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Code cleanup

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Sean
2025-04-25 17:55:06 -04:00
parent c71c9f6628
commit 9c5b04495d
2 changed files with 37 additions and 17 deletions
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24
MarketData/MarketDataLib/Generator/Momentum/Backtest.cs
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@@ -118,7 +118,6 @@ namespace MarketData.Generator.Momentum
double gainLossClosedPositions=0.00;
double exposure=0.00;
double marketValue=0.00;
// if(HolidayDA.IsMarketHoliday(currentDate)) continue;
ModelPerformanceItem performanceItem=new ModelPerformanceItem();
foreach(MarketData.Generator.Momentum.Position openPosition in openPositions)
{
@@ -190,7 +189,8 @@ namespace MarketData.Generator.Momentum
AllPositions.DisplayTopFive();
MDTrace.WriteLine(LogLevel.DEBUG, "************** T O P L O S S E R S *************");
AllPositions.DisplayBottomFive();
DisplayBalanceFromPositions();
// DisplayBalanceFromPositions();
DisplayLatestModelPerformance(paramPathSessionFileName);
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("StartDate:{0}",Utility.DateTimeToStringMMHDDHYYYY(StartDate)));
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("TradeDate:{0}",Utility.DateTimeToStringMMHDDHYYYY(TradeDate)));
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("AnalysisDate:{0}",Utility.DateTimeToStringMMHDDHYYYY(AnalysisDate)));
@@ -588,6 +588,26 @@ namespace MarketData.Generator.Momentum
// *********************************************************************************************************************************************************************
// ************************************************************ E N D B U Y P O S I T I O N S ***********************************************
// *********************************************************************************************************************************************************************
private void DisplayLatestModelPerformance(String pathSessionFileName)
{
ModelPerformanceSeries performanceSeries=GetModelPerformance(pathSessionFileName);
if(null==performanceSeries || 0==performanceSeries.Count)return;
MDTrace.WriteLine("Date,Exposure,MarketValue,GainLossDoD,GainLoss,CumulativeGainLoss,R,(1+R),CumProd,CumProd-1,ClosedPositions");
ModelPerformanceItem modelPerformanceItem = performanceSeries[performanceSeries.Count-1]; // get the last record
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("\"{0}\",\"{1}\",\"{2}\",\"{3}\",\"{4}\",\"{5}\",\"{6}\",\"{7}\",\"{8}\",\"{9}\",\"{10}\"",
modelPerformanceItem.Date.ToShortDateString(),
Utility.FormatCurrency(modelPerformanceItem.Exposure),
Utility.FormatCurrency(modelPerformanceItem.MarketValue),
Utility.FormatCurrency(modelPerformanceItem.GainLossDOD),
Utility.FormatCurrency(modelPerformanceItem.GainLoss),
Utility.FormatCurrency(modelPerformanceItem.CumulativeGainLoss),
Utility.FormatNumber(modelPerformanceItem.R,4),
Utility.FormatNumber(modelPerformanceItem.OnePlusR,4),
Utility.FormatNumber(modelPerformanceItem.CumProd,4),
Utility.FormatNumber(modelPerformanceItem.CumProdMinusOne,4),
modelPerformanceItem.ClosedPositions));
}
private void DisplayBalance()
{
MDTrace.WriteLine(LogLevel.DEBUG,"*******************************************");