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Merge remote-tracking branch 'origin/MKDT_0009'

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Sean
2025-05-08 09:11:54 -04:00
parent 1c44770d3e 8190fbe262
commit 45f756e131
2 changed files with 14 additions and 3 deletions
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9
MarketData/MarketData/Models/runbacktest.sh Executable file
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@@ -0,0 +1,9 @@
#!/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="$1"
#PATHMODEL="/home/pi/ARM64/MarketData/MarketData/Models/MGBACKTEST_BETA.TXT"
PATHMODEL="/home/pi/ARM64/MarketData/MarketData/Models/MGBACKTEST_BETA_CALC36.TXT"
/home/pi/ARM64/MarketData/MarketData/bin/Debug/net8.0/mk RUNBACKTEST /USELOWSLOPEBETACHECK:FALSE /STARTDATE:12/31/2018 /ENDDATE:03/31/2025 /INITIALCASH:10000 /MAXPOSITIONS:3 /HOLDINGPERIOD:3 /SESSIONFILE:$PATHMODEL /QUALITYINDICATORTYPE:SCOREINDICATOR

8
MarketData/MarketDataLib/Generator/Momentum/MomentumGenerator.cs
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@@ -208,7 +208,9 @@ namespace MarketData.Generator.Momentum
// 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)
// The BetaCalc36 is calculated as part of the monthly fundamental run.
double beta = fundamental.BetaCalc36;
if(config.UseLowSlopeBetaCheck && beta >= config.LowSlopeBetaThreshhold)
{
Prices benchmarkPrices=GBPriceCache.GetInstance().GetPrices(config.Benchmark,tradeDate,config.LowSlopeBetaDays);
pricesArray=Numerics.ToDouble(benchmarkPrices.GetPricesLow());
@@ -324,7 +326,7 @@ namespace MarketData.Generator.Momentum
highPECandidate.MaxDrawdown=prices.MaxDrawdown();
highPECandidate.MaxUpside=prices.MaxUpside();
highPECandidate.PE=fundamental.PE;
highPECandidate.Beta=fundamental.Beta;
highPECandidate.Beta=beta;
highPECandidate.Velocity=velocity;
highPECandidate.Volume=price.Volume;
highPECandidate.Return1D=return1D;
@@ -344,7 +346,7 @@ namespace MarketData.Generator.Momentum
momentumCandidate.MaxDrawdown=prices.MaxDrawdown();
momentumCandidate.MaxUpside=prices.MaxUpside();
momentumCandidate.PE=fundamental.PE;
momentumCandidate.Beta=fundamental.Beta;
momentumCandidate.Beta=beta;
momentumCandidate.Velocity=velocity;
momentumCandidate.Volume=price.Volume;
momentumCandidate.Return1D=return1D;