public void AddMATrendSelector()
{
DeltaVolInput input = DeltaVolInput.GetDefaultDeltaVolInput();
input.BaseInvest = 1 * 1000 * 1000 * 1000;
EquityDeltaHedger selector =
new EquityDeltaHedger(MarketDataSetKey.KospiFuture,
input.StartDate, input.EndDate, input.BaseInvest, input.IssueInterval);
selector.AddMATrendTester(10, 50);
selector.UseMASpreadSwitch(0.2, -0.2);
IPnLResult result = selector.ExecuteHedge();
DateTime prevDate = result.StartDate;
DateTime curDate = result.StartDate.AddDays(1);
while (curDate <= result.EndDate)
{
if (result.IsExistDate(curDate))
{
if (result.GetDailyInvest(curDate) < input.BaseInvest * -2.0)
{
trendSelectors.Add(curDate, false);
}
else
{
trendSelectors.Add(curDate, true);
}
}
curDate = curDate.AddDays(1);
}
}
public void Start()
{
//TODO implement Equity Picker
PeriodicEquityPicker equityPicker =
new PeriodicEquityPicker(_mds, _selectionPeriod, _lookupPeriod,
EquityVolPredefinedVariables.EquitySelectionNumber, _startDate, _endDate);
equityPicker.UseHighRankMarketCap();
Dictionary<DateTime, List<MarketDataSetKey>> selectedEquities = equityPicker.Select();
List<IPnLResult> pnLResults = new List<IPnLResult>();
//EquityStockDeltaVolExecutor stockTradingExecutor = new EquityStockDeltaVolExecutor(_mds, _input);
//Dictionary<MarketDataSetKey, IPnLResult> allEquityPnLResults = stockTradingExecutor.Execute();
EquityStockSimpleExecutor stockTradingExecutor =
new EquityStockSimpleExecutor(_mds, _startDate, _endDate, _input.IssueInterval, _input.BaseInvest);
Dictionary<MarketDataSetKey, IPnLResult> allEquityPnLResults = stockTradingExecutor.Execute();
Dictionary<MarketDataSetKey, IPnLResult> seletecdEquityPnLResults =
GetSelectedEquityPnLResults(allEquityPnLResults, selectedEquities);
pnLResults.AddRange(seletecdEquityPnLResults.Values.ToList());
Dictionary<DateTime, double> grossDeltas = AggregateGrossDeltas(pnLResults);
EquityDeltaHedger hedger =new EquityDeltaHedger(MarketDataSetKey.KospiFuture,
_input.StartDate, _input.EndDate, grossDeltas, _input.BaseInvest, _input.IssueInterval);
if (_input.bMATrendHedging)
{
hedger.AddMATrendTester(
EquityVolPredefinedVariables.LeadingMAPeriod, EquityVolPredefinedVariables.BaseMAPeriod);
if (_input.bDeltaSwitchUpDown)
{
hedger.UseMASpreadSwitch(
EquityVolPredefinedVariables.MASpreadUpperBound,
EquityVolPredefinedVariables.MASpreadLowerBound);
}
}
IPnLResult hedgePnL;
if (_input.bVoliatilityHedging)
{
hedger.UseVolTest(10);
}
hedgePnL = hedger.ExecuteHedge();
pnLResults.Add(hedgePnL);
//BandTradingHedger auxHedger = new BandTradingHedger(MarketDataSetKey.KospiFuture,
// _input.StartDate, _input.EndDate, grossDeltas, _input.BaseInvest);
//auxHedger.AddMATrendTester(1, 20);
//IPnLResult auxHedgePnL = auxHedger.ExecuteHedge();
//pnLResults.Add(auxHedgePnL);
IPnLResult sumPnlResult = AggregatePnLResult(pnLResults);
HandleResult(sumPnlResult);
}