public ConditionalCorrelationAnalyzer(ReturnsEval.DataSeriesEvaluator eval1_, ReturnsEval.DataSeriesEvaluator eval2_)
{
m_eval = eval1_;
m_eval2 = eval2_;
// find common dates
List<DateTime> commonDates = new List<DateTime>();
List<DateTime> stratDates = new List<DateTime>(m_eval.Daily.Dates);
foreach (DateTime date in m_eval2.Daily.Dates)
if (stratDates.Contains(date))
commonDates.Add(date);
QuickSort.Sort<DateTime>(commonDates);
List<double> first = new List<double>();
List<double> second = new List<double>();
// get the values for each of the common dates
foreach (DateTime date in commonDates)
{
first.Add(m_eval.Daily.DataValueOnDate(date));
second.Add(m_eval2.Daily.DataValueOnDate(date));
}
m_eval = new DataSeriesEvaluator(commonDates.ToArray(), first.ToArray(), eval1_.Name, DataSeriesType.Returns);
m_eval2 = new DataSeriesEvaluator(commonDates.ToArray(), second.ToArray(), eval2_.Name, DataSeriesType.Returns);
recalc();
}
public void Create(ReturnsEval.DataSeriesEvaluator eval_, ReturnsEval.Period period_, int[] filterIndicies_)
{
dt.Rows.Clear();
dt.Columns.Clear();
ultraChart.ColorModel.Skin.PEs.Clear();
if (eval_.InnerSeries.Count == 0)
return;
m_eval = eval_;
m_period = period_;
m_filterIndicies = filterIndicies_;
if (m_filterIndicies == null)
{
m_filterIndicies = new int[eval_.InnerSeries.Count];
for (int i = 0; i < m_filterIndicies.Length; ++i) m_filterIndicies[i] = i;
}
dt.Columns.Add("Title", typeof(string));
for(int i=0;i<m_filterIndicies.Length;++i)
{
dt.Columns.Add(eval_.InnerSeries[m_filterIndicies[i]].Name, typeof(double));
ultraChart.ColorModel.Skin.PEs.Add(new PaintElement(ColorAttribute.GetColor(i)));
}
ultraChart.DataSource = dt;
ultraChart.DataBind();
string dateFormat = EnumHelper.GetAttribute<ReturnsEval.DateDisplayFormatAttribute>(period_).Format;
ReturnsEval.DataSeries series = eval_[period_];
for(int j=0;j<series.Dates.Length;++j)
{
DataRow row = dt.NewRow();
row[0] = series.Dates[j].ToString(dateFormat);
for(int i=0;i<m_filterIndicies.Length;++i)
{
row[i + 1] = eval_.InnerSeries[m_filterIndicies[i]][period_].Data[j];
}
dt.Rows.Add(row);
}
ultraChart.DataBind();
}
public void Bind(ReturnsEval.DataSeriesEvaluator evaluator_)
{
m_evaluator = evaluator_;
SI.Controls.Util.ClearBindings(this);
init();
rebind();
if (evaluator_.HasTag(ReturnsEval.DataSeriesEvaluator.Tag.RebalDates))
{
DateTime[] rebalDates = (DateTime[])evaluator_.GetTag(ReturnsEval.DataSeriesEvaluator.Tag.RebalDates);
m_rebalDates = new List<DateTime>(rebalDates);
}
}
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 void Bind(ReturnsEval.DataSeriesEvaluator eval_, int ddIndex_, bool drawdown_)
{
SI.Controls.Util.ClearBindings(this);
ReturnsEval.DrawDown dd = (drawdown_) ? eval_.Daily.DrawDowns[ddIndex_] : eval_.Daily.DrawUps[ddIndex_];
m_eval = eval_;
m_ddIndex = ddIndex_;
m_isDrawdown=drawdown_;
lblValue.Bind(dd, "ValueDown", new Validators.DoubleValidator("#0.00%"));
lblFrom.Bind(dd, "StartDate", new Validators.DateValidator());
lblTo.Bind(dd, "LowDate", new Validators.DateValidator());
lblRecovery.Bind(dd, "RecoveryDate", new Validators.DateValidator());
lblZScore.Bind(dd, "ZScore", new Validators.DoubleValidator("#0.00"));
lblProb.Bind(dd, "Prob", new Validators.DoubleValidator("#0.00%"));
//lblProb.Visible = false;
}
protected override SI.ReturnsEval.DataSeriesEvaluator doPnl(TraderArgs args_, ConstructGen<double> wts_)
{
ConstructGen<double> allCcys = new ConstructGen<double>(Singleton<FXIDs>.Instance.ColumnHeadings);
for (int i = 0; i < args_.Products.Count; ++i)
{
ProductFX prod = (ProductFX)args_.Products[i];
allCcys.SetColumnValues(prod.CoreProduct.ArrayIndex, wts_.Dates.ToArray(), wts_.GetColumnValues(i));
}
var result = ReturnsFromFXWeights.DoIt_DailyWeights(allCcys);
var eval = new ReturnsEval.DataSeriesEvaluator("FX pnl", ReturnsEval.DataSeriesType.Returns);
if (args_.WtIndicators.Any())
eval.Name = string.Format("FX : {0}", args_.WtIndicators[0].ToString());
eval.AddInnerSeries(result.CombinedPnl.Dates.ToArray(), result.CombinedPnl.ToArray(), result.CombinedPnl.ColumnHeadings);
return eval;
}
public void Bind(ReturnsEval.DataSeriesEvaluator eval_)
{
ReturnsEval.DataSeriesEvaluator[] comps;
ultraChart.DataSource = null;
// 1 row per drawdown
// each col is component part (e.g. ccy)
int numRow = Math.Min(5, eval_.Daily.DrawDowns.Length);
int colNum = eval_.InnerSeries.Count;
comps = new ReturnsEval.DataSeriesEvaluator[colNum];
for (int i = 0; i < comps.Length; ++i)
{
comps[i] = new ReturnsEval.DataSeriesEvaluator(
eval_.InnerSeries[i].Daily.Dates,
eval_.InnerSeries[i].Daily.Data,
eval_.InnerSeries[i].Name,
eval_.DataType);
}
// add the columns (one for each component part)
for (int i = 0; i < colNum; ++i)
{
dt.Columns.Add(eval_.InnerSeries[i].Name, typeof(double));
}
for (int rowIndex = 0; rowIndex < numRow; ++rowIndex)
{
DataRow row = dt.NewRow();
for (int colIndex = 0; colIndex < colNum; ++colIndex)
{
comps[colIndex].Evaluate(eval_.Daily.DrawDowns[rowIndex].StartDate, eval_.Daily.DrawDowns[rowIndex].LowDate);
row[colIndex] = comps[colIndex].Daily.TotalReturn * 100;
}
dt.Rows.Add(row);
}
ultraChart.DataSource = dt;
ultraChart.Data.DataBind();
}
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 void Bind(ReturnsEval.DataSeriesEvaluator eval_, int drawdownIndex_, bool isDrawdown_)
{
ReturnsEval.DataSeriesEvaluator[] comps;
// each col is component part (e.g. ccy)
ultraChart.DataSource = null;
int colNum = eval_.InnerSeries.Count;
comps = new ReturnsEval.DataSeriesEvaluator[colNum];
for (int i = 0; i < comps.Length; ++i)
{
comps[i] = new ReturnsEval.DataSeriesEvaluator(
eval_.InnerSeries[i].Daily.Dates,
eval_.InnerSeries[i].Daily.Data,
eval_.InnerSeries[i].Name,
eval_.DataType);
}
// add the columns (one for each component part)
for (int i = 0; i < colNum; ++i)
{
dt.Columns.Add(eval_.InnerSeries[i].Name, typeof(double));
}
ReturnsEval.DrawDown dd = (isDrawdown_) ? eval_.Daily.DrawDowns[drawdownIndex_] : eval_.Daily.DrawUps[drawdownIndex_];
DataRow row = dt.NewRow();
for (int colIndex = 0; colIndex < colNum; ++colIndex)
{
comps[colIndex].Evaluate(dd.StartDate, dd.LowDate);
row[colIndex] = comps[colIndex].Daily.TotalReturn * 100;
}
dt.Rows.Add(row);
ultraChart.DataSource = dt;
ultraChart.Data.DataBind();
}
public static void Test()
{
const int lookback = 5;
const WeightGeneratorType genType = WeightGeneratorType.LongestZScoreOverThreshold;
SpreadWeightGenerator[] arr = new[]
{
new SpreadWeightGenerator(
new WeightGeneratorArgs()
{
Lookback = lookback,
WeightGenerationType = genType,
MinWindowLength = 50,
ZScoreThreshold = 1.3d
},
new SpreadDefinition(
new MonthYearOffset(ComIDs.Sugar, 0, MonthCode.V),
new MonthYearOffset(ComIDs.Sugar, 1, MonthCode.K),
false)),
//new SpreadWeightGenerator(
// new WeightGeneratorArgs()
// {
// Lookback = lookback,
// WeightGenerationType = genType,
// MinWindowLength = 40,
// ZScoreThreshold = 1d
// },
// new SpreadDefinition(
// new MonthYearOffset(ComIDs.Sugar, 0, MonthCode.V),
// new MonthYearOffset(ComIDs.Sugar, 1, MonthCode.K),
// false)),
//new SpreadWeightGenerator(
// new WeightGeneratorArgs()
// {
// Lookback = lookback,
// WeightGenerationType = genType,
// MinWindowLength = 40,
// ZScoreThreshold = 1.5d
// },
// new SpreadDefinition(
// new MonthYearOffset(ComIDs.NatGas, 0, MonthCode.H),
// new MonthYearOffset(ComIDs.NatGas, 0, MonthCode.X),
// false)),
new SpreadWeightGenerator(
new WeightGeneratorArgs()
{
Lookback = lookback,
WeightGenerationType = genType,
MinWindowLength = 60,
ZScoreThreshold = 1.2d
},
new SpreadDefinition(
new MonthYearOffset(ComIDs.NymexGas, 0, MonthCode.H),
new MonthYearOffset(ComIDs.NymexGas, 0, MonthCode.X),
false)),
//new SpreadWeightGenerator(
// new WeightGeneratorArgs()
// {
// Lookback = lookback,
// WeightGenerationType = genType,
// MinWindowLength = 90,
// ZScoreThreshold = 1.7d
// },
// new SpreadDefinition(
// new MonthYearOffset(ComIDs.NatGas, 0, MonthCode.H),
// new MonthYearOffset(ComIDs.NatGas, 0, MonthCode.X),
// false)),
//new SpreadWeightGenerator(
// new WeightGeneratorArgs()
// {
// Lookback = lookback,
// WeightGenerationType = genType,
// MinWindowLength = 40,
// ZScoreThreshold = 1.6d
// },
// new SpreadDefinition(
// new MonthYearOffset(ComIDs.Corn, 0, MonthCode.U),
// new MonthYearOffset(ComIDs.Corn, 0, MonthCode.Z),
// false)),
new SpreadWeightGenerator(
new WeightGeneratorArgs()
{
Lookback = lookback,
WeightGenerationType = genType,
MinWindowLength = 60,
ZScoreThreshold = 1.3d
},
new SpreadDefinition(
new MonthYearOffset(ComIDs.Corn, 0, MonthCode.U),
new MonthYearOffset(ComIDs.Corn, 0, MonthCode.Z),
false)),
//new SpreadWeightGenerator(
// new WeightGeneratorArgs()
// {
// Lookback = lookback,
// WeightGenerationType = genType,
// MinWindowLength = 90,
// ZScoreThreshold = 0.8d
// },
// new SpreadDefinition(
// new MonthYearOffset(ComIDs.Corn, 0, MonthCode.U),
// new MonthYearOffset(ComIDs.Corn, 0, MonthCode.Z),
// false)),
new SpreadWeightGenerator(
new WeightGeneratorArgs()
{
Lookback = lookback,
WeightGenerationType = genType,
MinWindowLength = 40,
ZScoreThreshold = 1.5d
},
new SpreadDefinition(
new MonthYearOffset(ComIDs.Wheat, 0, MonthCode.U),
new MonthYearOffset(ComIDs.Wheat, 0, MonthCode.Z),
false)),
//new SpreadWeightGenerator(
// new WeightGeneratorArgs()
// {
// Lookback = lookback,
// WeightGenerationType = genType,
// MinWindowLength = 50,
// ZScoreThreshold = 1.3d
// },
// new SpreadDefinition(
// new MonthYearOffset(ComIDs.Wheat, 0, MonthCode.U),
// new MonthYearOffset(ComIDs.Wheat, 0, MonthCode.Z),
// false)),
//new SpreadWeightGenerator(
// new WeightGeneratorArgs()
// {
// Lookback = lookback,
// WeightGenerationType = genType,
// MinWindowLength = 70,
// ZScoreThreshold = 1.1d
// },
// new SpreadDefinition(
// new MonthYearOffset(ComIDs.Wheat, 0, MonthCode.U),
// new MonthYearOffset(ComIDs.Wheat, 0, MonthCode.Z),
// false)),
new SpreadWeightGenerator(
new WeightGeneratorArgs()
{
Lookback = lookback,
WeightGenerationType = genType,
MinWindowLength = 50,
ZScoreThreshold = 1.6d
},
new SpreadDefinition(
new MonthYearOffset(ComIDs.RBOB, 0, MonthCode.J),
new MonthYearOffset(ComIDs.RBOB, 0, MonthCode.U),
false)),
};
var comb = new SpreadWeightGeneratorCombiner(arr) {NumDaysForCovariance = 42, TargetVol = 0.06};
comb.Go();
{
var combinedPnl = new ConstructGen<double>(arr.Length);
combinedPnl.ColumnHeadings =
arr.Select(x => string.Format("{0} / {1} / {2}", x.Spread, x.Args.MinWindowLength, x.Args.ZScoreThreshold))
.ToArray();
for (int i = 0; i < arr.Length; ++i)
combinedPnl.SetColumnValues(i, arr[i].GetCombinedPnl());
if (combinedPnl.NeedsToSortKeys())
combinedPnl.SortKeys();
var eval = new ReturnsEval.DataSeriesEvaluator("Combined", ReturnsEval.DataSeriesType.Returns);
eval.AddInnerSeries(combinedPnl.Dates.ToArray(), combinedPnl.ToArray(), combinedPnl.ColumnHeadings);
eval.Display("Combined");
combinedPnl.SumRows().ToCumulative().DisplayLineChart("combined pnl of scaled weights");
}
}
public static void EquityCTAEnviron()
{
//var copperIndex = Singleton<ComIDs>.Instance.First(x => x.Name.Equals("Copper")).ArrayIndex;
//var index =
// Singleton<ComIndexPrices>.Instance.GetData(DataConstants.DATA_START, DateTime.Today)
// .GetColumnValuesAsDDC(copperIndex);
//var index = EquityIndexOfSorts();
//var countries = new[] { "Germany", "US" };
//var instruments =
// Singleton<DBFut_Chains>.Instance.Where(
// x => x.AssetClass.Equals("Fixed Income") && countries.Any(y => y.Equals(x.Country))).ToArray();
var instruments=
Singleton<DBFut_Chains>.Instance.Where(
x => x.AssetClass.Equals("Equities")).ToArray();
foreach (var v in instruments)
{
var px = Singleton<DBFut_ChainGenericCache>.Instance.GetGenericSeries(v);
showCombinedStdevFromMean(px, v.BbgTicker, new[] {21, 42, 63, 89, 100, 126, 150, 189, 252, 512});
}
return;
//var instruments = Singleton<DBFut_Chains>.Instance.Where(x => x.AssetClass.Equals("Equities")).ToArray();
var con = new ConstructGen<double>(instruments.Select(x => x.BbgTicker).ToArray());
for(int i=0;i<instruments.Length;++i)
{
var index = Singleton<DBFut_ChainGenericCache>.Instance.GetGenericSeries(instruments[i]);
if (index == null || index.Length == 0) continue;
var prop = getMADiffPercentiles(index, new PercDiffArgs[]
{
//new PercDiffArgs() {MA1 = 21, MA2 = 42, PercWindow = 126},
//new PercDiffArgs() {MA1 = 21, MA2 = 63, PercWindow = 126},
//new PercDiffArgs() {MA1 = 21, MA2 = 89, PercWindow = 126},
new PercDiffArgs() {MA1 = 42, MA2 = 89, PercWindow = 126},
new PercDiffArgs() {MA1 = 42, MA2 = 126, PercWindow = 126},
new PercDiffArgs() {MA1 = 63, MA2 = 126, PercWindow = 126},
new PercDiffArgs() {MA1 = 89, MA2 = 180, PercWindow = 126},
new PercDiffArgs() {MA1 = 89, MA2 = 252, PercWindow = 126},
new PercDiffArgs() {MA1 = 126, MA2 = 252, PercWindow = 126},
//new PercDiffArgs() {MA1 = 21, MA2 = 42, PercWindow = 252},
//new PercDiffArgs() {MA1 = 21, MA2 = 63, PercWindow = 252},
//new PercDiffArgs() {MA1 = 21, MA2 = 89, PercWindow = 252},
new PercDiffArgs() {MA1 = 42, MA2 = 89, PercWindow = 252},
new PercDiffArgs() {MA1 = 42, MA2 = 126, PercWindow = 252},
new PercDiffArgs() {MA1 = 63, MA2 = 126, PercWindow = 252},
new PercDiffArgs() {MA1 = 89, MA2 = 180, PercWindow = 252},
new PercDiffArgs() {MA1 = 89, MA2 = 252, PercWindow = 252},
new PercDiffArgs() {MA1 = 126, MA2 = 252, PercWindow = 252},
new PercDiffArgs() {MA1 = 42, MA2 = 89, PercWindow = 504},
new PercDiffArgs() {MA1 = 42, MA2 = 126, PercWindow = 504},
new PercDiffArgs() {MA1 = 63, MA2 = 126, PercWindow = 504},
new PercDiffArgs() {MA1 = 89, MA2 = 180, PercWindow = 504},
new PercDiffArgs() {MA1 = 89, MA2 = 252, PercWindow = 504},
new PercDiffArgs() {MA1 = 126, MA2 = 252, PercWindow = 504},
});
//var c = new SI.Controls.LineChartDataDisplay();
//c.AddSeries(index, "index", 40, "##0.0#");
//c.AddSeries(dates_: prop.Dates,
// values_: prop.Data,
// desc_: "prop",
// yAxisExtent_: 40,
// yLabelFormat_: "##0.0#",
// color_: System.Drawing.Color.Orange,
// yAxisLeft_: false);
//c.DisplayInShowForm("blah");
con.SetColumnValues(i, index.ToReturns().MultiplyBy(prop));
}
con.SortKeys();
var eval = new ReturnsEval.DataSeriesEvaluator("combined", DataSeriesType.Returns);
eval.AddInnerSeries(con.Dates.ToArray(), con.ToArray(), con.ColumnHeadings);
eval.Display();
}
public static ReturnsEval.DataSeriesEvaluator DoCommodsPnl(ConstructGen<double> wts_, string name_)
{
var returns = ReturnsFromComWeights.DoIt_DailyWeights(wts_);
var eval = new ReturnsEval.DataSeriesEvaluator(name_, DataSeriesType.Returns);
eval.AddInnerSeries(returns.CombinedPnl.Dates.ToArray(), returns.CombinedPnl.ToArray(),
returns.CombinedPnl.ColumnHeadings);
return eval;
}
public static ReturnsEval.DataSeriesEvaluator DoFXPnl(ConstructGen<double> wts_, string name_,double mult_=1d)
{
var returns = ReturnsFromFXWeights.DoIt_DailyWeights(wts_);
var combReturns = returns.CombinedPnl.MultiplyBy(mult_);
var eval = new ReturnsEval.DataSeriesEvaluator(name_, ReturnsEval.DataSeriesType.Returns);
eval.AddInnerSeries(combReturns.Dates.ToArray(), combReturns.ToArray(),
combReturns.ColumnHeadings);
return eval;
}
protected override void OnClick(EventArgs e)
{
ReturnsEval.DataSeriesEvaluator eval = new ReturnsEval.DataSeriesEvaluator(m_analyzer.Name, ReturnsEval.DataSeriesType.Returns);
eval.AddInnerSeries(m_analyzer.Performance.Dates.ToArray<DateTime>(), m_analyzer.Performance.ToArray(), m_analyzer.SourceWts.ColumnHeadings);
ReturnsEvalDisplay.ReturnsDisplay rd = new ReturnsEvalDisplay.ReturnsDisplay();
rd.RebalDates = m_analyzer.SourceWts.Dates;
rd.Bind(eval);
SI.Controls.ShowForm.Show(rd, eval.Name);
}
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");
}
protected override ReturnsEval.DataSeriesEvaluator doPnl(TraderArgs args_, ConstructGen<double> wts_)
{
var priceReturns =
args_.AllProductPrices(fillInGapsWithPrevious_: true)
.ToReturns(args_.Products.Select(x => x.Convention).ToArray());
var stratReturns = new ConstructGen<double>(priceReturns.ColumnHeadings);
double[] appliedWeights = null;
for (int i = 0; i < priceReturns.Dates.Count; ++i)
{
var date = priceReturns.Dates[i];
var priceReturnsArr = priceReturns.GetValues(date);
if (appliedWeights != null)
{
for (int j = 0; j < priceReturnsArr.Length; ++j)
stratReturns.SetValue(date, j, appliedWeights[j]*priceReturnsArr[j]);
}
if (wts_.Dates.Contains(date))
{
appliedWeights = wts_.GetValues(date);
}
}
var eval = new ReturnsEval.DataSeriesEvaluator("Gen pnl from weights", ReturnsEval.DataSeriesType.Returns);
eval.AddInnerSeries(stratReturns.Dates.ToArray(), stratReturns.ToArray(), stratReturns.ColumnHeadings);
return eval;
}
private void showFXRegion(Data.FXGroup group_)
{
ReturnsEval.DataSeriesEvaluator eval = new ReturnsEval.DataSeriesEvaluator(group_.ToString(), m_evaluator.DataType);
foreach (ReturnsEval.DataSeriesEvaluator innerEval in m_evaluator.InnerSeries)
{
Data.Currency ccy = Singleton<Data.FXIDs>.Instance[innerEval.Name];
if (ccy == null)
continue;
if (ccy.IsGroup(group_))
eval.AddInnerEvaluator(innerEval);
}
eval.Evaluate(eval.All.MinDate, eval.All.MaxDate);
ReturnsDisplay rd = new ReturnsDisplay();
rd.Bind(eval);
SI.Controls.ShowForm.Show(rd, FormBorderStyle.Sizable, null, FindForm().Text + " - " + group_.ToString());
}
