diff --git a/MarketData/MarketDataLib/DataAccess/AnalystRatingsDA.cs b/MarketData/MarketDataLib/DataAccess/AnalystRatingsDA.cs index 2a34d5c..82e34c3 100755 --- a/MarketData/MarketDataLib/DataAccess/AnalystRatingsDA.cs +++ b/MarketData/MarketDataLib/DataAccess/AnalystRatingsDA.cs @@ -11,6 +11,7 @@ namespace MarketData.DataAccess private AnalystRatingsDA() { } + public static AnalystRatings GetAnalystRatings() { MySqlConnection sqlConnection = null; @@ -62,6 +63,7 @@ namespace MarketData.DataAccess if (null != sqlConnection) sqlConnection.Close(); } } + public static AnalystRatings GetAnalystRatings(String symbol, DateTime minDate,DateTime maxDate) { MySqlConnection sqlConnection = null; @@ -118,6 +120,7 @@ namespace MarketData.DataAccess if (null != sqlConnection) sqlConnection.Close(); } } + public static DateTime GetMaxDateNoZacks() { MySqlConnection sqlConnection = null; @@ -149,6 +152,7 @@ namespace MarketData.DataAccess if (null != sqlConnection) sqlConnection.Close(); } } + public static AnalystRatings GetAnalystRatingsMaxDateNoZacks(String symbol,DateTime maxDate) { MySqlConnection sqlConnection = null; @@ -196,6 +200,61 @@ namespace MarketData.DataAccess if (null != sqlConnection) sqlConnection.Close(); } } + + public static Dictionary GetAnalystRatingsDowngradesMaxDateNoZacks(List symbols,DateTime maxDate) + { + MySqlConnection sqlConnection = null; + MySqlDataReader sqlDataReader = null; + MySqlCommand sqlCommand =null; + Dictionary analystRatings = new Dictionary(); + String strQuery = null; + + try + { + StringBuilder sb = new StringBuilder(); + sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data")); + sb.Append("SELECT B.date, B.symbol,B.company, B.brokerage_firm, B.type, B.ratings_change, B.price_target from "); + sb.Append("(SELECT date, symbol, upper(company) AS company, brokerage_firm, TYPE, ratings_change, price_target, ROW_NUMBER() OVER ("); + sb.Append(" PARTITION BY symbol ORDER BY DATE DESC) AS rownum from analystratings "); + sb.Append("WHERE symbol IN ").Append(SqlUtils.CreateInClause(symbols)).Append(" AND date<=").Append(SqlUtils.ToSqlDate(maxDate,true)); + sb.Append(" AND type='Downgrades')B"); + sb.Append(" WHERE B.rownum<=1"); + + strQuery = sb.ToString(); ; + sqlCommand = new MySqlCommand(strQuery, sqlConnection); + sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT; + sqlDataReader = sqlCommand.ExecuteReader(); + while (sqlDataReader.Read()) + { + AnalystRating analystRating = new AnalystRating(); + analystRating.Date = sqlDataReader.GetDateTime(0); + analystRating.Symbol = sqlDataReader.GetString(1); + analystRating.CompanyName = sqlDataReader.GetString(2); + analystRating.BrokerageFirm = sqlDataReader.GetString(3); + analystRating.Type = sqlDataReader.GetString(4); + analystRating.RatingsChange = sqlDataReader.GetString(5); + if (!sqlDataReader.IsDBNull(6)) analystRating.PriceTarget = sqlDataReader.GetDouble(6); + if(!analystRatings.ContainsKey(analystRating.Symbol)) + { + analystRatings.Add(analystRating.Symbol,new AnalystRatings()); + } + analystRatings[analystRating.Symbol].Add(analystRating); + } + return analystRatings; + } + catch (Exception exception) + { + MDTrace.WriteLine(LogLevel.DEBUG,exception); + return null; + } + finally + { + if(null!=sqlCommand)sqlCommand.Dispose(); + if (null != sqlDataReader) {sqlDataReader.Close();sqlDataReader.Dispose();} + if (null != sqlConnection) sqlConnection.Close(); + } + } + public static AnalystRatings GetAnalystRatingsMaxDate(String symbol,DateTime maxDate) { MySqlConnection sqlConnection = null; @@ -251,6 +310,7 @@ namespace MarketData.DataAccess if (null != sqlConnection) sqlConnection.Close(); } } + public static AnalystRatings GetAnalystRatings(String symbol, DateTime date) { MySqlConnection sqlConnection = null; @@ -306,6 +366,7 @@ namespace MarketData.DataAccess if (null != sqlConnection) sqlConnection.Close(); } } + public static AnalystRatings GetAnalystRatings(DateTime date) { MySqlConnection sqlConnection = null; @@ -359,6 +420,7 @@ namespace MarketData.DataAccess if (null != sqlConnection) sqlConnection.Close(); } } + public static AnalystRatings GetAnalystRatings(String symbol) { MySqlConnection sqlConnection = null; @@ -413,7 +475,7 @@ namespace MarketData.DataAccess if (null != sqlConnection) sqlConnection.Close(); } } -// **************************************************************************************************************************************************** + public static List GetAnalystRatingsDates() { MySqlConnection sqlConnection = null; @@ -450,6 +512,7 @@ namespace MarketData.DataAccess if (null != sqlConnection) sqlConnection.Close(); } } + public static bool InsertAnalystRatings(AnalystRatings analystRatings) { MySqlConnection sqlConnection = null; @@ -499,6 +562,7 @@ namespace MarketData.DataAccess if (null != sqlConnection) sqlConnection.Close(); } } + public static bool ContainsAnalystRating(AnalystRating analystRating) { MySqlConnection sqlConnection = null; @@ -535,6 +599,7 @@ namespace MarketData.DataAccess if (null != sqlConnection) sqlConnection.Close(); } } + private static bool DeleteAnalystRatings(AnalystRatings analystRatings, MySqlConnection sqlConnection, MySqlTransaction sqlTransaction) { try diff --git a/MarketData/MarketDataLib/DataAccess/ZacksRankDA.cs b/MarketData/MarketDataLib/DataAccess/ZacksRankDA.cs index e22ab3e..0e87f3b 100755 --- a/MarketData/MarketDataLib/DataAccess/ZacksRankDA.cs +++ b/MarketData/MarketDataLib/DataAccess/ZacksRankDA.cs @@ -4,6 +4,7 @@ using System.Text; using MySql.Data.MySqlClient; using MarketData.MarketDataModel; using MarketData.Utils; +using System.Xml; namespace MarketData.DataAccess { @@ -12,6 +13,58 @@ namespace MarketData.DataAccess private ZacksRankDA() { } + +// Get the latest rank for symbol that falls on or before the specified date + public static Dictionary GetZacksRankOnOrBefore(List symbols, DateTime maxDate) + { + MySqlConnection sqlConnection = null; + MySqlDataReader sqlDataReader = null; + MySqlCommand sqlCommand=null; + String strQuery = null; + Dictionary zacksRanks = new Dictionary(); + + try + { + + StringBuilder sb = new StringBuilder(); + sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data")); + sb.Append("SELECT B.symbol, B.zacks_rank, B.date, B.type "); + sb.Append("FROM (SELECT symbol,zacks_rank,date,type , ROW_NUMBER() OVER "); + sb.Append("(PARTITION BY symbol ORDER BY date desc) AS rownum "); + sb.Append("FROM zacksrank WHERE symbol IN ").Append(SqlUtils.CreateInClause(symbols)).Append(" and DATE<=").Append(SqlUtils.ToSqlDate(maxDate,true)).Append(")B "); + sb.Append("WHERE B.rownum<=1"); + strQuery = sb.ToString(); ; + sqlCommand = new MySqlCommand(strQuery, sqlConnection); + sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT; + sqlDataReader = sqlCommand.ExecuteReader(); + + while(sqlDataReader.Read()) + { + ZacksRank zacksRank=new ZacksRank(); + zacksRank.Symbol=sqlDataReader.GetString(0); + zacksRank.Rank=sqlDataReader.GetString(1); + zacksRank.Date=sqlDataReader.GetDateTime(2); + if(!sqlDataReader.IsDBNull(3))zacksRank.Type=sqlDataReader.GetString(3); + if(!zacksRanks.ContainsKey(zacksRank.Symbol)) + { + zacksRanks.Add(zacksRank.Symbol, zacksRank); + } + } + return zacksRanks; + } + catch (Exception exception) + { + MDTrace.WriteLine(LogLevel.DEBUG,exception); + return null; + } + finally + { + if(null!=sqlCommand)sqlCommand.Dispose(); + if (null != sqlDataReader) {sqlDataReader.Close();sqlDataReader.Dispose();} + if (null != sqlConnection) sqlConnection.Close(); + } + } + // Get the latest rank for symbol that falls on or before the specified date public static ZacksRank GetZacksRankOnOrBefore(String symbol, DateTime date) { @@ -54,6 +107,7 @@ namespace MarketData.DataAccess if (null != sqlConnection) sqlConnection.Close(); } } + // Get the most recent rank date on or before the given date for specified symbol private static DateTime? GetMaxDateOnOrBefore(String symbol, DateTime date) { @@ -92,6 +146,7 @@ namespace MarketData.DataAccess if (null != sqlConnection) sqlConnection.Close(); } } + // Get the latest rank for symbol public static ZacksRank GetZacksRank(String symbol) { @@ -131,6 +186,7 @@ namespace MarketData.DataAccess if (null != sqlConnection) sqlConnection.Close(); } } + // Insert a rank if the latest rank that we have is different from the one to be added or we do not have a rank public static bool InsertZacksRank(ZacksRank zacksRank) { @@ -179,6 +235,7 @@ namespace MarketData.DataAccess if (null != sqlConnection) sqlConnection.Close(); } } + private static String GetChangeType(ZacksRank latestRank,ZacksRank newRank) { if(null==latestRank)return "Initial"; @@ -190,6 +247,7 @@ namespace MarketData.DataAccess return "NoChange"; } + // Delete a ranking on symbol and date private static bool DeleteZacksRank(ZacksRank zacksRank,MySqlConnection sqlConnection,MySqlTransaction sqlTransaction) { diff --git a/MarketData/MarketDataLib/Generator/Momentum/MomentumGenerator.cs b/MarketData/MarketDataLib/Generator/Momentum/MomentumGenerator.cs index 339783e..71b5e4d 100755 --- a/MarketData/MarketDataLib/Generator/Momentum/MomentumGenerator.cs +++ b/MarketData/MarketDataLib/Generator/Momentum/MomentumGenerator.cs @@ -56,6 +56,342 @@ namespace MarketData.Generator.Momentum } return momentumCandidates; } + +// This interface is called by the Backtest + public static MomentumCandidates GenerateMomentum(DateTime tradeDate,List symbolsHeld,MGConfiguration config) + { + DateGenerator dateGenerator=new DateGenerator(); + List symbols=PricingDA.GetSymbols(); + MomentumCandidates momentumCandidates=new MomentumCandidates(); + MomentumCandidates highPECandidates=new MomentumCandidates(); + DateTime startDateOfReturns=dateGenerator.GetPrevMonthEnd(tradeDate,2); + List noTradeSymbols=Utility.ToList(config.NoTradeSymbols); + List noTradeFinancialSymbols=Utility.ToList(config.NoTradeFinancialSymbols); + CandidateViolations candidateViolations = new CandidateViolations(); + + MDTrace.WriteLine(LogLevel.DEBUG,$"Fetching data..."); +// Filter out symbols where we do not have a price on trade date + Profiler profiler = new Profiler(); + Dictionary latestDates = PricingDA.GetLatestDates(symbols); + symbols=symbols.Where(x => latestDates.ContainsKey(x) && latestDates[x].Date>=tradeDate.Date).ToList(); + MDTrace.WriteLine(LogLevel.DEBUG,$"Loaded Pricing Dates in {Utility.FormatNumber(profiler.End(),2)} (ms)"); + +// Prefetch a subset of fundamentals where each fundamental.asof is no greater than tradeDate + profiler.Reset(); + FundamentalsV2 fundamentals = FundamentalDA.GetFundamentalsMaxDateV2(tradeDate); + MDTrace.WriteLine(LogLevel.DEBUG,$"Loaded Fundamentals in {Utility.FormatNumber(profiler.End(),2)} (ms)"); + +// Prefetch the Company Profiles + profiler.Reset(); + Dictionary companyProfiles = CompanyProfileDA.GetCompanyProfiles(symbols); + MDTrace.WriteLine(LogLevel.DEBUG,$"Loaded Company Profiles in {Utility.FormatNumber(profiler.End(),2)} (ms)"); + +// Prefetch the Analyst Ratings + profiler.Reset(); + Dictionary analystRatingsDictionary = AnalystRatingsDA.GetAnalystRatingsDowngradesMaxDateNoZacks(symbols, tradeDate); + MDTrace.WriteLine(LogLevel.DEBUG,$"Loaded Analyst Ratings in {Utility.FormatNumber(profiler.End(),2)} (ms)"); + +// Prefetch Zacks Ranks + profiler.Reset(); + Dictionary zacksRanksDictionary = ZacksRankDA.GetZacksRankOnOrBefore(symbols, tradeDate); + MDTrace.WriteLine(LogLevel.DEBUG,$"Loaded Zacks Ranks in {Utility.FormatNumber(profiler.End(),2)} (ms)"); + + MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Generate momentum.. examining candidates")); +// Go through the universe of stocks + for(int index=0;indexx.Equals(symbol, StringComparison.CurrentCultureIgnoreCase))) + { + candidateViolations.Add(new CandidateViolation(symbol,"Candidate already held.")); + continue; + } + +// Check if the symbol is in the no trade list (i.e.) Bitcoin etc., + if(noTradeSymbols.Any(x=>x.Equals(symbol, StringComparison.CurrentCultureIgnoreCase))) + { + candidateViolations.Add(new CandidateViolation(symbol,"Candidate in NoTradeSymbol.")); + continue; + } + +// Check MarketCap, EBITDA, PE, and Revenue Per Share + FundamentalV2 fundamental = default; + if(fundamentals.ContainsKey(symbol))fundamental = fundamentals[symbol]; + if(null==fundamental) + { + candidateViolations.Add(new CandidateViolation(symbol,"Candidate no fundamental.")); + continue; + } + + if(!(fundamental.MarketCap>=config.MarketCapLowerLimit)) + { + candidateViolations.Add(new CandidateViolation(symbol,"Candidate MarketCapLimit.")); + continue; + } + + if(config.UseEBITDAScreen && (double.IsNaN(fundamental.EBITDA)||fundamental.EBITDA<=0)) + { + candidateViolations.Add(new CandidateViolation(symbol,"Candidate EBITDA violation.")); + continue; + } + + if(config.UseRevenuePerShareScreen && (double.IsNaN(fundamental.RevenuePerShare)||fundamental.RevenuePerShare<0.00)) + { + candidateViolations.Add(new CandidateViolation(symbol,"Candidate RevenuePerShare violation.")); + continue; + } + +// Initial PE screening. This screen checks for existance of PE and if it is availabe it must be >0.00 . There is another PE based on limits further below + if(config.UsePEScreen && (double.IsNaN(fundamental.PE)||fundamental.PE<=0.00)) + { + candidateViolations.Add(new CandidateViolation(symbol,"Candidate PE violation.")); + continue; + } + +// Exclude any company in the "Financial" sector + CompanyProfile companyProfile = default; + if(companyProfiles.ContainsKey(symbol))companyProfile = companyProfiles[symbol]; + if(null!=companyProfile&&null!=companyProfile.Sector&&noTradeFinancialSymbols.Any(x=>x.Equals(companyProfile.Sector))) + { + candidateViolations.Add(new CandidateViolation(symbol,"Candidate Financial Sector violation.")); + continue; + } + +// Retrieve prices + Prices prices=null; + prices=GBPriceCache.GetInstance().GetPrices(symbol,tradeDate,(int)MomentumGeneratorConstants.DayCount+20); + if(null==prices || prices.Count!=(int)MomentumGeneratorConstants.DayCount+20) + { + candidateViolations.Add(new CandidateViolation(symbol,"Candidate missing price history.")); + continue; + } + +// Fetch single day price + Price price=prices[0]; // GBPriceCache.GetInstance().GetPrice(symbol,tradeDate); + if(null==price) + { + candidateViolations.Add(new CandidateViolation(symbol,"Candidate missing price on trade date.")); + continue; + } +// Filter penny stocks - don't trade anything less than $1.00 + if(price.Close<1.00||price.Open<1.00) + { + candidateViolations.Add(new CandidateViolation(symbol,"Candidate penny stock violation.")); + continue; + } + +// calculate the one day return + double return1D=prices.GetReturn1D(); + +// Liquidity check - if any day has volume < 10,000 then we reject it + if(((from Price xPrice in prices where xPrice.Volume<10000 select xPrice).Count())>1) + { + candidateViolations.Add(new CandidateViolation(symbol,"Liquidity violation.")); + continue; + } + +// Calculate velocity as a percentage range of the open price within the 252+20 day range of prices - This is used for display purposes + double velocity; + Prices velocityPrices=GBPriceCache.GetInstance().GetPrices(symbol,tradeDate,(int)MomentumGenerator.MomentumGeneratorConstants.DayCount+20); + double priceHigh=(from Price selectPrice in velocityPrices select selectPrice.Open).Max(); + double priceLow=(from Price selectPrice in velocityPrices select selectPrice.Open).Min(); + if(0.00==priceHigh-priceLow)velocity=0.00; + else velocity=((price.Open-priceLow)*(100/(priceHigh-priceLow)))/100.00; + +// Price slopes - These are used for display purposes + double[] pricesArray=null; + LeastSquaresResult leastSquaresResult; + +// Get the benchmark pricing low pricing data and check the slope of previous lows; only if Beta of candidate is >= LowSlopeBetaThreshhold +// 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 + if(config.UseLowSlopeBetaCheck && fundamental.Beta>=config.LowSlopeBetaThreshhold) + { + Prices benchmarkPrices=GBPriceCache.GetInstance().GetPrices(config.Benchmark,tradeDate,config.LowSlopeBetaDays); + pricesArray=Numerics.ToDouble(benchmarkPrices.GetPricesLow()); + leastSquaresResult=Numerics.LeastSquares(pricesArray); + double slopeBmk=leastSquaresResult.Slope; + if(slopeBmk<0) + { + candidateViolations.Add(new CandidateViolation(symbol,"Beta threshhold violation.")); + continue; + } + } + +// *** MACDSignal detection + if(config.UseMACD) + { + MACDSetup macdSetup=new MACDSetup(config.MACDSetup); + MACDSignals macdSignals=MACDGenerator.GenerateMACD(prices,macdSetup); + Signals signalsMACD = SignalGenerator.GenerateSignals(macdSignals); + signalsMACD=new Signals(signalsMACD.Take(config.MACDSignalDays).ToList()); + int weakSellSignals=(from Signal signal in signalsMACD where signal.IsWeakSell() select signal).Count(); + int strongSellSignals=(from Signal signal in signalsMACD where signal.IsStrongSell() select signal).Count(); + if(config.MACDRejectWeakSellSignals && weakSellSignals>0) + { + candidateViolations.Add(new CandidateViolation(symbol,"MACD Reject Weak Sell violation.")); + continue; + } + if(config.MACDRejectStrongSellSignals && strongSellSignals>0) + { + candidateViolations.Add(new CandidateViolation(symbol,"MACD Reject Strong Sell violation.")); + continue; + } + } + +// *** Stochastics oscillator + if(config.UseStochastics) + { + Stochastics stochastics=StochasticsGenerator.GenerateStochastics(prices); + Signals signalsStochastics=new Signals(SignalGenerator.GenerateSignals(stochastics).OrderByDescending(x => x.SignalDate).ToList()); + signalsStochastics=new Signals(signalsStochastics.Take(config.StochasticsSignalDays).ToList()); + int weakSellCount=(from Signal signal in signalsStochastics where signal.IsWeakSell() select signal).Count(); + int strongSellCount=(from Signal signal in signalsStochastics where signal.IsStrongSell() select signal).Count(); + if(config.StochasticsRejectStrongSells&&strongSellCount>0) + { + candidateViolations.Add(new CandidateViolation(symbol,"Stochastics Oscillator Reject Strong Sell violation.")); + continue; + } + if(config.StochasticsRejectWeakSells&&weakSellCount>0) + { + candidateViolations.Add(new CandidateViolation(symbol,"Stochastics Oscillator Reject Weak Sell violation.")); + continue; + } + } + +// Analyst Ratings - "Downgrades" that are more than a year old (252 days) are not considered. Mean reversion.... bad companies improve, good companies decline. + DateTime minRatingDate=dateGenerator.GenerateHistoricalDate(startDateOfReturns,(int)MomentumGeneratorConstants.DayCount); + AnalystRatings analystRatings= default; + if(analystRatingsDictionary.ContainsKey(symbol))analystRatings=analystRatingsDictionary[symbol]; + if(default!=analystRatings) + { + analystRatings.RemoveAll(x => x.Date.50 select value).Count()>0) + { + candidateViolations.Add(new CandidateViolation(symbol,"Candidate pricing contains outliers in the returns.")); + continue; + } +// Cumulative return + double cumulativeReturn=prices.GetCumulativeReturn(); + if(cumulativeReturn<.10) + { + candidateViolations.Add(new CandidateViolation(symbol,"Candidate cumulative returns below threshhold.")); + continue; + } + +// Zacks Rank. This is for informational purposes for now but may further it's use in the future. + ZacksRank zacksRank = default; + if(zacksRanksDictionary.ContainsKey(symbol)) + { + zacksRank = zacksRanksDictionary[symbol]; + } + +// Apply the PEScreening last because there an option to permit the inclusion of the high PE candidates if we have no other available candidates. +// The idea is to try to avoid high PE stocks as they are more likey to introduce drawdowns as backtests have shown. + if(config.UseMaxPEScreen && !double.IsNaN(fundamental.PE) && fundamental.PE>config.MaxPE) + { + candidateViolations.Add(new CandidateViolation(symbol,"PE violation.")); + MomentumCandidate highPECandidate=new MomentumCandidate(); + highPECandidate.AnalysisDate=tradeDate; + highPECandidate.Symbol=symbol; + highPECandidate.CumReturn252=prices.GetCumulativeReturn(); + highPECandidate.DayCount=(int)MomentumGeneratorConstants.DayCount; + highPECandidate.IDIndicator=IDIndicator.Calculate(prices); + highPECandidate.Score=ScoreIndicator.Calculate(prices); + highPECandidate.MaxDrawdown=prices.MaxDrawdown(); + highPECandidate.MaxUpside=prices.MaxUpside(); + highPECandidate.PE=fundamental.PE; + highPECandidate.Beta=fundamental.Beta; + highPECandidate.Velocity=velocity; + highPECandidate.Volume=price.Volume; + highPECandidate.Return1D=return1D; + if(null!=zacksRank)highPECandidate.ZacksRank=zacksRank.Rank; + highPECandidates.Add(highPECandidate); + continue; + } +// *********************************************************************** C A N D I D A T E A C C E P T A N C E ******************************************************* +// At this point whatever remains is taken so initialize the candidate and add to list + MomentumCandidate momentumCandidate=new MomentumCandidate(); + momentumCandidate.AnalysisDate=tradeDate; + momentumCandidate.Symbol=symbol; + momentumCandidate.CumReturn252=prices.GetCumulativeReturn(); + momentumCandidate.DayCount=(int)MomentumGeneratorConstants.DayCount; + momentumCandidate.IDIndicator=IDIndicator.Calculate(prices); + momentumCandidate.Score=ScoreIndicator.Calculate(prices); + momentumCandidate.MaxDrawdown=prices.MaxDrawdown(); + momentumCandidate.MaxUpside=prices.MaxUpside(); + momentumCandidate.PE=fundamental.PE; + momentumCandidate.Beta=fundamental.Beta; + momentumCandidate.Velocity=velocity; + momentumCandidate.Volume=price.Volume; + momentumCandidate.Return1D=return1D; + if(null!=zacksRank)momentumCandidate.ZacksRank=zacksRank.Rank; + momentumCandidates.Add(momentumCandidate); + + } // for all symbols + + if(0!=candidateViolations.Count) + { + MDTrace.WriteLine(LogLevel.DEBUG,"**************** C A N D I D A T E S U M M A R Y ************************"); + IEnumerable> groups = candidateViolations.GroupBy(x => x.ReasonCategory).OrderByDescending(group => group.Count()).Select(group => Tuple.Create(group.Key, group.Count())); + foreach(Tuple group in groups) + { + MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Group: {0} Count:{1}",group.Item1, group.Item2)); + } + } + MDTrace.WriteLine(LogLevel.DEBUG,String.Format($"Total Considered : {momentumCandidates.Count+candidateViolations.Count}")); + MDTrace.WriteLine(LogLevel.DEBUG,String.Format($"Total Disqualified : {candidateViolations.Count}")); + MDTrace.WriteLine(LogLevel.DEBUG,String.Format($"Total Eligible : {momentumCandidates.Count}")); + MDTrace.WriteLine(LogLevel.DEBUG,"******************************************************************************************************"); + +// ********************************************************* E N D C A N D I D A T E S E L E C T I O N C R I T E R I A **************************************** +// If we wind up with less than the number of required candidates then check the StrictMaxPE +// flag and, if allowed, add the highPECandidate (that we've accumulated but skipped) to the momentumCandidates ordering them by the Lowest PE + if(!config.StrictMaxPE && momentumCandidates.Count0) + { + int takeCandidates=config.MaxPositions-momentumCandidates.Count; + highPECandidates=new MomentumCandidates(highPECandidates.OrderBy(x=>x.PE).Take(takeCandidates).ToList()); + momentumCandidates.AddRange(highPECandidates); + if(config.Verbose)MDTrace.WriteLine(LogLevel.DEBUG,String.Format("High PE Candidates,{0}",Utility.FromList((from MomentumCandidate momentumCandidate in highPECandidates select momentumCandidate.Symbol).ToList()))); + } + + QualityIndicator qualityIndicator=new QualityIndicator(config.QualityIndicatorType); + if(qualityIndicator.Quality.Equals(QualityIndicator.QualityType.IDIndicator)) + { + momentumCandidates=new MomentumCandidates((from MomentumCandidate momentumCandidate in momentumCandidates orderby momentumCandidate.IDIndicator ascending, momentumCandidate.CumReturn252 descending, momentumCandidate.Return1D descending, momentumCandidate.Volume descending select momentumCandidate).ToList()); + } + else + { + momentumCandidates=new MomentumCandidates((from MomentumCandidate momentumCandidate in momentumCandidates orderby momentumCandidate.Score descending,momentumCandidate.CumReturn252 descending,momentumCandidate.Return1D descending,momentumCandidate.Volume descending select momentumCandidate).ToList()); + } + MDTrace.WriteLine(LogLevel.DEBUG,String.Format("MomentumGenertor.GenerateMomentum:{0} candidates",momentumCandidates.Count())); + return momentumCandidates; + } + +/* // This interface is called by the Backtest public static MomentumCandidates GenerateMomentum(DateTime tradeDate,List symbolsHeld,MGConfiguration config) { @@ -352,5 +688,6 @@ namespace MarketData.Generator.Momentum MDTrace.WriteLine(LogLevel.DEBUG,String.Format("MomentumGenertor.GenerateMomentum:{0} candidates",momentumCandidates.Count())); return momentumCandidates; } +*/ } }