public void DoIt()
{
int simDays = 180;
int stepDays = 30;
var results = new List <Tuple <double, double, string> >();
for (int f = 2; f <= 30; f++)
{
for (int s = f + 1; s < 50; s++)
{
for (int avg = 2; avg <= 10; avg++)
{
for (int lag = 0; lag < 1; lag++) // todo
{
int betterCount = 0;
int totalCount = 0;
foreach (var stock in stocks)
{
var handles = new List <ManualResetEvent>();
for (int day = 0; day < stock.PriceData.Count() - simDays; day += stepDays)
{
var p = new SimulationParams
{
Stock = stock,
DaysFast = f,
DaysSlow = s,
DaysAvg = avg,
DecisionLag = lag,
UseShorts = true,
StartDay = day,
TotalDays = simDays
};
var handle = new ManualResetEvent(false);
handles.Add(handle);
ThreadPool.QueueUserWorkItem(delegate
{
RunSimulation(p, log);
lock (this)
{
var profitBH = p.MoneyBuyHold - p.StartingMoney;
var profitSwing = p.MoneySwing - p.StartingMoney;
betterCount += profitSwing > profitBH ? 1 : 0;
totalCount++;
handle.Set();
}
});
}
WaitHandle.WaitAll(handles.ToArray());
}
results.Add(new Tuple <double, double, string>(betterCount, totalCount,
string.Format("[f={0} s={1} avg={2} lag={3}]", f, s, avg, lag)));
}
}
}
}
// Set breakpoint after sort and observe top results
results.Sort((t1, t2) => t2.Item1.CompareTo(t1.Item1));
// Test-run of one chosen parameter set
foreach (var stock in stocks)
{
var p = new SimulationParams
{
Stock = stock,
DaysFast = 23,
DaysSlow = 37,
DaysAvg = 6,
//DaysFast = 23,
//DaysSlow = 29,
//DaysAvg = 10,
UseShorts = true,
StartDay = 0,
TotalDays = 99999,
WriteLog = true,
//VerboseLog = true
};
RunSimulation(p, log);
}
log.Dispose();
}
public static void RunSimulation(SimulationParams p, Log log)
{
int decisionScore = 0;
double cash = p.StartingMoney;
int shares = 0;
int shorts = 0;
double shortCash = 0;
var fastMA = new SimpleMovingAverage(p.DaysFast);
var slowMA = new SimpleMovingAverage(p.DaysSlow);
var avgMA = new SimpleMovingAverage(p.DaysAvg);
if (p.WriteLog)
{
log.AddLine(p.Stock.Name);
}
double prevDvg = 0;
int indexLast = Math.Min(p.StartDay + p.TotalDays, p.Stock.PriceData.Count) - 1;
for (int index = p.StartDay; index <= indexLast; index++)
{
var d = p.Stock.PriceData[index];
fastMA.Add(d);
slowMA.Add(d);
var diff = fastMA.GetAverage() - slowMA.GetAverage();
avgMA.Add(diff);
var dvg = diff - avgMA.GetAverage();
if (p.WriteLog && p.VerboseLog)
{
log.AddLine(string.Format(
"{6}: {0:0.0} f={1:0.00} s={2:0.00} diff={3:0.00} avg={4:0.00} dvg={5:0.00}",
d, fastMA.GetAverage(), slowMA.GetAverage(), diff, avgMA.GetAverage(), dvg, p.Stock.Dates[index]));
}
if (shorts > 0)
{
cash -= p.ShortCostPerDay;
}
bool buy = false;
bool sell = false;
// Buy
if (dvg > 0 && prevDvg < 0)
{
buy = true;
if (shorts > 0)
{
if (p.WriteLog && p.VerboseLog)
{
log.AddLine(string.Format("--- Close short @ {0}: {1} for {2}---", d, shorts, d * shorts));
}
cash -= p.FeePerShare * shorts;
shortCash -= shorts * d;
shorts = 0;
cash += shortCash;
shortCash = 0;
}
shares = (int)(cash / d);
cash -= shares * d;
cash -= p.FeePerShare * shares;
if (p.WriteLog && p.VerboseLog)
{
log.AddLine(string.Format("--- Buy @ {0}: {1} for {2} ---", d, shares, d * shares));
}
}
// Sell
if (dvg < 0 && prevDvg > 0)
{
sell = true;
if (p.WriteLog && p.VerboseLog)
{
log.AddLine(string.Format("--- Sell @ {0}: {1} for {2} ---", d, shares, d * shares));
}
cash -= p.FeePerShare * shares;
cash += shares * d;
shares = 0;
if (p.UseShorts)
{
shorts = (int)(cash / d);
shortCash = shorts * d;
cash -= p.FeePerShare * shorts;
if (p.WriteLog && p.VerboseLog)
{
log.AddLine(string.Format("--- Short @ {0}: {1} for {2} ---", d, shorts, d * shorts));
}
}
}
p.NewOperationNow = buy || sell;
if (p.NewOperationNow)
{
p.LastOperationBuy = buy;
}
prevDvg = dvg;
}
shortCash -= shorts * p.Stock.PriceData[indexLast];
cash += shortCash;
cash += p.Stock.PriceData[indexLast] * shares;
int bhAmount = (int)(p.StartingMoney / p.Stock.PriceData[p.StartDay]);
double bhTotalCash = p.StartingMoney - p.Stock.PriceData[p.StartDay] * bhAmount + p.Stock.PriceData[indexLast] * bhAmount;
double bhProfit = bhTotalCash - p.StartingMoney;
double swingProfit = cash - p.StartingMoney;
p.MoneyBuyHold = bhTotalCash;
p.MoneySwing = cash;
if (p.WriteLog)
{
log.AddLine(string.Format("Buy & Hold: {0} ({1:0.0}%)", bhProfit, (bhProfit / p.StartingMoney) * 100));
log.AddLine(string.Format("Swing: {0} ({1:0.0}%)", swingProfit, (swingProfit / p.StartingMoney) * 100));
if (p.VerboseLog)
{
for (int k = 0; k < 10; ++k)
{
log.AddLine("");
}
}
}
}
