public void BuildGraph3D(string symbolSource, string firstParameterName, string secondParameterName)
{
SymbolResult input = SymbolResult.Load(symbolSource);
foreach (TestResult currTestResult in input.testResults)
{
foreach (OnePeriodResult currOnePeriodResult in currTestResult.listOnePeriodresult)
{
Graph3DAnalyzer graph3DAnalyzer = new Graph3DAnalyzer();
foreach (var currSRS in currOnePeriodResult.ISResult)
{
graph3DAnalyzer.Process(currSRS.Key[firstParameterName], currSRS.Key[secondParameterName],
currSRS.Value.CalculateConfidenceIntervalLow);
}
Graph3DScript graph3DScript = new Graph3DScript(firstParameterName, secondParameterName, "CalculateConfidenceIntervalLow",
graph3DAnalyzer, Path.Combine(currOnePeriodResult.RoorDirectory, typeof(Graph3DScript).ToString()));
graph3DScript.Save();
}
}
}
static public void RunCalculatePortfolio2(string pathString, PortfolioCalculationType portType, IAbstractLogger logger)
{
double initialDeposit = Double.Parse(ConfigurationManager.AppSettings["InitialDeposit"]);
double reliability = Double.Parse(ConfigurationManager.AppSettings["Reliability"]);
int loss = Int32.Parse(ConfigurationManager.AppSettings["Loss"]);
double minVolume = Double.Parse(ConfigurationManager.AppSettings["MinVolume"]);
double minMarginLevel = Double.Parse(ConfigurationManager.AppSettings["MinMarginLevel"]);
PortfolioRawData portRawData = new PortfolioRawData();
foreach (string path in Directory.GetDirectories(pathString))
{
logger.AddLog(string.Format("Loading {0}", path), IAbstractLoggerMessageType.General);
SymbolResult input = SymbolResult.Load(path);
foreach (TestResult currTestResult in input.testResults)
{
try
{
string testResultName = Path.GetFileName(path) + "_" + currTestResult.Name;
logger.AddLog(string.Format("Analyzing {0}", testResultName), IAbstractLoggerMessageType.General);
PairAdapter adapter = new PairAdapter(testResultName, currTestResult, "TP", "OpenOrderShift");
portRawData.AddPortfolioRawItems(adapter.ProcessAndFill());
}
catch (ArgumentException exc)
{
logger.AddLog("Exception: " + exc.Message, IAbstractLoggerMessageType.Error);
}
}
}
logger.AddLog(string.Format("Calculating Portfolio"), IAbstractLoggerMessageType.General);
double[,] equity, margin;
// portRawData.AddInversePortfolioRawItem();
portRawData.FillArraysForScienceStyleGuys(out equity, out margin);
Mathematics.Portfolio theBestPortfolio = null;
int iterationsNumber = 100;
double lossResult = 0;
for (int iteration = 1; iteration < iterationsNumber; ++iteration)
{
double calculatedLoss = loss * iteration / iterationsNumber;
Mathematics.Portfolio portfolio;
switch (portType)
{
case PortfolioCalculationType.CalculateLinearFast:
portfolio = Mathematics.Portfolio.CalculateLinearFast(equity, margin, initialDeposit,
reliability, calculatedLoss, minMarginLevel, minVolume);
break;
case PortfolioCalculationType.CalculateLinearFastWithoutCorrelation:
Mathematics.PortfolioInput pInput = new Mathematics.PortfolioInput();
pInput.Equity = equity;
pInput.Reliability = reliability;
pInput.MaximumLoss = calculatedLoss;
pInput.InitialDeposit = initialDeposit;
pInput.MarginLevelThreshold = minMarginLevel;
pInput.Margin = margin;
pInput.MinimumCoefficientValue = minVolume;
portfolio = Mathematics.Portfolio.CalculateLinearFastWithoutCorrelation(pInput);
break;
default:
throw new ApplicationException("Not supported PortfolioCalculationType");
}
if (portfolio.Coefficients.Count(p => p > 0) < 5)
{
continue;
}
if (null == theBestPortfolio)
{
theBestPortfolio = portfolio;
lossResult = calculatedLoss;
}
else if (theBestPortfolio.Profit < portfolio.Profit)
{
theBestPortfolio = portfolio;
lossResult = calculatedLoss;
}
}
logger.AddLog(string.Format("Writing portfolio to file"), IAbstractLoggerMessageType.General);
using (StreamWriter stream = new StreamWriter(Path.Combine(pathString, "portfolio.txt")))
{
double[] coefficients = theBestPortfolio.Coefficients;
int i = 0;
foreach (PortfolioRawItem currPortfolioRawItem in portRawData.portfolioRawItems)
{
stream.WriteLine("[Symbol = {0}; {1}] = {2}", currPortfolioRawItem.Symbol, currPortfolioRawItem.StrategyParameter.ToString(';'),
coefficients[i++]);
}
stream.WriteLine("daily profit = {0}", theBestPortfolio.Profit);
stream.WriteLine("When = {0}", theBestPortfolio.When);
stream.WriteLine("Loss = {0}", lossResult);
}
}
