public static void Go()
{
var spreadDefs = new[]
{
new SpreadDefinition(new MonthYearOffset(Singleton<ComIDs>.Instance["C "],0,MonthCode.U),new MonthYearOffset(Singleton<ComIDs>.Instance["C "],0,MonthCode.Z),false),
new SpreadDefinition(new MonthYearOffset(Singleton<ComIDs>.Instance["W "],0,MonthCode.U),new MonthYearOffset(Singleton<ComIDs>.Instance["W "],0,MonthCode.Z),false),
//new SpreadDefinition(new MonthYearOffset(Singleton<ComIDs>.Instance["S "],0,MonthCode.Q),new MonthYearOffset(Singleton<ComIDs>.Instance["S "],1,MonthCode.F),false),
new SpreadDefinition(new MonthYearOffset(Singleton<ComIDs>.Instance["SB"],0,MonthCode.V),new MonthYearOffset(Singleton<ComIDs>.Instance["SB"],1,MonthCode.K),false),
new SpreadDefinition(new MonthYearOffset(Singleton<ComIDs>.Instance["NG"],0,MonthCode.X),new MonthYearOffset(Singleton<ComIDs>.Instance["NG"],0,MonthCode.H),false),
new SpreadDefinition(new MonthYearOffset(Singleton<ComIDs>.Instance["XB"],0,MonthCode.J),new MonthYearOffset(Singleton<ComIDs>.Instance["XB"],0,MonthCode.U),false),
};
foreach (var spreadDef in spreadDefs)
{
//StratParamSurface.StratParamData resultSet = new StratParamSurface.StratParamData("minWindowSize_, zScoreThreshold"
var listOfpoints = new List<StratParamSurface.StratParamDataPoint>();
for(int days=30; days<120; days+=10)
{
for(double threshold=0.5;threshold<2.0;threshold+=0.1)
{
var args = new WeightGeneratorArgs()
{
Lookback=5,
MinWindowLength=days,
WeightGenerationType=WeightGeneratorType.LongestZScoreOverThreshold,
ZScoreThreshold=threshold
};
var gen = new SpreadWeightGenerator(args, spreadDef);
var pnl = gen.GetSimplePnl();
if (pnl.Length == 0) continue; // weren't met
var eval = new ReturnsEval.DataSeriesEvaluator(pnl.Dates, pnl.Data, "blah", ReturnsEval.DataSeriesType.Returns);
listOfpoints.Add(new StratParamSurface.StratParamDataPoint()
{
X = Convert.ToDouble(days),
Y = threshold,
Eval = eval
});
}
}
var data = new StratParamSurface.StratParamData(
XLabel_: "minWindowSize_",
YLabel_: "zScoreThreshold",
data_: listOfpoints,
pointFunc_: (p) => p.Eval.Daily.AnnualSharpeRatio
);
var control = new StratParamSurface();
control.Create(data);
control.DisplayInShowForm(spreadDef.ToString());
}
}
protected override void Dispose(bool disposing)
{
base.Dispose(disposing);
if (disposing)
{
m_gen = null;
}
}
public MenuItem_GenericAction(SpreadWeightGenerator sw_, Action<SpreadWeightGenerator> action_, string title_)
: base (sw_,title_)
{
m_action = action_;
}
public MenuItem_ShowTrades(SpreadWeightGenerator gen_)
: base(gen_,string.Format("{0} => Show Trades",gen_))
{
}
public MenuItemBase(SpreadWeightGenerator gen_, string title_)
{
m_gen = gen_;
Text = title_;
}
public SpreadWeightGeneratorCombiner(SpreadWeightGenerator[] spreads_)
{
Spreads = spreads_;
}
public MenuItem_ShowPnlDetailed(SpreadWeightGenerator gen_)
: base(gen_, string.Format("{0} => Show Pnl Result (detailed)", gen_))
{
}
public MenuItem_ShowSeasonality(SpreadWeightGenerator gen_)
: base(gen_,string.Format("{0} => Show Seasonality",gen_))
{
}
public void Add(SpreadWeightGenerator generator_)
{
if (generator_ != null)
m_list.Add(generator_);
}
public MenuItems_ShowPnlResult(SpreadWeightGenerator gen_)
: base(gen_, string.Format("{0} => Show Pnl Result", gen_))
{
}
