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Optimize CMTTrend model

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Sean
2025-04-09 23:02:30 -04:00
parent e83cf3d34b
commit c3729551a8
5 changed files with 49 additions and 5 deletions
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30
MarketData/MarketData.sln Normal file
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@@ -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

1
MarketData/MarketDataLib/DataAccess/PricingDA.cs
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@@ -285,7 +285,6 @@ namespace MarketData.DataAccess
if(null!=sqlConnection) sqlConnection.Close(); if(null!=sqlConnection) sqlConnection.Close();
} }
} }
public static Dictionary<String,DateTime> GetLatestDates(List<String> symbols) public static Dictionary<String,DateTime> GetLatestDates(List<String> symbols)
{ {
MySqlConnection sqlConnection = null; MySqlConnection sqlConnection = null;

11
MarketData/MarketDataLib/Generator/CMTrend/CMTCandidateGenerator.cs
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@@ -95,7 +95,7 @@ namespace MarketData.Generator.CMTrend
} }
// Current Price Check // Current Price Check
Price currentPrice=prices[0]; Price currentPrice=prices[0];
if(currentPrice.Date!=tradeDate) if(currentPrice.Date.Date!=tradeDate.Date)
{ {
cmtCandidate.Violation=true; cmtCandidate.Violation=true;
cmtCandidate.Symbol=symbol; cmtCandidate.Symbol=symbol;
@@ -203,8 +203,13 @@ namespace MarketData.Generator.CMTrend
// Trend #8 check. Evaluate the RSI // Trend #8 check. Evaluate the RSI
// generate a 14 day standard RSI with 30 days of pricing data // generate a 14 day standard RSI with 30 days of pricing data
RSICollection rsiCollection=RSIGenerator.GenerateRSI(symbol,currentPrice.Date,30); Prices rsiPrices=GBPriceCache.GetInstance().GetPrices(symbol,currentPrice.Date,30);
if(null==rsiCollection||0==rsiCollection.Count||rsiCollection[rsiCollection.Count-1].RSI<cmtParams.MinRSI) 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.Violation=true;
cmtCandidate.Symbol=symbol; cmtCandidate.Symbol=symbol;

5
MarketData/MarketDataLib/Generator/CMTrend/CMTTrendGenerator.cs
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@@ -1,4 +1,5 @@
using MarketData.DataAccess; using Axiom.Interpreter;
using MarketData.DataAccess;
using MarketData.MarketDataModel; using MarketData.MarketDataModel;
using MarketData.Utils; using MarketData.Utils;
using System; using System;
@@ -20,6 +21,8 @@ namespace MarketData.Generator.CMTrend
try try
{ {
List<String> symbols=PricingDA.GetSymbols(); 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++) for(int index=0;index<symbols.Count;index++)
{ {
String symbol=symbols[index]; String symbol=symbols[index];

7
MarketData/MarketDataLib/Generator/RSIGenerator.cs
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@@ -67,11 +67,18 @@ namespace MarketData.Generator
rsiCollection=new RSICollection(rsiCollection.Skip(rsiDayCount).ToList()); rsiCollection=new RSICollection(rsiCollection.Skip(rsiDayCount).ToList());
return rsiCollection; return rsiCollection;
} }
public static RSICollection GenerateRSI(String symbol,DateTime analysisDate,int priceCount,int rsiDayCount=14) public static RSICollection GenerateRSI(String symbol,DateTime analysisDate,int priceCount,int rsiDayCount=14)
{ {
if(priceCount<rsiDayCount)priceCount=(rsiDayCount*2)+1; if(priceCount<rsiDayCount)priceCount=(rsiDayCount*2)+1;
Prices prices=PricingDA.GetPrices(symbol,analysisDate,priceCount); Prices prices=PricingDA.GetPrices(symbol,analysisDate,priceCount);
if(null==prices||priceCount!=prices.Count)return null; 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(); RSICollection rsiCollection=new RSICollection();
for(int index=prices.Count-1;index>=0;index--) for(int index=prices.Count-1;index>=0;index--)
{ {