public override IEnumerable <Bar> Run(DateTime?startTime, DateTime?endTime)
{
//========== initialization ==========
WarmupStartTime = Globals.WARMUP_START_TIME;
StartTime = Globals.START_TIME;
EndTime = Globals.END_TIME;
Deposit(Globals.INITIAL_CAPITAL);
CommissionPerShare = Globals.COMMISSION;
// our universe consists of risky & safe assets
var riskyAssets = AddDataSources(RISKY_ASSETS);
var safeAssets = AddDataSources(SAFE_ASSETS);
var universe = riskyAssets.Concat(safeAssets);
var bench = AddDataSource(BENCHMARK);
//========== simulation loop ==========
foreach (var simTime in SimTimes)
{
// calculate indicators on overy bar
Dictionary <Instrument, double> momentum = Instruments
.ToDictionary(
i => i,
i => (1.0 * i.Close.Momentum(21)[0]
+ 3.0 * i.Close.Momentum(63)[0]
+ 6.0 * i.Close.Momentum(126)[0]
+ 12.0 * i.Close.Momentum(252)[0]) / 22.0);
// skip if there are any instruments missing from our universe
if (!HasInstruments(universe) || !HasInstrument(bench))
{
continue;
}
// trigger rebalancing
if (SimTime[0].Month != NextSimTime.Month) // monthly
{
// calculate covariance
var covar = new PortfolioSupport.Covariance(Instruments, 12, 21); // 12 monthly bars
// calculate efficient frontier for universe
// note how momentum and covariance are annualized here
var cla = new PortfolioSupport.MarkowitzCLA(
universe.Select(ds => ds.Instrument),
i => 252.0 * momentum[i],
(i, j) => 252.0 / covar.BarSize * covar[i, j],
i => 0.0,
i => safeAssets.Contains(i.DataSource) ? 1.0 : MAX_RISKY_ALLOC);
// find portfolio with specified risk
var pf = cla.TargetVolatility(TVOL);
Output.WriteLine("{0:MM/dd/yyyy}: {1}", SimTime[0], pf.ToString());
// adjust all positions
_alloc.LastUpdate = SimTime[0];
foreach (var i in pf.Weights.Keys)
{
_alloc.Allocation[i] = pf.Weights[i];
int targetShares = (int)Math.Floor(NetAssetValue[0] * pf.Weights[i] / i.Close[0]);
int currentShares = i.Position;
var ticket = i.Trade(targetShares - currentShares);
if (ticket != null)
{
if (i.Position == 0)
{
ticket.Comment = "open";
}
else if (targetShares == 0)
{
ticket.Comment = "close";
}
else
{
ticket.Comment = "rebalance";
}
}
}
}
// plotter output
if (!IsOptimizing && TradingDays > 0)
{
_plotter.AddNavAndBenchmark(this, FindInstrument(BENCHMARK));
_plotter.AddStrategyHoldings(this, universe.Select(ds => ds.Instrument));
if (_alloc.LastUpdate == SimTime[0])
{
_plotter.AddTargetAllocationRow(_alloc);
}
if (IsDataSource)
{
var v = 10.0 * NetAssetValue[0] / Globals.INITIAL_CAPITAL;
yield return(Bar.NewOHLC(
this.GetType().Name, SimTime[0],
v, v, v, v, 0));
}
}
}
//========== post processing ==========
if (!IsOptimizing)
{
_plotter.AddTargetAllocation(_alloc);
_plotter.AddOrderLog(this);
_plotter.AddPositionLog(this);
_plotter.AddPnLHoldTime(this);
_plotter.AddMfeMae(this);
_plotter.AddParameters(this);
}
FitnessValue = this.CalcFitness();
}
public override void Run()
{
//---------- initialization
StartTime = DateTime.Parse("01/01/1990");
EndTime = DateTime.Now.Date - TimeSpan.FromDays(5);
// our universe consists of risky & safe assets
var universe = RISKY_ASSETS
.Concat(SAFE_ASSETS).ToList();
// add all data sources
AddDataSource(BENCHMARK);
foreach (var nick in universe)
{
AddDataSource(nick);
}
Deposit(1e6);
CommissionPerShare = 0.015;
//---------- simulation loop
foreach (var simTime in SimTimes)
{
// calculate indicators on overy bar
Dictionary <Instrument, double> momentum = Instruments
.ToDictionary(
i => i,
i => (1.0 * i.Close.Momentum(21)[0]
+ 3.0 * i.Close.Momentum(63)[0]
+ 6.0 * i.Close.Momentum(126)[0]
+ 12.0 * i.Close.Momentum(252)[0]) / 22.0);
// skip if there are any instruments missing from our universe
if (!HasInstruments(universe))
{
continue;
}
// trigger rebalancing
if (SimTime[0].Month != SimTime[1].Month) // monthly
{
// calculate covariance
var covar = new PortfolioSupport.Covariance(Instruments, 12, 21); // 12 monthly bars
// calculate efficient frontier for universe
// note how momentum and covariance are annualized here
var cla = new PortfolioSupport.MarkowitzCLA(
Instruments.Where(i => universe.Contains(i.Nickname)),
i => 252.0 * momentum[i],
(i, j) => 252.0 / covar.BarSize * covar[i, j], // TODO: is sqrt correct?
i => 0.0,
i => SAFE_ASSETS.Contains(i.Nickname) ? 1.0 : MAX_RISKY_ALLOC);
// find portfolio with specified risk
var pf = cla.TargetVolatility(TVOL);
Output.WriteLine("{0:MM/dd/yyyy}: {1}", SimTime[0], pf.ToString());
// adjust all positions
foreach (var i in pf.Weights.Keys)
{
int targetShares = (int)Math.Floor(NetAssetValue[0] * pf.Weights[i] / i.Close[0]);
int currentShares = i.Position;
var ticket = i.Trade(targetShares - currentShares);
if (ticket != null)
{
if (i.Position == 0)
{
ticket.Comment = "open";
}
else if (targetShares == 0)
{
ticket.Comment = "close";
}
else
{
ticket.Comment = "rebalance";
}
}
}
}
_benchmark = _benchmark ?? FindInstrument(BENCHMARK);
_plotter.SelectChart(Name, "date");
_plotter.SetX(SimTime[0]);
_plotter.Plot("NAV", NetAssetValue[0]);
_plotter.Plot(_benchmark.Symbol, _benchmark.Close[0]);
_plotter.SelectChart(Name + " holdings", "date");
_plotter.SetX(SimTime[0]);
foreach (var n in universe)
{
var i = FindInstrument(n);
_plotter.Plot(i.Symbol, i.Position * i.Close[0] / NetAssetValue[0]);
}
}
//---------- post-processing
_plotter.SelectChart(Name + " trades", "date");
foreach (LogEntry entry in Log)
{
_plotter.SetX(entry.BarOfExecution.Time);
_plotter.Plot("action", entry.Action);
_plotter.Plot("type", entry.InstrumentType);
_plotter.Plot("instr", entry.Symbol);
_plotter.Plot("qty", entry.OrderTicket.Quantity);
_plotter.Plot("fill", entry.FillPrice);
_plotter.Plot("gross", -entry.OrderTicket.Quantity * entry.FillPrice);
_plotter.Plot("commission", -entry.Commission);
_plotter.Plot("net", -entry.OrderTicket.Quantity * entry.FillPrice - entry.Commission);
_plotter.Plot("comment", entry.OrderTicket.Comment ?? "");
}
}
