private void button4_Click(object sender, EventArgs e)
{
//initialize the cursor to waiting while updating
//Cursor = Cursors.WaitCursor;
Cursor = Cursors.WaitCursor;
string sourcePath = System.Configuration.ConfigurationManager.AppSettings["SourceDirectory"];
string destPath = System.Configuration.ConfigurationManager.AppSettings["DestDirectory"];
string ticker = textBox1.Text;
int holdDays = int.Parse(textBox3.Text);
double cutoff = double.Parse(textBox4.Text);
int rollingDays = int.Parse(textBox5.Text);
//instantiate a new back test for the symbol
BackTest test = new BackTest(ticker, sourcePath, cutoff);
test.BackTestLongShort(holdDays, rollingDays);
//update the database for the test results via Entity Framework
try
{
using (NetEntities db = new NetEntities())
{
//use a stored procedure to delete all the data in the database that matches the symbol
db.DeleteData(ticker);
}
string sql = "Select * from Table5";
SQLConnection Test1 = new SQLConnection();
Test1.ExecuteSelect(sql, test.DT);
}
catch
{
Cursor = Cursors.Default;
}
Cursor = Cursors.Default;
}
private void button1_Click(object sender, EventArgs e)
{
string sourcePath = System.Configuration.ConfigurationManager.AppSettings["SourceDirectory"];
string destPath = System.Configuration.ConfigurationManager.AppSettings["DestDirectory"];
string ticker = textBox1.Text;
int holdDays = 0;
double cutoff = 0.00;
int rollingDays = 0;
try
{
holdDays = int.Parse(textBox3.Text);
cutoff = double.Parse(textBox4.Text);
rollingDays = int.Parse(textBox5.Text);
}
catch
{
MessageBox.Show("Inputs are in the wrong format - Try again!");
//Application.Run(new Test.Form1());
Application.ExitThread();
Application.Exit();
Application.Restart();
Environment.Exit(0);
}
Cursor = Cursors.WaitCursor;
//instantiate a new back test for the symbol
BackTest test = new BackTest(ticker, sourcePath, cutoff);
test.BackTestLongShort(holdDays, rollingDays);
//bind data to the data grid
BindingSource bSource = new BindingSource();
bSource.DataSource = test.DT;
dataGridView1.DataSource = bSource;
DataRow last = test.DT.Rows[test.DT.Rows.Count - 1];
double zroll = Convert.ToDouble(last["ZscoreRolling"]);
textBox6.Text = Convert.ToString(Math.Round((zroll * 1), 4));
double zstatic = Convert.ToDouble(last["ZscoreStatic"]);
textBox2.Text = Convert.ToString(Math.Round((zstatic * 1), 4));
textBox7.Text = Convert.ToString(Math.Round((cutoff * 1), 4));
textBox8.Text = Convert.ToString(Math.Round((MathFunctions.ZscoreRollCount(test.DT) * 1), 4));
textBox9.Text = Convert.ToString(Math.Round((MathFunctions.ZscoreStaticCount(test.DT) * 1), 4));
textBox10.Text = Convert.ToString(Math.Round((MathFunctions.AverageAllPNLrollHold(test.DT) * 26000), 4));
double RealCum = Convert.ToDouble(last["CumRealPNLrollHold"]);
textBox11.Text = Convert.ToString(Math.Round((RealCum * 100), 4));
textBox12.Text = Convert.ToString(Math.Round((MathFunctions.ZscoreRollCount(test.DT) / holdDays), 0));
if (Math.Round((MathFunctions.AverageAllPNLrollHold(test.DT) * 26000), 4) > 0) textBox13.Text = Convert.ToString(Math.Abs(Math.Round((((MathFunctions.CountPNLrollHold(test.DT) / holdDays) / (MathFunctions.ZscoreRollCount(test.DT) / holdDays))) * 100, 4)));
if (Math.Round((MathFunctions.AverageAllPNLrollHold(test.DT) * 26000), 4) < 0) textBox13.Text = Convert.ToString(-1 * Math.Abs(Math.Round((((MathFunctions.CountPNLrollHold(test.DT) / holdDays) / (MathFunctions.ZscoreRollCount(test.DT) / holdDays))) * 100, 4)));
textBox14.Text = Convert.ToString(Math.Round((MathFunctions.SharpePNLrollHold(test.DT)), 4));
textBox15.Text = Convert.ToString(Math.Round((MathFunctions.StdDevAllPNLrollHold(test.DT) * Math.Sqrt(260) * 100), 4));
double aclose = Convert.ToDouble(last["AdjustedClose"]);
textBox16.Text = Convert.ToString(Math.Round((aclose * 1), 2));
//double zroll = Convert.ToDouble(last["ZscoreRolling"]);
textBox28.Text = Convert.ToString(Math.Round((zroll * 1), 4));
//double zstatic = Convert.ToDouble(last["ZscoreStatic"]);
textBox27.Text = Convert.ToString(Math.Round((zstatic * 1), 4));
textBox26.Text = Convert.ToString(Math.Round((cutoff * 1), 4));
textBox25.Text = Convert.ToString(Math.Round((MathFunctions.ZscoreRollCount(test.DT) * 1), 4));
textBox24.Text = Convert.ToString(Math.Round((MathFunctions.ZscoreStaticCount(test.DT) * 1), 4));
textBox23.Text = Convert.ToString(Math.Round((MathFunctions.AverageAllPNLrollHold(test.DT) * 26000 * -1), 4));
//double RealCum = Convert.ToDouble(last["CumRealPNLrollHold"]);
textBox22.Text = Convert.ToString(Math.Round((RealCum * -100), 4));
textBox21.Text = Convert.ToString(Math.Round((MathFunctions.ZscoreRollCount(test.DT) / holdDays), 0));
if (Math.Round((MathFunctions.AverageAllPNLrollHold(test.DT) * 26000 * -1), 4) > 0) textBox20.Text = Convert.ToString(Math.Abs(Math.Round((((MathFunctions.CountPNLrollHold(test.DT) / holdDays) / (MathFunctions.ZscoreRollCount(test.DT) / holdDays))) * 100, 4)));
if (Math.Round((MathFunctions.AverageAllPNLrollHold(test.DT) * 26000 * -1), 4) < 0) textBox20.Text = Convert.ToString(-1 * Math.Abs(Math.Round((((MathFunctions.CountPNLrollHold(test.DT) / holdDays) / (MathFunctions.ZscoreRollCount(test.DT) / holdDays))) * 100, 4)));
textBox19.Text = Convert.ToString(Math.Round((MathFunctions.SharpePNLrollHold(test.DT) * -1), 4));
textBox18.Text = Convert.ToString(Math.Round((MathFunctions.StdDevAllPNLrollHold(test.DT) * Math.Sqrt(260) * 100), 4));
//double aclose = Convert.ToDouble(last["AdjustedClose"]);
textBox17.Text = Convert.ToString(Math.Round((aclose * 1), 2));
/*
* bind data to a chart using LINQ and the
* data table property for the BackTest data table instance
*/
chart1.Series[0].Points.Clear();
var d = from data in test.DT.AsEnumerable()
select new
{
Date = data.Field<DateTime>("Date"),
ZscoreRolling = data.Field<Object>("ZscoreRolling")
};
foreach (var item in d)
{
if (item.Date != null && item.ZscoreRolling != null)
chart1.Series["Series1"].Points.AddXY(item.Date.Date.ToString("d"), item.ZscoreRolling);
}
chart1.DataBind();
chart2.Series[0].Points.Clear();
chart2.Series[1].Points.Clear();
var dd = from data in test.DT.AsEnumerable()
select new
{
Date = data.Field<DateTime>("Date"),
AdjustedClose = data.Field<Object>("AdjustedClose"),
RollingAverage = data.Field<Double?>("RollingAverage")
};
foreach (var item in dd)
{
if (item.Date != null && item.AdjustedClose != null /*&& item.RollingAverage != null*/)
{
chart2.Series["Series1"].Points.AddXY(item.Date.Date.ToString("d"), item.AdjustedClose);
chart2.Series["Series2"].Points.AddXY(item.Date.Date.ToString("d"), item.RollingAverage);
}
}
chart2.DataBind();
chart3.Series[0].Points.Clear();
var ddd = from data in test.DT.AsEnumerable()
select new
{
Date = data.Field<DateTime>("Date"),
CumRealPNLrollHold = data.Field<Object>("CumRealPNLrollHold")
};
foreach (var item in ddd)
{
if (item.Date != null && item.CumRealPNLrollHold != null)
chart3.Series["Series1"].Points.AddXY(item.Date.Date.ToString("d"), item.CumRealPNLrollHold);
}
chart3.DataBind();
//chart3.ChartAreas[0].AxisY.LabelStyle.Format = "{0.00}" + "%";
Cursor = Cursors.Default;
}
private void button3_Click(object sender, EventArgs e)
{
// BRUTE FORCE OPTIMIZE - LOOP THRU ALL COMBINATIONS OF PARAMETERS IN BACKTEST
string sourcePath = System.Configuration.ConfigurationManager.AppSettings["SourceDirectory"];
string destPath = System.Configuration.ConfigurationManager.AppSettings["DestDirectory"];
string ticker = textBox1.Text;
//int[] holdDays = { 3, 5, 8 };
double[] cutoff = { 1, 2, 3, 4};
//int[] rollingDays = { 30, 60, 90};
double lens = Math.Pow(3,(cutoff.Length));
int len = Convert.ToInt32(lens);
double[,] table = new double[len, 4];
int count = 0;
Cursor = Cursors.WaitCursor;
Console.WriteLine(lens);
var geneticsArray = new[] { new[] { 2, 3, 5, 8}, new[] { 1, 2, -1, -2 }, new[] { 10, 20, 40, 60 } };
var perms = from a in geneticsArray[0]
from b in geneticsArray[1]
from c in geneticsArray[2]
select new { a, b, c };
try
{
foreach (var value in perms)
{
//double result;
BackTest test = new BackTest(ticker, sourcePath, value.b);
test.BackTestLongShort(value.a, value.c);
double sharpe = MathFunctions.SharpePNLrollHold(test.DT);
table[count, 0] = sharpe;
table[count, 1] = value.a;
table[count, 2] = value.b;
table[count, 3] = value.c;
count = count + 1;
}
}
catch
{
MessageBox.Show("Optimization Failed - Check parameters and try again!");
}
double max = 0.00;
int z = 0;
for (int i = 0; i < len; i++)
{
if (table[i, 0] > max) max = table[i, 0];
if (max == table[i, 0]) z=i;
}
BackTest test1 = new BackTest(ticker, sourcePath, table[z,2]);
test1.BackTestLongShort(Convert.ToInt32(table[z, 1]), Convert.ToInt32(table[z, 3]));
textBox3.Text = Convert.ToString(table[z, 1]);
textBox4.Text = Convert.ToString(table[z, 2]);
textBox5.Text = Convert.ToString(table[z, 3]);
BindingSource bSource = new BindingSource();
bSource.DataSource = test1.DT;
dataGridView1.DataSource = bSource;
DataRow last = test1.DT.Rows[test1.DT.Rows.Count - 1];
double zroll = Convert.ToDouble(last["ZscoreRolling"]);
textBox6.Text = Convert.ToString(Math.Round((zroll * 1), 4));
double zstatic = Convert.ToDouble(last["ZscoreStatic"]);
textBox2.Text = Convert.ToString(Math.Round((zstatic * 1), 4));
textBox7.Text = Convert.ToString(Math.Round((table[z, 2] * 1), 4));
textBox8.Text = Convert.ToString(Math.Round((MathFunctions.ZscoreRollCount(test1.DT) * 1), 4));
textBox9.Text = Convert.ToString(Math.Round((MathFunctions.ZscoreStaticCount(test1.DT) * 1), 4));
textBox10.Text = Convert.ToString(Math.Round((MathFunctions.AverageAllPNLrollHold(test1.DT) * 26000), 4));
double RealCum = Convert.ToDouble(last["CumRealPNLrollHold"]);
textBox11.Text = Convert.ToString(Math.Round((RealCum * 100), 4));
textBox12.Text = Convert.ToString(Math.Round((MathFunctions.ZscoreRollCount(test1.DT) / table[z, 1]), 0));
if (Math.Round((MathFunctions.AverageAllPNLrollHold(test1.DT) * 26000), 4) > 0) textBox13.Text = Convert.ToString(Math.Abs(Math.Round((((MathFunctions.CountPNLrollHold(test1.DT) / table[z, 1]) / (MathFunctions.ZscoreRollCount(test1.DT) / table[z, 1]))) * 100, 4)));
if (Math.Round((MathFunctions.AverageAllPNLrollHold(test1.DT) * 26000), 4) < 0) textBox13.Text = Convert.ToString(-1 * Math.Abs(Math.Round((((MathFunctions.CountPNLrollHold(test1.DT) / table[z, 1]) / (MathFunctions.ZscoreRollCount(test1.DT) / table[z, 1]))) * 100, 4)));
textBox14.Text = Convert.ToString(Math.Round((MathFunctions.SharpePNLrollHold(test1.DT)), 4));
textBox15.Text = Convert.ToString(Math.Round((MathFunctions.StdDevAllPNLrollHold(test1.DT) * Math.Sqrt(260) * 100), 4));
double aclose = Convert.ToDouble(last["AdjustedClose"]);
textBox16.Text = Convert.ToString(Math.Round((aclose * 1), 2));
//double zroll = Convert.ToDouble(last["ZscoreRolling"]);
textBox28.Text = Convert.ToString(Math.Round((zroll * 1), 4));
//double zstatic = Convert.ToDouble(last["ZscoreStatic"]);
textBox27.Text = Convert.ToString(Math.Round((zstatic * 1), 4));
textBox26.Text = Convert.ToString(Math.Round((table[z, 2] * 1), 4));
textBox25.Text = Convert.ToString(Math.Round((MathFunctions.ZscoreRollCount(test1.DT) * 1), 4));
textBox24.Text = Convert.ToString(Math.Round((MathFunctions.ZscoreStaticCount(test1.DT) * 1), 4));
textBox23.Text = Convert.ToString(Math.Round((MathFunctions.AverageAllPNLrollHold(test1.DT) * 26000 * -1), 4));
//double RealCum = Convert.ToDouble(last["CumRealPNLrollHold"]);
textBox22.Text = Convert.ToString(Math.Round((RealCum * -100), 4));
textBox21.Text = Convert.ToString(Math.Round((MathFunctions.ZscoreRollCount(test1.DT) / table[z, 1]), 0));
if (Math.Round((MathFunctions.AverageAllPNLrollHold(test1.DT) * 26000 * -1), 4) > 0) textBox20.Text = Convert.ToString(Math.Abs(Math.Round((((MathFunctions.CountPNLrollHold(test1.DT) / table[z, 1]) / (MathFunctions.ZscoreRollCount(test1.DT) / table[z, 1]))) * 100, 4)));
if (Math.Round((MathFunctions.AverageAllPNLrollHold(test1.DT) * 26000 * -1), 4) < 0) textBox20.Text = Convert.ToString(-1 * Math.Abs(Math.Round((((MathFunctions.CountPNLrollHold(test1.DT) / table[z, 1]) / (MathFunctions.ZscoreRollCount(test1.DT) / table[z, 1]))) * 100, 4)));
textBox19.Text = Convert.ToString(Math.Round((MathFunctions.SharpePNLrollHold(test1.DT) * -1), 4));
textBox18.Text = Convert.ToString(Math.Round((MathFunctions.StdDevAllPNLrollHold(test1.DT) * Math.Sqrt(260) * 100), 4));
//double aclose = Convert.ToDouble(last["AdjustedClose"]);
textBox17.Text = Convert.ToString(Math.Round((aclose * 1), 2));
/*
* bind data to a chart using LINQ and the
* data table property for the BackTest data table instance
*/
chart1.Series[0].Points.Clear();
var d = from data in test1.DT.AsEnumerable()
select new
{
Date = data.Field<DateTime>("Date"),
ZscoreRolling = data.Field<Object>("ZscoreRolling")
};
foreach (var item in d)
{
if (item.Date != null && item.ZscoreRolling != null)
chart1.Series["Series1"].Points.AddXY(item.Date.Date.ToString("d"), item.ZscoreRolling);
}
chart1.DataBind();
chart2.Series[0].Points.Clear();
var dd = from data in test1.DT.AsEnumerable()
select new
{
Date = data.Field<DateTime>("Date"),
AdjustedClose = data.Field<Object>("AdjustedClose")
};
foreach (var item in dd)
{
if (item.Date != null && item.AdjustedClose != null)
chart2.Series["Series1"].Points.AddXY(item.Date.Date.ToString("d"), item.AdjustedClose);
}
chart2.DataBind();
chart3.Series[0].Points.Clear();
var ddd = from data in test1.DT.AsEnumerable()
select new
{
Date = data.Field<DateTime>("Date"),
CumRealPNLrollHold = data.Field<Object>("CumRealPNLrollHold")
};
foreach (var item in ddd)
{
if (item.Date != null && item.CumRealPNLrollHold != null)
chart3.Series["Series1"].Points.AddXY(item.Date.Date.ToString("d"), item.CumRealPNLrollHold);
}
chart3.DataBind();
//chart3.ChartAreas[0].AxisY.LabelStyle.Format = "{0.00}" + "%";
Cursor = Cursors.Default;
}