.GetColumnValuesAsDDC(0);
// this is an expensive operation FYI, so you wouldn't use this iterating over the dates within the ConstructGen<T> , but it is useful
// ok, now, as we have a set universe of ccys, in the way I extract data from the database (prices / weights / carry / etc) I tend to pull
// out in a standard way, making a ConstructGen<double> with a column for every currency in the universe
// so, for example, if I wanted the spots from the database from 2013 onwards, I would call this
SI.Data.FXSpots spotsProvider = new FXSpots();
ConstructGen<double> spots = spotsProvider.GetData(new DateTime(2013, 1, 1), DateTime.Today);
// this returns me a ConstructGen<double> with 27 columns, with each row being a date
// I can then use the spots values as I wish
// similarly
SI.Data.FXForwards1Wk fwdProvider = new FXForwards1Wk();
ConstructGen<double> fwds = fwdProvider.GetData(new DateTime(2013, 1, 1), DateTime.Today);
// within these classes, the data is cached, so that I don't call the database again if I don't need to
// so if I call for the second time:
var spots2 = spotsProvider.GetData(new DateTime(2013, 1, 1), DateTime.Today);
// ... this won't have hit the database again, but will get from the cached data
// but you'll notice that i have to have a reference to spotsProvider to benefit from the cached data.
// if I was to make the same request from another point in my code, I would have to create a new FXSpots() instance and then call the method on it to get the data
// it can be useful in this instance to make use of what's known as the 'Singleton' pattern.
// This basically provides a means of referring to the same instance every time, in this case so that we make use of cached data
// I have a Singleton<T> wrapper that wraps up a single instance of T so that I know I'm calling methods on the same instance every time
// so I would usually get spots from the database wrapping FXSpots in this. like:
spots = Singleton<FXSpots>.Instance.GetData(new DateTime(2013, 1, 1), DateTime.Today);
// now I could call the method on Singleton<FXSpots>.Instance from anywhere in my code and I would benefit from the caching
// I do tend to use most of the classes that retrive from the database Within SI.Data wrapped in a Singleton
// another example is the class that pulls information about signals
var signals = Singleton<Signals>.Instance;
// this is just a list of SI.Data.Signal classes
}
public static void Go_multiMA3Complex_MR(string futureStart_, string suffix_, int contractIndex_)
{
//var data = DataRetriever.GetData("ES", "Index", contractIndex_);
var data = DataRetriever.GetData(futureStart_, suffix_, contractIndex_);
DataRetriever.ChartData(futureStart_, suffix_, contractIndex_);
//data = Singleton<SI.Data.FXSpots>.Instance.GetData(new DateTime(2003, 1, 1), DateTime.Today).GetColumnValuesAsDDC(SI.Data.Currency.TWD.ArrayIndex);
//data = BbgTalk.HistoryRequester.GetHistory(new DateTime(2009, 1, 1), "ES1 Index", "PX_LAST", true);
var listOfEvals = new List<ReturnsEval.DataSeriesEvaluator>();
var mas = new int[] {5, 10, 15, 20, 25, 30, 35, 40, 45, 50};
mas = new int[] {15};
foreach (var firstWindow in mas )
{
var args = new SI.Research.Technicals.MA3ComplexArgs()
{
MA1Win = firstWindow,
MA2Win = firstWindow*2,
MA3Win = firstWindow*4,
Long = -1d,
Long_1MA = -0.5d,
Long_2MA = 0.5d,
Short = 1d,
Short_1MA = 0.5d,
Short_2MA = -0.5d
};
var indic = new SI.Research.Technicals.MA3ComplexIndicator(args);
var signals = indic.GenerateWeightSeries(data, null);
signals = CollapseToChanges(signals);
if (true)
{
var con = new ConstructGen<double>(new[] { "Signal", "CleanPrice" });
con.SetColumnValues(0, signals);
foreach (var date in con.Dates)
con.SetValue(date, 1, data.ValueOnExactDate(date));
con.DisplayInGrid("changes with price levels");
}
//signals.DisplayInGrid("changes");
var pnl = GeneratePnl(data, signals);
var eval = new ReturnsEval.DataSeriesEvaluator(pnl.Dates, pnl.Data, string.Format("{2}_{0}_{1}", contractIndex_, args.ToString(),futureStart_), ReturnsEval.DataSeriesType.Returns);
listOfEvals.Add(eval);
//eval.Display(eval.Name);
//pnl.ToCumulative().DisplayLineChart("ES");
}
listOfEvals.Display("blah");
}
public static void Compare(string indexStart_, string suffix_)
{
var closePrices = GetData(indexStart_, suffix_);
var closePrices2 = GetData2(indexStart_, suffix_);
var con = new ConstructGen<double>(new string[] { "First", "Second" });
con.SetColumnValues(0, closePrices);
con.SetColumnValues(1, closePrices2);
if (con.NeedsToSortKeys())
con.SortKeys();
con.DisplayInGrid("Compare");
}