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Add BetaCalc24. Fix some bugs

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This commit is contained in:
Sean
2025-05-08 12:39:32 -04:00
parent 45f756e131
commit fbd3a081e0
5 changed files with 51 additions and 19 deletions
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5
MarketData/MarketData/Services/MainService.cs
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@@ -330,9 +330,10 @@ namespace MarketData.Services
foreach(String symbol in symbols)
{
double betaCalc36=BetaGenerator.Beta(symbol,date,36);
double betaCalc24=BetaGenerator.Beta(symbol,date,24);
double betaCalc06=BetaGenerator.Beta(symbol,date,6);
if(double.IsNaN(betaCalc36) && double.IsNaN(betaCalc06))continue;
FundamentalDA.UpdateBeta(symbol, date, betaCalc36, betaCalc06);
if(double.IsNaN(betaCalc36) && double.IsNaN(betaCalc24) && double.IsNaN(betaCalc06))continue;
FundamentalDA.UpdateBeta(symbol, date, betaCalc36, betaCalc24, betaCalc06);
}
}
MDTrace.WriteLine($"Total took {profiler.End()} (ms)");

34
MarketData/MarketDataLib/DataAccess/FundamentalDA.cs
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@@ -92,10 +92,10 @@ namespace MarketData.DataAccess
}
/// <summary>
/// Updates the beta36 and bet6 for a symbol for a specific date
/// Updates the beta36, beta24, and bet06 for a symbol for a specific date
/// </summary>
/// <returns></returns>
public static bool UpdateBeta(String symbol,DateTime asof,double beta36, double beta06)
public static bool UpdateBeta(String symbol,DateTime asof,double beta36, double beta24, double beta06)
{
MySqlConnection sqlConnection = null;
MySqlTransaction sqlTransaction = null;
@@ -110,12 +110,20 @@ namespace MarketData.DataAccess
sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
sqlTransaction = sqlConnection.BeginTransaction(System.Data.IsolationLevel.ReadCommitted);
sb.Append("update fundamentals set ");
sb.Append("beta_calc_36=");
if (!Double.IsNaN(beta36)) sb.Append(beta36).Append(",");
else sb.Append("null").Append(",");
sb.Append("beta_calc_24=");
if (!Double.IsNaN(beta24)) sb.Append(beta24).Append(",");
else sb.Append("null").Append(",");
sb.Append("beta_calc_06=");
if (!Double.IsNaN(beta06)) sb.Append(beta06);
else sb.Append("null");
sb.Append(" where ");
sb.Append("symbol='").Append(symbol).Append("' and asof =").Append(SqlUtils.ToSqlDate(asof,true));
strQuery = sb.ToString();
@@ -330,7 +338,7 @@ namespace MarketData.DataAccess
{
StringBuilder sb = new StringBuilder();
sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
sb.Append("select symbol,asof,next_earnings_date,beta,low52,high52,volume,market_cap,pe,eps,peg,return_on_assets,return_on_equity,total_cash,total_debt,shares_outstanding,revenue,revenue_per_share,qtrly_revenue_growth,gross_profit,ebitda,net_income_available_to_common,book_value_per_share,operating_cashflow,leveraged_free_cashflow,book_value_per_share*shares_outstanding as equity,trailing_pe,ebit,enterprise_value,source,beta_calc_36,beta_calc_06 from fundamentals where symbol=");
sb.Append("select symbol,asof,next_earnings_date,beta,low52,high52,volume,market_cap,pe,eps,peg,return_on_assets,return_on_equity,total_cash,total_debt,shares_outstanding,revenue,revenue_per_share,qtrly_revenue_growth,gross_profit,ebitda,net_income_available_to_common,book_value_per_share,operating_cashflow,leveraged_free_cashflow,book_value_per_share*shares_outstanding as equity,trailing_pe,ebit,enterprise_value,source,beta_calc_36,beta_calc_06,beta_calc_24 from fundamentals where symbol=");
sb.Append("'").Append(symbol).Append("'").Append(" ");
sb.Append("and asof=(select max(asof) from fundamentals where symbol='").Append(symbol).Append("')");
strQuery = sb.ToString(); ;
@@ -371,6 +379,7 @@ namespace MarketData.DataAccess
if (!sqlDataReader.IsDBNull(29)) fundamental.Source = sqlDataReader.GetString(29);
if (!sqlDataReader.IsDBNull(30)) fundamental.BetaCalc36 = sqlDataReader.GetDouble(30);
if (!sqlDataReader.IsDBNull(31)) fundamental.BetaCalc06 = sqlDataReader.GetDouble(31);
if (!sqlDataReader.IsDBNull(32)) fundamental.BetaCalc24 = sqlDataReader.GetDouble(32);
BalanceSheet balanceSheet=BalanceSheetDA.GetBalanceSheetOnOrBefore(symbol,fundamental.AsOf,BalanceSheet.PeriodType.Annual);
if(null!=balanceSheet&&!double.IsNaN(balanceSheet.TotalStockHolderEquity)&&!double.IsNaN(fundamental.TotalDebt)&&0!=fundamental.TotalDebt)fundamental.DebtToEquity=fundamental.TotalDebt/balanceSheet.TotalStockHolderEquity;
return fundamental;
@@ -398,7 +407,7 @@ namespace MarketData.DataAccess
{
StringBuilder sb = new StringBuilder();
sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
sb.Append("select symbol,asof,next_earnings_date,beta,low52,high52,volume,market_cap,pe,eps,peg,return_on_assets,return_on_equity,total_cash,total_debt,shares_outstanding,revenue,revenue_per_share,qtrly_revenue_growth,gross_profit,ebitda,net_income_available_to_common,book_value_per_share,operating_cashflow,leveraged_free_cashflow,book_value_per_share*shares_outstanding as equity,trailing_pe,ebit,enterprise_value,source,beta_calc_36,beta_calc_06 from fundamentals where symbol=");
sb.Append("select symbol,asof,next_earnings_date,beta,low52,high52,volume,market_cap,pe,eps,peg,return_on_assets,return_on_equity,total_cash,total_debt,shares_outstanding,revenue,revenue_per_share,qtrly_revenue_growth,gross_profit,ebitda,net_income_available_to_common,book_value_per_share,operating_cashflow,leveraged_free_cashflow,book_value_per_share*shares_outstanding as equity,trailing_pe,ebit,enterprise_value,source,beta_calc_36,beta_calc_06,beta_calc_24 from fundamentals where symbol=");
sb.Append("'").Append(symbol).Append("'").Append(" ");
sb.Append("and asof=").Append("'").Append(Utility.DateTimeToStringYYYYHMMHDD(asof)).Append("'").Append(";");
strQuery = sb.ToString(); ;
@@ -439,7 +448,8 @@ namespace MarketData.DataAccess
if (!sqlDataReader.IsDBNull(28)) fundamental.EnterpriseValue = sqlDataReader.GetDouble(28);
if (!sqlDataReader.IsDBNull(29)) fundamental.Source = sqlDataReader.GetString(29);
if (!sqlDataReader.IsDBNull(30)) fundamental.BetaCalc36 = sqlDataReader.GetDouble(30);
if (!sqlDataReader.IsDBNull(3)) fundamental.BetaCalc06 = sqlDataReader.GetDouble(31);
if (!sqlDataReader.IsDBNull(31)) fundamental.BetaCalc06 = sqlDataReader.GetDouble(31);
if (!sqlDataReader.IsDBNull(32)) fundamental.BetaCalc24 = sqlDataReader.GetDouble(32);
if (null != balanceSheet && !double.IsNaN(balanceSheet.TotalStockHolderEquity) && !double.IsNaN(fundamental.TotalDebt) && 0 != fundamental.TotalDebt)
{
fundamental.DebtToEquity=fundamental.TotalDebt/balanceSheet.TotalStockHolderEquity;
@@ -518,7 +528,7 @@ namespace MarketData.DataAccess
{
StringBuilder sb = new StringBuilder();
sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
sb.Append("SELECT A.asof,A.symbol, A.market_cap,A.ebitda,A.pe,A.revenue_per_share,A.beta,A.beta_calc_36,A.beta_calc_06 FROM fundamentals A JOIN ");
sb.Append("SELECT A.asof,A.symbol, A.market_cap,A.ebitda,A.pe,A.revenue_per_share,A.beta,A.beta_calc_36,A.beta_calc_06,A.beta_calc_24 FROM fundamentals A JOIN ");
sb.Append("(SELECT MAX(asof) asof,symbol FROM fundamentals WHERE asof<=").Append("'");
sb.Append(Utility.DateTimeToStringYYYYHMMHDD(tradeDate.Date));
sb.Append("'");
@@ -540,6 +550,7 @@ namespace MarketData.DataAccess
if(!sqlDataReader.IsDBNull(6)) fundamental.Beta = sqlDataReader.GetDouble(6);
if(!sqlDataReader.IsDBNull(7)) fundamental.BetaCalc36 = sqlDataReader.GetDouble(7);
if(!sqlDataReader.IsDBNull(8)) fundamental.BetaCalc06 = sqlDataReader.GetDouble(8);
if(!sqlDataReader.IsDBNull(9)) fundamental.BetaCalc24 = sqlDataReader.GetDouble(9);
if(!fundamentals.ContainsKey(fundamental.Symbol))fundamentals.Add(fundamental.Symbol,fundamental);
}
return fundamentals;
@@ -570,7 +581,7 @@ namespace MarketData.DataAccess
if(null==maxDate)return null;
StringBuilder sb = new StringBuilder();
sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
sb.Append("select symbol,asof,next_earnings_date,beta,low52,high52,volume,market_cap,pe,eps,peg,return_on_assets,return_on_equity,total_cash,total_debt,shares_outstanding,revenue,revenue_per_share,qtrly_revenue_growth,gross_profit,ebitda,net_income_available_to_common,book_value_per_share,operating_cashflow,leveraged_free_cashflow,book_value_per_share*shares_outstanding as equity,trailing_pe,ebit,enterprise_value,source,beta_calc_36,beta_calc_06 from fundamentals where symbol=");
sb.Append("select symbol,asof,next_earnings_date,beta,low52,high52,volume,market_cap,pe,eps,peg,return_on_assets,return_on_equity,total_cash,total_debt,shares_outstanding,revenue,revenue_per_share,qtrly_revenue_growth,gross_profit,ebitda,net_income_available_to_common,book_value_per_share,operating_cashflow,leveraged_free_cashflow,book_value_per_share*shares_outstanding as equity,trailing_pe,ebit,enterprise_value,source,beta_calc_36,beta_calc_06,beta_calc_24 from fundamentals where symbol=");
sb.Append("'").Append(symbol).Append("'").Append(" ");
sb.Append("and asof=").Append("'").Append(Utility.DateTimeToStringYYYYHMMHDD(maxDate.Value)).Append("'");
sb.Append(" limit 1");
@@ -613,6 +624,7 @@ namespace MarketData.DataAccess
if (!sqlDataReader.IsDBNull(29)) fundamental.Source = sqlDataReader.GetString(29);
if (!sqlDataReader.IsDBNull(30)) fundamental.BetaCalc36 = sqlDataReader.GetDouble(30);
if (!sqlDataReader.IsDBNull(31)) fundamental.BetaCalc06 = sqlDataReader.GetDouble(31);
if (!sqlDataReader.IsDBNull(32)) fundamental.BetaCalc24 = sqlDataReader.GetDouble(32);
if (!double.IsNaN(totalStockHolderEquity) && !double.IsNaN(fundamental.TotalDebt))
{
if(0.00==totalStockHolderEquity)fundamental.TotalDebt=0.00;
@@ -648,7 +660,7 @@ namespace MarketData.DataAccess
{
Fundamental fundamental = fundamentals[index];
StringBuilder sb = new StringBuilder();
sb.Append("insert into fundamentals (symbol,asof,next_earnings_date,beta,beta_calc_36,beta_calc_06,low52,high52,volume,market_cap,pe,eps,peg,return_on_assets,return_on_equity,total_cash,total_debt,shares_outstanding,revenue,revenue_per_share,qtrly_revenue_growth,gross_profit,ebitda,net_income_available_to_common,book_value_per_share,operating_cashflow,leveraged_free_cashflow,trailing_pe,ebit,enterprise_value,source) ");
sb.Append("insert into fundamentals (symbol,asof,next_earnings_date,beta,beta_calc_36,beta_calc_24,beta_calc_06,low52,high52,volume,market_cap,pe,eps,peg,return_on_assets,return_on_equity,total_cash,total_debt,shares_outstanding,revenue,revenue_per_share,qtrly_revenue_growth,gross_profit,ebitda,net_income_available_to_common,book_value_per_share,operating_cashflow,leveraged_free_cashflow,trailing_pe,ebit,enterprise_value,source) ");
sb.Append("values(");
sb.Append("'").Append(fundamental.Symbol).Append("'").Append(",");
sb.Append("'").Append(Utility.DateTimeToStringYYYYHMMHDD(fundamental.AsOf)).Append("'").Append(",");
@@ -658,6 +670,8 @@ namespace MarketData.DataAccess
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.BetaCalc36)) sb.Append(fundamental.BetaCalc36).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.BetaCalc24)) sb.Append(fundamental.BetaCalc24).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.BetaCalc06)) sb.Append(fundamental.BetaCalc06).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.Low52)) sb.Append(fundamental.Low52).Append(",");
@@ -744,7 +758,7 @@ namespace MarketData.DataAccess
sqlTransaction = sqlConnection.BeginTransaction(System.Data.IsolationLevel.ReadCommitted);
DeleteFundamental(fundamental, sqlConnection, sqlTransaction);
StringBuilder sb = new StringBuilder();
sb.Append("insert into fundamentals (symbol,asof,next_earnings_date,beta,beta_calc_36,beta_calc_06,low52,high52,volume,market_cap,pe,eps,peg,return_on_assets,return_on_equity,total_cash,total_debt,shares_outstanding,revenue,revenue_per_share,qtrly_revenue_growth,gross_profit,ebitda,net_income_available_to_common,book_value_per_share,operating_cashflow,leveraged_free_cashflow,trailing_pe,ebit,enterprise_value,source) ");
sb.Append("insert into fundamentals (symbol,asof,next_earnings_date,beta,beta_calc_36,beta_calc_24,beta_calc_06,low52,high52,volume,market_cap,pe,eps,peg,return_on_assets,return_on_equity,total_cash,total_debt,shares_outstanding,revenue,revenue_per_share,qtrly_revenue_growth,gross_profit,ebitda,net_income_available_to_common,book_value_per_share,operating_cashflow,leveraged_free_cashflow,trailing_pe,ebit,enterprise_value,source) ");
sb.Append("values(");
sb.Append("'").Append(fundamental.Symbol).Append("'").Append(",");
sb.Append("'").Append(Utility.DateTimeToStringYYYYHMMHDD(fundamental.AsOf)).Append("'").Append(",");
@@ -754,6 +768,8 @@ namespace MarketData.DataAccess
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.BetaCalc36)) sb.Append(fundamental.BetaCalc36).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.BetaCalc24)) sb.Append(fundamental.BetaCalc24).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.BetaCalc06)) sb.Append(fundamental.BetaCalc06).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.Low52)) sb.Append(fundamental.Low52).Append(",");

3
MarketData/MarketDataLib/Helper/FundamentalMarketDataHelper.cs
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@@ -52,7 +52,6 @@ namespace MarketData.Helper
ThreadHelper fundamentalThreadHelper = new ThreadHelper(symbol,modified,availableEvents[index]);
fundamentalThreadHelper.UpdateManager=updateManager;
ThreadPool.QueueUserWorkItem(ThreadPoolCallbackLoadFundamental, fundamentalThreadHelper);
// try{Thread.Sleep(2000);}catch(Exception){;} // adding a short pause between requests
try{Thread.Sleep(1000);}catch(Exception){;} // changing this because I am going to run a test against TOR
}
else
@@ -221,6 +220,7 @@ namespace MarketData.Helper
Fundamental priorFundamental=FundamentalDA.GetFundamental(symbol);
fundamental.MergeFrom(priorFundamental); // if any fields are missing on this run then carry forward fields from previous run
fundamental.BetaCalc36=BetaGenerator.Beta(fundamental.Symbol,fundamental.AsOf,36);
fundamental.BetaCalc24=BetaGenerator.Beta(fundamental.Symbol,fundamental.AsOf,24);
fundamental.BetaCalc06=BetaGenerator.Beta(fundamental.Symbol,fundamental.AsOf,6);
FundamentalDA.InsertFundamental(fundamental);
MDTrace.WriteLine(LogLevel.DEBUG,Fundamental.Header);
@@ -247,6 +247,7 @@ namespace MarketData.Helper
Fundamental priorFundamental=FundamentalDA.GetFundamental(symbol);
fundamental.MergeFrom(priorFundamental); // if any fields are missing on this run then carry forward fields from previous run
fundamental.BetaCalc36=BetaGenerator.Beta(fundamental.Symbol,fundamental.AsOf,36);
fundamental.BetaCalc24=BetaGenerator.Beta(fundamental.Symbol,fundamental.AsOf,24);
fundamental.BetaCalc06=BetaGenerator.Beta(fundamental.Symbol,fundamental.AsOf,6);
FundamentalDA.InsertFundamental(fundamental);
MDTrace.WriteLine(LogLevel.DEBUG,Fundamental.Header);

14
MarketData/MarketDataLib/MarketDataModel/FundamentalV2.cs
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@@ -20,9 +20,10 @@ namespace MarketData.MarketDataModel
private double pe;
private double ebitda;
private double revenuePerShare;
private double beta;
private double betaCalc36;
private double betaCalc06;
private double beta; // 36 month beta from Yahoo Finance or FINVIZ
private double betaCalc36; // 36 month beta calculated from the Beta Generator
private double betaCalc24; // 24 month beta calculated from the Beta Generator
private double betaCalc06; // 6 month beta calculated from the Beta Generator
public FundamentalV2()
{
@@ -66,7 +67,12 @@ namespace MarketData.MarketDataModel
{
get { return betaCalc36; }
set { betaCalc36 = value; }
}
}
public double BetaCalc24
{
get { return betaCalc24; }
set { betaCalc24 = value; }
}
public double BetaCalc06
{
get { return betaCalc06; }

14
MarketData/MarketDataLib/MarketDataModel/Fundamentals.cs
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@@ -17,9 +17,10 @@ namespace MarketData.MarketDataModel
private String symbol;
private DateTime asOf;
private DateTime nextEarningsDate;
private double beta;
private double betaCalc36;
private double betaCalc06;
private double beta; // 36 month beta retrieved from Yahoo Finance or FINVIZ
private double betaCalc36; // 36 month beta calculated with the Beta Generator
private double betaCalc24; // 24 month beta calculated with the Beta Generator
private double betaCalc06; // 6 month beta calculated with the Beta Generator
private double low52;
private double high52;
private Int64 volume;
@@ -81,6 +82,11 @@ namespace MarketData.MarketDataModel
get { return betaCalc36; }
set { betaCalc36 = value; }
}
public double BetaCalc24
{
get { return betaCalc24; }
set { betaCalc24 = value; }
}
public double BetaCalc06
{
get { return betaCalc06; }
@@ -342,6 +348,7 @@ namespace MarketData.MarketDataModel
sb.Append("NextEarningsDate").Append(",");
sb.Append("Beta").Append(",");
sb.Append("BetaCalc36").Append(",");
sb.Append("BetaCalc24").Append(",");
sb.Append("BetaCalc06").Append(",");
sb.Append("Low52").Append(",");
sb.Append("High52").Append(",");
@@ -381,6 +388,7 @@ namespace MarketData.MarketDataModel
sb.Append(Utility.DateTimeToStringMMSDDSYYYY(NextEarningsDate)).Append(",");
sb.Append(String.Format("{0:0.00}",Beta )).Append(",");
sb.Append(String.Format("{0:0.00}",BetaCalc36 )).Append(",");
sb.Append(String.Format("{0:0.00}",BetaCalc24 )).Append(",");
sb.Append(String.Format("{0:0.00}",BetaCalc06 )).Append(",");
sb.Append(String.Format("{0:0.00}",Low52)).Append(",");
sb.Append(String.Format("{0:0.00}",High52)).Append(",");