public DynamicPropSimulation(String key, double lossCutEach, double leverageEach, double maxInvestmentEach,
String ticker, String currency, DateTime from, DateTime until, int startGapMonth, int durationMonth, IEachSimPolicy policy)
{
this.Key = key;
this._lossCutEach = lossCutEach;
this._leverageEach = leverageEach;
this._maxInvestmentEach = maxInvestmentEach;
this._ticker = ticker;
this._currency = currency;
this._from = from;
this._until = until;
this._startGapMonth = startGapMonth;
this._durationMonth = durationMonth;
this.EachSims = new List<EachDynamicPropSim>();
this._policy = policy;
Trace.Assert(this._lossCutEach < 0);
}
public EachDynamicPropSim(String parentKey, String ticker, Tuple<DateTime, DateTime> fromUntil,
SortedList<DateTime, double> marketData, double lossCut, double leverage, double maxInvestment, IEachSimPolicy policy)
{
this.Key = String.Format("{0}_{1}_{2}", parentKey, fromUntil.Item1.ToString("yyyy"), fromUntil.Item2.ToString("yyyy"));
this.Ticker = ticker;
this.From = fromUntil.Item1;
this.Until = fromUntil.Item2;
this.MarketData = marketData;
this.LossCut = lossCut;
this.Leverage = leverage;
this.MaxInvestment = maxInvestment;
this._policy = policy;
SortedList<DateTime, double> zooMarketData = ZooUtil.FillWithPrev(marketData, From.AddDays(-100), Until, 0);
this.Incs = ConvertUtil.ToIncrement(zooMarketData);
this.Pnls = new SortedList<DateTime, double>();
this.CumPnls = new SortedList<DateTime, double>();
this.Investments = new SortedList<DateTime, double>();
Trace.Assert(this.LossCut < 0);
}
