From c3729551a8f5f80ea4521069cbf910e13073c1ef Mon Sep 17 00:00:00 2001
From: Sean <skessler1964@gmail.com>
Date: Wed, 9 Apr 2025 23:02:30 -0400
Subject: [PATCH] Optimize CMTTrend model

---
 MarketData/MarketData.sln                     | 30 +++++++++++++++++++
 .../MarketDataLib/DataAccess/PricingDA.cs     |  1 -
 .../CMTrend/CMTCandidateGenerator.cs          | 11 +++++--
 .../Generator/CMTrend/CMTTrendGenerator.cs    |  5 +++-
 .../MarketDataLib/Generator/RSIGenerator.cs   |  7 +++++
 5 files changed, 49 insertions(+), 5 deletions(-)
 create mode 100644 MarketData/MarketData.sln

diff --git a/MarketData/MarketData.sln b/MarketData/MarketData.sln
new file mode 100644
index 0000000..1520c73
--- /dev/null
+++ b/MarketData/MarketData.sln
@@ -0,0 +1,30 @@
+Microsoft Visual Studio Solution File, Format Version 12.00
+# Visual Studio Version 17
+VisualStudioVersion = 17.5.2.0
+MinimumVisualStudioVersion = 10.0.40219.1
+Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "MarketDataLib", "MarketDataLib\MarketDataLib.csproj", "{40159117-A4E2-F689-5B94-20FB81B71B98}"
+EndProject
+Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "MarketData", "MarketData\MarketData.csproj", "{BB564CF9-7A6C-0F05-E71E-F77096A11D78}"
+EndProject
+Global
+	GlobalSection(SolutionConfigurationPlatforms) = preSolution
+		Debug|Any CPU = Debug|Any CPU
+		Release|Any CPU = Release|Any CPU
+	EndGlobalSection
+	GlobalSection(ProjectConfigurationPlatforms) = postSolution
+		{40159117-A4E2-F689-5B94-20FB81B71B98}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
+		{40159117-A4E2-F689-5B94-20FB81B71B98}.Debug|Any CPU.Build.0 = Debug|Any CPU
+		{40159117-A4E2-F689-5B94-20FB81B71B98}.Release|Any CPU.ActiveCfg = Release|Any CPU
+		{40159117-A4E2-F689-5B94-20FB81B71B98}.Release|Any CPU.Build.0 = Release|Any CPU
+		{BB564CF9-7A6C-0F05-E71E-F77096A11D78}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
+		{BB564CF9-7A6C-0F05-E71E-F77096A11D78}.Debug|Any CPU.Build.0 = Debug|Any CPU
+		{BB564CF9-7A6C-0F05-E71E-F77096A11D78}.Release|Any CPU.ActiveCfg = Release|Any CPU
+		{BB564CF9-7A6C-0F05-E71E-F77096A11D78}.Release|Any CPU.Build.0 = Release|Any CPU
+	EndGlobalSection
+	GlobalSection(SolutionProperties) = preSolution
+		HideSolutionNode = FALSE
+	EndGlobalSection
+	GlobalSection(ExtensibilityGlobals) = postSolution
+		SolutionGuid = {C6CD530F-2E33-4EE2-BF91-4BF561B4A11E}
+	EndGlobalSection
+EndGlobal
diff --git a/MarketData/MarketDataLib/DataAccess/PricingDA.cs b/MarketData/MarketDataLib/DataAccess/PricingDA.cs
index 9138cc5..7af18fe 100755
--- a/MarketData/MarketDataLib/DataAccess/PricingDA.cs
+++ b/MarketData/MarketDataLib/DataAccess/PricingDA.cs
@@ -285,7 +285,6 @@ namespace MarketData.DataAccess
         if(null!=sqlConnection) sqlConnection.Close();
       }
     }
-
     public static Dictionary<String,DateTime> GetLatestDates(List<String> symbols)
     {
       MySqlConnection sqlConnection = null;
diff --git a/MarketData/MarketDataLib/Generator/CMTrend/CMTCandidateGenerator.cs b/MarketData/MarketDataLib/Generator/CMTrend/CMTCandidateGenerator.cs
index 510c1c6..56b3ccd 100755
--- a/MarketData/MarketDataLib/Generator/CMTrend/CMTCandidateGenerator.cs
+++ b/MarketData/MarketDataLib/Generator/CMTrend/CMTCandidateGenerator.cs
@@ -95,7 +95,7 @@ namespace MarketData.Generator.CMTrend
         }
 // Current Price Check
         Price currentPrice=prices[0];
-        if(currentPrice.Date!=tradeDate)
+        if(currentPrice.Date.Date!=tradeDate.Date)
         {
           cmtCandidate.Violation=true;
           cmtCandidate.Symbol=symbol;
@@ -203,8 +203,13 @@ namespace MarketData.Generator.CMTrend
 
 // Trend #8 check.  Evaluate the RSI
 // generate a 14 day standard RSI with 30 days of pricing data
-        RSICollection rsiCollection=RSIGenerator.GenerateRSI(symbol,currentPrice.Date,30);                          
-        if(null==rsiCollection||0==rsiCollection.Count||rsiCollection[rsiCollection.Count-1].RSI<cmtParams.MinRSI)
+        Prices rsiPrices=GBPriceCache.GetInstance().GetPrices(symbol,currentPrice.Date,30);
+        RSICollection rsiCollection=RSIGenerator.GenerateRSI(rsiPrices);
+        double rsi=rsiCollection[rsiCollection.Count-1].RSI;
+
+        // RSICollection rsiCollection=RSIGenerator.GenerateRSI(symbol,currentPrice.Date,30);  
+        // double rsi=rsiCollection[rsiCollection.Count-1].RSI;                      
+        if(null==rsiCollection||0==rsiCollection.Count||rsi<cmtParams.MinRSI)
         {
           cmtCandidate.Violation=true;
           cmtCandidate.Symbol=symbol;
diff --git a/MarketData/MarketDataLib/Generator/CMTrend/CMTTrendGenerator.cs b/MarketData/MarketDataLib/Generator/CMTrend/CMTTrendGenerator.cs
index 61e9c6b..a1eaf2c 100755
--- a/MarketData/MarketDataLib/Generator/CMTrend/CMTTrendGenerator.cs
+++ b/MarketData/MarketDataLib/Generator/CMTrend/CMTTrendGenerator.cs
@@ -1,4 +1,5 @@
-using MarketData.DataAccess;
+using Axiom.Interpreter;
+using MarketData.DataAccess;
 using MarketData.MarketDataModel;
 using MarketData.Utils;
 using System;
@@ -20,6 +21,8 @@ namespace MarketData.Generator.CMTrend
       try
       {
         List<String> symbols=PricingDA.GetSymbols();
+        Dictionary<String,DateTime> latestDates = PricingDA.GetLatestDates(symbols);
+        symbols=symbols.Where(x => latestDates.ContainsKey(x) && latestDates[x].Date>=tradeDate.Date).ToList();
         for(int index=0;index<symbols.Count;index++)
         {
           String symbol=symbols[index];
diff --git a/MarketData/MarketDataLib/Generator/RSIGenerator.cs b/MarketData/MarketDataLib/Generator/RSIGenerator.cs
index 47ec5ae..d5dc606 100755
--- a/MarketData/MarketDataLib/Generator/RSIGenerator.cs
+++ b/MarketData/MarketDataLib/Generator/RSIGenerator.cs
@@ -67,11 +67,18 @@ namespace MarketData.Generator
       rsiCollection=new RSICollection(rsiCollection.Skip(rsiDayCount).ToList());
       return rsiCollection;
     }
+    
     public static RSICollection GenerateRSI(String symbol,DateTime analysisDate,int priceCount,int rsiDayCount=14)
     {
       if(priceCount<rsiDayCount)priceCount=(rsiDayCount*2)+1;
       Prices prices=PricingDA.GetPrices(symbol,analysisDate,priceCount);
       if(null==prices||priceCount!=prices.Count)return null;
+      return GenerateRSI(prices, rsiDayCount);
+    }
+
+    public static RSICollection GenerateRSI(Prices prices,int rsiDayCount=14)
+    {
+      if(null==prices || prices.Count<(rsiDayCount*2))return null;
       RSICollection rsiCollection=new RSICollection();
       for(int index=prices.Count-1;index>=0;index--)
       {