private void button4_Click(object sender, EventArgs e) { //initialize the cursor to waiting while updating //Cursor = Cursors.WaitCursor; Cursor = Cursors.WaitCursor; string sourcePath = System.Configuration.ConfigurationManager.AppSettings["SourceDirectory"]; string destPath = System.Configuration.ConfigurationManager.AppSettings["DestDirectory"]; string ticker = textBox1.Text; int holdDays = int.Parse(textBox3.Text); double cutoff = double.Parse(textBox4.Text); int rollingDays = int.Parse(textBox5.Text); //instantiate a new back test for the symbol BackTest test = new BackTest(ticker, sourcePath, cutoff); test.BackTestLongShort(holdDays, rollingDays); //update the database for the test results via Entity Framework try { using (NetEntities db = new NetEntities()) { //use a stored procedure to delete all the data in the database that matches the symbol db.DeleteData(ticker); } string sql = "Select * from Table5"; SQLConnection Test1 = new SQLConnection(); Test1.ExecuteSelect(sql, test.DT); } catch { Cursor = Cursors.Default; } Cursor = Cursors.Default; }
private void button1_Click(object sender, EventArgs e) { string sourcePath = System.Configuration.ConfigurationManager.AppSettings["SourceDirectory"]; string destPath = System.Configuration.ConfigurationManager.AppSettings["DestDirectory"]; string ticker = textBox1.Text; int holdDays = 0; double cutoff = 0.00; int rollingDays = 0; try { holdDays = int.Parse(textBox3.Text); cutoff = double.Parse(textBox4.Text); rollingDays = int.Parse(textBox5.Text); } catch { MessageBox.Show("Inputs are in the wrong format - Try again!"); //Application.Run(new Test.Form1()); Application.ExitThread(); Application.Exit(); Application.Restart(); Environment.Exit(0); } Cursor = Cursors.WaitCursor; //instantiate a new back test for the symbol BackTest test = new BackTest(ticker, sourcePath, cutoff); test.BackTestLongShort(holdDays, rollingDays); //bind data to the data grid BindingSource bSource = new BindingSource(); bSource.DataSource = test.DT; dataGridView1.DataSource = bSource; DataRow last = test.DT.Rows[test.DT.Rows.Count - 1]; double zroll = Convert.ToDouble(last["ZscoreRolling"]); textBox6.Text = Convert.ToString(Math.Round((zroll * 1), 4)); double zstatic = Convert.ToDouble(last["ZscoreStatic"]); textBox2.Text = Convert.ToString(Math.Round((zstatic * 1), 4)); textBox7.Text = Convert.ToString(Math.Round((cutoff * 1), 4)); textBox8.Text = Convert.ToString(Math.Round((MathFunctions.ZscoreRollCount(test.DT) * 1), 4)); textBox9.Text = Convert.ToString(Math.Round((MathFunctions.ZscoreStaticCount(test.DT) * 1), 4)); textBox10.Text = Convert.ToString(Math.Round((MathFunctions.AverageAllPNLrollHold(test.DT) * 26000), 4)); double RealCum = Convert.ToDouble(last["CumRealPNLrollHold"]); textBox11.Text = Convert.ToString(Math.Round((RealCum * 100), 4)); textBox12.Text = Convert.ToString(Math.Round((MathFunctions.ZscoreRollCount(test.DT) / holdDays), 0)); if (Math.Round((MathFunctions.AverageAllPNLrollHold(test.DT) * 26000), 4) > 0) { textBox13.Text = Convert.ToString(Math.Abs(Math.Round((((MathFunctions.CountPNLrollHold(test.DT) / holdDays) / (MathFunctions.ZscoreRollCount(test.DT) / holdDays))) * 100, 4))); } if (Math.Round((MathFunctions.AverageAllPNLrollHold(test.DT) * 26000), 4) < 0) { textBox13.Text = Convert.ToString(-1 * Math.Abs(Math.Round((((MathFunctions.CountPNLrollHold(test.DT) / holdDays) / (MathFunctions.ZscoreRollCount(test.DT) / holdDays))) * 100, 4))); } textBox14.Text = Convert.ToString(Math.Round((MathFunctions.SharpePNLrollHold(test.DT)), 4)); textBox15.Text = Convert.ToString(Math.Round((MathFunctions.StdDevAllPNLrollHold(test.DT) * Math.Sqrt(260) * 100), 4)); double aclose = Convert.ToDouble(last["AdjustedClose"]); textBox16.Text = Convert.ToString(Math.Round((aclose * 1), 2)); //double zroll = Convert.ToDouble(last["ZscoreRolling"]); textBox28.Text = Convert.ToString(Math.Round((zroll * 1), 4)); //double zstatic = Convert.ToDouble(last["ZscoreStatic"]); textBox27.Text = Convert.ToString(Math.Round((zstatic * 1), 4)); textBox26.Text = Convert.ToString(Math.Round((cutoff * 1), 4)); textBox25.Text = Convert.ToString(Math.Round((MathFunctions.ZscoreRollCount(test.DT) * 1), 4)); textBox24.Text = Convert.ToString(Math.Round((MathFunctions.ZscoreStaticCount(test.DT) * 1), 4)); textBox23.Text = Convert.ToString(Math.Round((MathFunctions.AverageAllPNLrollHold(test.DT) * 26000 * -1), 4)); //double RealCum = Convert.ToDouble(last["CumRealPNLrollHold"]); textBox22.Text = Convert.ToString(Math.Round((RealCum * -100), 4)); textBox21.Text = Convert.ToString(Math.Round((MathFunctions.ZscoreRollCount(test.DT) / holdDays), 0)); if (Math.Round((MathFunctions.AverageAllPNLrollHold(test.DT) * 26000 * -1), 4) > 0) { textBox20.Text = Convert.ToString(Math.Abs(Math.Round((((MathFunctions.CountPNLrollHold(test.DT) / holdDays) / (MathFunctions.ZscoreRollCount(test.DT) / holdDays))) * 100, 4))); } if (Math.Round((MathFunctions.AverageAllPNLrollHold(test.DT) * 26000 * -1), 4) < 0) { textBox20.Text = Convert.ToString(-1 * Math.Abs(Math.Round((((MathFunctions.CountPNLrollHold(test.DT) / holdDays) / (MathFunctions.ZscoreRollCount(test.DT) / holdDays))) * 100, 4))); } textBox19.Text = Convert.ToString(Math.Round((MathFunctions.SharpePNLrollHold(test.DT) * -1), 4)); textBox18.Text = Convert.ToString(Math.Round((MathFunctions.StdDevAllPNLrollHold(test.DT) * Math.Sqrt(260) * 100), 4)); //double aclose = Convert.ToDouble(last["AdjustedClose"]); textBox17.Text = Convert.ToString(Math.Round((aclose * 1), 2)); /* * bind data to a chart using LINQ and the * data table property for the BackTest data table instance */ chart1.Series[0].Points.Clear(); var d = from data in test.DT.AsEnumerable() select new { Date = data.Field <DateTime>("Date"), ZscoreRolling = data.Field <Object>("ZscoreRolling") }; foreach (var item in d) { if (item.Date != null && item.ZscoreRolling != null) { chart1.Series["Series1"].Points.AddXY(item.Date.Date.ToString("d"), item.ZscoreRolling); } } chart1.DataBind(); chart2.Series[0].Points.Clear(); chart2.Series[1].Points.Clear(); var dd = from data in test.DT.AsEnumerable() select new { Date = data.Field <DateTime>("Date"), AdjustedClose = data.Field <Object>("AdjustedClose"), RollingAverage = data.Field <Double?>("RollingAverage") }; foreach (var item in dd) { if (item.Date != null && item.AdjustedClose != null /*&& item.RollingAverage != null*/) { chart2.Series["Series1"].Points.AddXY(item.Date.Date.ToString("d"), item.AdjustedClose); chart2.Series["Series2"].Points.AddXY(item.Date.Date.ToString("d"), item.RollingAverage); } } chart2.DataBind(); chart3.Series[0].Points.Clear(); var ddd = from data in test.DT.AsEnumerable() select new { Date = data.Field <DateTime>("Date"), CumRealPNLrollHold = data.Field <Object>("CumRealPNLrollHold") }; foreach (var item in ddd) { if (item.Date != null && item.CumRealPNLrollHold != null) { chart3.Series["Series1"].Points.AddXY(item.Date.Date.ToString("d"), item.CumRealPNLrollHold); } } chart3.DataBind(); //chart3.ChartAreas[0].AxisY.LabelStyle.Format = "{0.00}" + "%"; Cursor = Cursors.Default; }
private void button3_Click(object sender, EventArgs e) { // BRUTE FORCE OPTIMIZE - LOOP THRU ALL COMBINATIONS OF PARAMETERS IN BACKTEST string sourcePath = System.Configuration.ConfigurationManager.AppSettings["SourceDirectory"]; string destPath = System.Configuration.ConfigurationManager.AppSettings["DestDirectory"]; string ticker = textBox1.Text; //int[] holdDays = { 3, 5, 8 }; double[] cutoff = { 1, 2, 3, 4 }; //int[] rollingDays = { 30, 60, 90}; double lens = Math.Pow(3, (cutoff.Length)); int len = Convert.ToInt32(lens); double[,] table = new double[len, 4]; int count = 0; Cursor = Cursors.WaitCursor; Console.WriteLine(lens); var geneticsArray = new[] { new[] { 2, 3, 5, 8 }, new[] { 1, 2, -1, -2 }, new[] { 10, 20, 40, 60 } }; var perms = from a in geneticsArray[0] from b in geneticsArray[1] from c in geneticsArray[2] select new { a, b, c }; try { foreach (var value in perms) { //double result; BackTest test = new BackTest(ticker, sourcePath, value.b); test.BackTestLongShort(value.a, value.c); double sharpe = MathFunctions.SharpePNLrollHold(test.DT); table[count, 0] = sharpe; table[count, 1] = value.a; table[count, 2] = value.b; table[count, 3] = value.c; count = count + 1; } } catch { MessageBox.Show("Optimization Failed - Check parameters and try again!"); } double max = 0.00; int z = 0; for (int i = 0; i < len; i++) { if (table[i, 0] > max) { max = table[i, 0]; } if (max == table[i, 0]) { z = i; } } BackTest test1 = new BackTest(ticker, sourcePath, table[z, 2]); test1.BackTestLongShort(Convert.ToInt32(table[z, 1]), Convert.ToInt32(table[z, 3])); textBox3.Text = Convert.ToString(table[z, 1]); textBox4.Text = Convert.ToString(table[z, 2]); textBox5.Text = Convert.ToString(table[z, 3]); BindingSource bSource = new BindingSource(); bSource.DataSource = test1.DT; dataGridView1.DataSource = bSource; DataRow last = test1.DT.Rows[test1.DT.Rows.Count - 1]; double zroll = Convert.ToDouble(last["ZscoreRolling"]); textBox6.Text = Convert.ToString(Math.Round((zroll * 1), 4)); double zstatic = Convert.ToDouble(last["ZscoreStatic"]); textBox2.Text = Convert.ToString(Math.Round((zstatic * 1), 4)); textBox7.Text = Convert.ToString(Math.Round((table[z, 2] * 1), 4)); textBox8.Text = Convert.ToString(Math.Round((MathFunctions.ZscoreRollCount(test1.DT) * 1), 4)); textBox9.Text = Convert.ToString(Math.Round((MathFunctions.ZscoreStaticCount(test1.DT) * 1), 4)); textBox10.Text = Convert.ToString(Math.Round((MathFunctions.AverageAllPNLrollHold(test1.DT) * 26000), 4)); double RealCum = Convert.ToDouble(last["CumRealPNLrollHold"]); textBox11.Text = Convert.ToString(Math.Round((RealCum * 100), 4)); textBox12.Text = Convert.ToString(Math.Round((MathFunctions.ZscoreRollCount(test1.DT) / table[z, 1]), 0)); if (Math.Round((MathFunctions.AverageAllPNLrollHold(test1.DT) * 26000), 4) > 0) { textBox13.Text = Convert.ToString(Math.Abs(Math.Round((((MathFunctions.CountPNLrollHold(test1.DT) / table[z, 1]) / (MathFunctions.ZscoreRollCount(test1.DT) / table[z, 1]))) * 100, 4))); } if (Math.Round((MathFunctions.AverageAllPNLrollHold(test1.DT) * 26000), 4) < 0) { textBox13.Text = Convert.ToString(-1 * Math.Abs(Math.Round((((MathFunctions.CountPNLrollHold(test1.DT) / table[z, 1]) / (MathFunctions.ZscoreRollCount(test1.DT) / table[z, 1]))) * 100, 4))); } textBox14.Text = Convert.ToString(Math.Round((MathFunctions.SharpePNLrollHold(test1.DT)), 4)); textBox15.Text = Convert.ToString(Math.Round((MathFunctions.StdDevAllPNLrollHold(test1.DT) * Math.Sqrt(260) * 100), 4)); double aclose = Convert.ToDouble(last["AdjustedClose"]); textBox16.Text = Convert.ToString(Math.Round((aclose * 1), 2)); //double zroll = Convert.ToDouble(last["ZscoreRolling"]); textBox28.Text = Convert.ToString(Math.Round((zroll * 1), 4)); //double zstatic = Convert.ToDouble(last["ZscoreStatic"]); textBox27.Text = Convert.ToString(Math.Round((zstatic * 1), 4)); textBox26.Text = Convert.ToString(Math.Round((table[z, 2] * 1), 4)); textBox25.Text = Convert.ToString(Math.Round((MathFunctions.ZscoreRollCount(test1.DT) * 1), 4)); textBox24.Text = Convert.ToString(Math.Round((MathFunctions.ZscoreStaticCount(test1.DT) * 1), 4)); textBox23.Text = Convert.ToString(Math.Round((MathFunctions.AverageAllPNLrollHold(test1.DT) * 26000 * -1), 4)); //double RealCum = Convert.ToDouble(last["CumRealPNLrollHold"]); textBox22.Text = Convert.ToString(Math.Round((RealCum * -100), 4)); textBox21.Text = Convert.ToString(Math.Round((MathFunctions.ZscoreRollCount(test1.DT) / table[z, 1]), 0)); if (Math.Round((MathFunctions.AverageAllPNLrollHold(test1.DT) * 26000 * -1), 4) > 0) { textBox20.Text = Convert.ToString(Math.Abs(Math.Round((((MathFunctions.CountPNLrollHold(test1.DT) / table[z, 1]) / (MathFunctions.ZscoreRollCount(test1.DT) / table[z, 1]))) * 100, 4))); } if (Math.Round((MathFunctions.AverageAllPNLrollHold(test1.DT) * 26000 * -1), 4) < 0) { textBox20.Text = Convert.ToString(-1 * Math.Abs(Math.Round((((MathFunctions.CountPNLrollHold(test1.DT) / table[z, 1]) / (MathFunctions.ZscoreRollCount(test1.DT) / table[z, 1]))) * 100, 4))); } textBox19.Text = Convert.ToString(Math.Round((MathFunctions.SharpePNLrollHold(test1.DT) * -1), 4)); textBox18.Text = Convert.ToString(Math.Round((MathFunctions.StdDevAllPNLrollHold(test1.DT) * Math.Sqrt(260) * 100), 4)); //double aclose = Convert.ToDouble(last["AdjustedClose"]); textBox17.Text = Convert.ToString(Math.Round((aclose * 1), 2)); /* * bind data to a chart using LINQ and the * data table property for the BackTest data table instance */ chart1.Series[0].Points.Clear(); var d = from data in test1.DT.AsEnumerable() select new { Date = data.Field <DateTime>("Date"), ZscoreRolling = data.Field <Object>("ZscoreRolling") }; foreach (var item in d) { if (item.Date != null && item.ZscoreRolling != null) { chart1.Series["Series1"].Points.AddXY(item.Date.Date.ToString("d"), item.ZscoreRolling); } } chart1.DataBind(); chart2.Series[0].Points.Clear(); var dd = from data in test1.DT.AsEnumerable() select new { Date = data.Field <DateTime>("Date"), AdjustedClose = data.Field <Object>("AdjustedClose") }; foreach (var item in dd) { if (item.Date != null && item.AdjustedClose != null) { chart2.Series["Series1"].Points.AddXY(item.Date.Date.ToString("d"), item.AdjustedClose); } } chart2.DataBind(); chart3.Series[0].Points.Clear(); var ddd = from data in test1.DT.AsEnumerable() select new { Date = data.Field <DateTime>("Date"), CumRealPNLrollHold = data.Field <Object>("CumRealPNLrollHold") }; foreach (var item in ddd) { if (item.Date != null && item.CumRealPNLrollHold != null) { chart3.Series["Series1"].Points.AddXY(item.Date.Date.ToString("d"), item.CumRealPNLrollHold); } } chart3.DataBind(); //chart3.ChartAreas[0].AxisY.LabelStyle.Format = "{0.00}" + "%"; Cursor = Cursors.Default; }