/// <summary>
/// Same as Tuple<decimal, TickList > SimpleHoldStrategy(..) but this
/// method only outputs the end result.
/// </summary>
/// <returns><Remaining value after using the specified strategy/returns>
public static decimal SimpleHoldStrategyResult(TickList valuedata,
TickList webdata, bool relative, decimal change, int holdtime)
{
decimal value = 1;
TickList absticklist = webdata.AbsoluteDifferences();
List <Tick> absdif = absticklist.getList();
TickList relticklist = webdata.RelativeDifferences();
List <Tick> reldif = relticklist.getList();
for (int i = 0; i < reldif.Count && i != -1;)
{
if ((relative && reldif[i].getValue() > change) ||
(!relative && absdif[i].getValue() > change))
{
DateTime buydate = reldif[i].getDate();
DateTime selldate = buydate.AddHours(holdtime);
decimal buytimevalue = valuedata.valueAt(buydate);
decimal selltimevalue = valuedata.valueAt(selldate);
if ((buytimevalue != -1) && (selltimevalue != -1))
{
value *= selltimevalue / buytimevalue;
}
i = relticklist.findDate(selldate);
}
else
{
i++;
}
}
return(value);
}
///// <summary>
///// Test a custom simple hold strategy.
///// </summary>
//private void btnTestCustomSimpleHold_Click(object sender, EventArgs e)
//{
// Tuple<decimal, TickList> result;
// decimal change;
// int holdtime;
// bool changeerror = !decimal.TryParse(txtChange.Text, out change);
// bool holderror = !int.TryParse(txtHoldFor.Text, out holdtime);
// bool relative = chkRelative.Checked;
// String name = "SimpleH(" + txtChange.Text + ",";
// if (relative)
// {
// name += "rel,";
// change *= (decimal)0.01;
// }
// else { name += "abs,"; }
// name += txtHoldFor.Text + "," + cmbDayYearMonth.Text + ")";
// switch (cmbDayYearMonth.Text)
// {
// case "Days": holdtime *= 24; break;
// case "Weeks": holdtime *= 24 * 7; break;
// // this is not completely correct, not all months are 30 days
// case "Months": holdtime *= 24 * 7 * 30; break;
// }
// if (!changeerror && !holderror)
// {
// result = BackTest.SimpleHoldStrategy(valuedata, webdata,
// relative, change, holdtime);
// MessageBox.Show("Remaining value: " + result.Item1, "Finished",
// MessageBoxButtons.OK, MessageBoxIcon.Information);
// addToChart(result.Item2, name, true, chart1);
// lstResults.Items.Add(name + ", " + result.Item1);
// }
// if (changeerror)
// {
// MessageBox.Show("Enter a valid change value");
// }
// if (holderror)
// {
// MessageBox.Show("Enter a valid hold time value");
// }
//}
/// <summary>
/// Add some data to the chart.
/// </summary>
/// <param name="ticklist">A TickList containing the values to be added.</param>
/// <param name="legend">The string to be displayed in the legend.</param>
/// <param name="piecewise">If true, every two other points will be connected, the
/// points in between will be left unconnected: 0---1 2---3 etc.</param>
private void addToChart(TickList ticklist, String name, bool piecewise, Chart c)
{
if (c.Series.Contains(c.Series.FindByName(name)))
{
name += "1";
}
if (piecewise)
{
Series points = new Series
{
Name = name,
ChartType = SeriesChartType.Point,
XValueType = ChartValueType.DateTime
};
Series line = new Series
{
Name = name + "_line",
ChartType = SeriesChartType.Line,
XValueType = ChartValueType.DateTime,
IsVisibleInLegend = false
};
c.Series.Add(points);
c.Series.Add(line);
foreach (Tick t in ticklist.getList())
{
points.Points.AddXY(t.getDate(), t.getValue());
}
for (int i = 0; i < ticklist.getList().Count; i += 2)
{
int p0 = line.Points.AddXY(ticklist.getList()[i].getDate(),
ticklist.getList()[i].getValue());
int p1 = line.Points.AddXY(ticklist.getList()[i + 1].getDate(),
ticklist.getList()[i + 1].getValue());
line.Points[p0].Color = Color.Transparent;
}
}
else
{
Series line = new Series
{
Name = name,
ChartType = SeriesChartType.Line,
XValueType = ChartValueType.DateTime,
IsVisibleInLegend = true
};
c.Series.Add(line);
foreach (Tick t in ticklist.getList())
{
line.Points.AddXY(t.getDate(), t.getValue());
}
}
}
/// <summary>
/// Add some data to the chart for previewing.
/// </summary>
/// <param name="ticklist">A TickList containing the values to be added.
/// </param>
private void showInPreviewChart(TickList ticklist, String name, Chart c)
{
c.Series.Clear();
Series line = new Series
{
Name = name,
ChartType = SeriesChartType.Line,
XValueType = ChartValueType.DateTime,
IsVisibleInLegend = true
};
c.Series.Add(line);
foreach (Tick t in ticklist.getList())
{
line.Points.AddXY(t.getDate(), t.getValue());
}
}
/// <summary>
/// A simple hold strategy.
/// When the value of the web data has (absolutely or relatively), increased
/// by a certain number or percentage, the asset is held for the specified holdtime.
/// </summary>
/// <param name="valuedata">A TickList containing the value data.</param>
/// <param name="webdata">A TickList containing the Google search data.</param>
/// <param name="relative">If true, the change is interpreted as relative change.
/// Otherwise, the change is absolute.</param>
/// <param name="change">A number representing the change treshold.</param>
/// <param name="holdtime">The time for which to hold the asset in hours.
/// (this might change into the future when testing high-frequency strategies).</param>
/// <returns>A touple containing: a decimal representing the remaing value
/// after using this strategy. A TickList containing the buy- and -sell
/// values and prices.</returns>
public static Tuple <decimal, TickList> SimpleHoldStrategy(TickList valuedata,
TickList webdata, bool relative, decimal change, int holdtime)
{
decimal value = 1;
TickList portfolio = new TickList();
TickList absticklist = webdata.AbsoluteDifferences();
List <Tick> absdif = absticklist.getList();
TickList relticklist = webdata.RelativeDifferences();
List <Tick> reldif = relticklist.getList();
for (int i = 0; i < reldif.Count && i != -1;)
{
if ((relative && reldif[i].getValue() > change) ||
(!relative && absdif[i].getValue() > change))
{
DateTime buydate = reldif[i].getDate();
DateTime selldate = buydate.AddHours(holdtime);
try
{
decimal buyprice = valuedata.valueAt(buydate);
decimal sellprice = valuedata.valueAt(selldate);
value *= sellprice / buyprice;
portfolio.Add(new Tick(buydate, buyprice));
portfolio.Add(new Tick(selldate, sellprice));
}
catch (InvalidOperationException e)
{
MessageBox.Show(e.Message);
}
i = relticklist.findDate(selldate);
}
else
{
i++;
}
}
return(Tuple.Create(value, portfolio));
}
