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Optimizations for MGMomentum Backtest

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This commit is contained in:
Sean
2025-05-07 15:12:23 -04:00
parent 7f2b16cbb9
commit 40f4111d3b
3 changed files with 461 additions and 1 deletions
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67
MarketData/MarketDataLib/DataAccess/AnalystRatingsDA.cs
View File

@@ -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<String,AnalystRatings> GetAnalystRatingsDowngradesMaxDateNoZacks(List<String> symbols,DateTime maxDate)
{
MySqlConnection sqlConnection = null;
MySqlDataReader sqlDataReader = null;
MySqlCommand sqlCommand =null;
Dictionary<String,AnalystRatings> analystRatings = new Dictionary<String,AnalystRatings>();
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<String> 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

58
MarketData/MarketDataLib/DataAccess/ZacksRankDA.cs
View File

@@ -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<String,ZacksRank> GetZacksRankOnOrBefore(List<String> symbols, DateTime maxDate)
{
MySqlConnection sqlConnection = null;
MySqlDataReader sqlDataReader = null;
MySqlCommand sqlCommand=null;
String strQuery = null;
Dictionary<String,ZacksRank> zacksRanks = new Dictionary<String,ZacksRank>();
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)
{