public EventsPostFilter BuildEventsPostFilterFromModel(int earliestYear, RetrieveEventDataDelegate retrieveDataForEvents)
{
//if(ProductWrapper == null)
// return null;
// var dataRetriever = new DailyDataRetriever(new List<ProductWrapper>() { ProductWrapper });
// RetrieveEventDataDelegate retrieveDataForEvents = () => dataRetriever.getData(new DateTime(earliestYear, 1, 1), false, false, ProductWrapper.ToString());
switch (PostFilter)
{
case PostFilterType.DeMarkBuy:
return EventFilterBuilder.DeMark(DeMarkEventType.BuySetupStart, Window, retrieveDataForEvents);
case PostFilterType.DeMarkSell:
return EventFilterBuilder.DeMark(DeMarkEventType.SellSetupIndex, Window, retrieveDataForEvents);
case PostFilterType.RSIDrop:
return EventFilterBuilder.RSIDrop(FilterOperator, FilterValue, Window, retrieveDataForEvents);
case PostFilterType.RSIRise:
return EventFilterBuilder.RSIRise(FilterOperator, FilterValue, Window, retrieveDataForEvents);
case PostFilterType.UpMovement:
return Singleton<EventFilterBuilder>.Instance.SdUpMove(FilterOperator, FilterValue, Window, retrieveDataForEvents);
case PostFilterType.DownMovement:
return Singleton<EventFilterBuilder>.Instance.SdDownMove(FilterOperator, FilterValue, Window, retrieveDataForEvents);
default:
throw new ArgumentOutOfRangeException();
}
return null;
}
public static EventsPostFilter RSIRise(FilterOperator filterOperator, double value, int window, RetrieveEventDataDelegate FetchValueToCompare)
{
var retrievedData = FetchValueToCompare();
var prices = retrievedData.Item2;
var instrumentString = retrievedData.Item1;
var rsi = HelperMethods.CalculateRSI(prices.ToDifferences(replaceNanWith_: 0d), window);
return new EventsChangePostFilter(PostFilterType.RSIRise, filterOperator, value, rsi, instrumentString, retrievedData);
}
// create filters
public EventsPostFilterGroup BuildEventsPostFilterGroup(RetrieveEventDataDelegate retrieveDataForEvents)
{
var filterTopGroup = new EventsPostFilterGroup();
var subEventGroups = postFilterGroupViewModelList.Select(gp => gp.BuildEventsPostFilterGroup(retrieveDataForEvents));
foreach (var eventsPostFilter in subEventGroups)
{
filterTopGroup.AddFilterToGroup(eventsPostFilter);
}
return filterTopGroup;
}
public static EventsPostFilter KeyReversalBull(RetrieveEventDataDelegate FetchValueToCompare)
{
var retrievedData = FetchValueToCompare();
var prices = retrievedData.Item2;
var instrumentString = retrievedData.Item1;
var signals = Technicals.Reversal.KeyReversal.CalculateBullSignals(prices.ToContruct(), 3);
var signalDates = signals.Dates;
var signalVal = signals.Data.Select(d => (double) d).ToArray();
return new EventsPostFilter(PostFilterType.KeyReversal, FilterOperator.Equal, 0, new DatedDataCollectionGen<double>(signalDates, signalVal), instrumentString, retrievedData);
}
public EventsPostFilter SdDownMove(FilterOperator filterOperator, double value, int window, RetrieveEventDataDelegate FetchValueToCompare)
{
var retrievedData = FetchValueToCompare();
var prices = retrievedData.Item2;
var instrumentString = retrievedData.Item1;
// create a movment series with the diff based on window
var diffSeries = prices.ToDifferences(window).GetSubValues(v => v > 0);
var eventMovementSd = Statistics.Stdev(eventDates.Select(d => diffSeries.ValueOnDate(d)).ToArray());
PostFilterStatistic stat = null;
return new MovementBeforeEventPostFilter(PostFilterType.DownMovement, filterOperator, value * eventMovementSd, diffSeries, instrumentString, retrievedData, stat);
}
public static EventsPostFilter DeMark(DeMarkEventType markEventType, int window, RetrieveEventDataDelegate FetchValueToCompare)
{
var retrievedData = FetchValueToCompare();
var prices = retrievedData.Item2;
var instrumentString = retrievedData.Item1;
var setups = SI.Strategy.Technicals.DeMark.Analysis.GetSetups(prices.ToContruct(), 0, 0, 0, 0, window)
.Where(x => x.EventType == markEventType && x.Children != null);
var events = setups.Select(x => new {a = x.Children.First(c => c.SeriesIndex == window).Date, b = (double)window}).ToArray();
var dateWindowDeMarkCollection = new DatedDataCollectionGen<double>(events.Select(e => e.a).ToArray(),
events.Select(e => e.b).ToArray());
return new EventsPostFilter(PostFilterType.DeMarkBuy, FilterOperator.Equal, window, dateWindowDeMarkCollection, instrumentString, retrievedData);
}
// create filters
public EventsPostFilterGroup BuildEventsPostFilterGroup(RetrieveEventDataDelegate retrieveDataForEvents)
{
var currentGroup = new EventsPostFilterGroup();
//var postFilters = postFilterItemViewModelList.Select(item => item.BuildEventsPostFilterFromModel(eventControl.RetrieveDataForEvents));
var earliestYear = eventControl.EarliestPreSelectedYear;
var postFilters = postFilterItemViewModelList.Select(item => item.BuildEventsPostFilterFromModel(earliestYear, retrieveDataForEvents));
foreach (var eventsPostFilter in postFilters)
{
currentGroup.AddFilterToGroup(eventsPostFilter);
}
currentGroup.LogicalOp = LogicalOp;
return currentGroup;
}
private DateTime[] EventFilterBuilder(DateTime[] eventDates, RetrieveEventDataDelegate retrieveDataForEvents)
{
// post filter events
// with the above event dates from preselection, we filter out the ones match in post filter condition
var eventBuilder = Singleton<EventFilterBuilder>.Instance;
eventBuilder.eventDates = eventDates.Select(e => e.Date).ToArray(); // we only need the date without time when using it for filter event.
var filteredEventDates = eventBuilder.GenerateFilteredDates(GiveMeEventSelectorVM().BuildEventsPostFilterGroup(retrieveDataForEvents));
return filteredEventDates;
}
private EventDate[] EventFilterBuilder(EventDate[] eventDates, RetrieveEventDataDelegate retrieveDataForEvents)
{
// post filter events
// with the above event dates from preselection, we filter out the ones match in post filter condition
var resultDates = EventFilterBuilder(eventDates.Select(ev => ev.Date).ToArray(), retrieveDataForEvents);
return eventDates.Where(d => resultDates.Contains(d.Date.Date)).ToArray();
//var eventBuilder = new EventFilterBuilder {eventDates = eventDates.Select(ev => ev.Date).ToArray()};
//var filteredEventDates = eventBuilder.GenerateFilteredDates(GiveMeEventSelectorVM().BuildEventsPostFilterGroup());
//return filteredEventDates;
}
