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Momnentum Generator using precalculated BetaCalc36

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Sean
2025-05-08 09:11:16 -04:00
parent 8892f26b65
commit 8190fbe262
2 changed files with 19 additions and 8 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

18
MarketData/MarketDataLib/Generator/Momentum/MomentumGenerator.cs
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@@ -74,27 +74,27 @@ namespace MarketData.Generator.Momentum
Profiler profiler = new Profiler();
Dictionary<String,DateTime> latestDates = PricingDA.GetLatestDates(symbols);
symbols=symbols.Where(x => latestDates.ContainsKey(x) && latestDates[x].Date>=tradeDate.Date).ToList();
MDTrace.WriteLine(LogLevel.DEBUG,$"Loaded Pricing Dates in {Utility.FormatNumber(profiler.End(),2)} (ms)");
MDTrace.WriteLine(LogLevel.DEBUG,$"Loaded Pricing Dates in {Utility.FormatNumber(profiler.End(),0,true)} (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,$"Loaded Fundamentals in {Utility.FormatNumber(profiler.End(),2)} (ms)");
MDTrace.WriteLine(LogLevel.DEBUG,$"Loaded Fundamentals in {Utility.FormatNumber(profiler.End(),0,true)} (ms)");
// Prefetch the Company Profiles
profiler.Reset();
Dictionary<String,CompanyProfile> companyProfiles = CompanyProfileDA.GetCompanyProfiles(symbols);
MDTrace.WriteLine(LogLevel.DEBUG,$"Loaded Company Profiles in {Utility.FormatNumber(profiler.End(),2)} (ms)");
MDTrace.WriteLine(LogLevel.DEBUG,$"Loaded Company Profiles in {Utility.FormatNumber(profiler.End(),0,true)} (ms)");
// Prefetch the Analyst Ratings
profiler.Reset();
Dictionary<String,AnalystRatings> analystRatingsDictionary = AnalystRatingsDA.GetAnalystRatingsDowngradesMaxDateNoZacks(symbols, tradeDate);
MDTrace.WriteLine(LogLevel.DEBUG,$"Loaded Analyst Ratings in {Utility.FormatNumber(profiler.End(),2)} (ms)");
MDTrace.WriteLine(LogLevel.DEBUG,$"Loaded Analyst Ratings in {Utility.FormatNumber(profiler.End(),0,true)} (ms)");
// Prefetch Zacks Ranks
profiler.Reset();
Dictionary<String,ZacksRank> zacksRanksDictionary = ZacksRankDA.GetZacksRankOnOrBefore(symbols, tradeDate);
MDTrace.WriteLine(LogLevel.DEBUG,$"Loaded Zacks Ranks in {Utility.FormatNumber(profiler.End(),2)} (ms)");
MDTrace.WriteLine(LogLevel.DEBUG,$"Loaded Zacks Ranks in {Utility.FormatNumber(profiler.End(),0,true)} (ms)");
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Generate momentum.. examining candidates"));
// Go through the universe of stocks
@@ -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;