public static async Task <string> GenerateQuickTesterResponse(GeneralStrategyParameters p_generalParams, string p_strategyName, string p_params)
{
Stopwatch stopWatchTotalResponse = Stopwatch.StartNew();
if (p_strategyName != "LETFDiscrepancy1" && p_strategyName != "LETFDiscrepancy2" && p_strategyName != "LETFDiscrepancy3")
{
return(null);
}
string strategyParams = p_params;
int ind = -1;
string etfPairs = null;
if (strategyParams.StartsWith("ETFPairs=", StringComparison.InvariantCultureIgnoreCase))
{
strategyParams = strategyParams.Substring("ETFPairs=".Length);
ind = strategyParams.IndexOf('&');
if (ind == -1)
{
return(@"{ ""errorMessage"": ""Error: uriQuery.IndexOf('&') 2. Uri: " + strategyParams + @""" }");
}
etfPairs = strategyParams.Substring(0, ind);
strategyParams = strategyParams.Substring(ind + 1);
}
string rebalancingFrequency = null;
if (strategyParams.StartsWith("rebalancingFrequency=", StringComparison.InvariantCultureIgnoreCase))
{
strategyParams = strategyParams.Substring("rebalancingFrequency=".Length);
ind = strategyParams.IndexOf('&');
if (ind == -1)
{
ind = strategyParams.Length;
}
rebalancingFrequency = strategyParams.Substring(0, ind);
if (ind < strategyParams.Length)
{
strategyParams = strategyParams.Substring(ind + 1);
}
else
{
strategyParams = "";
}
}
ind = etfPairs.IndexOf('-');
if (ind == -1)
{
return(@"{ ""errorMessage"": ""Error: cannot find tickers in : " + etfPairs + @""" }");
}
string bullishTicker = etfPairs.Substring(0, ind);
string bearishTicker = etfPairs.Substring(ind + 1);
// startDates
// URE: Feb 2, 2007
// SRS: Feb 1, 2007
// XIV: Nov 30, 2010
// VXX: Jan 30, 2009
// FAS: Nov 19, 2008
// FAZ: Nov 19, 2008
Stopwatch stopWatch = Stopwatch.StartNew();
var getAllQuotesTask = StrategiesCommon.GetHistoricalAndRealtimesQuotesAsync(p_generalParams, (new string[] { bullishTicker, bearishTicker }).ToList());
// Control returns here before GetHistoricalQuotesAsync() returns. // ... Prompt the user.
Console.WriteLine("Please wait patiently while I do SQL and realtime price queries.");
var getAllQuotesData = await getAllQuotesTask;
stopWatch.Stop();
string htmlNoteFromStrategy = "", noteToUserCheckData = "", noteToUserBacktest = "", debugMessage = "", errorMessage = "";
List <DailyData> pv = null;
if (String.Equals(p_strategyName, "LETFDiscrepancy1", StringComparison.InvariantCultureIgnoreCase))
{
pv = DoBacktestExample(getAllQuotesData.Item1, bullishTicker, bearishTicker, rebalancingFrequency);
}
else
{
pv = DoBacktestBasic(getAllQuotesData.Item1, bullishTicker, bearishTicker, p_strategyName, rebalancingFrequency, ref noteToUserCheckData, ref htmlNoteFromStrategy);
}
stopWatchTotalResponse.Stop();
StrategyResult strategyResult = StrategiesCommon.CreateStrategyResultFromPV(pv,
htmlNoteFromStrategy + ". " + noteToUserCheckData + "***" + noteToUserBacktest, errorMessage,
debugMessage + String.Format("SQL query time: {0:000}ms", getAllQuotesData.Item2.TotalMilliseconds) + String.Format(", RT query time: {0:000}ms", getAllQuotesData.Item3.TotalMilliseconds) + String.Format(", All query time: {0:000}ms", stopWatch.Elapsed.TotalMilliseconds) + String.Format(", TotalC#Response: {0:000}ms", stopWatchTotalResponse.Elapsed.TotalMilliseconds));
string jsonReturn = JsonConvert.SerializeObject(strategyResult);
return(jsonReturn);
//{
// "Name": "Apple",
// "Expiry": "2008-12-28T00:00:00",
// "Sizes": [
// "Small"
// ]
//}
//returnStr = "[" + String.Join(Environment.NewLine,
// (await Tools.GetHistoricalQuotesAsync(new[] {
// new QuoteRequest { Ticker = "VXX", nQuotes = 2, StartDate = new DateTime(2011,1,1), NonAdjusted = true },
// new QuoteRequest { Ticker = "SPY", nQuotes = 3 }
// }, HQCommon.AssetType.Stock))
// .Select(row => String.Join(",", row))) + "]";
//returnStr = returnStr.Replace(" 00:00:00", "");
//returnStr = returnStr.Replace("\n", ",");
//return @"[{""Symbol"":""VXX""},{""Symbol"":""^VIX"",""LastUtc"":""2015-01-08T19:25:48"",""Last"":17.45,""UtcTimeType"":""LastChangedTime""}]";
}
public static async Task<string> GenerateQuickTesterResponse(GeneralStrategyParameters p_generalParams, string p_strategyName, string p_params)
{
Stopwatch stopWatchTotalResponse = Stopwatch.StartNew();
if (p_strategyName != "VXX_SPY_Controversial")
return null;
string strategyParams = p_params;
int ind = -1;
string spyMinPctMoveStr = null;
if (strategyParams.StartsWith("SpyMinPctMove=", StringComparison.InvariantCultureIgnoreCase))
{
strategyParams = strategyParams.Substring("SpyMinPctMove=".Length);
ind = strategyParams.IndexOf('&');
if (ind == -1)
{
ind = strategyParams.Length;
}
spyMinPctMoveStr = strategyParams.Substring(0, ind);
if (ind < strategyParams.Length)
strategyParams = strategyParams.Substring(ind + 1);
else
strategyParams = "";
}
string vxxMinPctMoveStr = null;
if (strategyParams.StartsWith("VxxMinPctMove=", StringComparison.InvariantCultureIgnoreCase))
{
strategyParams = strategyParams.Substring("VxxMinPctMove=".Length);
ind = strategyParams.IndexOf('&');
if (ind == -1)
{
ind = strategyParams.Length;
}
vxxMinPctMoveStr = strategyParams.Substring(0, ind);
if (ind < strategyParams.Length)
strategyParams = strategyParams.Substring(ind + 1);
else
strategyParams = "";
}
string longOrShortTrade = null;
if (strategyParams.StartsWith("LongOrShortTrade=", StringComparison.InvariantCultureIgnoreCase))
{
strategyParams = strategyParams.Substring("LongOrShortTrade=".Length);
ind = strategyParams.IndexOf('&');
if (ind == -1)
{
ind = strategyParams.Length;
}
longOrShortTrade = strategyParams.Substring(0, ind);
if (ind < strategyParams.Length)
strategyParams = strategyParams.Substring(ind + 1);
else
strategyParams = "";
}
double spyMinPctMove;
bool isParseSuccess = Double.TryParse(spyMinPctMoveStr, out spyMinPctMove);
if (!isParseSuccess)
{
throw new Exception("Error: spyMinPctMoveStr as " + spyMinPctMoveStr + " cannot be converted to number.");
}
double vxxMinPctMove;
isParseSuccess = Double.TryParse(vxxMinPctMoveStr, out vxxMinPctMove);
if (!isParseSuccess)
{
throw new Exception("Error: vxxMinPctMoveStr as " + vxxMinPctMoveStr + " cannot be converted to number.");
}
Stopwatch stopWatch = Stopwatch.StartNew();
var getAllQuotesTask = StrategiesCommon.GetHistoricalAndRealtimesQuotesAsync(p_generalParams, (new string[] { "VXX", "SPY" }).ToList());
// Control returns here before GetHistoricalQuotesAsync() returns. // ... Prompt the user.
Console.WriteLine("Please wait patiently while I do SQL and realtime price queries.");
var getAllQuotesData = await getAllQuotesTask;
stopWatch.Stop();
var vxxQoutes = getAllQuotesData.Item1[0];
var spyQoutes = getAllQuotesData.Item1[1];
string noteToUserCheckData = "", noteToUserBacktest = "", debugMessage = "", errorMessage = "";
List<DailyData> pv = StrategiesCommon.DetermineBacktestPeriodCheckDataCorrectness(vxxQoutes, spyQoutes, ref noteToUserCheckData);
if (String.Equals(p_strategyName, "VXX_SPY_Controversial", StringComparison.InvariantCultureIgnoreCase))
{
DoBacktestInTheTimeInterval_VXX_SPY_Controversial(vxxQoutes, spyQoutes, spyMinPctMove, vxxMinPctMove, longOrShortTrade, pv, ref noteToUserBacktest);
}
//else if (String.Equals(p_strategyName, "LETFDiscrepancy3", StringComparison.InvariantCultureIgnoreCase))
//{
// //DoBacktestInTheTimeInterval_AddToTheWinningSideWithLeverage(bullishQoutes, bearishQoutes, p_rebalancingFrequency, pv, ref noteToUserBacktest);
//}
else
{
}
stopWatchTotalResponse.Stop();
StrategyResult strategyResult = StrategiesCommon.CreateStrategyResultFromPV(pv,
noteToUserCheckData + "***" + noteToUserBacktest, errorMessage,
debugMessage + String.Format("SQL query time: {0:000}ms", getAllQuotesData.Item2.TotalMilliseconds) + String.Format(", RT query time: {0:000}ms", getAllQuotesData.Item3.TotalMilliseconds) + String.Format(", All query time: {0:000}ms", stopWatch.Elapsed.TotalMilliseconds) + String.Format(", TotalC#Response: {0:000}ms", stopWatchTotalResponse.Elapsed.TotalMilliseconds));
string jsonReturn = JsonConvert.SerializeObject(strategyResult);
return jsonReturn;
}
// Sortino calculation from here: http://www.redrockcapital.com/Sortino__A__Sharper__Ratio_Red_Rock_Capital.pdf
//The main reason we wrote this article is because in both literature and trading software packages,
//we have seen the Sortino ratio, and in particular the target downside deviation, calculated
//incorrectly more often than not. Most often, we see the target downside deviation calculated
//by “throwing away all the positive returns and take the standard deviation of negative returns”.
//We hope that by reading this article, you can see how this is incorrect
// George: a little problem to me, but left it like this: underPerfFromTarget is distance from Zero, while in StDev, it was distance from Avg.
public static StrategyResult CreateStrategyResultFromPV(List<DailyData> p_pv, string p_htmlNoteFromStrategy, string p_errorMessage, string p_debugMessage)
{
//IEnumerable<string> chartDataToSend = pv.Select(row => row.Date.Year + "-" + row.Date.Month + "-" + row.Date.Day + "-" + String.Format("{0:0.00}", row.ClosePrice));
IEnumerable<string> chartDataToSend = p_pv.Select(row => row.Date.Year + "-" + row.Date.Month + "-" + row.Date.Day + "," + String.Format("{0:0.00}", row.ClosePrice >= 0 ? row.ClosePrice : 0.0)); // postprocess: TradingViewChart cannot accept negative numbers
DateTime startDate = p_pv[0].Date;
DateTime endDate = p_pv[p_pv.Count() - 1].Date;
int nTradingDays = p_pv.Count();
double nYears = nTradingDays / 252.0; //https://www.google.co.uk/webhp?sourceid=chrome-instant&ion=1&espv=2&ie=UTF-8#q=how%20many%20trading%20days%20in%20a%20year
double pvStart = p_pv[0].ClosePrice;
double pvEnd = p_pv[p_pv.Count() - 1].ClosePrice;
double totalGainPct = pvEnd/pvStart - 1.0;
double cagr = Math.Pow(totalGainPct + 1, 1.0 / nYears) - 1.0;
var dailyReturns = new double[p_pv.Count() - 1];
for (int i = 0; i < p_pv.Count() - 1; i++)
{
dailyReturns[i] = p_pv[i + 1].ClosePrice / p_pv[i].ClosePrice - 1.0;
}
double avgReturn = dailyReturns.Average();
double dailyStdDev = Math.Sqrt(dailyReturns.Sum(r => (r - avgReturn) * (r - avgReturn)) / ((double)dailyReturns.Count() - 1.0)); //http://www.styleadvisor.com/content/standard-deviation, "Morningstar uses the sample standard deviation method: divide by n-1
double annualizedStDev = dailyStdDev * Math.Sqrt(252.0); //http://en.wikipedia.org/wiki/Trading_day, http://www.styleadvisor.com/content/annualized-standard-deviation
double annualizedSharpeRatio = cagr / annualizedStDev;
double sortinoDailyTargetReturn = 0.0; // assume investor is happy with any positive return
double sortinoAnnualizedTargetReturn = Math.Pow(sortinoDailyTargetReturn, 252.0); // maybe around annual 3-6% is expected by investor
double dailyTargetDownsideDeviation = 0.0;
for (int i = 0; i < dailyReturns.Length; i++)
{
double underPerfFromTarget = dailyReturns[i] - sortinoDailyTargetReturn;
if (underPerfFromTarget < 0.0)
dailyTargetDownsideDeviation += underPerfFromTarget * underPerfFromTarget;
}
dailyTargetDownsideDeviation = Math.Sqrt(dailyTargetDownsideDeviation / (double)dailyReturns.Length); // see Sortino PDF for explanation why we use the 0 samples too for the Average
double annualizedDailyTargetDownsideDeviation = dailyTargetDownsideDeviation * Math.Sqrt(252.0); //http://en.wikipedia.org/wiki/Trading_day, http://www.styleadvisor.com/content/annualized-standard-deviation
//double dailySortinoRatio = (avgReturn - sortinoDailyTargetReturn) / dailyTargetDownsideDeviation; // daily gave too small values
double annualizedSortinoRatio = (cagr - sortinoAnnualizedTargetReturn) / annualizedDailyTargetDownsideDeviation; //
var drawdowns = new double[p_pv.Count()];
double maxPv = Double.NegativeInfinity;
double maxDD = Double.PositiveInfinity;
double quadraticMeanDD = 0.0;
for (int i = 0; i < p_pv.Count(); i++)
{
if (p_pv[i].ClosePrice > maxPv)
maxPv = p_pv[i].ClosePrice;
double dd = p_pv[i].ClosePrice / maxPv - 1.0;
drawdowns[i] = dd;
quadraticMeanDD += dd * dd;
if (dd < maxDD)
maxDD = drawdowns[i];
}
double ulcerInd = Math.Sqrt(quadraticMeanDD / (double)nTradingDays);
int maxTradingDaysInDD = 0;
int daysInDD = 0;
for (int i = 0; i < drawdowns.Count(); i++)
{
if (drawdowns[i] < 0.0)
daysInDD++;
else
{
if (daysInDD > maxTradingDaysInDD)
maxTradingDaysInDD = daysInDD;
daysInDD = 0;
}
}
if (daysInDD > maxTradingDaysInDD) // if the current DD is the longest one, then we have to check at the end
maxTradingDaysInDD = daysInDD;
int winnersCount = dailyReturns.Count(r => r > 0.0);
int losersCount = dailyReturns.Count(r => r < 0.0);
//double profitDaysPerAllDays = (double)dailyReturns.Count(r => r > 0.0) / dailyReturns.Count();
//double losingDaysPerAllDays = (double)dailyReturns.Count(r => r < 0.0) / dailyReturns.Count();
StrategyResult strategyResult = new StrategyResult()
{
startDateStr = startDate.ToString("yyyy-MM-dd"),
rebalanceFrequencyStr = "Daily",
benchmarkStr = "SPX",
endDateStr = endDate.ToString("yyyy-MM-dd"),
pvStartValue = pvStart,
pvEndValue = pvEnd,
totalGainPct = totalGainPct,
cagr = cagr,
annualizedStDev = annualizedStDev,
sharpeRatio = annualizedSharpeRatio,
sortinoRatio = annualizedSortinoRatio,
maxDD = maxDD,
ulcerInd = ulcerInd,
maxTradingDaysInDD = maxTradingDaysInDD,
winnersStr = String.Format("({0}/{1}) {2:0.00}%", winnersCount, dailyReturns.Count(), 100.0 * (double)winnersCount / dailyReturns.Count()),
losersStr = String.Format("({0}/{1}) {2:0.00}%", losersCount, dailyReturns.Count(), 100.0 * (double)losersCount / dailyReturns.Count()),
benchmarkCagr = 0,
benchmarkMaxDD = 0,
benchmarkCorrelation = 0,
pvCash = 0.0,
nPositions = 0,
holdingsListStr = "NotApplicable",
chartData = chartDataToSend.ToList(),
htmlNoteFromStrategy = p_htmlNoteFromStrategy,
errorMessage = p_errorMessage,
debugMessage = p_debugMessage
};
return strategyResult;
}
// Sortino calculation from here: http://www.redrockcapital.com/Sortino__A__Sharper__Ratio_Red_Rock_Capital.pdf
//The main reason we wrote this article is because in both literature and trading software packages,
//we have seen the Sortino ratio, and in particular the target downside deviation, calculated
//incorrectly more often than not. Most often, we see the target downside deviation calculated
//by “throwing away all the positive returns and take the standard deviation of negative returns”.
//We hope that by reading this article, you can see how this is incorrect
// George: a little problem to me, but left it like this: underPerfFromTarget is distance from Zero, while in StDev, it was distance from Avg.
public static StrategyResult CreateStrategyResultFromPV(List <DailyData> p_pv, string p_htmlNoteFromStrategy, string p_errorMessage, string p_debugMessage)
{
//IEnumerable<string> chartDataToSend = pv.Select(row => row.Date.Year + "-" + row.Date.Month + "-" + row.Date.Day + "-" + String.Format("{0:0.00}", row.ClosePrice));
IEnumerable <string> chartDataToSend = p_pv.Select(row => row.Date.Year + "-" + row.Date.Month + "-" + row.Date.Day + "," + String.Format("{0:0.00}", row.ClosePrice >= 0 ? row.ClosePrice : 0.0)); // postprocess: TradingViewChart cannot accept negative numbers
DateTime startDate = p_pv[0].Date;
DateTime endDate = p_pv[p_pv.Count() - 1].Date;
int nTradingDays = p_pv.Count();
double nYears = nTradingDays / 252.0; //https://www.google.co.uk/webhp?sourceid=chrome-instant&ion=1&espv=2&ie=UTF-8#q=how%20many%20trading%20days%20in%20a%20year
double pvStart = p_pv[0].ClosePrice;
double pvEnd = p_pv[p_pv.Count() - 1].ClosePrice;
double totalGainPct = pvEnd / pvStart - 1.0;
double cagr = Math.Pow(totalGainPct + 1, 1.0 / nYears) - 1.0;
var dailyReturns = new double[p_pv.Count() - 1];
for (int i = 0; i < p_pv.Count() - 1; i++)
{
dailyReturns[i] = p_pv[i + 1].ClosePrice / p_pv[i].ClosePrice - 1.0;
}
double avgReturn = dailyReturns.Average();
double dailyStdDev = Math.Sqrt(dailyReturns.Sum(r => (r - avgReturn) * (r - avgReturn)) / ((double)dailyReturns.Count() - 1.0)); //http://www.styleadvisor.com/content/standard-deviation, "Morningstar uses the sample standard deviation method: divide by n-1
double annualizedStDev = dailyStdDev * Math.Sqrt(252.0); //http://en.wikipedia.org/wiki/Trading_day, http://www.styleadvisor.com/content/annualized-standard-deviation
double annualizedSharpeRatio = cagr / annualizedStDev;
double sortinoDailyTargetReturn = 0.0; // assume investor is happy with any positive return
double sortinoAnnualizedTargetReturn = Math.Pow(sortinoDailyTargetReturn, 252.0); // maybe around annual 3-6% is expected by investor
double dailyTargetDownsideDeviation = 0.0;
for (int i = 0; i < dailyReturns.Length; i++)
{
double underPerfFromTarget = dailyReturns[i] - sortinoDailyTargetReturn;
if (underPerfFromTarget < 0.0)
{
dailyTargetDownsideDeviation += underPerfFromTarget * underPerfFromTarget;
}
}
dailyTargetDownsideDeviation = Math.Sqrt(dailyTargetDownsideDeviation / (double)dailyReturns.Length); // see Sortino PDF for explanation why we use the 0 samples too for the Average
double annualizedDailyTargetDownsideDeviation = dailyTargetDownsideDeviation * Math.Sqrt(252.0); //http://en.wikipedia.org/wiki/Trading_day, http://www.styleadvisor.com/content/annualized-standard-deviation
//double dailySortinoRatio = (avgReturn - sortinoDailyTargetReturn) / dailyTargetDownsideDeviation; // daily gave too small values
double annualizedSortinoRatio = (cagr - sortinoAnnualizedTargetReturn) / annualizedDailyTargetDownsideDeviation; //
var drawdowns = new double[p_pv.Count()];
double maxPv = Double.NegativeInfinity;
double maxDD = Double.PositiveInfinity;
double quadraticMeanDD = 0.0;
for (int i = 0; i < p_pv.Count(); i++)
{
if (p_pv[i].ClosePrice > maxPv)
{
maxPv = p_pv[i].ClosePrice;
}
double dd = p_pv[i].ClosePrice / maxPv - 1.0;
drawdowns[i] = dd;
quadraticMeanDD += dd * dd;
if (dd < maxDD)
{
maxDD = drawdowns[i];
}
}
double ulcerInd = Math.Sqrt(quadraticMeanDD / (double)nTradingDays);
int maxTradingDaysInDD = 0;
int daysInDD = 0;
for (int i = 0; i < drawdowns.Count(); i++)
{
if (drawdowns[i] < 0.0)
{
daysInDD++;
}
else
{
if (daysInDD > maxTradingDaysInDD)
{
maxTradingDaysInDD = daysInDD;
}
daysInDD = 0;
}
}
if (daysInDD > maxTradingDaysInDD) // if the current DD is the longest one, then we have to check at the end
{
maxTradingDaysInDD = daysInDD;
}
int winnersCount = dailyReturns.Count(r => r > 0.0);
int losersCount = dailyReturns.Count(r => r < 0.0);
//double profitDaysPerAllDays = (double)dailyReturns.Count(r => r > 0.0) / dailyReturns.Count();
//double losingDaysPerAllDays = (double)dailyReturns.Count(r => r < 0.0) / dailyReturns.Count();
StrategyResult strategyResult = new StrategyResult()
{
startDateStr = startDate.ToString("yyyy-MM-dd"),
rebalanceFrequencyStr = "Daily",
benchmarkStr = "SPX",
endDateStr = endDate.ToString("yyyy-MM-dd"),
pvStartValue = pvStart,
pvEndValue = pvEnd,
totalGainPct = totalGainPct,
cagr = cagr,
annualizedStDev = annualizedStDev,
sharpeRatio = annualizedSharpeRatio,
sortinoRatio = annualizedSortinoRatio,
maxDD = maxDD,
ulcerInd = ulcerInd,
maxTradingDaysInDD = maxTradingDaysInDD,
winnersStr = String.Format("({0}/{1}) {2:0.00}%", winnersCount, dailyReturns.Count(), 100.0 * (double)winnersCount / dailyReturns.Count()),
losersStr = String.Format("({0}/{1}) {2:0.00}%", losersCount, dailyReturns.Count(), 100.0 * (double)losersCount / dailyReturns.Count()),
benchmarkCagr = 0,
benchmarkMaxDD = 0,
benchmarkCorrelation = 0,
pvCash = 0.0,
nPositions = 0,
holdingsListStr = "NotApplicable",
chartData = chartDataToSend.ToList(),
htmlNoteFromStrategy = p_htmlNoteFromStrategy,
errorMessage = p_errorMessage,
debugMessage = p_debugMessage
};
return(strategyResult);
}
