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Merge remote-tracking branch 'origin/MKDT_0008'

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Sean
2025-05-07 15:12:55 -04:00
parent 0b1491fe14 40f4111d3b
commit 8892f26b65
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)
{

337
MarketData/MarketDataLib/Generator/Momentum/MomentumGenerator.cs
View File

@@ -56,6 +56,342 @@ namespace MarketData.Generator.Momentum
}
return momentumCandidates;
}
// This interface is called by the Backtest
public static MomentumCandidates GenerateMomentum(DateTime tradeDate,List<String> symbolsHeld,MGConfiguration config)
{
DateGenerator dateGenerator=new DateGenerator();
List<String> symbols=PricingDA.GetSymbols();
MomentumCandidates momentumCandidates=new MomentumCandidates();
MomentumCandidates highPECandidates=new MomentumCandidates();
DateTime startDateOfReturns=dateGenerator.GetPrevMonthEnd(tradeDate,2);
List<String> noTradeSymbols=Utility.ToList(config.NoTradeSymbols);
List<String> noTradeFinancialSymbols=Utility.ToList(config.NoTradeFinancialSymbols);
CandidateViolations candidateViolations = new CandidateViolations();
MDTrace.WriteLine(LogLevel.DEBUG,$"Fetching data...");
// Filter out symbols where we do not have a price on trade date
Profiler profiler = new Profiler();
Dictionary<String,DateTime> latestDates = PricingDA.GetLatestDates(symbols);
symbols=symbols.Where(x => latestDates.ContainsKey(x) && latestDates[x].Date>=tradeDate.Date).ToList();
MDTrace.WriteLine(LogLevel.DEBUG,$"Loaded Pricing Dates in {Utility.FormatNumber(profiler.End(),2)} (ms)");
// 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,$"Loaded Fundamentals in {Utility.FormatNumber(profiler.End(),2)} (ms)");
// Prefetch the Company Profiles
profiler.Reset();
Dictionary<String,CompanyProfile> companyProfiles = CompanyProfileDA.GetCompanyProfiles(symbols);
MDTrace.WriteLine(LogLevel.DEBUG,$"Loaded Company Profiles in {Utility.FormatNumber(profiler.End(),2)} (ms)");
// Prefetch the Analyst Ratings
profiler.Reset();
Dictionary<String,AnalystRatings> analystRatingsDictionary = AnalystRatingsDA.GetAnalystRatingsDowngradesMaxDateNoZacks(symbols, tradeDate);
MDTrace.WriteLine(LogLevel.DEBUG,$"Loaded Analyst Ratings in {Utility.FormatNumber(profiler.End(),2)} (ms)");
// Prefetch Zacks Ranks
profiler.Reset();
Dictionary<String,ZacksRank> zacksRanksDictionary = ZacksRankDA.GetZacksRankOnOrBefore(symbols, tradeDate);
MDTrace.WriteLine(LogLevel.DEBUG,$"Loaded Zacks Ranks in {Utility.FormatNumber(profiler.End(),2)} (ms)");
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Generate momentum.. examining candidates"));
// Go through the universe of stocks
for(int index=0;index<symbols.Count;index++)
{
String symbol=symbols[index];
if(0==(index%500))Console.WriteLine("Processing item {0} of {1}",index+1,symbols.Count);
// Check if the symbol is held in any open positions
if(symbolsHeld.Any(x=>x.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<minRatingDate);
AnalystRating rating=null;
if(null!=analystRatings)rating=analystRatings.FirstOrDefault();
if(null!=rating)
{
candidateViolations.Add(new CandidateViolation(symbol,"AnalystRating Downgrade violation within set period."));
continue;
}
}
// The cumulative returns for the ranking skip to the previous month to eliminate short term reversal anomaly (Wesley Gray : Quantum Momentum)
prices=GBPriceCache.GetInstance().GetPrices(symbol,startDateOfReturns,(int)MomentumGeneratorConstants.DayCount);
if(null==prices||(int)MomentumGeneratorConstants.DayCount!=prices.Count)
{
candidateViolations.Add(new CandidateViolation(symbol,"Insufficient pricing, cannot determine rank."));
continue;
}
// check for outliers in the return stream
float[] returns = default;
returns=prices.GetReturns();
if((from float value in returns where Math.Abs(value)>.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<Tuple<string, int>> groups = candidateViolations.GroupBy(x => x.ReasonCategory).OrderByDescending(group => group.Count()).Select(group => Tuple.Create(group.Key, group.Count()));
foreach(Tuple<string, int> 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.Count<config.MaxPositions && highPECandidates.Count>0)
{
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<String> 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;
}
*/
}
}