private void applyBsPotterButton_Click(object sender, EventArgs e)
{
var flag = true;
flag &= double.TryParse(bs_fc1.Text.Replace('.', ','), out var fc);
flag &= double.TryParse(bs_fc_2.Text.Replace('.', ','), out var fc2);
flag &= int.TryParse(bs_m.Text, out var m);
flag &= double.TryParse(dtTextBox.Text.Replace('.', ','), out var dt);
if (!flag)
{
MessageBox.Show("Не все данные в правильном формате!", "Ошибка", MessageBoxButtons.OK);
return;
}
var curve = _controlZgcList[(int)numericUpDownGraphNo.Value - 1].GraphPane.CurveList[0];
var x = new PointPairList();
for (var i = 0; i < curve.Points.Count; i++)
{
x.Add(curve.Points[i]);
}
var h = Analyser.GetHarryPotter_BS(fc, fc2, m, dt);
var y = Analyser.GetConvolution(x, h);
Plotter.Clear(_controlZgcList[(int)numericUpDownGraphNo.Value - 1]);
Plotter.Draw(_controlZgcList[(int)numericUpDownGraphNo.Value - 1], y, "Pottered");
}
private void PerfectFilterButton_Click(object sender, EventArgs e)
{
var flag = true;
flag &= double.TryParse(FilterstextBox.Text.Replace('.', ','), out var alpha);
if (!flag)
{
MessageBox.Show("Не все данные в правильном формате!", "Ошибка", MessageBoxButtons.OK);
return;
}
var ppl = Analyser.GetH();
var curve = _controlZgcList[(int)numericUpDownGraphNo.Value - 1].GraphPane.CurveList[0];
var x = new PointPairList();
for (var i = 0; i < curve.Points.Count; i++)
{
x.Add(curve.Points[i]);
}
Plotter.Clear(_controlZgcList[(int)numericUpDownGraphNo.Value - 1]);
if (alpha == 0)
{
var result = Analyser.PerfectFilter(x, ppl);
Plotter.Draw(_controlZgcList[(int)numericUpDownGraphNo.Value - 1], result, "Исходная функция");
}
else
{
var result = Analyser.PerfectFilterNoise(x, ppl, alpha);
Plotter.Draw(_controlZgcList[(int)numericUpDownGraphNo.Value - 1], result, "Исходная функция");
}
}
private void pltRxxButton_Click(object sender, EventArgs e)
{
if (_controlZgcList[(int)numericUpDownGraphNo.Value - 1].GraphPane.CurveList.Count == 0)
{
return;
}
var list = GraphConverter.GetPointPairListFromCurve(_controlZgcList[(int)numericUpDownGraphNo.Value - 1].GraphPane.CurveList[0]);
var res = Analyser.GetRxx(list);
Plotter.Clear(rxxZedGraphControl);
Plotter.Draw(rxxZedGraphControl, res, "Rxx");
}
public void Files_SelectionChanged(SelectionChangedEventArgs args)
{
Transitions.Clear();
Plotter.Clear();
ImportedFromDatabase.Clear();
SelectedFile = args.AddedItems.Cast <object>().Where(x => x is ListBoxFileItem).Count() == 1
? args.AddedItems.Cast <ListBoxFileItem>().First()
: null;
NotifyOfPropertyChange(() => CanDetectPeaks);
NotifyOfPropertyChange(() => CanAddToDatabase);
}
private void plotDistributionButton_Click(object sender, EventArgs e)
{
if (_controlZgcList[(int)numericUpDownGraphNo.Value - 1].GraphPane.CurveList.Count == 0)
{
return;
}
var list = GraphConverter.GetPointPairListFromCurve(_controlZgcList[(int)numericUpDownGraphNo.Value - 1].GraphPane.CurveList[0]);
var res = Analyser.GetDistribution(list);
Plotter.Clear(distributionZedGraphControl);
Plotter.Draw(distributionZedGraphControl, res, "Распределение");
}
private void spectrePlotButton_Click(object sender, EventArgs e)
{
if (_controlZgcList[(int)numericUpDownGraphNo.Value - 1].GraphPane.CurveList.Count == 0)
{
return;
}
var list = GraphConverter.GetPointPairListFromCurve(_controlZgcList[(int)numericUpDownGraphNo.Value - 1].GraphPane.CurveList[0]);
var res = Analyser.GetSpectre(list, norm_checked.Checked);
res.RemoveRange(list.Count / 2, list.Count - list.Count / 2);
Plotter.Clear(spectreZedGraphControl);
Plotter.Draw(spectreZedGraphControl, res, "Spectre");
}
public void DetectPeaks()
{
Transitions.Clear();
Plotter.Clear();
string contents = ReadFromFile(SelectedFile.Path);
if (!string.IsNullOrEmpty(contents))
{
ProcessFile(contents);
}
NotifyOfPropertyChange(() => CanAddToDatabase);
NotifyOfPropertyChange(() => CanSaveImage);
NotifyOfPropertyChange(() => CanSaveSpectrum);
}
private void Fur1DButton_Click(object sender, EventArgs e)
{
if (_controlZgcList[(int)numericUpDownGraphNo.Value - 1].GraphPane.CurveList.Count == 0)
{
return;
}
var list = GraphConverter.GetPointPairListFromCurve(_controlZgcList[(int)numericUpDownGraphNo.Value - 1].GraphPane.CurveList[0]);
var res = Analyser.ListToComplex(list);
res = Analyser.ReverseSpectre(Analyser.GetSpectre(res));
var newlist = Analyser.ComplexToPointPairList(res);
Plotter.Clear(spectreZedGraphControl);
Plotter.Draw(spectreZedGraphControl, newlist, "Reversed Graph");
}
public override void Run()
{
//----- initialization
StartTime = DateTime.Parse("01/01/1990", CultureInfo.InvariantCulture);
EndTime = DateTime.Now.Date - TimeSpan.FromDays(5);
AddDataSource(BENCHMARK);
foreach (AssetClass assetClass in _assetClasses)
{
foreach (string nick in assetClass.assets)
{
AddDataSource(nick);
}
}
Deposit(INITIAL_FUNDS);
_plotter.Clear();
//----- simulation loop
foreach (DateTime simTime in SimTimes)
{
// evaluate instrument momentum for all known instruments,
// we need to make sure to evaluate every instrument only once!
Dictionary <Instrument, double> instrumentMomentum = Instruments
.ToDictionary(i => i,
i => ScoringFunc(i));
// skip if there are any missing instruments,
// we want to make sure our strategy has all instruemnts available
bool instrumentsMissing = _assetClasses
.SelectMany(c => c.assets)
.Distinct()
.Where(n => Instruments.Where(i => i.Nickname == n).Count() == 0)
.Count() > 0;
if (instrumentsMissing)
{
continue;
}
_benchmark = _benchmark ?? FindInstrument(BENCHMARK);
// create empty structure for instrument weights
Dictionary <Instrument, double> instrumentWeights = Instruments
.ToDictionary(i => i, i => 0.0);
// loop through all asset classes
foreach (AssetClass assetClass in _assetClasses)
{
List <Instrument> assetClassInstruments = assetClass.assets
.Select(n => FindInstrument(n))
.ToList();
var bestInstruments = assetClassInstruments
.OrderByDescending(i => instrumentMomentum[i])
.Take(assetClass.numpicks);
foreach (Instrument bestInstrument in bestInstruments)
{
instrumentWeights[bestInstrument] += assetClass.weight / assetClass.numpicks;
}
}
// execute trades once per month
if (SimTime[0].Month != SimTime[1].Month)
{
double totalWeight = _assetClasses
.Sum(a => a.weight);
double equityUnit = NetAssetValue[0] / totalWeight;
string message = string.Format("{0:MM/dd/yyyy}: ", SimTime[0]);
foreach (var instrumentWeight in instrumentWeights)
{
message += string.Format("{0} = {1:P2}, ", instrumentWeight.Key.Symbol, instrumentWeight.Value);
//message += string.Format("{0:P2}, ", instrumentMomentum[instrumentWeight.Key]);
int targetShares = (int)Math.Floor(instrumentWeight.Value * equityUnit / instrumentWeight.Key.Close[0]);
int currentShares = instrumentWeight.Key.Position;
Order newOrder = instrumentWeight.Key.Trade(targetShares - currentShares);
if (newOrder != null)
{
if (currentShares == 0)
{
newOrder.Comment = "open";
}
else if (targetShares == 0)
{
newOrder.Comment = "close";
}
else
{
newOrder.Comment = "rebalance";
}
}
}
if (TradingDays > 0)
{
Output.WriteLine(message);
}
}
// create plots on Sheet 1
if (TradingDays > 0)
{
_plotter.SelectChart(Name, "date");
_plotter.SetX(SimTime[0]);
_plotter.Plot("NAV", NetAssetValue[0]);
_plotter.Plot(_benchmark.Symbol, _benchmark.Close[0]);
// holdings on Sheet 2
_plotter.SelectChart(Name + " holdings", "date");
_plotter.SetX(SimTime[0]);
foreach (var i in Positions.Keys)
{
_plotter.Plot(i.Symbol, i.Position * i.Close[0] / NetAssetValue[0]);
}
}
}
//----- post processing
// create trading log on Sheet 3
_plotter.SelectChart(Name + " trades", "date");
foreach (LogEntry entry in Log)
{
_plotter.SetX(entry.BarOfExecution.Time);
_plotter.Plot("action", entry.Action);
_plotter.Plot("type", entry.InstrumentType);
_plotter.Plot("instr", entry.Symbol);
_plotter.Plot("qty", entry.OrderTicket.Quantity);
_plotter.Plot("fill", entry.FillPrice);
_plotter.Plot("gross", -entry.OrderTicket.Quantity * entry.FillPrice);
_plotter.Plot("commission", -entry.Commission);
_plotter.Plot("net", -entry.OrderTicket.Quantity * entry.FillPrice - entry.Commission);
_plotter.Plot("comment", entry.OrderTicket.Comment ?? "");
}
}
private void clearButton_Click(object sender, EventArgs e)
{
Plotter.Clear(_controlZgcList[(int)numericUpDownGraphNo.Value - 1]);
}
protected int B = 0; // breadth parameter
#endregion
#region public override void Run()
public override void Run()
{
//----- initialization
StartTime = DateTime.Parse("01/01/1990");
EndTime = DateTime.Now.Date - TimeSpan.FromDays(5);
foreach (string nick in riskyUniverse.Concat(cashUniverse).Concat(protectiveUniverse))
{
AddDataSource(nick);
}
AddDataSource(BENCHMARK);
Deposit(INITIAL_FUNDS);
//CommissionPerShare = 0.015; // paper does not consider trade commissions
_plotter.Clear();
//----- simulation loop
foreach (DateTime simTime in SimTimes)
{
// calculate 13612W momentum for all instruments
Dictionary <Instrument, double> momentum13612W = Instruments
.ToDictionary(
i => i,
i => 0.25 *
(12.0 * (i.Close[0] / i.Close[21] - 1.0)
+ 4.0 * (i.Close[0] / i.Close[63] - 1.0)
+ 2.0 * (i.Close[0] / i.Close[126] - 1.0)
+ 1.0 * (i.Close[0] / i.Close[252] - 1.0)));
// skip if there are any missing instruments
// we want to make sure our strategy has all instruments available
bool instrumentsMissing = riskyUniverse.Concat(cashUniverse).Concat(protectiveUniverse)
.Where(n => Instruments.Where(i => i.Nickname == n).Count() == 0)
.Count() > 0;
if (instrumentsMissing)
{
continue;
}
_benchmark = _benchmark ?? FindInstrument(BENCHMARK);
// find T top risky assets
IEnumerable <Instrument> topInstruments = Instruments
.Where(i => riskyUniverse.Contains(i.Nickname))
.OrderByDescending(i => momentum13612W[i])
.Take(T);
// find single cash/ bond asset
Instrument cashInstrument = Instruments
.Where(i => cashUniverse.Contains(i.Nickname))
.OrderByDescending(i => momentum13612W[i])
.First();
// determine number of bad assets in canary universe
double b = Instruments
.Where(i => protectiveUniverse.Contains(i.Nickname))
.Sum(i => momentum13612W[i] < 0.0 ? 1.0 : 0.0);
// calculate cash fraction
//double CF = Math.Min(1.0, b / B) // standard calculation
double CF = Math.Min(1.0, 1.0 / T * Math.Floor(b * T / B)); // Easy Trading
// set instrument weights
Dictionary <Instrument, double> weights = Instruments
.ToDictionary(i => i, i => 0.0);
weights[cashInstrument] = CF;
foreach (Instrument i in topInstruments)
{
weights[i] += (1.0 - CF) / T;
}
// rebalance once per month
if (SimTime[0].Month != SimTime[1].Month)
{
foreach (Instrument i in Instruments)
{
int targetShares = (int)Math.Floor(weights[i] * NetAssetValue[0] / i.Close[0]);
Order newOrder = i.Trade(targetShares - i.Position);
if (newOrder != null)
{
if (i.Position == 0)
{
newOrder.Comment = "open";
}
else if (targetShares == 0)
{
newOrder.Comment = "close";
}
else
{
newOrder.Comment = "rebalance";
}
}
}
}
if (TradingDays > 0)
{
// create plots on Sheet 1
_plotter.SelectChart(Name, "date");
_plotter.SetX(SimTime[0]);
_plotter.Plot("NAV", NetAssetValue[0]);
_plotter.Plot(_benchmark.Symbol, _benchmark.Close[0]);
// holdings on Sheet 2
_plotter.SelectChart(Name + " holdings", "date");
_plotter.SetX(SimTime[0]);
foreach (var i in Positions.Keys)
{
_plotter.Plot(i.Symbol, i.Position * i.Close[0] / NetAssetValue[0]);
}
}
}
//----- post processing
// create trading log on Sheet 3
_plotter.SelectChart(Name + " trades", "date");
foreach (LogEntry entry in Log)
{
_plotter.SetX(entry.BarOfExecution.Time);
_plotter.Plot("action", entry.Action);
_plotter.Plot("type", entry.InstrumentType);
_plotter.Plot("instr", entry.Symbol);
_plotter.Plot("qty", entry.OrderTicket.Quantity);
_plotter.Plot("fill", entry.FillPrice);
_plotter.Plot("gross", -entry.OrderTicket.Quantity * entry.FillPrice);
_plotter.Plot("commission", -entry.Commission);
_plotter.Plot("net", -entry.OrderTicket.Quantity * entry.FillPrice - entry.Commission);
_plotter.Plot("comment", entry.OrderTicket.Comment ?? "");
}
// calculate Keller ratio
double R = Math.Exp(
252.0 / TradingDays * Math.Log(NetAssetValue[0] / INITIAL_FUNDS));
double K50 = NetAssetValueMaxDrawdown <0.5 && R> 0.0
? R * (1.0 - NetAssetValueMaxDrawdown / (1.0 - NetAssetValueMaxDrawdown))
: 0.0;
double K25 = NetAssetValueMaxDrawdown <0.25 && R> 0.0
? R * (1.0 - 2.0 * NetAssetValueMaxDrawdown / (1.0 - 2 * NetAssetValueMaxDrawdown))
: 0.0;
FitnessValue = K25;
}