public SignalsBBTrendFunds(ISystemDataLoader dataLoader, IStockDataProvider dataProvider, ISystemExecutionLogger systemExecutionLogger)
{
_dataLoader = dataLoader;
_systemExecutionLogger = systemExecutionLogger;
_dataRange = StockDataRange.Monthly;
_fundsData = new BBTrendFundsData(_fundsNames.Length);
BBTrendFundsDataCalculator.Initialize(_fundsData, _fundsNames, BBPeriod, BBSigmaWidth, HLPeriod, dataProvider);
_rebalanceSignal = new ModNCounter(RebalanceInterval);
}
//private readonly ModNCounter _rebalanceSignal;
public SignalsBBTrendMultiFunds(ISystemDataLoader dataLoader, IStockDataProvider dataProvider, ISystemExecutionLogger systemExecutionLogger)
{
_aggressiveFunds = _fundsNames.Select((_, i) => i > 0).ToArray();
if (_fundsNames.Length != _aggressiveFunds.Length)
{
throw new Exception("_fundsNames != _aggressiveFunds");
}
_dataLoader = dataLoader;
_systemExecutionLogger = systemExecutionLogger;
_dataRange = StockDataRange.Monthly;
_fundsData = new BBTrendFundsData(_fundsNames.Length);
BBTrendFundsDataCalculator.Initialize(_fundsData, _fundsNames, BBPeriod, BBSigmaWidth, HLPeriod, dataProvider);
//_rebalanceSignal = new ModNCounter(RebalanceInterval);
}
public List <Signal> GenerateOnClose(DateTime ts, int leadingIndex, SystemState systemState)
{
List <Signal> result = new List <Signal>();
BBTrendFundsDataCalculator.CalculateTrendsAndExpectations(_fundsData, ts, _dataRange, _dataLoader);
ResetRebalanceCountersIfNeeded();
//if (ExecuteRebalance())
{
var balance = CalculateBalance();
result.Add(BBTrendFundsSignalFactory.CreateSignal(balance, _dataRange, _fundsData));
LogData(ts, balance);
}
IncrementRebalanceCounters();
return(result);
}
public List <Signal> GenerateOnClose(DateTime ts, int leadingIndex, SystemState systemState)
{
List <Signal> result = new List <Signal>();
BBTrendFundsDataCalculator.CheckStops(_fundsData, ts, _dataRange, _dataLoader);
BBTrendFundsDataCalculator.CalculateTrendsAndExpectations(_fundsData, ts, _dataRange, _dataLoader);
BBTrendFundsDataCalculator.CalculateMaxValuesAndStops(_fundsData, AggressiveStopWidth, ts, _dataRange, _dataLoader);
//var sortedFunds = OrderStocksByProfit(ts, ProfitBackDataLength);
var sortedFunds = OrderStocksByUpTrendProfit(ts);
//ResetRebalanceCountersIfNeeded();
//if (ExecuteRebalance())
float[] balance = CalculateBalance(sortedFunds, NumberOfAggressiveFundsTaken);
result.Add(BBTrendFundsSignalFactory.CreateSignal(balance, _dataRange, _fundsData));
//IncrementRebalanceCounters();
LogData(ts, sortedFunds, balance);
return(result);
}