/// <summary>
/// Main constructor for the class
/// </summary>
/// <param name="rangePeriod">Range period</param>
/// <param name="consolidatorResolution">Time length of consolidator</param>
public SymbolData(int rangePeriod, TimeSpan consolidatorResolution)
{
_rangeWindow = new RollingWindow <TradeBar>(rangePeriod);
_consolidator = new TradeBarConsolidator(consolidatorResolution);
// event fired at new consolidated trade bar
_consolidator.DataConsolidated += (sender, consolidated) =>
{
// add new tradebar to
_rangeWindow.Add(consolidated);
if (IsReady)
{
var hh = _rangeWindow.Select(x => x.High).Max();
var hc = _rangeWindow.Select(x => x.Close).Max();
var lc = _rangeWindow.Select(x => x.Close).Min();
var ll = _rangeWindow.Select(x => x.Low).Min();
Range = Math.Max(hh - lc, hc - ll);
UpperLine = consolidated.Close + K1 * Range;
LowerLine = consolidated.Close - K2 * Range;
}
};
}
public void OnData(TradeBars data)
{
if (IsWarmingUp)
{
return;
}
var logData = _window.Select(closingPrice => Math.Log10(closingPrice));
var diff = logData.Zip(logData.Skip(1), (x, y) => y - x);
var returns = _engine.CreateNumericVector(diff);
_engine.SetSymbol("roll.returns", returns);
_engine.Evaluate(@"source('C:\Users\M\Documents\Visual Studio 2015\Projects\Trading\Trading\arima_garch.r')");
var direction = _engine.GetSymbol("directions").AsInteger()[0];
var holdings = Portfolio[Symbol].Quantity;
if (holdings <= 0 && direction == 1)
{
Log("BUY >> " + Securities[Symbol].Price);
SetHoldings(Symbol, 1.0);
}
else if (holdings >= 0 && direction == -1)
{
Log("SELL >> " + Securities[Symbol].Price);
SetHoldings(Symbol, -1.0);
}
}
private decimal VolatilityScaledSharpeRatio(decimal spyAllocation, decimal tltAllocation)
{
var dailyReturns = _dailyReturns.Select(dailyReturn => spyAllocation * dailyReturn.Item1 + tltAllocation * dailyReturn.Item2);
var mean = dailyReturns.Average();
foreach (var dr in dailyReturns)
{
_sd.Update(DateTime.Now, dr);
}
var sharpe = mean / Convert.ToDecimal(Math.Pow(Convert.ToDouble(_sd), _volatilityFactor));
return(sharpe);
}
private decimal VolatilityScaledSharpeRatio(decimal spyAllocation, decimal tltAllocation)
{
var dailyReturns = _dailyReturns.Select(dailyReturn => spyAllocation * dailyReturn.Item1 + tltAllocation * dailyReturn.Item2);
var mean = dailyReturns.Average();
foreach (var dr in dailyReturns)
{
_sd.Update(DateTime.Now, dr);
}
var sharpe = mean / (decimal)Math.Pow((double)_sd.Current.Value, _volatilityFactor);
return(sharpe);
}
public void WhenComputing_Then_ResultIsTheSumOfAllDataInTheWindow()
{
const int period = 5;
var sut = new SumOfSquaresComputation();
var window = new RollingWindow <double>(period);
for (int i = 0; i < 2 * period; i++)
{
window.Add(i);
var result = sut.Compute(window);
Assert.AreEqual(window.Select(x => x * x).Sum(), result);
}
}
public override void Initialize()
{
SetStartDate(2015, 1, 1);
SetEndDate(DateTime.Now);
SetCash(10000);
AddSecurity(SecurityType.Equity, spy, _dataResolution);
AddSecurity(SecurityType.Equity, tlt, _dataResolution);
_sd = new StandardDeviation(LookbackPeriod - 1);
_dailyReturns = new RollingWindow <Tuple <decimal, decimal> >(LookbackPeriod - 1);
var spyHistory = History(spy, TimeSpan.FromDays(LookbackPeriod), _dataResolution);
var tltHistory = History(tlt, TimeSpan.FromDays(LookbackPeriod), _dataResolution);
var history = spyHistory.Zip(tltHistory, (spyBar, tltBar) => new Tuple <TradeBar, TradeBar>(spyBar, tltBar));
var highestSharpe = 0m;
for (decimal spyAllocation = 0.0m, tltAllocation = 1.0m; spyAllocation <= 1.0m; spyAllocation += 0.1m, tltAllocation -= 0.1m)
{
var previousBar = history.First();
foreach (var tradeBar in history.Skip(1))
{
var spyReturn = spyAllocation * (tradeBar.Item1.Close - previousBar.Item1.Close) / previousBar.Item1.Close;
var tltReturn = tltAllocation * (tradeBar.Item2.Close - previousBar.Item2.Close) / previousBar.Item2.Close;
_dailyReturns.Add(new Tuple <decimal, decimal>(spyReturn, tltReturn));
_sd.Update(tradeBar.Item1.EndTime, spyReturn + tltReturn);
previousBar = tradeBar;
}
var mean = _dailyReturns.Select(dailyReturn => dailyReturn.Item1 + dailyReturn.Item2).Average();
var sharpe = mean / Convert.ToDecimal(Math.Pow(Convert.ToDouble(_sd), _volatilityFactor));
if (sharpe > highestSharpe)
{
highestSharpe = sharpe;
_spyAllocation = spyAllocation;
_tltAllocation = tltAllocation;
}
_sd.Reset();
_dailyReturns.Reset();
}
}
