private void DrawdownTest3() { var ctx = new RepGenDataContext(); var data = ctx.ModelReturn("CO", "HNW"); ReturnCalculation calcPrice = new ReturnCalculation(); ReturnCalculation calcDrawdown = new ReturnCalculation(); var match = from d in data let price = calcPrice.Price(d) select new ReturnData { Value = calcDrawdown.Drawdown(price, d.Value) - 1, Date = d.Date }; foreach (var item in match) { Console.WriteLine("{0}\t{1}", item.Date, item.Value); } }
private void DrawdownTest2() { var ctx = new RepGenDataContext(); var data = ctx.HistoricPrice("UKGB"); ReturnCalculation calc = new ReturnCalculation(); var match = from d in data select new ReturnData { Value = calc.Drawdown(d) - 1, Date = d.Date }; foreach (var item in match) { Console.WriteLine("{0}\t{1}", item.Date, item.Value); } //Thread.Sleep(500000); }
private List<ReturnData> calculateClientAssetDrawdown() { var returns = getClientAssetReturn(); ReturnCalculation cp = new ReturnCalculation(); ReturnCalculation cd = new ReturnCalculation(); var dd = from r in returns let price = cp.Price(r) select new ReturnData { Value = cd.Drawdown(price, r.Value) - 1, Date = r.Date }; return dd.ToList(); }
private List<ReturnData> calculateModelDrawdown(string strategyId, string status) { var returns = getModelReturn(); ReturnCalculation cp = new ReturnCalculation(); ReturnCalculation cd = new ReturnCalculation(); var dd = from r in returns let price = cp.Price(r) select new ReturnData { Value = cd.Drawdown(price, r.Value) - 1, Date = r.Date }; return dd.ToList(); }
private List<ReturnData> calculateAssetClassDrawdown(string assetclassId) { var returns = getAssetClassReturn(assetclassId); ReturnCalculation cp = new ReturnCalculation(); ReturnCalculation cd = new ReturnCalculation(); var dd = from r in returns let price = cp.Price(r) select new ReturnData { Value = cd.Drawdown(price, r.Value) - 1, Date = r.Date }; //ReturnCalculation calc = new ReturnCalculation(); //var dd = from p in returns // select new ReturnData // { // Value = calc.Drawdown(p) - 1, // Date = p.Date // }; return dd.ToList(); }