public Model_ViewResult(Statistic stockStat)
{
this.stockCode = stockStat.stockCode;
this.stockName = (stockStat.stockName == null || stockStat.stockName.Length == 0) ? "Unknown" : stockStat.stockName;
this.stockPrice = stockStat.stockPrice;
this.annualReturn = Math.Round(stockStat.annualReturn, 2);
this.sharpe = Math.Round(stockStat.sharpeRatio, 2);
this.beta = Math.Round(stockStat.beta, 2);
this.alpha = Math.Round(stockStat.alpha, 2);
this.paraPercentVaR = Math.Round(stockStat.paraPercentVaR, 2);
this.histPercentVaR = Math.Round(stockStat.histPercentVaR, 2);
this.paraDollarVaR = Math.Round(stockStat.paraDollarVaR, 2);
this.histDollarVaR = Math.Round(stockStat.histDollarVaR, 2);
}
static void Main(string[] args)
{
string stockPath;
string indexPath;
string tbillPath;
string outputPath;
Console.WriteLine("########################################");
Console.WriteLine("# Module:\tFYP_CompileStockData");
Console.WriteLine("# Author:\tThomas Tong");
Console.WriteLine("# Email:\[email protected]");
Console.WriteLine("########################################\n");
if (args.Length != 4)
{
Console.WriteLine("\nEnter stock path (e.g. C:\\Temp\\Stock): ");
stockPath = Console.ReadLine();
}
else
{
stockPath = args[0];
}
if (args.Length != 4)
{
Console.WriteLine("\nEnter index path (e.g. C:\\Temp\\Index): ");
indexPath = Console.ReadLine();
}
else
{
indexPath = args[1];
}
if (args.Length != 4)
{
Console.WriteLine("\nEnter index path (e.g. C:\\Temp\\Tbill): ");
tbillPath = Console.ReadLine();
}
else
{
tbillPath = args[2];
}
if (args.Length != 4)
{
Console.WriteLine("\nEnter statistics path (e.g. C:\\Temp\\Stat): ");
outputPath = Console.ReadLine();
}
else
{
outputPath = args[3];
}
// debug
//stockPath = @"C:\MineStock\Environment\Data\Stock";
//indexPath = @"C:\MineStock\Environment\Data\Index";
//tbillPath = @"C:\MineStock\Environment\Data\Tbill";
//outputPath = @"C:\MineStock\Environment\Data\Stat";
Console.WriteLine("");
// var - check stocks with insufficient data
Dictionary<int, int> distribution = new Dictionary<int, int>();
int cntStock = 0;
int maxTick = 0;
int temp = 0;
// here we start everything - create directory if not exist
if (!Directory.Exists(outputPath))
{
Directory.CreateDirectory(outputPath);
}
// remove all files in the output folder first - added 8 feb
Array.ForEach(Directory.GetFiles(outputPath), delegate(string path) { File.Delete(path); });
// read the index first
Stock hsiIndex = XMLHelper.StockFromXML(indexPath + @"\hsi.xml");
// read the stocks and perform computation
foreach (string fileName in Directory.GetFiles(stockPath))
{
if (fileName.EndsWith(".xml"))
{
Console.Write("Reading " + fileName + "...");
Stock stock = XMLHelper.StockFromXML(fileName);
cntStock++;
Console.WriteLine(stock.priceList.Count + " tick");
// check stocks with insufficient data
if (distribution.TryGetValue(stock.priceList.Count, out temp))
{
distribution.Remove(stock.priceList.Count);
distribution.Add(stock.priceList.Count, temp + 1);
}
else
{
distribution.Add(stock.priceList.Count, 1);
}
maxTick = stock.priceList.Count > maxTick ? stock.priceList.Count : maxTick;
// initate a new entity object
Statistic stat = new Statistic();
stat.stockCode = stock.stockCode;
stat.stockName = stock.stockName;
stat.stockPrice = StatHelper.GetLastPrice(stock.priceList);
stat.annualReturn = StatHelper.GetAnnualGeoReturn(stock.priceList);
stat.annualVolatility = StatHelper.GetAnnualSD(stock.priceList);
Tbill tbill = XMLHelper.TbillFromXML(tbillPath + @"\2.xml");
tbill.ytm /= 100;
if (stock.priceList.Count > 1 & hsiIndex.priceList.Count > 1)
{
stat.beta = StatHelper.GetBeta(stock.priceList, hsiIndex.priceList);
stat.alpha = stat.annualReturn - stat.beta * (StatHelper.GetAnnualGeoReturn(hsiIndex.priceList) - tbill.ytm);
}
else
{
stat.beta = 0;
stat.alpha = 0;
}
// stat.sharpeRatio
if (stat.annualVolatility != 0)
{
stat.sharpeRatio = (stat.annualReturn - tbill.ytm) / (stat.annualVolatility);
}
else
{
stat.sharpeRatio = 0;
}
stat.paraPercentVaR = StatHelper.GetParaPercentVaR(stock.priceList, 0.05);
stat.histPercentVaR = StatHelper.GetHistPercentVaR(stock.priceList, 0.05);
stat.paraDollarVaR = StatHelper.GetParaDollarVaR(stock.priceList, 0.05);
stat.histDollarVaR = StatHelper.GetHistDollarVaR(stock.priceList, 0.05);
stat.sampleCount = stock.priceList.Count;
// amend: for all store in percentage, multiply by 100
stat.annualReturn *= 100;
stat.annualVolatility *= 100;
stat.alpha *= 100;
stat.paraPercentVaR *= 100;
stat.histPercentVaR *= 100;
// write out the stat object
XMLHelper.ObjectToXML(stat, outputPath, stat.stockCode + "");
}
}
// check stocks with insufficient data
Console.WriteLine("\nNumber of file processed: " + cntStock + ", maximum ticks of single stock: " + maxTick + "\n");
temp = 0;
foreach (KeyValuePair<int, int> eachKYP in distribution)
{
Console.WriteLine("Stock with " + eachKYP.Key + " ticks: " + eachKYP.Value);
if (eachKYP.Value >= temp)
{
temp = eachKYP.Value;
maxTick = eachKYP.Key;
}
}
Statistic fakeStat = new Statistic();
fakeStat.sampleCount = (int)(maxTick * 0.8);
Console.WriteLine("\nNote: stock with less than " + fakeStat.sampleCount +
" ticks are considered to have inaccurate results");
XMLHelper.ObjectToXML(fakeStat, outputPath, Statistic.FAKE_FILE_FILE_NAME);
}