private static void strategyCloseIn(int quarter, decimal threshold, int buyinpower, decimal bate, DateTime lastdate)
{
#region get symbols & spy hedge pnl
FileHelperEngine EngineOut = new FileHelperEngine(typeof(DailyDataout));
DailyDataout[] FinalDB = (DailyDataout[])EngineOut.ReadFile("Daily\\temp.csv");
#region definition var
List<DailyDataout> ReportEaring = new List<DailyDataout>();
List<AdjustEaringdata> adjE = new List<AdjustEaringdata>();
Queue<decimal> Beta5Ds = new Queue<decimal>();
decimal avgBeta = 777;
string symbol = "";
decimal spyearingdate = 0;
decimal highEaring = 0;
decimal lowEaring = 0;
decimal pricein = 0;
decimal priceout = 0;
decimal enterhigh = 0;
decimal enterlow = 0;
bool findin = false;
bool findout = false;
bool entrydate = false;
bool exitdate = false;
int size = 0;
decimal spyin = 0;
// decimal spyout = 0;
int spysize = 0;
#endregion
foreach (var item in FinalDB)
{
DailyDataout tempitem = new DailyDataout();
tempitem = item;
AdjustEaringdata adjear = new AdjustEaringdata();
if (tempitem.threshold > 0)
{
#region long
if (item.symbol == symbol)
{
if ((findin && !findout) || exitdate)
{
#region get pnl
#region entry pnl
if (entrydate)
{
//pricein = Math.Max(pricein, item.open);
size = Convert.ToInt32(buyinpower / pricein);
tempitem.pnl = size * (item.close - pricein);
tempitem.daypnl = size * (item.close - item.open);
tempitem.overnightpnl = size * (item.open - pricein);
enterlow = item.low;
tempitem.pricein = pricein;
#region short spy hedge worst condition
spysize = Convert.ToInt32(buyinpower / spyin);
tempitem.spypnl = -spysize * (item.spyclose - spyin);
tempitem.dayspypnl = -spysize * (item.spyclose - item.spyopen);
tempitem.overnightspypnl = -spysize * (item.spyopen - spyin);
#endregion
#region win10 or lose10
if (tempitem.pnl / (pricein * size) >= (decimal)0.1)
{
tempitem.win10 = 1;
}
else
{
tempitem.win10 = 0;
}
if (tempitem.pnl / (pricein * size) <= -(decimal)0.1)
{
tempitem.lose10 = 1;
}
else
{
tempitem.lose10 = 0;
}
#endregion
#region 5 days beta array
Beta5Ds.Enqueue(tempitem.beta);
#endregion
ReportEaring.Add(tempitem);
pricein = item.close;
spyin = item.spyclose;
entrydate = false;
}
#endregion
#region exit pnl
else if (exitdate)
{
priceout = Math.Min(priceout, item.close);
priceout = item.open;
tempitem.pnl = size * (priceout - pricein);
tempitem.daypnl = size * (priceout - item.open);
tempitem.overnightpnl = size * (item.open - pricein);
tempitem.priceout = priceout;
#region short spy hedge on close
spysize = Convert.ToInt32(buyinpower / spyin);
tempitem.spypnl = -spysize * (item.spyclose - spyin);
tempitem.dayspypnl = -spysize * (item.spyclose - item.spyopen);
tempitem.overnightspypnl = -spysize * (item.spyopen - spyin);
#endregion
#region win10 or lose10
if (tempitem.pnl / (pricein * size) >= (decimal)0.1)
{
tempitem.win10 = 1;
}
else
{
tempitem.win10 = 0;
}
if (tempitem.pnl / (pricein * size) <= -(decimal)0.1)
{
tempitem.lose10 = 1;
}
else
{
tempitem.lose10 = 0;
}
#endregion
ReportEaring.Add(tempitem);
exitdate = false;
}
#endregion
#region regular pnl
else
{
tempitem.pnl = size * (item.close - pricein);
tempitem.daypnl = size * (item.close - item.open);
tempitem.overnightpnl = size * (item.open - pricein);
tempitem.priceout = item.close;
#region short spy hedge
spysize = Convert.ToInt32(buyinpower / spyin);
tempitem.spypnl = -spysize * (item.spyclose - spyin);
tempitem.dayspypnl = -spysize * (item.spyclose - item.spyopen);
tempitem.overnightspypnl = -spysize * (item.spyopen - spyin);
#endregion
#region win10 or lose10
if (tempitem.pnl / (pricein * size) >= (decimal)0.1)
{
tempitem.win10 = 1;
}
else
{
tempitem.win10 = 0;
}
if (tempitem.pnl / (pricein * size) <= -(decimal)0.1)
{
tempitem.lose10 = 1;
}
else
{
tempitem.lose10 = 0;
}
#endregion
#region 5 days beta array
if (Beta5Ds.Count == 5)
{
avgBeta = Beta5Ds.Average();
Beta5Ds.Dequeue();
Beta5Ds.Enqueue(tempitem.beta);
}
else
{
Beta5Ds.Enqueue(tempitem.beta);
}
#endregion
ReportEaring.Add(tempitem);
pricein = item.close;
spyin = item.spyclose;
}
#endregion
#endregion
#region exit logic
if (!findout && (item.close < (lowEaring * item.spyclose / spyearingdate)
//|| avgBeta<(decimal)-2
|| item.date == lastdate
))
{
priceout = lowEaring * item.spyclose / spyearingdate;
findout = true;
exitdate = true;
}
#endregion
}
#region entry logic
if (!findin && item.close > (highEaring * item.spyclose / spyearingdate))
{
//pricein = (highEaring * item.spyclose / spyearingdate);
findin = true;
entrydate = true;
spyin = item.spyclose;
pricein = item.close;
//if (item.symbol == "MTW")
// Console.WriteLine(item.date);
tempitem.close = pricein;
// ReportEaring.Add(tempitem);
adjear.symbol = item.symbol;
adjear.date = item.date;
adjear.threshold = item.threshold;
adjear.adjearninghigh = highEaring * item.spyclose / spyearingdate;
adjE.Add(adjear);
}
#endregion
#region adj
if (!findin)
{
adjear.symbol = item.symbol;
adjear.date = item.date;
adjear.threshold = item.threshold;
adjear.adjearninghigh = highEaring * item.spyclose / spyearingdate;
adjE.Add(adjear);
}
#endregion
}
else
{
#region earnign date
symbol = item.symbol;
spyearingdate = item.spyclose;
highEaring = item.high;
lowEaring = item.low;
enterhigh = 0;
enterlow = 0;
pricein = 0;
priceout = 0;
findin = false;
findout = false;
entrydate = false;
exitdate = false;
size = 0;
spyin = 0;
spysize = 0;
avgBeta = 10000000;
Beta5Ds.Clear();
#endregion
}
#endregion
}
if (tempitem.threshold < 0)
{
#region short
if (item.symbol == symbol)
{
if ((findin && !findout) || exitdate)
{
#region get pnl
#region entry pnl
if (entrydate)
{
pricein = Math.Min(pricein, item.open);
size = Convert.ToInt32(buyinpower / pricein);
tempitem.pnl = size * (-item.close + pricein);
tempitem.daypnl = size * (-item.close + item.open);
tempitem.overnightpnl = size * (-item.open + pricein);
enterhigh = item.high;
tempitem.pricein = pricein;
#region long spy hedge worst condition
spysize = Convert.ToInt32(buyinpower / item.spyopen);
tempitem.spypnl = spysize * (item.spyclose - spyin);
tempitem.dayspypnl = spysize * (item.spyclose - item.spyopen);
tempitem.overnightspypnl = spysize * (item.spyopen - spyin);
#endregion
#region win10 or lose10
if (tempitem.pnl / (pricein * size) >= (decimal)0.1)
{
tempitem.win10 = 1;
}
else
{
tempitem.win10 = 0;
}
if (tempitem.pnl / (pricein * size) <= -(decimal)0.1)
{
tempitem.lose10 = 1;
}
else
{
tempitem.lose10 = 0;
}
#endregion
#region 5 days beta array
Beta5Ds.Enqueue(tempitem.beta);
#endregion
ReportEaring.Add(tempitem);
pricein = item.close;
entrydate = false;
spyin = item.spyclose;
}
#endregion
#region exit pnl
else if (exitdate)
{
priceout = Math.Max(priceout, item.close);
priceout = item.open;
tempitem.pnl = size * (-priceout + pricein);
tempitem.daypnl = size * (-priceout + item.open);
tempitem.overnightpnl = size * (-item.open + pricein);
tempitem.priceout = priceout;
#region long spy hedge on close
spysize = Convert.ToInt32(buyinpower / spyin);
tempitem.spypnl = spysize * (item.spyclose - spyin);
tempitem.dayspypnl = spysize * (item.spyclose - item.spyopen);
tempitem.overnightspypnl = spysize * (item.spyopen - spyin);
#endregion
#region win10 or lose10
if (tempitem.pnl / (pricein * size) >= (decimal)0.1)
{
tempitem.win10 = 1;
}
else
{
tempitem.win10 = 0;
}
if (tempitem.pnl / (pricein * size) <= -(decimal)0.1)
{
tempitem.lose10 = 1;
}
else
{
tempitem.lose10 = 0;
}
#endregion
ReportEaring.Add(tempitem);
exitdate = false;
}
#endregion
#region regual pnl
else
{
tempitem.pnl = size * (-item.close + pricein);
tempitem.daypnl = size * (-item.close + item.open);
tempitem.overnightpnl = size * (-item.open + pricein);
tempitem.priceout = item.close;
#region long spy hedge
spysize = Convert.ToInt32(buyinpower / spyin);
tempitem.spypnl = spysize * (item.spyclose - spyin);
tempitem.dayspypnl = spysize * (item.spyclose - item.spyopen);
tempitem.overnightspypnl = spysize * (item.spyopen - spyin);
#endregion
#region win10 or lose10
if (tempitem.pnl / (pricein * size) >= (decimal)0.1)
{
tempitem.win10 = 1;
}
else
{
tempitem.win10 = 0;
}
if (tempitem.pnl / (pricein * size) <= -(decimal)0.5)
{
tempitem.lose10 = 1;
}
else
{
tempitem.lose10 = 0;
}
#endregion
#region 5 days beta array
if (Beta5Ds.Count == 5)
{
avgBeta = Beta5Ds.Average();
Beta5Ds.Dequeue();
Beta5Ds.Enqueue(tempitem.beta);
}
else
{
Beta5Ds.Enqueue(tempitem.beta);
}
#endregion
ReportEaring.Add(tempitem);
pricein = item.close;
spyin = item.spyclose;
}
#endregion
#endregion
#region exit logic
if (!findout && (item.close > (highEaring * item.spyclose / spyearingdate)
//||avgBeta > (decimal)2
|| item.date == lastdate
))
{
priceout = highEaring * item.spyclose / spyearingdate;
findout = true;
exitdate = true;
}
#endregion
}
#region entry logic
if (!findin && item.close < (lowEaring * item.spyclose / spyearingdate))
{
//pricein = (lowEaring* item.spyclose / spyearingdate);
findin = true;
entrydate = true;
spyin = item.spyclose;
pricein = item.close;
tempitem.close = pricein;
// ReportEaring.Add(tempitem);
adjear.symbol = item.symbol;
adjear.date = item.date;
adjear.threshold = item.threshold;
adjear.adjearninglow = lowEaring * item.spyclose / spyearingdate;
adjE.Add(adjear);
}
#endregion
#region adj
if (!findin)
{
adjear.symbol = item.symbol;
adjear.date = item.date;
adjear.threshold = item.threshold;
adjear.adjearninglow = lowEaring * item.spyclose / spyearingdate;
adjE.Add(adjear);
}
#endregion
}
else
{
#region earning date
symbol = item.symbol;
spyearingdate = item.spyclose;
highEaring = item.high;
lowEaring = item.low;
enterhigh = 0;
enterlow = 0;
pricein = 0;
priceout = 0;
findin = false;
findout = false;
entrydate = false;
exitdate = false;
size = 0;
spyin = 0;
spysize = 0;
avgBeta = -10000000;
Beta5Ds.Clear();
#endregion
}
#endregion
}
}
#region write to file
FileHelperEngine enginDR = new FileHelperEngine(typeof(DailyDataout));
enginDR.HeaderText = "symbol,date,open,high,low,close,volume,Exist signal price,pricein,priceout,threshold,spy close,spy open,spy high, spy low,adv,win10,lose10,overnight pnl,day pnl,pnl,spy overnight pnl,spy day pnl, spy pnl,bp,beta";
enginDR.WriteFile(string.Format("DailyReport\\{0}.{1}.D.csv", quarter, Convert.ToInt32(threshold * new decimal(100))), ReportEaring);
FileHelperEngine enginadj = new FileHelperEngine(typeof(AdjustEaringdata));
enginadj.HeaderText = "symbol,date,threshold,adj earning high, adj earing low";
enginadj.WriteFile(string.Format("DailyReport\\{0}.{1}.E.csv", quarter, Convert.ToInt32(threshold * new decimal(100))), adjE);
#endregion
#endregion
}
private static void backtest(int quarter,decimal threshold, int buyinpower)
{
TimeSpan st = DateTime.Now.TimeOfDay;
#region hoilday dictionary
bool flag3;
Dictionary<string, DateTime> strs3 = new Dictionary<string, DateTime>();
List<EarningData> earningDatas = new List<EarningData>();
FileStream fileStream1 = new FileStream("holiday.txt", FileMode.Open);
StreamReader streamReader1 = new StreamReader(fileStream1);
do
{
string str1 = streamReader1.ReadLine();
if (!(str1 == ""))
{
strs3[str1] = DateTime.ParseExact(str1, "yyyyMMdd", CultureInfo.InvariantCulture, DateTimeStyles.None);
flag3 = (str1 == null ? false : str1 != "");
}
else
{
break;
}
} while (flag3);
streamReader1.Close();
streamReader1.Dispose();
fileStream1.Close();
fileStream1.Dispose();
#endregion
#region get the quarter
int year = quarter / 10;
string begindate = year.ToString();
string enddate = year.ToString();
if (quarter % 10 == 1)
{
begindate = string.Concat(begindate, "0101");
enddate = string.Concat(enddate, "0315");
}
if (quarter % 10 == 2)
{
begindate = string.Concat(begindate, "0401");
enddate = string.Concat(enddate, "0615");
}
if (quarter % 10 == 3)
{
begindate = string.Concat(begindate, "0701");
enddate = string.Concat(enddate, "0915");
}
if (quarter % 10 == 4)
{
begindate = string.Concat(begindate, "1001");
enddate = string.Concat(enddate, "1215");
}
#endregion
#region create bio tech symbols Dic
bool flag2;
Dictionary<string, string> bioArry = new Dictionary<string, string>();
FileStream fileStream = new FileStream("bio.csv", FileMode.Open);
StreamReader streamReader = new StreamReader(fileStream);
streamReader.BaseStream.Seek((long)0, SeekOrigin.Begin);
string str2 = streamReader.ReadLine();
while (true)
{
flag2 = (str2 == null ? false : str2 != "");
if (!flag2)
{
break;
}
bioArry[str2] = str2;
str2 = streamReader.ReadLine();
}
streamReader.Close();
streamReader.Dispose();
fileStream.Close();
fileStream.Dispose();
#endregion
#region get right the earingdata
FileHelperEngine EngineDBq = new FileHelperEngine(typeof(DailyData1));
DailyData1[] resDB = (DailyData1[])EngineDBq.ReadFile(string.Format("Daily\\DailyQua\\{0}.csv", quarter));
FileHelperEngine EngineEarning = new FileHelperEngine(typeof(unionearingdate));
unionearingdate[] unionearingdateArray = (unionearingdate[])EngineEarning.ReadFile("Daily\\final.csv");
var selectEarningdata = unionearingdateArray.Where(d =>
d.date >= DateTime.ParseExact(begindate, "yyyyMMdd", CultureInfo.InvariantCulture, DateTimeStyles.None) &&
d.date <= DateTime.ParseExact(enddate, "yyyyMMdd", CultureInfo.InvariantCulture, DateTimeStyles.None)).
Where(d => Math.Abs(d.threshold) >= threshold).
Where(d => (d.high >= d.maxhigh && d.threshold > 0) || (d.low <= d.minlow && d.threshold < 0)).
Where(d => {
bool symbolExit;
symbolExit = !bioArry.ContainsKey(d.symbol);
return symbolExit;
}).
Where(d=>d.high>=5)
;
EngineEarning.WriteFile("Daily\\temp.csv", selectEarningdata);
unionearingdate[] earningdata = (unionearingdate[])EngineEarning.ReadFile("Daily\\temp.csv");
#endregion
#region combin earning and spy in daily report
#region select data from DB
var spy=resDB.Where(d=>d.symbol=="SPY");
var selectDB = from db in resDB
from e in earningdata
where (db.symbol == e.symbol) && (db.date >= e.date)
select new DailyDataout
{
symbol=db.symbol,
open=db.open,
high=db.high,
low=db.low,
close=db.close,
volume=db.volume,
adv=db.adv,
threshold=e.threshold,
date=db.date
};
selectDB = selectDB.Where(dd => dd.date <= DateTime.ParseExact(enddate, "yyyyMMdd", CultureInfo.InvariantCulture, DateTimeStyles.None));
FileHelperEngine EngineOut = new FileHelperEngine(typeof(DailyDataout));
EngineOut.HeaderText = "symbol,date,open,high,low,close,volume,Exist signal price,pricein,priceout,threshold,spy close,spy open,spy high, spy low,adv,win10,lose10,overnight pnl,day pnl,pnl,spy overnight pnl,spy day pnl, spy pnl,bp,beta";
EngineOut.WriteFile("Daily\\temp.csv", selectDB);
#endregion
#region combine spy
DailyDataout[] selectD = (DailyDataout[])EngineOut.ReadFile("Daily\\temp.csv");
var combinspy = from db in selectD
join e in spy on db.date equals e.date
select new DailyDataout
{
symbol = db.symbol,
open = db.open,
high = db.high,
low = db.low,
close = db.close,
volume = db.volume,
adv = db.adv,
threshold = db.threshold,
date = db.date,
spyclose=e.close,
spyopen=e.open,
spylow=e.low,
spyhigh=e.high
};
#endregion
bool yc2tc = false;
#region add beta
if (yc2tc)
{
#region get beta close to close
List<DailyDataout> newcombinspy = new List<DailyDataout>();
string symbol = "";
decimal beta = 0;
decimal yesterdayClose = 0;
decimal yesterdaySPYClose = 0;
foreach (var data in combinspy)
{
DailyDataout tempdailyout = new DailyDataout();
tempdailyout = data;
if (tempdailyout.symbol == symbol)
{
beta = ((tempdailyout.close / yesterdayClose) / (tempdailyout.spyclose / yesterdaySPYClose) - 1) * 100;
tempdailyout.beta = beta;
yesterdayClose = tempdailyout.close;
yesterdaySPYClose = tempdailyout.spyclose;
}
else
{
symbol = tempdailyout.symbol;
yesterdayClose = tempdailyout.close;
yesterdaySPYClose = tempdailyout.spyclose;
}
newcombinspy.Add(tempdailyout);
}
#endregion
EngineOut.WriteFile("Daily\\temp.csv", newcombinspy);
}
else
{
#region get beta close to open
List<DailyDataout> newcombinspy = new List<DailyDataout>();
string symbol = "";
decimal beta = 0;
foreach (var data in combinspy)
{
DailyDataout tempdailyout = new DailyDataout();
tempdailyout = data;
if (tempdailyout.symbol == symbol)
{
beta = ((tempdailyout.close / tempdailyout.open) / (tempdailyout.spyclose / tempdailyout.spyopen) - 1) * 100;
tempdailyout.beta = beta;
}
else
{
symbol = tempdailyout.symbol;
beta = ((tempdailyout.close / tempdailyout.open) / (tempdailyout.spyclose / tempdailyout.spyopen) - 1) * 100;
}
newcombinspy.Add(tempdailyout);
}
#endregion
EngineOut.WriteFile("Daily\\temp.csv", newcombinspy);
}
#endregion
#endregion
#region date thrshold
DateTime lastDate = DateTime.ParseExact(enddate, "yyyyMMdd", CultureInfo.InvariantCulture, DateTimeStyles.None);
if (lastDate.DayOfWeek == DayOfWeek.Sunday)
{
if (strs3.ContainsKey(lastDate.AddDays(-2).ToString("yyyyMMdd")) || strs3.ContainsKey(lastDate.AddDays(-3).ToString("yyyyMMdd")))
{
lastDate = lastDate.AddDays(-4);
}
else
lastDate = lastDate.AddDays(-3);
}
else if (lastDate.DayOfWeek == DayOfWeek.Saturday)
{
if (strs3.ContainsKey(lastDate.AddDays(-1).ToString("yyyyMMdd")) || strs3.ContainsKey(lastDate.AddDays(-2).ToString("yyyyMMdd")))
{
lastDate = lastDate.AddDays(-3);
}
else
lastDate = lastDate.AddDays(-2);
}
else if (lastDate.DayOfWeek == DayOfWeek.Monday)
{
if (strs3.ContainsKey(lastDate.ToString("yyyyMMdd")) || strs3.ContainsKey(lastDate.AddDays(-3).ToString("yyyyMMdd")))
{
lastDate = lastDate.AddDays(-4);
}
else
lastDate = lastDate.AddDays(-3);
}
else if (lastDate.DayOfWeek == DayOfWeek.Tuesday)
{
if (strs3.ContainsKey(lastDate.ToString("yyyyMMdd")) || strs3.ContainsKey(lastDate.AddDays(-1).ToString("yyyyMMdd")))
{
lastDate = lastDate.AddDays(-4);
}
else
lastDate = lastDate.AddDays(-1);
}
else
{
if (strs3.ContainsKey(lastDate.ToString("yyyyMMdd")) || strs3.ContainsKey(lastDate.AddDays(-1).ToString("yyyyMMdd")))
{
lastDate = lastDate.AddDays(-2);
}
else
lastDate = lastDate.AddDays(-1);
}
#endregion
strategy2ExitbySumBeta(quarter, threshold, buyinpower, (decimal)5, lastDate);
DailyGroupbysymbol(quarter, threshold);
#region create daily report
//FileHelperEngine enginDR = new FileHelperEngine(typeof(DailyDataout));
//enginDR.WriteFile(string.Format("DailyReport\\{0}.{1}.D.csv", quarter, Convert.ToInt32(threshold * new decimal(100))), ReportEaring);
DailyDataout[] ReportEaring = (DailyDataout[])EngineOut.ReadFile(string.Format("DailyReport\\{0}.{1}.D.csv", quarter, Convert.ToInt32(threshold * new decimal(100))));
var DailyReport = ReportEaring.GroupBy(d => d.date).Select(d => new DailyReport
{
date=d.Key,
pnl=d.Sum(dd=>dd.pnl)+d.Sum(dd=>dd.spypnl),
pnlovernight=d.Sum(dd=>dd.overnightpnl)+d.Sum(dd=>dd.overnightspypnl),
pnlday=d.Sum(dd=>dd.daypnl)+d.Sum(dd=>dd.dayspypnl),
longcount=d.Where(dd=>dd.threshold>0).Count(),
shortcount=d.Where(dd=>dd.threshold<0).Count(),
longpnl=d.Where(dd=>dd.threshold>0).Sum(dd=>dd.pnl),
shortpnl = d.Where(dd => dd.threshold < 0).Sum(dd => dd.pnl),
qua=quarter,
lose10=d.Sum(dd=>dd.lose10),
win10=d.Sum(dd=>dd.win10),
hspypnl = d.Sum(dd => dd.spypnl),
}).OrderBy(d=>d.date);
#endregion
#region get the bp and accpnl daily
List<DailyReport> newDailyReport = new List<DailyReport>();
decimal accPnl = 0;
foreach(var date in DailyReport)
{
DailyReport tempdailyreport = new DailyReport();
tempdailyreport = date;
accPnl = accPnl + date.pnl;
tempdailyreport.accPnl = accPnl;
tempdailyreport.bp = Math.Max(date.longcount, date.shortcount) * 2 * buyinpower;
newDailyReport.Add(tempdailyreport);
}
#endregion
#region get the dollar sharpe
decimal avgPnl = newDailyReport.Select(d => d.accPnl).Last() / newDailyReport.Where(d => d.pnl != 0).Count();
List<DailyReport> finalDailyReport = new List<DailyReport>();
decimal SD = 0;
int count = 1;
foreach(var date in newDailyReport)
{
DailyReport tempdailyreport = new DailyReport();
tempdailyreport = date;
SD = SD + (date.pnl - avgPnl) * (date.pnl - avgPnl);
if (count != 1)
date.dollarSharp = avgPnl / (decimal)(Math.Sqrt(Convert.ToDouble(SD) / ((count - 1)*252)));
finalDailyReport.Add(tempdailyreport);
count++;
}
FileHelperEngine fileHelperEngine5 = new FileHelperEngine(typeof(DailyReport));
fileHelperEngine5.HeaderText = "date,longpnl,shortpnl,longcount,shortcount,quarter,dollarsharp,bp,win10,lose10,spy hedge pnl,pnl overnight, pnl day,pnl,acc pnl";
if (!File.Exists("DailyReport\\R.csv"))
{
fileHelperEngine5.WriteFile(string.Format("DailyReport\\R.csv", quarter, Convert.ToInt32(threshold * new decimal(100))), finalDailyReport);
}
else
{
fileHelperEngine5.AppendToFile(string.Format("DailyReport\\R.csv", quarter, Convert.ToInt32(threshold * new decimal(100))), finalDailyReport);
}
#endregion
TimeSpan en = DateTime.Now.TimeOfDay;
Console.WriteLine(en-st);
}
private static void readdaily2(decimal threshold, int buyinpower, string date)
{
bool flag2;
bool flag3;
bool flag4;
bool flag5;
bool flag6;
bool flag7;
bool flag8;
bool flag9;
bool flag10;
TimeSpan timeOfDay = DateTime.Now.TimeOfDay;
string str1 = "20140401";
Dictionary<string, string> strs = new Dictionary<string, string>();
FileStream fileStream = new FileStream("bio.csv", FileMode.Open);
StreamReader streamReader = new StreamReader(fileStream);
streamReader.BaseStream.Seek((long)0, SeekOrigin.Begin);
string str2 = streamReader.ReadLine();
while (true)
{
flag2 = (str2 == null ? false : str2 != "");
if (!flag2)
{
break;
}
strs[str2] = str2;
str2 = streamReader.ReadLine();
}
streamReader.Close();
streamReader.Dispose();
fileStream.Close();
fileStream.Dispose();
FileHelperEngine fileHelperEngine = new FileHelperEngine(typeof(DailyData1));
//FileHelperEngine fileHelperEngine1 = new FileHelperEngine(typeof(DailyDataReport));
DailyData1[] dailyData1Array = (DailyData1[])fileHelperEngine.ReadFile(string.Format("Daily\\DailyQua\\20141.csv", new object[0]));
FileHelperEngine fileHelperEngine2 = new FileHelperEngine(typeof(unionearingdate));
unionearingdate[] unionearingdateArray = (unionearingdate[])fileHelperEngine2.ReadFile("Daily\\finalall.csv");
IEnumerable<unionearingdate> unionearingdates1 = unionearingdateArray.Where<unionearingdate>((unionearingdate data) =>
{
bool flag = data.date >= DateTime.ParseExact(str1, "yyyyMMdd", CultureInfo.InvariantCulture, DateTimeStyles.None);
return flag;
}).Where<unionearingdate>((unionearingdate data) =>
{
bool flag;
if (Math.Abs(data.threshold) < threshold)
{
flag = false;
}
else if (!(data.threshold > new decimal(0)) || !(data.high >= data.maxhigh))
{
flag = (data.threshold >= new decimal(0) ? false : data.low <= data.minlow);
}
else
{
flag = true;
}
bool flag1 = flag;
return flag1;
});
fileHelperEngine2.WriteFile("Daily\\test1.csv", unionearingdates1.Where<unionearingdate>((unionearingdate dd) =>
{
bool flag = dd.high >= new decimal(5);
return flag;
}));
unionearingdate[] unionearingdateArray1 = (unionearingdate[])fileHelperEngine2.ReadFile("Daily\\test1.csv");
List<unionearingdate> unionearingdates2 = new List<unionearingdate>();
unionearingdate[] unionearingdateArray2 = unionearingdateArray1;
for (int i = 0; i < (int)unionearingdateArray2.Length; i++)
{
unionearingdate _unionearingdate = unionearingdateArray2[i];
if (!strs.ContainsKey(_unionearingdate.symbol))
{
unionearingdates2.Add(_unionearingdate);
}
}
DailyData1[] dailyData1Array1 = dailyData1Array;
Func<DailyData1, IEnumerable<unionearingdate>> func = (DailyData1 db) =>
{
IEnumerable<unionearingdate> unionearingdates = unionearingdates2;
return unionearingdates;
};
var collection = ((IEnumerable<DailyData1>)dailyData1Array1).SelectMany(func, (DailyData1 db, unionearingdate e) =>
{
var variable = new { db = db, e = e };
return variable;
});
var collection1 = collection.Where((argument0) =>
{
bool flag;
flag = (argument0.db.symbol != argument0.e.symbol ? false : argument0.db.date >= argument0.e.date);
bool flag1 = flag;
return flag1;
});
IEnumerable<DailyDataout> dailyDataouts = collection1.Select((argument1) =>
{
DailyDataout dailyDataout = new DailyDataout();
dailyDataout.symbol = argument1.db.symbol;
dailyDataout.date = argument1.db.date;
dailyDataout.open = argument1.db.open;
dailyDataout.high = argument1.db.high;
dailyDataout.low = argument1.db.low;
dailyDataout.close = argument1.db.close;
dailyDataout.volume = argument1.db.volume;
dailyDataout.threshold = argument1.e.threshold;
dailyDataout.adv = argument1.db.adv;
DailyDataout dailyDataout1 = dailyDataout;
return dailyDataout1;
});
DailyData1[] dailyData1Array2 = dailyData1Array;
IEnumerable<DailyData1> dailyData1s = ((IEnumerable<DailyData1>)dailyData1Array2).Where<DailyData1>((DailyData1 d) =>
{
bool flag = d.symbol == "SPY";
return flag;
});
IEnumerable<DailyDataout> dailyDataouts1 = dailyDataouts;
IEnumerable<DailyData1> dailyData1s1 = dailyData1s;
var dailyDataouts2 = from db in dailyDataouts1
join x in dailyData1s on db.date equals x.date
select new DailyDataout
{
symbol = db.symbol,
date = db.date,
open = db.open,
high = db.high,
low = db.low,
close = db.close,
volume = db.volume,
threshold = db.threshold,
adv = db.adv,
spyclose = x.close,
spyopen = x.open,
};
//var func1 = (DailyDataout db) =>
//{
// var variable = new { date = db.date };
// return variable;
//};
//var func2 = (DailyData1 x) =>
//{
// var variable = new { date = x.date };
// return variable;
//};
//IEnumerable<DailyDataout> dailyDataouts2 = dailyDataouts1.Join(dailyData1s1, func1, func2, (DailyDataout db, DailyData1 x) =>
//{
// DailyDataout dailyDataout = new DailyDataout();
// dailyDataout.symbol = db.symbol;
// dailyDataout.date = db.date;
// dailyDataout.open = db.open;
// dailyDataout.high = db.high;
// dailyDataout.low = db.low;
// dailyDataout.close = db.close;
// dailyDataout.volume = db.volume;
// dailyDataout.threshold = db.threshold;
// dailyDataout.adv = db.adv;
// dailyDataout.spyclose = x.close;
// dailyDataout.spyopen = x.open;
// DailyDataout dailyDataout1 = dailyDataout;
// return dailyDataout1;
//});
FileHelperEngine fileHelperEngine3 = new FileHelperEngine(typeof(DailyDataout));
fileHelperEngine3.WriteFile("Daily\\test.csv", dailyDataouts2);
DailyDataout[] dailyDataoutArray = (DailyDataout[])fileHelperEngine3.ReadFile("Daily\\test.csv");
IOrderedEnumerable<DailyDataout> dailyDataouts3 = ((IEnumerable<DailyDataout>)dailyDataoutArray).OrderBy<DailyDataout, string>((DailyDataout d) =>
{
string str = d.symbol;
return str;
});
IOrderedEnumerable<DailyDataout> dailyDataouts4 = dailyDataouts3.ThenBy<DailyDataout, DateTime>((DailyDataout d) =>
{
DateTime dateTime = d.date;
return dateTime;
});
List<livedataReport> livedataReports = new List<livedataReport>();
string str3 = "";
decimal num = new decimal(0);
decimal num1 = new decimal(0);
decimal num2 = new decimal(0);
decimal num3 = new decimal(0);
decimal num4 = new decimal(0);
bool flag11 = false;
bool flag12 = false;
int num5 = 0;
string str4 = "NO";
int num6 = 0;
foreach (DailyDataout dailyDataout2 in dailyDataouts4)
{
livedataReport _livedataReport = new livedataReport();
_livedataReport.date = dailyDataout2.date;
_livedataReport.adv = dailyDataout2.adv;
if (!(dailyDataout2.symbol == str3))
{
str3 = dailyDataout2.symbol;
num = dailyDataout2.spyclose;
num5 = 0;
num1 = new decimal(0);
num2 = new decimal(0);
num3 = dailyDataout2.high;
num4 = dailyDataout2.low;
flag12 = false;
flag11 = false;
if (dailyDataout2.threshold > new decimal(0))
{
flag4 = (flag11 ? true : !(dailyDataout2.close > num3 * dailyDataout2.spyclose / num));
if (!flag4)
{
num1 = Math.Max(dailyDataout2.open, (num3 * dailyDataout2.spyclose) / num);
num5 = Convert.ToInt32(buyinpower / num1);
str4 = "Yes";
num6 = num5;
flag11 = true;
}
_livedataReport.symbol = str3;
_livedataReport.side = "Long";
_livedataReport.pricein = (num3 * dailyDataout2.spyclose) / num;
_livedataReport.priceout = (dailyDataout2.low * dailyDataout2.spyclose) / num;
_livedataReport.size = Convert.ToInt32(buyinpower / _livedataReport.pricein);
_livedataReport.AlreadyOpenSize = num6;
_livedataReport.AlreadyOpen = str4;
}
else if (dailyDataout2.threshold < new decimal(0))
{
flag3 = (flag11 ? true : !(dailyDataout2.close < num4 * dailyDataout2.spyclose / num));
if (!flag3)
{
num1 = Math.Min(dailyDataout2.open, (num4 * dailyDataout2.spyclose) / num);
num5 = Convert.ToInt32(buyinpower / num1);
flag11 = true;
str4 = "Yes";
num6 = num5;
}
_livedataReport.symbol = str3;
_livedataReport.side = "Short";
_livedataReport.pricein = (num4 * dailyDataout2.spyclose) / num;
_livedataReport.priceout = (dailyDataout2.high * dailyDataout2.spyclose) / num;
_livedataReport.size = Convert.ToInt32(buyinpower / _livedataReport.pricein);
_livedataReport.AlreadyOpenSize = num6;
_livedataReport.AlreadyOpen = str4;
}
livedataReports.Add(_livedataReport);
}
else if (dailyDataout2.threshold > new decimal(0))
{
flag8 = (!flag11 ? true : flag12);
if (!flag8)
{
if (dailyDataout2.close < ((dailyDataout2.low * dailyDataout2.spyclose) / num))
{
num2 = (dailyDataout2.low * dailyDataout2.spyclose) / num;
flag12 = true;
}
}
flag9 = (!flag11 ? true : flag12);
if (!flag9)
{
num1 = new decimal(-1);
}
flag10 = (flag11 ? true : !(dailyDataout2.close > num3 * dailyDataout2.spyclose / num));
if (!flag10)
{
num1 = (num3 * dailyDataout2.spyclose) / num;
num5 = Convert.ToInt32(buyinpower / num1);
str4 = "Yes";
num6 = num5;
flag11 = true;
}
_livedataReport.symbol = str3;
_livedataReport.side = "Long";
if (flag11)
{
_livedataReport.pricein = num1;
}
else
{
_livedataReport.pricein = (num3 * dailyDataout2.spyclose) / num;
}
if (flag12)
{
_livedataReport.priceout = num2;
}
else
{
_livedataReport.priceout = (dailyDataout2.low * dailyDataout2.spyclose) / num;
}
_livedataReport.size = Convert.ToInt32(buyinpower / _livedataReport.pricein);
_livedataReport.AlreadyOpenSize = num6;
_livedataReport.AlreadyOpen = str4;
if (!flag12)
{
livedataReports.Add(_livedataReport);
}
}
else if (dailyDataout2.threshold < new decimal(0))
{
flag5 = (!flag11 ? true : flag12);
if (!flag5)
{
if (dailyDataout2.close > ((dailyDataout2.high * dailyDataout2.spyclose) / num))
{
num2 = (dailyDataout2.high * dailyDataout2.spyclose) / num;
flag12 = true;
}
}
flag6 = (!flag11 ? true : flag12);
if (!flag6)
{
num1 = new decimal(-1);
}
flag7 = (flag11 ? true : !(dailyDataout2.close < num4 * dailyDataout2.spyclose / num));
if (!flag7)
{
num1 = (num4 * dailyDataout2.spyclose) / num;
num5 = Convert.ToInt32(buyinpower / num1);
flag11 = true;
str4 = "Yes";
num6 = num5;
}
_livedataReport.symbol = str3;
_livedataReport.side = "Short";
if (flag11)
{
_livedataReport.pricein = num1;
}
else
{
_livedataReport.pricein = (num4 * dailyDataout2.spyclose) / num;
}
if (flag12)
{
_livedataReport.priceout = num2;
}
else
{
_livedataReport.priceout = (dailyDataout2.high * dailyDataout2.spyclose) / num;
}
_livedataReport.size = Convert.ToInt32(buyinpower / _livedataReport.pricein);
_livedataReport.AlreadyOpenSize = num6;
_livedataReport.AlreadyOpen = str4;
if (!flag12)
{
livedataReports.Add(_livedataReport);
}
}
}
IEnumerable<livedataReport> livedataReports1 = livedataReports.Where<livedataReport>((livedataReport d) =>
{
bool flag = d.date == DateTime.Parse(date);
return flag;
});
FileHelperEngine fileHelperEngine4 = new FileHelperEngine(typeof(livedataReport));
fileHelperEngine4.HeaderText="Symbol,date,AlreadyOpen,AlreadyOpenSize,Side,EnterPrice,ExitPrice,size,adv";
fileHelperEngine4.WriteFile("Daily\\Update.D.csv", livedataReports1);
TimeSpan timeSpan = DateTime.Now.TimeOfDay;
Console.WriteLine(timeSpan - timeOfDay);
}