private EquityCurve EcFromEquitySummaries(Dictionary <DateTime, decimal> summaries, Dictionary <DateTime, decimal> depositsWithdrawals)
{
if (summaries.Count == 0)
{
return(new EquityCurve(100, summaries.First().Key));
}
var ec = new EquityCurve(100, summaries.First().Key);
decimal lastTotal = summaries.First().Value;
bool first = true;
foreach (var kvp in summaries)
{
if (first)
{
first = false;
continue;
}
DateTime date = kvp.Key;
decimal total = kvp.Value;
decimal externalCashFlow = depositsWithdrawals.ContainsKey(date) ? depositsWithdrawals[date] : 0;
if (lastTotal != 0)
//make sure we avoid division by zero...equity can't change if we have 0 to start with anyway
{
double ret = (double)(((total - externalCashFlow) - lastTotal) / lastTotal);
ec.AddReturn(ret, date);
}
lastTotal = total;
}
ec.CalcFinalValues(summaries.Last().Key);
return(ec);
}
private EquityCurve EcFromEquitySummaries(List <EquitySummary> summaries, Dictionary <DateTime, decimal> depositsWithdrawals)
{
if (summaries.Count == 0)
{
return(new EquityCurve());
}
var ec = new EquityCurve();
decimal lastTotal = summaries[0].Total;
for (int i = 1; i < summaries.Count; i++)
{
var es = summaries[i];
decimal externalCashFlow = depositsWithdrawals.ContainsKey(es.Date) ? depositsWithdrawals[es.Date] : 0;
if (lastTotal != 0)
//make sure we avoid division by zero...equity can't change if we have 0 to start with anyway
{
double ret = (double)(((es.Total - externalCashFlow) - lastTotal) / lastTotal);
ec.AddReturn(ret, es.Date);
}
lastTotal = es.Total;
}
ec.CalcFinalValues(summaries.Last().Date);
return(ec);
}
/// <summary>
/// Returns false is parsing failed.
/// </summary>
/// <returns></returns>
public bool Import()
{
var dates = new List <DateTime>();
var equityValues = new List <double>();
int count = 0;
foreach (var kvp in RawSplitData)
{
DateTime date;
if (!DateTime.TryParseExact(kvp.Key, DateTimeFormat, CultureInfo.InvariantCulture, DateTimeStyles.None, out date))
{
_dialogService.ShowMessageAsync("Parsing error.",
string.Format("Failed to date value at line {0}: {1}", count, kvp.Key));
return(false);
}
dates.Add(date);
double equity;
if (!double.TryParse(kvp.Value, out equity))
{
_dialogService.ShowMessageAsync("Parsing error.",
string.Format("Failed to parse equity value at line {0}: {1}", count, kvp.Value));
return(false);
}
equityValues.Add(equity);
count++;
}
//Make sure there's sufficient data
if (dates.Count <= 1)
{
_dialogService.ShowMessageAsync("Parsing error.", "Parsed backtest data too short.");
EquityCurve = null;
return(false);
}
//Then generate an EquityCurve using the data
EquityCurve = new EquityCurve(100, dates[0]);
for (int i = 1; i < dates.Count; i++)
{
EquityCurve.AddReturn(equityValues[i] / equityValues[i - 1] - 1, dates[i]);
}
return(true);
}
/// <summary>
/// Returns false is parsing failed.
/// </summary>
/// <returns></returns>
public bool Import()
{
var dates = new List<DateTime>();
var equityValues = new List<double>();
int count = 0;
foreach(var kvp in RawSplitData)
{
DateTime date;
if(!DateTime.TryParseExact(kvp.Key, DateTimeFormat, CultureInfo.InvariantCulture, DateTimeStyles.None, out date))
{
_dialogService.ShowMessageAsync(this, "Parsing error.",
string.Format("Failed to date value at line {0}: {1}", count, kvp.Key));
return false;
}
dates.Add(date);
double equity;
if(!double.TryParse(kvp.Value, out equity))
{
_dialogService.ShowMessageAsync(this, "Parsing error.",
string.Format("Failed to parse equity value at line {0}: {1}", count, kvp.Value));
return false;
}
equityValues.Add(equity);
count++;
}
//Make sure there's sufficient data
if (dates.Count <= 1)
{
_dialogService.ShowMessageAsync(this, "Parsing error.", "Parsed backtest data too short.");
EquityCurve = null;
return false;
}
//Then generate an EquityCurve using the data
EquityCurve = new EquityCurve(100, dates[0]);
for (int i = 1; i < dates.Count; i++)
{
EquityCurve.AddReturn(equityValues[i] / equityValues[i - 1] - 1, dates[i]);
}
return true;
}
/// <summary>
/// generate EC and other curves for a benchmark
/// </summary>
public static EquityCurve GetBenchmarkReturns(
int benchmarkID,
DBContext context,
List<DateTime> datesInPeriod,
IDataSourcer dataSourcer,
out Dictionary<DateTime, double> benchmarkSeries,
out List<double> benchmarkReturns)
{
Logger logger = LogManager.GetCurrentClassLogger();
List<BenchmarkComponent> components = context.BenchmarkComponents.Where(x => x.BenchmarkID == benchmarkID).ToList();
DateTime earliestDate = datesInPeriod[0].Date;
DateTime latestDate = datesInPeriod.Last();
Dictionary<int, TimeSeries> data =
components
.ToDictionary(
component => component.QDMSInstrumentID,
component => new TimeSeries(
dataSourcer.GetExternalData(component.QDMSInstrumentID, earliestDate, latestDate)));
Dictionary<int, decimal> weights = components.ToDictionary(x => x.QDMSInstrumentID, x => (decimal)x.Weight);
benchmarkSeries = new Dictionary<DateTime, double>();
benchmarkReturns = new List<double>();
var benchmarkEC = new EquityCurve(1, null);
decimal equity = 1;
bool first = true;
foreach (DateTime today in datesInPeriod)
{
decimal ret = 0;
foreach (var kvp in data)
{
var ts = kvp.Value;
ts.ProgressTo(today);
if (ts.CurrentBar > 0)
{
decimal todayClose = ts[0].AdjClose.HasValue ? ts[0].AdjClose.Value : ts[0].Close;
decimal lastClose = ts[1].AdjClose.HasValue ? ts[1].AdjClose.Value : ts[1].Close;
ret += weights[kvp.Key] * (todayClose / lastClose - 1);
#if DEBUG
logger.Log(LogLevel.Trace, "Benchmark component: Date: {0} Close: {1} PrevClose: {2} Ret: {3}", today, todayClose, lastClose, ret);
#endif
}
}
benchmarkEC.AddReturn((double)ret, today);
if (first)
{
first = false;
benchmarkReturns.Add((double)(1 + ret));
benchmarkSeries.Add(today, (double)equity);
continue;
}
equity *= 1 + ret;
benchmarkReturns.Add((double)(1 + ret));
benchmarkSeries.Add(today, (double)equity);
}
return benchmarkEC;
}
/// <summary>
/// generate EC and other curves for a benchmark
/// </summary>
public static EquityCurve GetBenchmarkReturns(
int benchmarkID,
DBContext context,
List <DateTime> datesInPeriod,
IDataSourcer dataSourcer,
out Dictionary <DateTime, double> benchmarkSeries,
out List <double> benchmarkReturns)
{
Logger logger = LogManager.GetCurrentClassLogger();
List <BenchmarkComponent> components = context.BenchmarkComponents.Where(x => x.BenchmarkID == benchmarkID).ToList();
DateTime earliestDate = datesInPeriod[0].Date;
DateTime latestDate = datesInPeriod.Last();
Dictionary <int, TimeSeries> data =
components
.ToDictionary(
component => component.QDMSInstrumentID,
component => new TimeSeries(
dataSourcer.GetExternalData(component.QDMSInstrumentID, earliestDate, latestDate)));
Dictionary <int, decimal> weights = components.ToDictionary(x => x.QDMSInstrumentID, x => (decimal)x.Weight);
benchmarkSeries = new Dictionary <DateTime, double>();
benchmarkReturns = new List <double>();
var benchmarkEC = new EquityCurve(1);
decimal equity = 1;
bool first = true;
foreach (DateTime today in datesInPeriod)
{
decimal ret = 0;
foreach (var kvp in data)
{
var ts = kvp.Value;
ts.ProgressTo(today);
if (ts.CurrentBar > 0)
{
decimal todayClose = ts[0].AdjClose.HasValue ? ts[0].AdjClose.Value : ts[0].Close;
decimal lastClose = ts[1].AdjClose.HasValue ? ts[1].AdjClose.Value : ts[1].Close;
ret += weights[kvp.Key] * (todayClose / lastClose - 1);
#if DEBUG
logger.Log(LogLevel.Trace, "Benchmark component: Date: {0} Close: {1} PrevClose: {2} Ret: {3}", today, todayClose, lastClose, ret);
#endif
}
}
benchmarkEC.AddReturn((double)ret, today);
if (first)
{
first = false;
benchmarkReturns.Add((double)(1 + ret));
benchmarkSeries.Add(today, (double)equity);
continue;
}
equity *= 1 + ret;
benchmarkReturns.Add((double)(1 + ret));
benchmarkSeries.Add(today, (double)equity);
}
return(benchmarkEC);
}
private EquityCurve EcFromEquitySummaries(Dictionary<DateTime, decimal> summaries, Dictionary<DateTime, decimal> depositsWithdrawals)
{
if (summaries.Count == 0) return new EquityCurve(100, DateTime.Now);
var ec = new EquityCurve(100, summaries.First().Key);
decimal lastTotal = summaries.First().Value;
bool first = true;
foreach(var kvp in summaries)
{
if (first)
{
first = false;
continue;
}
DateTime date = kvp.Key;
decimal total = kvp.Value;
decimal externalCashFlow = depositsWithdrawals.ContainsKey(date) ? depositsWithdrawals[date] : 0;
if (lastTotal != 0)
//make sure we avoid division by zero...equity can't change if we have 0 to start with anyway
{
double ret = (double)(((total - externalCashFlow) - lastTotal) / lastTotal);
ec.AddReturn(ret, date);
}
lastTotal = total;
}
ec.CalcFinalValues(summaries.Last().Key);
return ec;
}