public List <Signal> GenerateOnClose(DateTime ts, int leadingIndex, SystemState systemState)
{
List <Signal> result = new List <Signal>();
SimplexFundsDataCalculator.Calculate(_fundsData, ts, _avgProfitRange, _avgChangeRange, _dataRange, _dataLoader);
float portfolioValue = new SystemValueCalculator().Calc(systemState, ts, _dataLoader);
float[] balance = SimplexExecutor.Execute(_fundsData,
portfolioValue, _acceptableSingleDD, _riskSigmaMultiplier, _maxSinglePositionSize, _maxPortfolioRisk, _truncateBalanceToNthPlace);
result.Add(CreateSignal(balance, _dataRange, _fundsData));
LogData(ts, balance);
return(result);
}
public SignalsSimplexMultiFunds(ISystemDataLoader dataLoader, IStockDataProvider dataProvider, ISystemExecutionLogger systemExecutionLogger, MOParams systemParams)
{
_avgProfitRange = systemParams.Get(SimplexMultiFundsParams.AvgProfitRange).As <int>();
_avgChangeRange = systemParams.Get(SimplexMultiFundsParams.AvgChangeRange).As <int>();
_acceptableSingleDD = systemParams.Get(SimplexMultiFundsParams.AcceptableSingleDD).As <double>();
_riskSigmaMultiplier = systemParams.Get(SimplexMultiFundsParams.RiskSigmaMultiplier).As <double>();
_maxSinglePositionSize = systemParams.Get(SimplexMultiFundsParams.MaxSinglePositionSize).As <double>();
_maxPortfolioRisk = systemParams.Get(SimplexMultiFundsParams.MaxPortfolioRisk).As <double>();
_truncateBalanceToNthPlace = systemParams.Get(SimplexMultiFundsParams.TruncateBalanceToNthPlace).As <int>();
_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 SimplexFundsData(_fundsNames.Length);
SimplexFundsDataCalculator.Initialize(_fundsData, _fundsNames, dataProvider);
}