Add BetaCalc36 to MGMomentum

MarketData/MarketData/ModelHelper/MGMomentumHelper.cs

@@ -54,6 +54,11 @@ namespace MarketData.ModelHelper
         mgParams.UseStochastics=commandArgs.Coalesce<bool>("USESTOCHASTICS",true);
       }
 
+      if(commandArgs.Has("USECALCBETA")) 
+      {
+        mgParams.UseCalcBeta=commandArgs.Coalesce<bool>("USECALCBETA",true);
+      }
+
 // ** M A C D 
       if(commandArgs.Has("USEMACD"))
       {

MarketData/MarketData/Models/runbacktest.sh

@@ -1,9 +1,7 @@
 #!/bin/bash
-
-# RUN THE BASLINE AND THEN SUBSTITUTE BETACALC36 FOR BETA IN THE MG MODEL AND RERUN THE TEST AND THEN COMPARE THE RESULTS
-
 export DOTNET_ROOT=/opt/dotnet
 RUNDATE="$1"
-#PATHMODEL="/home/pi/ARM64/MarketData/MarketData/Models/MGBACKTEST_BETA.TXT"
+PATHMODELBETA="/home/pi/ARM64/MarketData/MarketData/Models/MGBACKTEST_BETA.TXT"
-PATHMODEL="/home/pi/ARM64/MarketData/MarketData/Models/MGBACKTEST_BETA_CALC36.TXT"
+/home/pi/ARM64/MarketData/MarketData/bin/Debug/net8.0/mk RUNBACKTEST /USECALCBETA:FALSE /STARTDATE:12/31/2018 /ENDDATE:04/30/2025 /INITIALCASH:10000 /MAXPOSITIONS:3 /HOLDINGPERIOD:3 /SESSIONFILE:$PATHMODELBETA /QUALITYINDICATORTYPE:SCOREINDICATOR
-/home/pi/ARM64/MarketData/MarketData/bin/Debug/net8.0/mk RUNBACKTEST /USELOWSLOPEBETACHECK:FALSE /STARTDATE:12/31/2018 /ENDDATE:03/31/2025 /INITIALCASH:10000 /MAXPOSITIONS:3 /HOLDINGPERIOD:3 /SESSIONFILE:$PATHMODEL /QUALITYINDICATORTYPE:SCOREINDICATOR
+#PATHMODELCALCBETA="/home/pi/ARM64/MarketData/MarketData/Models/MGBACKTEST_BETA_CALC36.TXT"
+#/home/pi/ARM64/MarketData/MarketData/bin/Debug/net8.0/mk RUNBACKTEST /USECALCBETA:TRUE /STARTDATE:12/31/2018 /ENDDATE:04/30/2025 /INITIALCASH:10000 /MAXPOSITIONS:3 /HOLDINGPERIOD:3 /SESSIONFILE:$PATHMODELCALCBETA /QUALITYINDICATORTYPE:SCOREINDICATOR

MarketData/MarketDataLib/Generator/Momentum/MGConfiguration.cs

@@ -31,6 +31,7 @@ namespace MarketData.Generator.Momentum
     public bool UseLowSlopeBetaCheck{get;set;}        
     public int LowSlopeBetaDays{get;set;}          
     public double LowSlopeBetaThreshhold{get;set;} 
+    public bool UseCalcBeta{get;set;}     // if this is set then use the betaCalc36 values from the beta generator that have been added to fundamentals, otherwise use the Beta from fundamentals (Yahoo/FinViz)
 
 // MACD Settings : If MACD is being used then the process configures the MACD as per setup and eliminates candidates with a weak sell/strong sell signal in the signal days setting.
     public bool UseMACD{get;set;}
@@ -84,6 +85,7 @@ namespace MarketData.Generator.Momentum
       UseLowSlopeBetaCheck=true;                         // true is the default.  this yields the most optimal performance in backtests
       LowSlopeBetaDays=15;                               // 15 is the default. This yields the most optimal performance in backtests
       LowSlopeBetaThreshhold=1.00;                       // (1.00) is the default This yields the most optimal performance in backtests
+      UseCalcBeta=true;                                 // This is set to false by default
       UseMACD=true;                                      // true is the default
       MACDSetup="(12,26,9)";                             // (12,26,9) 
       MACDSignalDays=12;                                 // 12 is the default
@@ -125,6 +127,7 @@ namespace MarketData.Generator.Momentum
       nvpCollection.Add(new NVP("UseLowSlopeBetaCheck",UseLowSlopeBetaCheck.ToString()));
       nvpCollection.Add(new NVP("LowSlopeBetaDays",LowSlopeBetaDays.ToString()));
       nvpCollection.Add(new NVP("LowSlopeBetaThreshhold",LowSlopeBetaThreshhold.ToString()));
+      nvpCollection.Add(new NVP("UseCalcBeta",UseCalcBeta.ToString()));
       nvpCollection.Add(new NVP("UseMACD",UseMACD.ToString()));
       nvpCollection.Add(new NVP("MACDSetup",MACDSetup.ToString()));
       nvpCollection.Add(new NVP("MACDSignalDays",MACDSignalDays.ToString()));
@@ -166,6 +169,7 @@ namespace MarketData.Generator.Momentum
       mgConfiguration.UseLowSlopeBetaCheck=nvpDictionary["UseLowSlopeBetaCheck"].Get<Boolean>();
       mgConfiguration.LowSlopeBetaDays=nvpDictionary["LowSlopeBetaDays"].Get<int>();
       mgConfiguration.LowSlopeBetaThreshhold=nvpDictionary["LowSlopeBetaThreshhold"].Get<double>();
+      if(nvpDictionary.ContainsKey("UseCalcBeta"))mgConfiguration.UseCalcBeta=nvpDictionary["UseCalcBeta"].Get<bool>();
       mgConfiguration.UseMACD=nvpDictionary["UseMACD"].Get<Boolean>();
       mgConfiguration.MACDSetup=nvpDictionary["MACDSetup"].Get<String>();
       mgConfiguration.MACDSignalDays=nvpDictionary["MACDSignalDays"].Get<int>();
@@ -207,6 +211,7 @@ namespace MarketData.Generator.Momentum
       MDTrace.WriteLine(LogLevel.DEBUG,String.Format("UseLowSlopeBetaCheck,{0}",UseLowSlopeBetaCheck));
       MDTrace.WriteLine(LogLevel.DEBUG,String.Format("LowSlopeBetaDays,{0}",LowSlopeBetaDays));
       MDTrace.WriteLine(LogLevel.DEBUG,String.Format("LowSlopeBetaThreshhold,{0}",LowSlopeBetaThreshhold));
+      MDTrace.WriteLine(LogLevel.DEBUG,String.Format("UseCalcBeta,{0}",UseCalcBeta));
 
       MDTrace.WriteLine(LogLevel.DEBUG,String.Format("UseMACD,{0}",UseMACD));
       MDTrace.WriteLine(LogLevel.DEBUG,String.Format("MACDSetup,{0}",MACDSetup));

MarketData/MarketDataLib/Generator/Momentum/MomentumGenerator.cs

@@ -209,7 +209,8 @@ namespace MarketData.Generator.Momentum
 // The idea behind this check is that a high beta stock will track to the benchmark.  So if the benchmark lows are forming a downward pattern then we
 // assume that this is a somewhat bearish condition.  The config has the setting at a 15 day check and the threshold beta set to 1.00
 // The BetaCalc36 is calculated as part of the monthly fundamental run.
-        double beta = fundamental.BetaCalc36;  
+        double beta = fundamental.Beta;
+        if(config.UseCalcBeta)beta=fundamental.BetaCalc36;
         if(config.UseLowSlopeBetaCheck && beta >= config.LowSlopeBetaThreshhold)
         {
           Prices benchmarkPrices=GBPriceCache.GetInstance().GetPrices(config.Benchmark,tradeDate,config.LowSlopeBetaDays);