private void btnCombinePnl_Click(object sender, EventArgs e)
{
var all = spreadWeightGeneratorCollectionGrid1.ListOfGenerators;
if (all.Count() == 0) return;
ConstructGen<double> con = new ConstructGen<double>(all.Count());
con.ColumnHeadings = new string[con.ArrayLength];
for (int i = 0; i < con.ArrayLength; ++i)
{
var item = all.ElementAt(i);
con.ColumnHeadings[i] = item.ToString();
con.SetColumnValues(i, item.GetSimplePnl());
}
if (con.NeedsToSortKeys())
con.SortKeys();
var eval = new ReturnsEval.DataSeriesEvaluator("Combined", ReturnsEval.DataSeriesType.Returns);
eval.AddInnerSeries(con.Dates.ToArray(), con.ToArray(), con.ColumnHeadings);
eval.Display("Combined");
}
protected override void handleclick(EventArgs e_)
{
try
{
DatedDataCollectionGen<double> hist = null;
hist = m_signal.GetSignalGridProvider().GetHistoryForCcyPair(m_ccy1, m_ccy2);
if (hist == null) hist = m_signal.GetSignalGridProvider().GetHistoryForCcyPair(m_ccy2, m_ccy1, -1d);
ConstructGen<double> con = new ConstructGen<double>(Singleton<FXIDs>.Instance.ColumnHeadings);
for (int i = 0; i < hist.Dates.Length; ++i)
{
con.SetValue(hist.Dates[i], m_ccy1.ArrayIndex, hist.Data[i]);
con.SetValue(hist.Dates[i], m_ccy2.ArrayIndex, -hist.Data[i]);
}
var rets = ReturnsFromFXWeights.DoIt_DailyWeights(dailyWts_: con);
var eval = new ReturnsEval.DataSeriesEvaluator(m_signal.Name, ReturnsEval.DataSeriesType.Returns);
eval.AddInnerSeries(rets.CombinedPnl.Dates.ToArray(), rets.CombinedPnl.ToArray(), rets.CombinedPnl.ColumnHeadings);
eval.Evaluate();
eval.Display(string.Format("{0}: {1}/{2} signal performance",m_signal.Name,m_ccy1,m_ccy2)).Icon = Util.BmpToIcon(Properties.Resources.money);
}
catch (Exception ex_)
{
Logger.Error(string.Format("Error generating and showing pnl for signal grid ccy pair ({0}/{1})", m_ccy1.Code, m_ccy2.Code), typeof(SignalPnlOverTime), ex_);
}
}
public static Task<ReturnsEval.DataSeriesEvaluator> GetHistoricalPnlEvaluatorTask(this Signal sig_)
{
var t = new Task<ReturnsEval.DataSeriesEvaluator>(() =>
{
ReturnsEval.DataSeriesEvaluator eval = null;
try
{
var result = sig_.PnlResult;
eval = new ReturnsEval.DataSeriesEvaluator(sig_.DisplayName, ReturnsEval.DataSeriesType.Returns);
eval.AddInnerSeries(result.CombinedPnl.Dates.ToArray(), result.CombinedPnl.ToArray(), result.CombinedPnl.ColumnHeadings);
//if(result.CombinedPnl.Dates.Count>260)
// eval.Evaluate(result.CombinedPnl.Dates[result.CombinedPnl.Dates.Count-253],result.CombinedPnl.LastDate);
//else
eval.Evaluate();
}
catch (Exception ex_)
{
Logger.Error("Error generating pnl for signal", typeof(ExtensionMethods), ex_);
}
return eval;
});
return t;
}
public virtual void Create(IList<ReturnsEval.DataSeriesEvaluator> evals_,SI.ReturnsEval.EvalComparer.TDType initialFocus_=ReturnsEval.EvalComparer.TDType.Inception)
{
hideInnerAttributionPanel(do_: true);
m_focus = initialFocus_;
m_comp = new ReturnsEval.EvalComparer();
m_comp.Create(evals_);
m_workingEval = new ReturnsEval.DataSeriesEvaluator("working", ReturnsEval.DataSeriesType.Returns);
for (int i = 0; i < evals_.Count; ++i)
m_workingEval.AddInnerSeries(m_comp.PnlConstruct.Dates.ToArray(), m_comp.PnlConstruct.GetColumnValues(i), evals_[i].Name);
m_workingEval.Evaluate();
dateTimePickerAsOfDate.Value = m_comp.AsOfDate;
dateTimePickerAsOfDate.ValueChanged += dateTimePickerAsOfDate_ValueChanged;
dateTimePickerCustomStartDate.Value = m_comp.CustomStartDate;
dateTimePickerCustomStartDate.ValueChanged += dateTimePickerCustomStartDate_ValueChanged;
//dateTimePickerAsOfDate.DataBindings.Add("Value", m_comp, "AsOfDate", false, DataSourceUpdateMode.OnPropertyChanged);
m_comp.PropertyChanged += handleCompChanged;
reloadPerf();
//reloadCorrels();
gridPerf.ColourNegativesRed();
gridPerf.Bind(m_perfRows, typeof(PerfRow));
gridPerf.AutoSizeGridColumns();
reloadCumulatives();
setHeaderClickAction(doSort_: false);
gridPerf.AddClickHandler("Perf1Day", new SI.Controls.RowClickedEventHandler(handle1DClicked));
gridPerf.AddClickHandler("PerfWTD", new SI.Controls.RowClickedEventHandler(handleWTDClicked));
gridPerf.AddClickHandler("PerfMTD", new SI.Controls.RowClickedEventHandler(handleMTDClicked));
gridPerf.AddClickHandler("PerfYTD", new SI.Controls.RowClickedEventHandler(handleYTDClicked));
gridPerf.AddClickHandler("PerfQTD", new SI.Controls.RowClickedEventHandler(handleQTDClicked));
gridPerf.AddClickHandler("PerfInception", new SI.Controls.RowClickedEventHandler(handleInceptionClicked));
gridPerf.AddClickHandler("PerfCTD", new SI.Controls.RowClickedEventHandler(handleCTDClicked));
gridPerf.AddClickHandler("RVS_21", new SI.Controls.RowClickedEventHandler(handleRVSSharpeClicked));
gridPerf.AddClickHandler("StrategyName", new SI.Controls.RowClickedEventHandler(handleStratNameClicked));
gridPerf.AddClickHandler("PerfOneYear", new SI.Controls.RowClickedEventHandler(handle1YClicked));
gridPerf.AddClickHandler("PerfTwoYear", new SI.Controls.RowClickedEventHandler(handle2YClicked));
gridPerf.AddClickHandler("Selected", new SI.Controls.RowClickedEventHandler(handleSelectedClicked));
gridPerf.AddClickHandler("DD", new SI.Controls.RowClickedEventHandler(handleDDClicked));
innerTotalReturnAttributionDisplayChart1.Chart.EmptyChartText = "Click Strategy period to show attribution";
tbWinLength.Bind(m_extraArgs, "RetVolSharpeWindowLength", new Validators.IntValidator());
tbRollVolWin.Bind(m_extraArgs, "RollingWindowLength", new Validators.IntValidator());
tbCorrWin.Bind(m_comp, "CorrelWindow", new Validators.IntValidator());
cmbRollType.AddItems(typeof(ReturnsEval.RollingSeriesType));
cmbRollType.Bind(m_extraArgs, "RollingSeriesType", new Validators.EnumDescValidator(ReturnsEval.RollingSeriesType.Vol));
m_extraArgs.PropertyChanged += handleExtraArgsChanged;
gridCorrs.ColourNegativesRed();
gridPerf.Grid.DisplayLayout.Override.RowSelectors = Infragistics.Win.DefaultableBoolean.False;
innerTotalReturnAttributionDisplayChart1.DataClicked += handleDataClicked;
periodReturnsColumnChart1.ColumnClicked += handlePeriodReturnsChartClicked;
periodReturnsColumnChart2.ColumnClicked += handlePeriodReturnsChartClicked;
gridPerf.RowRightClicked += (a, b) =>
{
var pr = b.ListObject as PerfRow;
if (pr == null) return;
getContextMenu().Items.Clear();
getContextMenu().Items.Add(new StrategyPnlDetailMenuItem(pr.StrategyName.Name, m_comp.FindEval(pr.StrategyName.Name),m_comp.GetDate(m_focus)));
getContextMenu().Show(Cursor.Position);
};
}