protected CommodsMultiScore(ComID[] ccys_, int numDays_)
{
NumDays = numDays_;
ComIndexes = ccys_.Select(x => x.ArrayIndex).ToArray();
Weights = ccys_.Select(x => _RELATIVE_VOLS[x.Name]).ToArray();
Refresh(false);
}
public static ConstructGen<PairTrade> CalculateWeights(ComID[] commodities_)
{
// calculate the weighting
var con = new ConstructGen<PairTrade>(commodities_.Select(x => x.Name).ToArray());
for (int i = 0; i < con.ArrayLength; ++i)
con.SetColumnValues(i, CalculateWeights(commodities_[i]));
if (con.NeedsToSortKeys())
con.SortKeys();
return con;
}
public static ConstructGen<double> DoBW(ComID[] coms_, ConstructGen<PairTrade> pairTrades_)
{
var conRets = new ConstructGen<double>(coms_.Select(x => x.Name).ToArray());
for (int rebalIndex = 0; rebalIndex < pairTrades_.Dates.Count; ++rebalIndex)
{
var rebalDate = pairTrades_.Dates[rebalIndex];
var tradeEndDate = (rebalIndex < (pairTrades_.Dates.Count - 1) ? pairTrades_.Dates[rebalIndex + 1] : DateTime.Today);
var pairTradesOnDay = pairTrades_.GetValues(rebalDate);
for (int i = 0; i < pairTradesOnDay.Length; ++i)
{
var pairTrade = pairTradesOnDay[i];
if (pairTrade == null)
continue;
var rets = pairTrade.WeightedBackwardation.GetSubValues(rebalDate.AddDays(1d), tradeEndDate);
rets = rets.DivideBy(pairTrade.GetStdev(rebalDate, 63) * 3000d);
conRets.SetColumnValues(i, rets);
}
}
conRets.SortKeys();
conRets = conRets.ProcessEachCell(x => (double.IsNaN(x) || double.IsInfinity(x) || double.IsNegativeInfinity(x) ? 0d : x));
return conRets;
}