public static void Go()
{
var spreadDefs = new[]
{
new SpreadDefinition(new MonthYearOffset(Singleton<ComIDs>.Instance["C "],0,MonthCode.U),new MonthYearOffset(Singleton<ComIDs>.Instance["C "],0,MonthCode.Z),false),
new SpreadDefinition(new MonthYearOffset(Singleton<ComIDs>.Instance["W "],0,MonthCode.U),new MonthYearOffset(Singleton<ComIDs>.Instance["W "],0,MonthCode.Z),false),
//new SpreadDefinition(new MonthYearOffset(Singleton<ComIDs>.Instance["S "],0,MonthCode.Q),new MonthYearOffset(Singleton<ComIDs>.Instance["S "],1,MonthCode.F),false),
new SpreadDefinition(new MonthYearOffset(Singleton<ComIDs>.Instance["SB"],0,MonthCode.V),new MonthYearOffset(Singleton<ComIDs>.Instance["SB"],1,MonthCode.K),false),
new SpreadDefinition(new MonthYearOffset(Singleton<ComIDs>.Instance["NG"],0,MonthCode.X),new MonthYearOffset(Singleton<ComIDs>.Instance["NG"],0,MonthCode.H),false),
new SpreadDefinition(new MonthYearOffset(Singleton<ComIDs>.Instance["XB"],0,MonthCode.J),new MonthYearOffset(Singleton<ComIDs>.Instance["XB"],0,MonthCode.U),false),
};
foreach (var spreadDef in spreadDefs)
{
//StratParamSurface.StratParamData resultSet = new StratParamSurface.StratParamData("minWindowSize_, zScoreThreshold"
var listOfpoints = new List<StratParamSurface.StratParamDataPoint>();
for(int days=30; days<120; days+=10)
{
for(double threshold=0.5;threshold<2.0;threshold+=0.1)
{
var args = new WeightGeneratorArgs()
{
Lookback=5,
MinWindowLength=days,
WeightGenerationType=WeightGeneratorType.LongestZScoreOverThreshold,
ZScoreThreshold=threshold
};
var gen = new SpreadWeightGenerator(args, spreadDef);
var pnl = gen.GetSimplePnl();
if (pnl.Length == 0) continue; // weren't met
var eval = new ReturnsEval.DataSeriesEvaluator(pnl.Dates, pnl.Data, "blah", ReturnsEval.DataSeriesType.Returns);
listOfpoints.Add(new StratParamSurface.StratParamDataPoint()
{
X = Convert.ToDouble(days),
Y = threshold,
Eval = eval
});
}
}
var data = new StratParamSurface.StratParamData(
XLabel_: "minWindowSize_",
YLabel_: "zScoreThreshold",
data_: listOfpoints,
pointFunc_: (p) => p.Eval.Daily.AnnualSharpeRatio
);
var control = new StratParamSurface();
control.Create(data);
control.DisplayInShowForm(spreadDef.ToString());
}
}
public void Create(int defaultLookback_ = 5)
{
m_args = new WeightGeneratorArgs();
// default values
m_args.Lookback = 5;
m_args.WeightGenerationType = WeightGeneratorType.MinMaxAverageNormalizedValues;
m_args.MinWindowLength = 30;
m_args.ZScoreThreshold = 1d;
cmbWeightGenType.AddItems(typeof(WeightGeneratorType), true);
tbLookback.Bind(m_args, "Lookback", new Validators.IntValidator());
cmbWeightGenType.Bind(m_args, "WeightGenerationType", new Validators.EnumDescValidator(WeightGeneratorType.MinMaxAverageNormalizedValues));
tbMinWindowLength.Bind(m_args, "MinWindowLength", new Validators.IntValidator());
tbZScoreThreshold.Bind(m_args, "ZScoreThreshold", new Validators.DoubleValidator("##0.0#"));
}
