public void Display(string txt_)
{
var lcd = new SI.Controls.LineChartDataDisplay();
lcd.AddSeries(Scores.Dates, Scores.Data, "Scores", 40, "##0.0");
DatedDataCollectionGen<double> stdev = HelperMethods.GetRollingStdev(Pxs.ToReturns(), NumDays);
lcd.AddSeries(stdev.Dates, stdev.Data, "Stdev", 80, "#0.0%");
DatedDataCollectionGen<double> ma = HelperMethods.GetMA(Pxs, NumDays);
lcd.AddSeries(Pxs.Dates, Pxs.Data, "Index", 120, "##0.0");
lcd.AddSeries(ma.Dates, ma.Data, "MA_{0}", 120, "##0.0");
lcd.DisplayInShowForm(txt_);
}
public static void Go(ComID[] commodities_, bool dispBW_=false)
{
var wts = CalculateWeights(commodities_);
//wts.DisplayInGrid("weightings");
var pnl = DoPnl(commodities_, wts);
//pnl.DisplayInGrid("pnl");
//return;
var eval = new ReturnsEval.DataSeriesEvaluator("blah", ReturnsEval.DataSeriesType.Returns);
var weightedBW = !dispBW_ ? null : DoBW(commodities_, wts);
for (int i = 0; i < pnl.ArrayLength; ++i)
{
var comPnl = pnl.GetColumnValuesAsDDC(i);
eval.AddInnerSeries(comPnl.Dates, comPnl.Data, pnl.ColumnHeadings[i]);
if (weightedBW != null)
{
var chart = new SI.Controls.LineChartDataDisplay();
chart.AddSeries(
dates_: comPnl.Dates,
values_: comPnl.ToCumulative().Data,
desc_: "pnl",
yAxisExtent_: 40,
yLabelFormat_: "##0.0#%",
yAxisLeft_: true);
var com = weightedBW.GetColumnValuesAsDDC(i);
com = new DatedDataCollectionGen<double>(wts.Dates.ToArray(), wts.Dates.Select(x => com.ValueOnDate(x)).ToArray());
chart.AddSeries(
dates_: com.Dates,
values_: com.Data,
desc_: "bw",
yAxisExtent_: 40,
yLabelFormat_: "##0.0###%",
yAxisLeft_: false);
chart.DisplayInShowForm(commodities_[i].Mnemonic);
}
}
eval.Evaluate();
eval.Display();
}
public SI.Controls.LineChartDataDisplay CreateChart()
{
var chart = new SI.Controls.LineChartDataDisplay();
var series = getStructureValues();
chart.AddSeries(series, DisplayName, 40, "##0.0");
return chart;
}
internal static void Go()
{
DatedDataCollectionGen<double> stratReturns = null;
{
var pathToReturns = @"e:\stratReturnsSeries.csv";
var dates = new List<DateTime>();
var data = new List<double>();
foreach (var v in CsvFile.Read<LineItem>(pathToReturns))
{
dates.Add(v.Date);
data.Add(v.Return);
}
stratReturns = new DatedDataCollectionGen<double>(dates.ToArray(), data.ToArray());
}
var stratEval = new ReturnsEval.DataSeriesEvaluator(stratReturns.Dates, stratReturns.Data, "strat", ReturnsEval.DataSeriesType.Returns);
var spx = BbgTalk.HistoryRequester.GetHistory(stratReturns.Dates[0], "SPX INDEX", "PX_CLOSE_1D", false);
{
for (int i = 1; i < spx.Length; ++i)
{
spx.Data[i - 1] = spx.Data[i];
}
}
var spxR = spx.ToReturns();
var spxEval = new ReturnsEval.DataSeriesEvaluator(spxR.Dates, spxR.Data, "SPX", ReturnsEval.DataSeriesType.Returns);
spxEval.Evaluate();
spxEval.Display("spx");
double[] perfDuringDrawdown = new double[stratReturns.Length];
var listOfRecords = new List<DrawdownItem>();
foreach (var dd in spxEval.Daily.DrawDowns)
{
if (Math.Abs(dd.ValueDown) > 0.03)
{
double perf = 0d;
for (int i = 0; i < stratReturns.Length; ++i)
{
if (stratReturns.Dates[i] >= dd.StartDate && stratReturns.Dates[i] <= dd.LowDate)
{
perfDuringDrawdown[i] = stratReturns.Data[i];
perf += stratReturns.Data[i];
}
}
if (perf != 0d)
{
stratEval.Evaluate(dd.StartDate, dd.LowDate);
listOfRecords.Add(new DrawdownItem()
{
DateStart = dd.StartDate,
DateBottomOut = dd.LowDate,
ChangeInSPX = -dd.ValueDown,
StrategyPerformance = perf,
TopStratDrawdown = stratEval.Daily.DrawDowns.Count()==0 ? 0d : -stratEval.Daily.DrawDowns.OrderByDescending(x=>x.ValueDown).First().ValueDown
});
}
}
}
{
var origStratCumulative = stratReturns.ToCumulative();
var perDuringDrawdownCumulative = new DatedDataCollectionGen<double>(stratReturns.Dates, perfDuringDrawdown).ToCumulative();
var spxCumulative = spxEval.Daily.ToCumulative();
var linechart = new SI.Controls.LineChartDataDisplay();
linechart.AddSeries(origStratCumulative.Dates, origStratCumulative.Data, "Original strategy");
linechart.AddSeries(perDuringDrawdownCumulative.Dates, perDuringDrawdownCumulative.Data, "Strat during SPX drawdown");
linechart.AddSeries(spxCumulative.Dates, spxCumulative.Data, "SPX cumulative return", 80, "####0.0");
{
var legend = linechart.AddCompositeLegendForAllLayers();
legend.Bounds = new System.Drawing.Rectangle(30, 0, 20, 30);
legend.BoundsMeasureType = Infragistics.UltraChart.Shared.Styles.MeasureType.Percentage;
legend.PE.ElementType = PaintElementType.Gradient;
legend.PE.FillGradientStyle = GradientStyle.ForwardDiagonal;
legend.PE.Fill = Color.DarkGray;
legend.PE.FillStopColor = Color.DarkGray;
legend.Border.CornerRadius = 10;
legend.Border.Color = Color.White;
legend.Border.Thickness = 1;
}
linechart.DisplayInShowForm("Strat analysis during >3% SPX drawdowns");
}
var g = listOfRecords.DisplayInGrid("Records");
g.SetHeaderClickSort();
}
public void ShowPortfolioPnlProgression()
{
var pnl = new ConstructGen<double>(Positions.Select(x=>x.Security).ToArray());
var flp = new System.Windows.Forms.FlowLayoutPanel();
var listOfInfraBoxes = new List<Infragistics.Win.Misc.UltraGroupBox>();
for (int i = 0; i < pnl.ArrayLength; ++i)
{
var posPnl = Positions[i].GeneratePnlSinceFix();
for (int d = 0; d < posPnl.Length; ++d)
{
pnl.SetValue(posPnl.Dates[d], i, posPnl.Data[d].Close);
}
{
Infragistics.Win.Misc.UltraGroupBox box = new Infragistics.Win.Misc.UltraGroupBox();
box.Text = string.Format("{0} {1}", Positions[i].Security, Positions[i].Pnl.ToString("###0.0#;(###0.0#);-"));
box.Tag = Positions[i].Pnl;
box.Size = new System.Drawing.Size(250, 250);
var chart = new SI.Controls.BarDataPointChart();
chart.SetYAxisFormat("##0.0#");
chart.Dock = System.Windows.Forms.DockStyle.Fill;
chart.Create(posPnl);
box.Controls.Add(chart);
listOfInfraBoxes.Add(box);
}
}
Infragistics.Win.Misc.UltraGroupBox[] boxArr = listOfInfraBoxes.OrderByDescending(x => (double)x.Tag).ToArray();
{
double max = 0d;
foreach (Infragistics.Win.Misc.UltraGroupBox box in boxArr)
{
max = Math.Max(max, ((SI.Controls.BarDataPointChart)box.Controls[0]).YAxisAbsoluteMax);
}
foreach (Infragistics.Win.Misc.UltraGroupBox box in boxArr)
{
((SI.Controls.BarDataPointChart)box.Controls[0]).SetMaxMinYAxisRange(max);
}
}
foreach (Infragistics.Win.Misc.UltraGroupBox box in boxArr)
{
flp.Controls.Add(box);
}
pnl.SortKeys();
for (int i = 0; i < pnl.ArrayLength; ++i)
{
DatedDataCollectionGen<double> col = pnl.GetColumnValuesAsDDC(i);
double last = col.Data[0];
for (int j = 1; j < col.Length; ++j)
{
double val = col.Data[j];
if (val == 0d)
{
if (last != 0d)
{
pnl.SetValue(col.Dates[j], i, last);
}
}
else
last = val;
}
}
DatedDataCollectionGen<double> total = pnl.SumRows();
KeyValuePair<string, System.Windows.Forms.Control>[] cons = new KeyValuePair<string, System.Windows.Forms.Control>[3];
var stack = new Controls.SimpleStackedColumnChart();
stack.Create<string, string>(
pnl.Dates.Select(x => x.ToString("HH:mm")).ToArray(),
Positions.Select(x => x.Security).ToArray(),
pnl.ToArray());
cons[0] = new KeyValuePair<string, System.Windows.Forms.Control>("position attributed", stack);
//stack.DisplayInShowForm(string.Format("{0} pnl progression, position attributed", this.Name));
var lcdd = new SI.Controls.LineChartDataDisplay();
lcdd.AddSeries(total.Dates, total.Data, Name, 40, "#0.0#");
lcdd.SetXAxisFormat("HH:mm");
//lcdd.DisplayInShowForm(string.Format("{0} total pnl progression", m_p.DisplayName));
cons[1] = new KeyValuePair<string, Control>("total", lcdd);
cons[2] = new KeyValuePair<string, Control>("comp", flp);
cons.DisplayInShowForm(string.Format("{0} pnl progression", Name));
}
private static void showCombinedStdevFromMean(DatedDataCollectionGen<double> prices_, string name_, int[] means_)
{
var combined =
HelperMethods.CalculateStdevFromMean(prices_, means_[0], 500).ProcessEachValue(x => x/Math.Sqrt(means_[0]));
for (int i = 1; i < means_.Length; ++i)
{
combined =
combined.Plus(
HelperMethods.CalculateStdevFromMean(prices_, means_[i], 500).ProcessEachValue(x => x/Math.Sqrt(means_[i])));
}
combined = combined.ProcessEachValue(x => x / Convert.ToDouble(means_.Length));
if (false)
{
var c = new SI.Controls.LineChartDataDisplay();
c.AddSeries(prices_.Dates, prices_.Data, name_);
c.AddSeries(dates_: combined.Dates,
values_: combined.Data,
desc_: "prop",
yAxisExtent_: 40,
yLabelFormat_: "##0.0#",
color_: System.Drawing.Color.Orange,
yAxisLeft_: false);
c.DisplayInShowForm(name_);
}
combined.LagValues(1).MultiplyBy(prices_.ToReturns()).GetEvalAssumeDailyReturns(name_).Display();
}
