public void RemovesOldValues()
{
var kellyCriterionManager = new KellyCriterionManager();
var start = new DateTime(2019, 1, 1);
kellyCriterionManager.AddNewValue(10, start);
kellyCriterionManager.AddNewValue(10, start);
kellyCriterionManager.UpdateScores();
Console.WriteLine($"Estimate {kellyCriterionManager.KellyCriterionEstimate}" +
$" - ProbabilityValue {kellyCriterionManager.KellyCriterionProbabilityValue}");
Assert.AreEqual(0.1, kellyCriterionManager.KellyCriterionEstimate);
Assert.AreEqual(0.5, kellyCriterionManager.KellyCriterionProbabilityValue);
kellyCriterionManager.AddNewValue(-10, start.AddDays(365));
kellyCriterionManager.AddNewValue(-10, start.AddDays(365));
kellyCriterionManager.UpdateScores();
Console.WriteLine($"Estimate {kellyCriterionManager.KellyCriterionEstimate}" +
$" - ProbabilityValue {kellyCriterionManager.KellyCriterionProbabilityValue}");
Assert.AreEqual(-0.1, kellyCriterionManager.KellyCriterionEstimate);
Assert.AreEqual(0.5, kellyCriterionManager.KellyCriterionProbabilityValue);
}
/// <summary>
/// Computes an estimated value for the insight. This is intended to be invoked at the end of the
/// insight period, i.e, when now == insight.GeneratedTimeUtc + insight.Period;
/// </summary>
/// <param name="context">Context whose insight has just closed</param>
public void OnInsightClosed(InsightAnalysisContext context)
{
// increment closed insight counter
Statistics.TotalInsightsClosed += 1;
// tradable volume (purposefully includes fractional shares)
var volume = _tradablePercentOfVolume * context.InitialValues.Volume;
// value of the entering the trade in the account currency
var enterValue = context.InitialValues.Price * context.InitialValues.QuoteCurrencyConversionRate;
// value of exiting the trade in the account currency
var exitValue = context.CurrentValues.Price * context.CurrentValues.QuoteCurrencyConversionRate;
// total value delta between enter and exit values
var insightValue = (int)context.Insight.Direction * (exitValue - enterValue);
var insightValueFactoredByTradableVolume = insightValue * volume;
context.Insight.EstimatedValue = insightValueFactoredByTradableVolume;
Statistics.TotalAccumulatedEstimatedAlphaValue += insightValueFactoredByTradableVolume;
// just in case..
if (enterValue != 0)
{
_kellyCriterionManager.AddNewValue(
(int)context.Insight.Direction * (exitValue / enterValue - 1),
context.Insight.GeneratedTimeUtc);
}
}
public void ExtremeCasesBigNumbers(int extremeCase)
{
var extremePositive = new decimal[] { 1000, 2000, 3000, 1000, 5000, 1000, 1000 };
var extremeNegative = new decimal[] { -1000, -2000, -3000, -1000, -5000, -1000, -1000 };
decimal[] collection = extremeCase == 1 ? extremePositive : extremeNegative;
var kellyCriterionManager = new KellyCriterionManager();
foreach (var newValue in collection)
{
kellyCriterionManager.AddNewValue(newValue, DateTime.UtcNow);
kellyCriterionManager.UpdateScores();
}
var estimate = kellyCriterionManager.KellyCriterionEstimate;
var probabilityValue = kellyCriterionManager.KellyCriterionProbabilityValue;
Console.WriteLine($"Estimate {estimate} - ProbabilityValue {probabilityValue}");
Assert.AreEqual(extremeCase == 1
? 0.00031578947368421 : -0.00031578947368421, kellyCriterionManager.KellyCriterionEstimate);
Assert.AreEqual(1, kellyCriterionManager.KellyCriterionProbabilityValue);
}
public void ExtremeCasesSmallNumbers(int extremeCase)
{
var extremePositive = new decimal[] { 1, 2, 3, 1, 5, 1, 1 };
var extremeNegative = new decimal[] { -1, -2, -3, -1, -5, -1, -1 };
decimal[] collection = extremeCase == 1 ? extremePositive : extremeNegative;
var kellyCriterionManager = new KellyCriterionManager();
foreach (var newValue in collection)
{
kellyCriterionManager.AddNewValue(newValue, DateTime.UtcNow);
kellyCriterionManager.UpdateScores();
}
var estimate = kellyCriterionManager.KellyCriterionEstimate;
var probabilityValue = kellyCriterionManager.KellyCriterionProbabilityValue;
Log.Trace($"Estimate {estimate} - ProbabilityValue {probabilityValue}");
Assert.AreEqual(extremeCase == 1
? 0.315789473684211m : -0.315789473684211m, kellyCriterionManager.KellyCriterionEstimate);
Assert.AreEqual(1, kellyCriterionManager.KellyCriterionProbabilityValue);
}
public void MiddleCase()
{
// values sum up to 0 -> average will be 0
var middleCase = new decimal[] { 1000, -2000, -3000, 1000, 5000, -1000, -1000 };
var kellyCriterionManager = new KellyCriterionManager();
foreach (var newValue in middleCase)
{
kellyCriterionManager.AddNewValue(newValue, DateTime.UtcNow);
kellyCriterionManager.UpdateScores();
}
var estimate = kellyCriterionManager.KellyCriterionEstimate;
var probabilityValue = kellyCriterionManager.KellyCriterionProbabilityValue;
Console.WriteLine($"Estimate {estimate} - ProbabilityValue {probabilityValue}");
Console.WriteLine($"Estimate {estimate} - ProbabilityValue {probabilityValue}");
// compare with a delta
Assert.Less(Math.Abs(0 - kellyCriterionManager.KellyCriterionEstimate), 0.000000000000001m);
Assert.AreEqual(1, kellyCriterionManager.KellyCriterionProbabilityValue);
}