Initial Commit

This commit is contained in:
2025-06-10 19:03:43 -04:00
commit 93ab70180a
62 changed files with 49312 additions and 0 deletions

View File

@@ -0,0 +1,333 @@
using MarketData.MarketDataModel;
using MarketData.Utils;
using System;
using System.Collections.Generic;
using System.Collections.ObjectModel;
using System.Collections.Specialized;
using MarketData.Generator.CMMomentum;
using Position=MarketData.Generator.CMMomentum.Position;
using PortfolioManager.ViewModels;
using PortfolioManager.UIUtils;
using Avalonia.Media;
namespace PortfolioManager.Models
{
public class CMPositionModelCollection : ObservableCollection<CMPositionModel>
{
public void Add(ActivePositions activePositions)
{
List<int> slotKeys = new List<int>(activePositions.Keys);
for (int keyIndex = 0; keyIndex < slotKeys.Count; keyIndex++)
{
Positions slotPositions = activePositions[slotKeys[keyIndex]];
foreach (Position position in slotPositions) Add(new CMPositionModel(position, keyIndex));
}
}
public void Add(Positions allPositions)
{
foreach (Position position in allPositions) Add(new CMPositionModel(position));
}
public void OnCollectionChanged()
{
base.OnCollectionChanged(new NotifyCollectionChangedEventArgs(NotifyCollectionChangedAction.Reset, null));
}
}
// ************************************************************************************************************************************************************************************
public class CMPositionModel : ModelBase
{
private Position position = new Position();
private int slot;
private int priceChangeDirection = 0;
private double prevPrice = double.NaN;
private DateTime lastUpdated = DateTime.Now;
private double rsi3 = double.NaN;
public CMPositionModel()
{
}
public CMPositionModel(Position position, int slot)
{
Slot = slot;
Symbol = position.Symbol;
PurchaseDate = position.PurchaseDate;
SellDate = position.SellDate;
Shares = position.Shares;
PurchasePrice = position.PurchasePrice;
CurrentPrice = position.CurrentPrice;
Beta = position.Beta;
BetaMonths = position.BetaMonths;
SharpeRatio = position.SharpeRatio;
CNNPrediction = position.CNNPrediction;
}
public CMPositionModel(Position position)
{
slot = -1;
Symbol = position.Symbol;
PurchaseDate = position.PurchaseDate;
SellDate = position.SellDate;
Shares = position.Shares;
PurchasePrice = position.PurchasePrice;
CurrentPrice = position.CurrentPrice;
Beta = position.Beta;
BetaMonths = position.BetaMonths;
SharpeRatio = position.SharpeRatio;
CNNPrediction = position.CNNPrediction;
}
public Position Position
{
get
{
return position;
}
}
public String Symbol
{
get { return position.Symbol; }
set { position.Symbol = value; base.OnPropertyChanged("Symbol"); }
}
public DateTime PurchaseDate
{
get
{
return position.PurchaseDate;
}
set
{
position.PurchaseDate = value;
base.OnPropertyChanged("PurchaseDate");
}
}
public IBrush PurchaseDateColor
{
get
{
DateGenerator dateGenerator=new DateGenerator();
if(!dateGenerator.IsMarketOpen(PurchaseDate)) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Red);
if(!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public DateTime SellDate
{
get { return position.SellDate; }
set { position.SellDate = value; base.OnPropertyChanged("SellDate"); }
}
public IBrush SellDateColor
{
get
{
if(Utility.IsEpoch(SellDate)) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
DateGenerator dateGenerator=new DateGenerator();
if(!dateGenerator.IsMarketOpen(SellDate)) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Red);
if(!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public int DaysHeld
{
get
{
DateGenerator dateGenerator = new DateGenerator();
if (Utility.IsEpoch(SellDate)) return dateGenerator.DaysBetween(PurchaseDate, DateTime.Now.Date);
return dateGenerator.DaysBetween(PurchaseDate, SellDate);
}
}
public int Slot
{
get { return slot; }
set { slot = value; base.OnPropertyChanged("Slot"); }
}
public String SlotAsString
{
get
{
if (-1 == Slot) return Constants.CONST_DASHES;
return Slot.ToString();
}
}
public double Shares
{
get { return position.Shares; }
set { position.Shares = value; base.OnPropertyChanged("Shares"); base.OnPropertyChanged("Exposure"); base.OnPropertyChanged("ActiveExposure"); base.OnPropertyChanged("MarketValue"); base.OnPropertyChanged("ActiveMarketValue"); base.OnPropertyChanged("GainLoss"); base.OnPropertyChanged("GainLossPcnt"); }
}
public double PurchasePrice
{
get { return position.PurchasePrice; }
set { position.PurchasePrice = value; base.OnPropertyChanged("PurchasePrice"); base.OnPropertyChanged("Exposure"); base.OnPropertyChanged("ActiveExposure"); base.OnPropertyChanged("GainLoss"); base.OnPropertyChanged("GainLossPcnt"); }
}
public double CurrentPrice
{
get { return position.CurrentPrice; }
set
{
if (position.CurrentPrice == value) return;
position.CurrentPrice = value;
if (double.IsNaN(prevPrice)) { prevPrice = position.CurrentPrice; priceChangeDirection = 0; }
else if (prevPrice > position.CurrentPrice) priceChangeDirection = -1;
else if (prevPrice == position.CurrentPrice) priceChangeDirection = 0;
else priceChangeDirection = 1;
prevPrice = position.CurrentPrice;
base.OnPropertyChanged("CurrentPrice");
base.OnPropertyChanged("MarketValue");
base.OnPropertyChanged("ActiveMarketValue");
base.OnPropertyChanged("GainLoss");
base.OnPropertyChanged("GainLossPcnt");
base.OnPropertyChanged("CurrentPriceColor");
}
}
public double RSI3
{
get { return rsi3; }
set
{
if (rsi3 == value) return;
rsi3 = value;
base.OnPropertyChanged("RSI3");
base.OnPropertyChanged("RSI3Color");
}
}
public DateTime LastUpdated
{
get { return lastUpdated; }
set { lastUpdated = value; base.OnPropertyChanged("LastUpdated"); }
}
public IBrush CurrentPriceColor
{
get
{
if (!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
if (priceChangeDirection > 0) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Green);
else if (priceChangeDirection < 0) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Red);
else return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public IBrush RSI3Color
{
get
{
if (!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
if (RSI3 < 10 || RSI3 > 80) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Red);
return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public double Exposure
{
get { return Shares * PurchasePrice; }
}
public double ActiveExposure
{
get { return IsActivePosition ? Exposure : 0.00; }
}
public IBrush ActiveExposureColor
{
get
{
if (!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
else return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public bool CNNPrediction
{
get { return position.CNNPrediction; }
set { position.CNNPrediction = value; base.OnPropertyChanged("CNNPrediction"); }
}
public double MarketValue
{
get { return Shares * CurrentPrice; }
}
public double ActiveMarketValue
{
get { return IsActivePosition ? MarketValue : 0.00; }
}
public IBrush ActiveMarketValueColor
{
get
{
if(!IsActivePosition)return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
if (ActiveMarketValue > Exposure) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Green);
else if (ActiveMarketValue < Exposure) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Red);
else return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public double GainLoss
{
get { return MarketValue - Exposure; }
}
public IBrush GainLossColor
{
get
{
if (!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
if (GainLoss > 0) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Green);
else if (GainLoss < 0) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Red);
else return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public double GainLossPcnt
{
get { return (MarketValue - Exposure) / Exposure; }
}
public IBrush GainLossPcntColor
{
get
{
if (!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
if (GainLoss > 0) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Green);
else if (GainLoss < 0) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Red);
else return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public double Beta
{
get { return position.Beta; }
set { position.Beta = value; base.OnPropertyChanged("Beta"); }
}
public int BetaMonths
{
get { return position.BetaMonths; }
set { position.BetaMonths = value; base.OnPropertyChanged("BetaMonths"); }
}
public double SharpeRatio
{
get { return position.SharpeRatio; }
set { position.SharpeRatio = value; base.OnPropertyChanged("SharpeRatio"); }
}
public bool IsActivePosition
{
get { return Utility.IsEpoch(SellDate) ? true : false; }
}
}
}

View File

@@ -0,0 +1,515 @@
using MarketData.Generator;
using MarketData.MarketDataModel;
using MarketData.Utils;
using System;
using System.Collections.Generic;
using System.Collections.ObjectModel;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using PortfolioManager.ViewModels;
using PortfolioManager.UIUtils;
using System.Collections.Specialized;
using MarketData.Generator.CMTrend;
using MarketData;
using Position=MarketData.Generator.CMTrend.Position;
using StopLimit=MarketData.MarketDataModel.StopLimit;
using MarketData.DataAccess;
using PortfolioManager.Interface;
using Avalonia.Media;
namespace PortfolioManager.Models
{
public class CMTPositionModelCollection:ObservableCollection<CMTPositionModel>
{
public void Add(ActivePositions activePositions)
{
foreach(Position position in activePositions)Add(new CMTPositionModel(position));
}
public void Add(Positions allPositions)
{
foreach(Position position in allPositions) Add(new CMTPositionModel(position));
}
public void OnCollectionChanged()
{
base.OnCollectionChanged(new NotifyCollectionChangedEventArgs(NotifyCollectionChangedAction.Reset,null));
}
}
public class CMTPositionModel : ModelBase, IPositionModel
{
private Position position=new Position();
private int priceChangeDirection=0;
private double prevPrice=double.NaN;
private double currentPriceLow=double.NaN;
private DateTime lastUpdated=DateTime.Now;
private double edgeRatio=double.NaN;
public CMTPositionModel()
{
}
public CMTPositionModel(Position position)
{
Symbol=position.Symbol;
PurchaseDate=position.PurchaseDate;
SellDate=position.SellDate;
Shares=position.Shares;
PurchasePrice=position.PurchasePrice;
CurrentPrice=position.CurrentPrice;
PositionRiskPercentDecimal=position.PositionRiskPercentDecimal;
InitialStopLimit=position.InitialStopLimit;
TrailingStopLimit=position.TrailingStopLimit;
LastStopAdjustment=position.LastStopAdjustment;
this.position.R=position.R;
this.position.C=position.C;
}
public void UpdateProperties()
{
base.OnPropertyChanged("CurrentPrice");
base.OnPropertyChanged("MarketValue");
base.OnPropertyChanged("ActiveMarketValue");
base.OnPropertyChanged("GainLoss");
base.OnPropertyChanged("GainLossPcnt");
base.OnPropertyChanged("RMultiple");
base.OnPropertyChanged("EdgeRatioAsString");
base.OnPropertyChanged("CurrentPriceColor");
base.OnPropertyChanged("TrailingStopLimitColor");
base.OnPropertyChanged("InitialStopLimitColor");
base.OnPropertyChanged("TotalRiskExposureColor");
base.OnPropertyChanged("ActiveMarketValueColor");
base.OnPropertyChanged("GainLossColor");
base.OnPropertyChanged("GainLossPcntColor");
base.OnPropertyChanged("EdgeRatioAsStringColor");
base.OnPropertyChanged("RMultipleColor");
}
public Position Position
{
get{return position;}
set
{
Symbol=position.Symbol;
PurchaseDate=position.PurchaseDate;
SellDate=position.SellDate;
Shares=position.Shares;
PurchasePrice=position.PurchasePrice;
CurrentPrice=position.CurrentPrice;
PositionRiskPercentDecimal=position.PositionRiskPercentDecimal;
InitialStopLimit=position.InitialStopLimit;
TrailingStopLimit=position.TrailingStopLimit;
LastStopAdjustment=position.LastStopAdjustment;
this.position.R=position.R;
this.position.C=position.C;
}
}
public String Symbol
{
get { return position.Symbol; }
set { position.Symbol = value; base.OnPropertyChanged("Symbol"); }
}
public IBrush SymbolColor
{
get
{
if (!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
// ***
public DateTime PurchaseDate
{
get { return position.PurchaseDate; }
set { position.PurchaseDate=value; base.OnPropertyChanged("PurchaseDate"); }
}
public IBrush PurchaseDateColor
{
get
{
DateGenerator dateGenerator=new DateGenerator();
if(!dateGenerator.IsMarketOpen(PurchaseDate)) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Red);
if(!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public DateTime SellDate
{
get { return position.SellDate; }
set { position.SellDate=value; base.OnPropertyChanged("SellDate"); }
}
public IBrush SellDateColor
{
get
{
if(Utility.IsEpoch(SellDate)) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
DateGenerator dateGenerator=new DateGenerator();
if(!dateGenerator.IsMarketOpen(SellDate)) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Red);
if(!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
// ***
public int DaysHeld
{
get
{
DateGenerator dateGenerator=new DateGenerator();
if(Utility.IsEpoch(SellDate)) return dateGenerator.DaysBetween(PurchaseDate,DateTime.Now.Date);
return dateGenerator.DaysBetween(PurchaseDate,SellDate);
}
}
public IBrush DaysHeldColor
{
get
{
if(!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
// ***
// Here we take R as based upon our StopLimit.
public double R
{
get
{
if(position.TrailingStopLimit>position.PurchasePrice)return 0.00; // here we are considering the current risk/share which is based on our stop limit
return position.TrailingStopLimit>position.PurchasePrice?0.00:position.PurchasePrice-position.TrailingStopLimit;
}
}
public IBrush RColor
{
get
{
if(!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
// ***
public double TotalRiskExposure
{
get{return R*position.Shares;}
}
public IBrush TotalRiskExposureColor
{
get
{
if(!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
// ***
public double EdgeRatio
{
get{return edgeRatio;}
set
{
edgeRatio=value;
base.OnPropertyChanged("EdgeRatio");
base.OnPropertyChanged("EdgeRatioAsStringColor");
}
}
public String EdgeRatioAsString
{
get{return Utility.FormatNumber(edgeRatio,2,false);}
}
public IBrush EdgeRatioAsStringColor
{
get
{
if(!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
if(double.IsNaN(edgeRatio))return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
if(edgeRatio>=1.00)return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Green);
return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Red);
}
}
// ***
public String RMultipleAsString
{
get{return Utility.FormatNumber((position.CurrentPrice-position.PurchasePrice)/(position.PurchasePrice-position.InitialStopLimit),2,false)+"R";} // always based on original position risk
}
public double RMultiple
{
get{return (position.CurrentPrice-position.PurchasePrice)/(position.PurchasePrice-position.InitialStopLimit);} // always based on original position risk
}
public IBrush RMultipleColor
{
get
{
if(!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
// ***
public double PositionRiskPercentDecimal
{
get{return position.PositionRiskPercentDecimal;}
set { position.PositionRiskPercentDecimal=value; base.OnPropertyChanged("PositionRiskPercentDecimal"); }
}
public double InitialStopLimit
{
get { return position.InitialStopLimit; }
set
{
position.InitialStopLimit=value;
base.OnPropertyChanged("InitialStopLimit");
base.OnPropertyChanged("InitialStopLimitColor");
}
}
public IBrush InitialStopLimitColor
{
get
{
if(!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
if(!Utility.IsEpoch(position.LastStopAdjustment)) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black); // if we have a trailing stop then we are no longer using the initial stop
StopLimit stopLimit=PortfolioDA.GetStopLimit(position.Symbol);
if(null==stopLimit||!stopLimit.StopPrice.Equals(Math.Round(position.InitialStopLimit,2))) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Purple);
if(currentPriceLow<=position.InitialStopLimit) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Red);
return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public double TrailingStopLimit
{
get { return position.TrailingStopLimit; }
set
{
position.TrailingStopLimit=value;
base.OnPropertyChanged("TrailingStopLimit");
base.OnPropertyChanged("TrailingStopLimitColor");
}
}
public IBrush TrailingStopLimitColor
{
get
{
if(!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
if(currentPriceLow<=position.TrailingStopLimit)
{
return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Red);
}
StopLimit stopLimit=PortfolioDA.GetStopLimit(position.Symbol);
if(null==stopLimit || !stopLimit.StopPrice.Equals(Math.Round(position.TrailingStopLimit,2)))
{
return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Purple);
}
return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
// ***
public DateTime LastStopAdjustment
{
get { return position.LastStopAdjustment; }
set { position.LastStopAdjustment=value; base.OnPropertyChanged("LastStopAdjustment"); }
}
public IBrush LastStopAdjustmentColor
{
get
{
if(!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
// ***
public int DaysSinceLastStopAdjustment
{
get
{
if(!IsActivePosition)return int.MinValue;
DateGenerator dateGenerator=new DateGenerator();
DateTime today=DateTime.Now;
int daysSinceLastStopAdjustment=int.MinValue;
if(Utility.IsEpoch(position.LastStopAdjustment)) daysSinceLastStopAdjustment=dateGenerator.DaysBetweenActual(today,position.PurchaseDate);
else daysSinceLastStopAdjustment=dateGenerator.DaysBetweenActual(today,position.LastStopAdjustment);
return daysSinceLastStopAdjustment;
}
}
public IBrush DaysSinceLastStopAdjustmentColor
{
get
{
if(!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
int daysSinceLastStopAdjustment=DaysSinceLastStopAdjustment;
if(int.MinValue.Equals(daysSinceLastStopAdjustment))return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
if(daysSinceLastStopAdjustment>=90) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Red);
else if(daysSinceLastStopAdjustment>=60) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Red); // I made them both red because yellow and purple looked horrible
return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Green);
}
}
// ***
public double Shares
{
get { return position.Shares; }
set { position.Shares=value; base.OnPropertyChanged("Shares"); base.OnPropertyChanged("Exposure"); base.OnPropertyChanged("ActiveExposure"); base.OnPropertyChanged("MarketValue"); base.OnPropertyChanged("ActiveMarketValue"); base.OnPropertyChanged("GainLoss"); base.OnPropertyChanged("GainLossPcnt"); }
}
public IBrush SharesColor
{
get
{
if(!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
// ***
public double PurchasePrice
{
get { return position.PurchasePrice; }
set { position.PurchasePrice=value; base.OnPropertyChanged("PurchasePrice"); base.OnPropertyChanged("Exposure"); base.OnPropertyChanged("ActiveExposure"); base.OnPropertyChanged("GainLoss"); base.OnPropertyChanged("GainLossPcnt"); }
}
public IBrush PurchasePriceColor
{
get
{
if(!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
// ***
public double CurrentPrice
{
get { return position.CurrentPrice; }
set
{
if(position.CurrentPrice==value) return;
position.CurrentPrice=value;
if(double.IsNaN(prevPrice)) { prevPrice=position.CurrentPrice; priceChangeDirection=0; }
else if(prevPrice>position.CurrentPrice) priceChangeDirection=-1;
else if(prevPrice==position.CurrentPrice) priceChangeDirection=0;
else priceChangeDirection=1;
prevPrice=position.CurrentPrice;
UpdateProperties();
}
}
public IBrush CurrentPriceColor
{
get
{
if(!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
if(priceChangeDirection>0) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Green);
else if(priceChangeDirection<0) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Red);
else return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
// ***
public double CurrentPriceLow
{
get{return currentPriceLow;}
set
{
if(currentPriceLow==value)return;
currentPriceLow=value;
base.OnPropertyChanged("CurrentPriceLow");
base.OnPropertyChanged("CurrentPriceLowAsString");
base.OnPropertyChanged("TrailingStopLimitColor");
base.OnPropertyChanged("InitialStopLimitColor");
}
}
// ***
public String CurrentPriceLowAsString
{
get { return Utility.FormatCurrency(currentPriceLow); }
}
public IBrush CurrentPriceLowAsStringColor
{
get
{
if(!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
// ***
public DateTime LastUpdated
{
get { return lastUpdated; }
set { lastUpdated=value; base.OnPropertyChanged("LastUpdated"); }
}
public IBrush LastUpdatedColor
{
get
{
if(!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
// ***
public double Exposure
{
get { return Shares*PurchasePrice; }
}
public double ActiveExposure
{
get { return IsActivePosition?Exposure:0.00; }
}
public IBrush ActiveExposureColor
{
get
{
if(!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
else return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public double MarketValue
{
get { return Shares*CurrentPrice; }
}
public double ActiveMarketValue
{
get { return IsActivePosition?MarketValue:0.00; }
}
public IBrush ActiveMarketValueColor
{
get
{
if(!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
if(ActiveMarketValue>Exposure) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Green);
else if(ActiveMarketValue<Exposure) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Red);
else return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public double GainLoss
{
get { return MarketValue - Exposure; }
}
public IBrush GainLossColor
{
get
{
if (!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
if (GainLoss > 0) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Green);
else if (GainLoss < 0) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Red);
else return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public double GainLossPcnt
{
get { return (MarketValue-Exposure)/Exposure; }
}
public IBrush GainLossPcntColor
{
get
{
if(!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
if(GainLoss>0) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Green);
else if(GainLoss<0) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Red);
else return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public bool IsActivePosition
{
get { return Utility.IsEpoch(SellDate)?true:false; }
}
}
}

View File

@@ -0,0 +1,140 @@
using System;
using System.Linq;
using Eremex.AvaloniaUI.Charts;
using MarketData.MarketDataModel;
using MarketData.MarketDataModel.GainLoss;
using MarketData.Numerical;
using PortfolioManager.DataSeriesViewModels;
namespace PortfolioManager.Models
{
public class GainLossModel
{
private GainLossModel()
{
}
public static CompositeDataSource Empty()
{
CompositeDataSource compositeDataSource = new CompositeDataSource()
{
DataAdapter = new SortedDateTimeDataAdapter()
};
return compositeDataSource;
}
// This is the active gain/loss as number or percent.
public static CompositeDataSource GainLoss(ModelPerformanceSeries gainLossList, bool useGainLoss)
{
if (null == gainLossList) return Empty();
SortedDateTimeDataAdapter sortedDateTimeDataAdapter = new SortedDateTimeDataAdapter();
foreach (ModelPerformanceItem modelPerformanceItem in gainLossList)
{
sortedDateTimeDataAdapter.Add(modelPerformanceItem.Date, useGainLoss ? modelPerformanceItem.CumulativeGainLoss : modelPerformanceItem.CumProdMinusOne * 100.00);
}
CompositeDataSource compositeDataSource = new CompositeDataSource()
{
DataAdapter = sortedDateTimeDataAdapter
};
return compositeDataSource;
}
// This is the active gain/loss as number or percent.
public static CompositeDataSource GainLoss(GainLossCompoundModelCollection gainLossList, bool useGainLoss)
{
if (null == gainLossList) return Empty();
GainLossCompoundModelCollection sortedCollection = new GainLossCompoundModelCollection(gainLossList.OrderBy(x => x.Date).ToList());
SortedDateTimeDataAdapter sortedDateTimeDataAdapter = new SortedDateTimeDataAdapter();
foreach (GainLossCompoundModel gainLossCompoundModel in sortedCollection)
{
sortedDateTimeDataAdapter.Add(gainLossCompoundModel.Date, useGainLoss ? gainLossCompoundModel.ActiveGainLoss : gainLossCompoundModel.ActiveGainLossPercent);
}
CompositeDataSource compositeDataSource = new CompositeDataSource()
{
DataAdapter = sortedDateTimeDataAdapter
};
return compositeDataSource;
}
// This is the total gain loss as number or percent
public static CompositeDataSource TotalGainLoss(GainLossCompoundModelCollection gainLossList, bool useGainLoss)
{
if (null == gainLossList) return Empty();
GainLossCompoundModelCollection sortedCollection = new GainLossCompoundModelCollection(gainLossList.OrderBy(x => x.Date).ToList());
SortedDateTimeDataAdapter sortedDateTimeDataAdapter = new SortedDateTimeDataAdapter();
foreach (GainLossCompoundModel gainLossCompoundModel in sortedCollection)
{
sortedDateTimeDataAdapter.Add(gainLossCompoundModel.Date, useGainLoss ? gainLossCompoundModel.TotalGainLoss : gainLossCompoundModel.TotalGainLossPercent);
}
CompositeDataSource compositeDataSource = new CompositeDataSource()
{
DataAdapter = sortedDateTimeDataAdapter
};
return compositeDataSource;
}
// This is the least squares composite data source based on the active gain/loss
public static CompositeDataSource LeastSquares(GainLossCompoundModelCollection gainLossList, bool useGainLoss)
{
if (null == gainLossList) return Empty();
LeastSquaresResult leastSquaresResult = LeastSquaresFit(gainLossList, useGainLoss);
GainLossCompoundModelCollection sortedCollection = new GainLossCompoundModelCollection(gainLossList.OrderBy(x => x.Date).ToList());
SortedDateTimeDataAdapter sortedDateTimeDataAdapter = new SortedDateTimeDataAdapter();
for (int index = 0; index < sortedCollection.Count; index++)
{
GainLossCompoundModel gainLossCompoundModel = sortedCollection[index];
int leastSquaresIndex = (leastSquaresResult.LeastSquares.Length - 1) - index;
sortedDateTimeDataAdapter.Add(gainLossCompoundModel.Date, leastSquaresResult.LeastSquares[leastSquaresIndex]);
}
CompositeDataSource compositeDataSource = new CompositeDataSource()
{
DataAdapter = sortedDateTimeDataAdapter
};
return compositeDataSource;
}
// This is the least squares composite data source based on the active gain/loss
public static CompositeDataSource TotalLeastSquares(GainLossCompoundModelCollection gainLossList, bool useGainLoss)
{
if (null == gainLossList) return Empty();
LeastSquaresResult leastSquaresResult = TotalLeastSquaresFit(gainLossList, useGainLoss);
GainLossCompoundModelCollection sortedCollection = new GainLossCompoundModelCollection(gainLossList.OrderBy(x => x.Date).ToList());
SortedDateTimeDataAdapter sortedDateTimeDataAdapter = new SortedDateTimeDataAdapter();
for (int index = 0; index < sortedCollection.Count; index++)
{
GainLossCompoundModel gainLossCompoundModel = sortedCollection[index];
int leastSquaresIndex = (leastSquaresResult.LeastSquares.Length - 1) - index;
sortedDateTimeDataAdapter.Add(gainLossCompoundModel.Date, leastSquaresResult.LeastSquares[leastSquaresIndex]);
}
CompositeDataSource compositeDataSource = new CompositeDataSource()
{
DataAdapter = sortedDateTimeDataAdapter
};
return compositeDataSource;
}
// ***************************************** C A L C U L A T O R S **********************************
// This is the LeastSquares fit based on the active gain/loss
public static LeastSquaresResult LeastSquaresFit(GainLossCompoundModelCollection gainLossList, bool useGainLoss)
{
double[] values = null;
if (useGainLoss) values = (from GainLossCompoundModel gainLoss in gainLossList select gainLoss.ActiveGainLoss).ToList().ToArray();
else values = (from GainLossCompoundModel gainLoss in gainLossList select gainLoss.ActiveGainLossPercent).ToList().ToArray();
LeastSquaresResult leastSquaresResult = Numerics.LeastSquares(values);
return leastSquaresResult;
}
// This is the LeastSquares fit based on the total gain/loss
public static LeastSquaresResult TotalLeastSquaresFit(GainLossCompoundModelCollection gainLossList,bool useGainLoss)
{
double[] values=null;
if(useGainLoss)values=(from GainLossCompoundModel gainLoss in gainLossList select gainLoss.TotalGainLoss).ToList().ToArray();
else values=(from GainLossCompoundModel gainLoss in gainLossList select gainLoss.TotalGainLossPercent).ToList().ToArray();
LeastSquaresResult leastSquaresResult=Numerics.LeastSquares(values);
return leastSquaresResult;
}
}
}

View File

@@ -0,0 +1,351 @@
using System;
using System.Collections.Generic;
using System.Collections.ObjectModel;
using System.Collections.Specialized;
using Avalonia.Media;
using MarketData.Generator.Momentum;
using MarketData.MarketDataModel;
using MarketData.Utils;
using PortfolioManager.UIUtils;
using PortfolioManager.ViewModels;
namespace PortfolioManager.Models
{
public class MGPositionModelCollection : ObservableCollection<MGPositionModel>
{
public void Add(ActivePositions activePositions)
{
List<int> slotKeys=new List<int>(activePositions.Keys);
for(int keyIndex=0;keyIndex<slotKeys.Count;keyIndex++)
{
Positions slotPositions=activePositions[slotKeys[keyIndex]];
foreach (MarketData.Generator.Momentum.Position position in slotPositions) Add(new MGPositionModel(position, keyIndex));
}
}
public void Add(MarketData.Generator.Momentum.Positions allPositions)
{
foreach (MarketData.Generator.Momentum.Position position in allPositions) Add(new MGPositionModel(position));
}
public void OnCollectionChanged()
{
base.OnCollectionChanged(new NotifyCollectionChangedEventArgs(NotifyCollectionChangedAction.Reset,null));
}
}
public class MGPositionModel : ModelBase
{
private MarketData.Generator.Momentum.Position position = new MarketData.Generator.Momentum.Position();
private int slot;
private int priceChangeDirection=0;
private double prevPrice=double.NaN;
private DateTime lastUpdated=DateTime.Now;
private double rsi3=double.NaN;
public MGPositionModel()
{
}
public MGPositionModel(MarketData.Generator.Momentum.Position position, int slot)
{
Slot=slot;
Symbol=position.Symbol;
PurchaseDate=position.PurchaseDate;
SellDate=position.SellDate;
Shares=position.Shares;
PurchasePrice=position.PurchasePrice;
CurrentPrice=position.CurrentPrice;
Volume=position.Volume;
Return1D=position.Return1D;
CumReturn252=position.CumReturn252;
IDIndicator=position.IDIndicator;
Score=position.Score;
MaxDrawdown=position.MaxDrawdown;
MaxUpside=position.MaxUpside;
Velocity=position.Velocity;
PE=position.PE;
Beta=position.Beta;
ZacksRank=position.ZacksRank;
SharpeRatio = position.SharpeRatio;
}
public MGPositionModel(MarketData.Generator.Momentum.Position position)
{
slot=-1;
Symbol=position.Symbol;
PurchaseDate=position.PurchaseDate;
SellDate=position.SellDate;
Shares=position.Shares;
PurchasePrice=position.PurchasePrice;
CurrentPrice=position.CurrentPrice;
Volume=position.Volume;
Return1D=position.Return1D;
CumReturn252=position.CumReturn252;
IDIndicator=position.IDIndicator;
Score=position.Score;
MaxDrawdown=position.MaxDrawdown;
MaxUpside=position.MaxUpside;
Velocity=position.Velocity;
PE=position.PE;
Beta=position.Beta;
ZacksRank=position.ZacksRank;
SharpeRatio = position.SharpeRatio;
}
public MarketData.Generator.Momentum.Position Position
{
get
{
return position;
}
}
public String Symbol
{
get{return position.Symbol;}
set{position.Symbol=value;base.OnPropertyChanged("Symbol");}
}
public DateTime PurchaseDate
{
get{return position.PurchaseDate;}
set{position.PurchaseDate=value;base.OnPropertyChanged("PurchaseDate");}
}
public IBrush PurchaseDateColor
{
get
{
DateGenerator dateGenerator=new DateGenerator();
if(!dateGenerator.IsMarketOpen(PurchaseDate)) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Red);
if(!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public IBrush SellDateColor
{
get
{
DateGenerator dateGenerator=new DateGenerator();
if(!dateGenerator.IsMarketOpen(SellDate)) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Red);
if(!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public DateTime SellDate
{
get{return position.SellDate;}
set{position.SellDate=value;base.OnPropertyChanged("SellDate");}
}
public int DaysHeld
{
get
{
DateGenerator dateGenerator=new DateGenerator();
if(Utility.IsEpoch(SellDate))return dateGenerator.DaysBetween(PurchaseDate,DateTime.Now.Date);
return dateGenerator.DaysBetween(PurchaseDate,SellDate);
}
}
public int Slot
{
get{return slot;}
set{slot=value;base.OnPropertyChanged("Slot");}
}
public String SlotAsString
{
get
{
if(-1==Slot)return Constants.CONST_DASHES;
return Slot.ToString();
}
}
public double Shares
{
get{return position.Shares;}
set{position.Shares=value;base.OnPropertyChanged("Shares");base.OnPropertyChanged("Exposure");base.OnPropertyChanged("ActiveExposure");base.OnPropertyChanged("MarketValue");base.OnPropertyChanged("ActiveMarketValue");base.OnPropertyChanged("GainLoss");base.OnPropertyChanged("GainLossPcnt");}
}
public double PurchasePrice
{
get{return position.PurchasePrice;}
set{position.PurchasePrice=value;base.OnPropertyChanged("PurchasePrice");base.OnPropertyChanged("Exposure");base.OnPropertyChanged("ActiveExposure");base.OnPropertyChanged("GainLoss");base.OnPropertyChanged("GainLossPcnt");}
}
public double CurrentPrice
{
get{return position.CurrentPrice;}
set
{
if(position.CurrentPrice==value)return;
position.CurrentPrice=value;
if(double.IsNaN(prevPrice)){prevPrice=position.CurrentPrice;priceChangeDirection=0;}
else if(prevPrice>position.CurrentPrice)priceChangeDirection=-1;
else if(prevPrice==position.CurrentPrice)priceChangeDirection=0;
else priceChangeDirection=1;
prevPrice=position.CurrentPrice;
base.OnPropertyChanged("CurrentPrice");
base.OnPropertyChanged("MarketValue");
base.OnPropertyChanged("ActiveMarketValue");
base.OnPropertyChanged("GainLoss");
base.OnPropertyChanged("GainLossPcnt");
base.OnPropertyChanged("CurrentPriceColor");
}
}
public double RSI3
{
get{return rsi3;}
set
{
if(rsi3==value)return;
rsi3=value;
base.OnPropertyChanged("RSI3");
base.OnPropertyChanged("RSI3Color");
}
}
public DateTime LastUpdated
{
get{return lastUpdated;}
set{lastUpdated=value;base.OnPropertyChanged("LastUpdated");}
}
public IBrush CurrentPriceColor
{
get
{
if(!IsActivePosition)return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
if(priceChangeDirection>0)return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Green);
else if(priceChangeDirection<0)return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Red);
else return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public IBrush RSI3Color
{
get
{
if(!IsActivePosition)return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
if(RSI3<10||RSI3>80)return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Red);
return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public double Exposure
{
get{return Shares*PurchasePrice;}
}
public double ActiveExposure
{
get{return IsActivePosition?Exposure:0.00;}
}
public IBrush ActiveExposureColor
{
get
{
if(!IsActivePosition)return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
else return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public double MarketValue
{
get{return Shares*CurrentPrice;}
}
public double ActiveMarketValue
{
get{return IsActivePosition?MarketValue:0.00;}
}
public IBrush ActiveMarketValueColor
{
get
{
if(!IsActivePosition)return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
if (ActiveMarketValue > Exposure) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Green);
else if (ActiveMarketValue < Exposure) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Red);
else return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public long Volume
{
get{return position.Volume;}
set{position.Volume=value;base.OnPropertyChanged("Volume");}
}
public double Return1D
{
get{return position.Return1D;}
set{position.Return1D=value;base.OnPropertyChanged("Return1D");}
}
public double GainLoss
{
get{return MarketValue-Exposure;}
}
public IBrush GainLossColor
{
get
{
if(!IsActivePosition)return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
if(GainLoss>0)return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Green);
else if(GainLoss<0)return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Red);
else return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public double GainLossPcnt
{
get{return (MarketValue-Exposure)/Exposure;}
}
public IBrush GainLossPcntColor
{
get
{
if(!IsActivePosition)return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
if(GainLoss>0)return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Green);
else if(GainLoss<0)return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Red);
else return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public double CumReturn252
{
get{return position.CumReturn252;}
set{position.CumReturn252=value;base.OnPropertyChanged("CumReturn252");}
}
public double IDIndicator
{
get{return position.IDIndicator;}
set{position.IDIndicator=value;base.OnPropertyChanged("IDIndicator");}
}
public double Score
{
get { return position.Score; }
set { position.Score=value; base.OnPropertyChanged("Score"); }
}
public double MaxDrawdown
{
get{return position.MaxDrawdown;}
set{position.MaxDrawdown=value;base.OnPropertyChanged("MaxDrawdown");}
}
public double MaxUpside
{
get{return position.MaxUpside;}
set{position.MaxUpside=value;base.OnPropertyChanged("MaxUpside");}
}
public double Velocity
{
get{return position.Velocity;}
set{position.Velocity=value;base.OnPropertyChanged("Velocity");}
}
public double PE
{
get{return position.PE;}
set{position.PE=value;base.OnPropertyChanged("PE");}
}
public String ZacksRank
{
get {return position.ZacksRank;}
set{position.ZacksRank=value;base.OnPropertyChanged("ZacksRank");}
}
public double Beta
{
get{return position.Beta;}
set{position.Beta=value;base.OnPropertyChanged("Beta");}
}
public double SharpeRatio
{
get { return position.SharpeRatio; }
set { position.SharpeRatio = value; base.OnPropertyChanged("SharpeRatio"); }
}
public bool IsActivePosition
{
get{return Utility.IsEpoch(SellDate)?true:false;}
}
}
}

View File

@@ -0,0 +1,593 @@
using System;
using System.Collections.Generic;
using System.Collections.ObjectModel;
using System.Collections.Specialized;
using Avalonia.Media;
using MarketData.DataAccess;
using MarketData.Generator.MGSHMomentum;
using MarketData.MarketDataModel;
using MarketData.Utils;
using PortfolioManager.Interface;
using PortfolioManager.UIUtils;
using PortfolioManager.ViewModels;
namespace PortfolioManager.Models
{
public class MGSHPositionModelCollection : ObservableCollection<MGSHPositionModel>
{
public void Add(MGSHActivePositions activePositions)
{
List<int> slotKeys = new List<int>(activePositions.Keys);
for (int keyIndex = 0; keyIndex < slotKeys.Count; keyIndex++)
{
MGSHPositions slotPositions = activePositions[slotKeys[keyIndex]];
foreach (MGSHPosition position in slotPositions) Add(new MGSHPositionModel(position, keyIndex));
}
}
public void Add(MGSHPositions allPositions)
{
foreach (MGSHPosition position in allPositions) Add(new MGSHPositionModel(position));
}
public void Add(MGSHPositions hedgePositions, int slotIndex = -1)
{
if (null == hedgePositions) return;
foreach (MGSHPosition position in hedgePositions) Add(new MGSHPositionModel(position, slotIndex));
}
public void OnCollectionChanged()
{
base.OnCollectionChanged(new NotifyCollectionChangedEventArgs(NotifyCollectionChangedAction.Reset, null));
}
}
public class MGSHPositionModel : ModelBase, IPositionModel
{
private MGSHPosition position = new MGSHPosition();
private int slot;
private int priceChangeDirection = 0;
private double prevPrice = double.NaN;
private DateTime lastUpdated = DateTime.Now;
private double currentPriceLow = double.NaN;
private double rsi3 = double.NaN;
public MGSHPositionModel()
{
}
public MGSHPositionModel(MGSHPosition position, int slot)
{
Slot = slot;
Symbol = position.Symbol;
PurchaseDate = position.PurchaseDate;
SellDate = position.SellDate;
Shares = position.Shares;
PurchasePrice = position.PurchasePrice;
CurrentPrice = position.CurrentPrice;
Volume = position.Volume;
Return1D = position.Return1D;
CumReturn252 = position.CumReturn252;
IDIndicator = position.IDIndicator;
Score = position.Score;
Velocity = position.Velocity;
PE = position.PE;
Beta = position.Beta;
InitialStopLimit = position.InitialStopLimit;
TrailingStopLimit = position.TrailingStopLimit;
LastStopAdjustment = position.LastStopAdjustment;
PositionRiskPercentDecimal = position.PositionRiskPercentDecimal;
Comment = position.Comment;
}
public MGSHPositionModel(MGSHPosition position)
{
slot = -1;
Symbol = position.Symbol;
PurchaseDate = position.PurchaseDate;
SellDate = position.SellDate;
Shares = position.Shares;
PurchasePrice = position.PurchasePrice;
CurrentPrice = position.CurrentPrice;
Volume = position.Volume;
Return1D = position.Return1D;
CumReturn252 = position.CumReturn252;
IDIndicator = position.IDIndicator;
Score = position.Score;
Velocity = position.Velocity;
PE = position.PE;
Beta = position.Beta;
InitialStopLimit = position.InitialStopLimit;
TrailingStopLimit = position.TrailingStopLimit;
LastStopAdjustment = position.LastStopAdjustment;
PositionRiskPercentDecimal = position.PositionRiskPercentDecimal;
Comment = position.Comment;
}
public MGSHPosition Position
{
get { return position; }
set
{
Slot = -1;
Symbol = position.Symbol;
PurchaseDate = position.PurchaseDate;
SellDate = position.SellDate;
Shares = position.Shares;
PurchasePrice = position.PurchasePrice;
CurrentPrice = position.CurrentPrice;
Volume = position.Volume;
Return1D = position.Return1D;
CumReturn252 = position.CumReturn252;
IDIndicator = position.IDIndicator;
Score = position.Score;
Velocity = position.Velocity;
PE = position.PE;
Beta = position.Beta;
InitialStopLimit = position.InitialStopLimit;
TrailingStopLimit = position.TrailingStopLimit;
LastStopAdjustment = position.LastStopAdjustment;
PositionRiskPercentDecimal = position.PositionRiskPercentDecimal;
Comment = position.Comment;
this.position.R = position.R;
}
}
public double CurrentPriceLow
{
get { return currentPriceLow; }
set
{
if (currentPriceLow == value) return;
currentPriceLow = value;
base.OnPropertyChanged("CurrentPriceLow");
base.OnPropertyChanged("TrailingStopLimitColor");
base.OnPropertyChanged("InitialStopLimitColor");
}
}
private void UpdateProperties()
{
base.OnPropertyChanged("CurrentPrice");
base.OnPropertyChanged("MarketValue");
base.OnPropertyChanged("ActiveMarketValue");
base.OnPropertyChanged("GainLoss");
base.OnPropertyChanged("GainLossPcnt");
base.OnPropertyChanged("Comment");
base.OnPropertyChanged("PositionRiskPercentDecimal");
base.OnPropertyChanged("R");
base.OnPropertyChanged("TotalRiskExposure");
base.OnPropertyChanged("RMultiple");
base.OnPropertyChanged("CurrentPriceColor");
base.OnPropertyChanged("TrailingStopLimitColor");
base.OnPropertyChanged("InitialStopLimitColor");
base.OnPropertyChanged("ActiveMarketValueColor");
base.OnPropertyChanged("GainLossColor");
base.OnPropertyChanged("GainLossPcntColor");
base.OnPropertyChanged("RColor");
base.OnPropertyChanged("TotalRiskExposureColor");
base.OnPropertyChanged("RMultipleColor");
}
public String Symbol
{
get { return position.Symbol; }
set { position.Symbol = value; base.OnPropertyChanged("Symbol"); }
}
public String Comment
{
get { return position.Comment; }
set { position.Comment = value; base.OnPropertyChanged("Comment"); }
}
public DateTime PurchaseDate
{
get { return position.PurchaseDate; }
set { position.PurchaseDate = value; base.OnPropertyChanged("PurchaseDate"); }
}
public IBrush PurchaseDateColor
{
get
{
DateGenerator dateGenerator = new DateGenerator();
if (!dateGenerator.IsMarketOpen(PurchaseDate)) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Red);
if (!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public IBrush SellDateColor
{
get
{
DateGenerator dateGenerator = new DateGenerator();
if (!dateGenerator.IsMarketOpen(SellDate)) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Red);
if (!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public DateTime SellDate
{
get { return position.SellDate; }
set { position.SellDate = value; base.OnPropertyChanged("SellDate"); }
}
public int DaysHeld
{
get
{
DateGenerator dateGenerator = new DateGenerator();
if (Utility.IsEpoch(SellDate)) return dateGenerator.DaysBetween(PurchaseDate, DateTime.Now.Date);
return dateGenerator.DaysBetween(PurchaseDate, SellDate);
}
}
public int Slot
{
get { return slot; }
set { slot = value; base.OnPropertyChanged("Slot"); }
}
public String SlotAsString
{
get
{
if (-1 == Slot) return Constants.CONST_DASHES;
return Slot.ToString();
}
}
public double PositionRiskPercentDecimal
{
get
{
return position.PositionRiskPercentDecimal;
}
set
{
position.PositionRiskPercentDecimal = value;
base.OnPropertyChanged("PositionRiskPercentDecimal");
}
}
// ************************************************************************************************************************************
// ******************************************************************** R I S K *******************************************************
// ************************************************************************************************************************************
public double R
{
get
{
if (position.TrailingStopLimit > position.PurchasePrice) return 0.00; // here we are considering the current risk/share which is based on our stop limit
return position.TrailingStopLimit > position.PurchasePrice ? 0.00 : position.PurchasePrice - position.TrailingStopLimit;
}
}
public IBrush RColor
{
get
{
if (!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public String RMultipleAsString
{
get { return Utility.FormatNumber((position.CurrentPrice - position.PurchasePrice) / (position.PurchasePrice - position.InitialStopLimit), 2, false) + "R"; } // always based on original position risk
}
public double RMultiple
{
get { return (position.CurrentPrice - position.PurchasePrice) / (position.PurchasePrice - position.InitialStopLimit); } // always based on original position risk
}
public IBrush RMultipleColor
{
get
{
if (!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public double TotalRiskExposure
{
get { return R * position.Shares; }
}
public IBrush TotalRiskExposureColor
{
get
{
if (!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
// ************************************************************************************************************************************
public int DaysSinceLastStopAdjustment
{
get
{
if (!IsActivePosition) return int.MinValue;
DateGenerator dateGenerator = new DateGenerator();
DateTime today = DateTime.Now;
int daysSinceLastStopAdjustment = int.MinValue;
if (Utility.IsEpoch(position.LastStopAdjustment)) daysSinceLastStopAdjustment = dateGenerator.DaysBetweenActual(today, position.PurchaseDate);
else daysSinceLastStopAdjustment = dateGenerator.DaysBetweenActual(today, position.LastStopAdjustment);
return daysSinceLastStopAdjustment;
}
}
public IBrush DaysSinceLastStopAdjustmentColor
{
get
{
if (!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
int daysSinceLastStopAdjustment = DaysSinceLastStopAdjustment;
if (int.MinValue.Equals(daysSinceLastStopAdjustment)) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
if (daysSinceLastStopAdjustment >= 90) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Red);
else if (daysSinceLastStopAdjustment >= 60) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Red); // I made them both red because yellow and purple looked horrible
return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Green);
}
}
public double Shares
{
get { return position.Shares; }
set { position.Shares = value; base.OnPropertyChanged("Shares"); base.OnPropertyChanged("Exposure"); base.OnPropertyChanged("ActiveExposure"); base.OnPropertyChanged("MarketValue"); base.OnPropertyChanged("ActiveMarketValue"); base.OnPropertyChanged("GainLoss"); base.OnPropertyChanged("GainLossPcnt"); }
}
public double PurchasePrice
{
get { return position.PurchasePrice; }
set { position.PurchasePrice = value; base.OnPropertyChanged("PurchasePrice"); base.OnPropertyChanged("Exposure"); base.OnPropertyChanged("ActiveExposure"); base.OnPropertyChanged("GainLoss"); base.OnPropertyChanged("GainLossPcnt"); }
}
public double CurrentPrice
{
get { return position.CurrentPrice; }
set
{
if (position.CurrentPrice == value) return;
position.CurrentPrice = value;
if (double.IsNaN(prevPrice)) { prevPrice = position.CurrentPrice; priceChangeDirection = 0; }
else if (prevPrice > position.CurrentPrice) priceChangeDirection = -1;
else if (prevPrice == position.CurrentPrice) priceChangeDirection = 0;
else priceChangeDirection = 1;
prevPrice = position.CurrentPrice;
UpdateProperties();
}
}
public double RSI3
{
get { return rsi3; }
set
{
if (rsi3 == value) return;
rsi3 = value;
base.OnPropertyChanged("RSI3");
base.OnPropertyChanged("RSI3Color");
}
}
public DateTime LastUpdated
{
get { return lastUpdated; }
set { lastUpdated = value; base.OnPropertyChanged("LastUpdated"); }
}
public IBrush CurrentPriceColor
{
get
{
if (!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
if (priceChangeDirection > 0) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Green);
else if (priceChangeDirection < 0) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Red);
else return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public IBrush RSI3Color
{
get
{
if (!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
if (RSI3 < 10 || RSI3 > 80) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Red);
return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public double Exposure
{
get { return Shares * PurchasePrice; }
}
public double ActiveExposure
{
get { return IsActivePosition ? Exposure : 0.00; }
}
public IBrush ActiveExposureColor
{
get
{
if (!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
else return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public double MarketValue
{
get { return Shares * CurrentPrice; }
}
public double ActiveMarketValue
{
get { return IsActivePosition ? MarketValue : 0.00; }
}
public IBrush ActiveMarketValueColor
{
get
{
if (!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
if (ActiveMarketValue > Exposure) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Green);
else if (ActiveMarketValue < Exposure) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Red);
else return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public long Volume
{
get { return position.Volume; }
set { position.Volume = value; base.OnPropertyChanged("Volume"); }
}
public double Return1D
{
get { return position.Return1D; }
set { position.Return1D = value; base.OnPropertyChanged("Return1D"); }
}
public double GainLoss
{
get { return MarketValue - Exposure; }
}
public IBrush GainLossColor
{
get
{
if (!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
if (GainLoss > 0) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Green);
else if (GainLoss < 0) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Red);
else return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public double GainLossPcnt
{
get { return (MarketValue - Exposure) / Exposure; }
}
public IBrush GainLossPcntColor
{
get
{
if (!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
if (GainLoss > 0) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Green);
else if (GainLoss < 0) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Red);
else return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public double CumReturn252
{
get { return position.CumReturn252; }
set { position.CumReturn252 = value; base.OnPropertyChanged("CumReturn252"); }
}
public double IDIndicator
{
get { return position.IDIndicator; }
set { position.IDIndicator = value; base.OnPropertyChanged("IDIndicator"); }
}
public double Score
{
get { return position.Score; }
set { position.Score = value; base.OnPropertyChanged("Score"); }
}
public double Velocity
{
get { return position.Velocity; }
set { position.Velocity = value; base.OnPropertyChanged("Velocity"); }
}
public double PE
{
get { return position.PE; }
set { position.PE = value; base.OnPropertyChanged("PE"); }
}
public double Beta
{
get { return position.Beta; }
set { position.Beta = value; base.OnPropertyChanged("Beta"); }
}
public bool IsActivePosition
{
get { return Utility.IsEpoch(SellDate) ? true : false; }
}
public double InitialStopLimit
{
get { return position.InitialStopLimit; }
set
{
position.InitialStopLimit = value;
base.OnPropertyChanged("InitialStopLimit");
base.OnPropertyChanged("InitialStopLimitColor");
}
}
public IBrush InitialStopLimitColor
{
get
{
if (!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
if (!Utility.IsEpoch(position.LastStopAdjustment)) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black); // if we have a trailing stop then we are no longer using the initial stop
StopLimit stopLimit = PortfolioDA.GetStopLimit(position.Symbol);
if (null == stopLimit || !stopLimit.StopPrice.Equals(Math.Round(position.InitialStopLimit, 2))) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Purple);
if (currentPriceLow <= position.InitialStopLimit) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Red);
return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public double TrailingStopLimit
{
get { return position.TrailingStopLimit; }
set
{
position.TrailingStopLimit = value;
base.OnPropertyChanged("TrailingStopLimit");
base.OnPropertyChanged("TrailingStopLimitColor");
}
}
public IBrush TrailingStopLimitColor
{
get
{
if (!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
if (currentPriceLow <= position.TrailingStopLimit)
{
return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Red);
}
StopLimit stopLimit = PortfolioDA.GetStopLimit(position.Symbol);
if (null == stopLimit || !stopLimit.StopPrice.Equals(Math.Round(position.TrailingStopLimit, 2))) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Purple);
return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public DateTime LastStopAdjustment
{
get { return position.LastStopAdjustment; }
set { position.LastStopAdjustment = value; base.OnPropertyChanged("LastStopAdjustment"); }
}
public IBrush LastStopAdjustmentColor
{
get
{
if (!IsActivePosition) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Blue);
return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
}
}

View File

@@ -0,0 +1,49 @@
using System;
using System.Collections.Generic;
using System.Linq;
using Eremex.AvaloniaUI.Charts;
using MarketData.MarketDataModel;
using MarketData.MarketDataModel.GainLoss;
using PortfolioManager.DataSeriesViewModels;
namespace PortfolioManager.Models
{
public class MovingAverageModel
{
private MovingAverageModel()
{
}
public static CompositeDataSource Empty()
{
CompositeDataSource compositeDataSource = new CompositeDataSource()
{
DataAdapter = new SortedDateTimeDataAdapter()
};
return compositeDataSource;
}
/// <summary>
/// Creates the moving average composite data source
/// </summary>
/// <param name="gainLossList"></param>
/// <param name="useGainLoss"></param>
/// <returns></returns>
public static CompositeDataSource CreateCompositeDataSource(DMAValues dmaValues)
{
if (null == dmaValues) return Empty();
List<DMAValue> sortedValues = new List<DMAValue>(dmaValues.OrderBy(x => x.Date));
SortedDateTimeDataAdapter sortedDateTimeDataAdapter = new SortedDateTimeDataAdapter();
foreach (DMAValue dmaValue in sortedValues)
{
sortedDateTimeDataAdapter.Add(dmaValue.Date,dmaValue.MAValue);
}
CompositeDataSource compositeDataSource = new CompositeDataSource()
{
DataAdapter = sortedDateTimeDataAdapter
};
return compositeDataSource;
}
}
}