661 lines
24 KiB
C#
661 lines
24 KiB
C#
using System;
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using System.Collections.Generic;
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using System.Collections.ObjectModel;
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using System.ComponentModel;
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using System.Linq;
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using System.Text;
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using System.Threading.Tasks;
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using Avalonia.Controls;
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using Avalonia.Media;
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using Avalonia.Platform.Storage;
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using CommunityToolkit.Mvvm.Input;
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using Eremex.AvaloniaUI.Controls;
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using MarketData;
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using MarketData.DataAccess;
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using MarketData.Generator;
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using MarketData.Generator.Interface;
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using MarketData.Generator.Model;
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using MarketData.Generator.Momentum;
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using MarketData.MarketDataModel;
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using MarketData.Utils;
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using PortfolioManager.DataSeriesViewModels;
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using PortfolioManager.Dialogs;
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using PortfolioManager.Models;
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using PortfolioManager.UIUtils;
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using Position = MarketData.Generator.Momentum.Position;
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namespace PortfolioManager.ViewModels
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{
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public partial class MomentumViewModel : WorkspaceViewModel
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{
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private bool isBusy = false;
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private MGSessionParams sessionParams;
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private ObservableCollection<String> nvpDictionaryKeys = default;
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private NVPDictionary nvpDictionary = null;
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private String selectedParameter = null;
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private String pathFileName;
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private ModelPerformanceSeries modelPerformanceSeries = null;
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private ModelStatistics modelStatistics = null;
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private MGConfiguration configuration = null;
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private MGPositionModelCollection positions = null;
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private bool showAsGainLoss = true;
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private MGPositionModel selectedPosition = null;
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private bool showMarkers = false;
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public MomentumViewModel()
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{
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DisplayName = "MGMomentum Model";
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PropertyChanged += OnViewModelPropertyChanged;
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}
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protected override void OnDispose()
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{
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MDTrace.WriteLine(LogLevel.DEBUG,$"Dispose MomentumViewModel");
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base.OnDispose();
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}
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private void OnViewModelPropertyChanged(object sender, PropertyChangedEventArgs eventArgs)
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{
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}
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public override String Title
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{
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get
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{
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return DisplayName;
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}
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}
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public override String DisplayName
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{
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get
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{
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if (null == pathFileName) return "MGMomentum Model";
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String pureFileName = Utility.GetFileNameNoExtension(pathFileName);
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return "MGMomentum Model (" + pureFileName + ")";
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}
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}
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public bool IsBusy
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{
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get
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{
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return isBusy;
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}
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set
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{
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isBusy = value;
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base.OnPropertyChanged("IsBusy");
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}
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}
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public bool ShowMarkers
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{
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get
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{
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return showMarkers;
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}
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set
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{
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showMarkers = value;
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base.OnPropertyChanged("ShowMarkers");
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}
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}
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public String TradeDate
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{
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get
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{
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if (null == sessionParams) return Constants.CONST_DASHES;
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DateGenerator dateGenerator = new DateGenerator();
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return Utility.DateTimeToStringMMSDDSYYYY(dateGenerator.FindPrevBusinessDay(sessionParams.TradeDate));
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}
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}
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public ObservableCollection<String> Parameters
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{
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get { return nvpDictionaryKeys; }
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}
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public String SelectedParameter
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{
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get
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{
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return selectedParameter;
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}
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set
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{
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selectedParameter = value;
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base.OnPropertyChanged("SelectedParameter");
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base.OnPropertyChanged("ParameterValue");
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}
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}
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public String ParameterValue
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{
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get
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{
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if (null == nvpDictionary || null == nvpDictionaryKeys || null == selectedParameter) return null;
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return nvpDictionary[selectedParameter].Value;
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}
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}
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public String CashBalance
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{
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get
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{
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if (null == sessionParams) return Constants.CONST_DASHES;
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return Utility.FormatCurrency(sessionParams.CashBalance);
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}
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}
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public ObservableCollection<MenuItem> PositionsMenuItems
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{
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get
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{
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ObservableCollection<MenuItem> collection = new ObservableCollection<MenuItem>();
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collection.Add(new MenuItem() { Header = "Bollinger Bands...", Command = BollingerBandsCommand, StaysOpenOnClick = false });
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collection.Add(new MenuItem() { Header = "Close Position...", Command = CloseCommand, StaysOpenOnClick = false });
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collection.Add(new MenuItem() { Header = "Edit Position...", Command = EditCommand, StaysOpenOnClick = false });
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collection.Add(new MenuItem() { Header = "Add To WatchList", Command = AddToWatchListCommand, StaysOpenOnClick = false });
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collection.Add(new MenuItem() { Header = "Remove From WatchList", Command = RemoveFromWatchListCommand, StaysOpenOnClick = false });
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return collection;
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}
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}
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public bool ReloadEnabled
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{
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get
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{
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return !String.IsNullOrEmpty(pathFileName);
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}
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}
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public MGPositionModelCollection AllPositions
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{
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get { return positions; }
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}
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public String NonTradeableCash
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{
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get
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{
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if (null == sessionParams) return Constants.CONST_DASHES;
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return Utility.FormatCurrency(sessionParams.NonTradeableCash);
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}
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}
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public String PercentButtonText
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{
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get
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{
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if (!showAsGainLoss) return "Show $";
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else return "Show %";
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}
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}
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public String ModelExpectation
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{
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get
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{
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if (null == modelStatistics) return "";
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return Utility.FormatNumber(modelStatistics.Expectancy, 2);
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}
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}
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public IBrush ExpectationColor
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{
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get
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{
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if (null == modelStatistics) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
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if (modelStatistics.Expectancy > 0.00) return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
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return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Red);
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}
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}
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public MGPositionModel SelectedPosition
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{
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get
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{
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return selectedPosition;
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}
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set
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{
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selectedPosition = value;
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base.OnPropertyChanged("SelectedPosition");
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}
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}
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public CompositeDataSource Data
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{
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get
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{
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if (null == modelPerformanceSeries) return GainLossModel.Empty();
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CompositeDataSource compositeDataSource = null;
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compositeDataSource = GainLossModel.GainLoss(modelPerformanceSeries, showAsGainLoss);
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return compositeDataSource;
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}
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}
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public String GraphTitle
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{
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get
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{
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if (null == sessionParams || null == modelPerformanceSeries) return "";
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StringBuilder sb = new StringBuilder();
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Positions allPositions = sessionParams.GetCombinedPositions();
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DateTime minDate = allPositions.Min(x => x.PurchaseDate);
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DateTime maxDate = PricingDA.GetLatestDate();
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if (modelPerformanceSeries.Count < 2)
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{
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sb.Append(showAsGainLoss ? "$ GainLoss" : "% Return");
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sb.Append(" ");
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sb.Append("(").Append(minDate.ToShortDateString()).Append("-").Append(maxDate.ToShortDateString()).Append(")");
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sb.Append(showAsGainLoss ? Utility.FormatCurrency(modelPerformanceSeries[modelPerformanceSeries.Count - 1].CumulativeGainLoss) : Utility.FormatPercent(modelPerformanceSeries[modelPerformanceSeries.Count - 1].CumProdMinusOne));
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return sb.ToString();
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}
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if (showAsGainLoss)
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{
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double latestGainLoss = modelPerformanceSeries[modelPerformanceSeries.Count - 1].CumulativeGainLoss;
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double change = modelPerformanceSeries[modelPerformanceSeries.Count - 1].GainLossDOD;
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sb.Append("$ GainLoss");
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sb.Append(" ");
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sb.Append("(").Append(minDate.ToShortDateString()).Append("-").Append(maxDate.ToShortDateString()).Append(")");
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sb.Append(" ");
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sb.Append(Utility.FormatCurrency(latestGainLoss));
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sb.Append(",");
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sb.Append(" ");
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sb.Append(change > 0.00 ? "+" : "").Append(Utility.FormatCurrency(change));
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}
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else
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{
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double latestCumGainLoss = modelPerformanceSeries[modelPerformanceSeries.Count - 1].CumProdMinusOne;
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double prevCumGainLoss = modelPerformanceSeries[modelPerformanceSeries.Count - 2].CumProdMinusOne;
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double change = latestCumGainLoss - prevCumGainLoss;
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sb.Append("% Return");
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sb.Append(" ");
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sb.Append("(").Append(minDate.ToShortDateString()).Append("-").Append(maxDate.ToShortDateString()).Append(")");
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sb.Append(" ");
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sb.Append(Utility.FormatPercent(latestCumGainLoss));
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sb.Append(",");
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sb.Append(" ");
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sb.Append(change > 0.00 ? "+" : "").Append(Utility.FormatPercent(change));
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}
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return sb.ToString();
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}
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}
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// *********************************************************** R E L A Y ***************************************************************
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[RelayCommand(CanExecute = nameof(CanExecuteBollingerBands))]
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public async Task BollingerBands()
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{
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await ExecuteBollingerBands();
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}
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public bool CanExecuteBollingerBands()
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{
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if (null == selectedPosition || null == selectedPosition.Symbol) return false;
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return true;
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}
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[RelayCommand]
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public async Task LoadFile()
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{
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await LoadTradeFile();
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}
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[RelayCommand]
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public async Task Reload()
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{
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await ReloadTradeFile();
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}
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[RelayCommand(CanExecute = nameof(CanClosePosition))]
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public async Task Close()
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{
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await OpenCloseDialog();
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}
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[RelayCommand(CanExecute = nameof(CanEdit))]
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public async Task Edit()
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{
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await OpenEditDialog();
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}
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[RelayCommand]
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public void ToggleReturnOrPercent()
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{
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HandleToggleReturnOrPercent();
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}
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[RelayCommand(CanExecute = nameof(CanAddToWatchList))]
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public async Task AddToWatchList()
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{
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WatchListDA.AddToWatchList(selectedPosition.Symbol);
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MxMessageBox.Show(GetTopLevelWindow(), $"Added {selectedPosition.Symbol} to WatchList", "Add To WatchList");
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await Task.FromResult(true);
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}
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[RelayCommand(CanExecute = nameof(CanRemoveFromWatchList))]
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public async Task RemoveFromWatchList()
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{
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WatchListDA.RemoveFromWatchList(selectedPosition.Symbol);
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MxMessageBox.Show(GetTopLevelWindow(), $"Removed {selectedPosition.Symbol} from WatchList", "Remove From WatchList");
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await Task.FromResult(true);
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}
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// ****************************************************************************************************************************************
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public async Task ExecuteBollingerBands()
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{
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SaveParameters saveParams = SaveParameters.Parse("Type,PortfolioManager.ViewModels.BollingerBandViewModel,SelectedSymbol," + selectedPosition.Symbol + ",SelectedWatchList,{All},SelectedDayCount,90");
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saveParams.Referer=this;
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WorkspaceInstantiator.Invoke(saveParams);
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await Task.FromResult(true);
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}
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public async Task OpenCloseDialog()
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{
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IPurePosition clonedPosition = Position.Clone(selectedPosition.Position);
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ClosePositionDialog dialog = new ClosePositionDialog();
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ClosePositionDialogViewModel closePositionViewModel = new ClosePositionDialogViewModel(dialog, clonedPosition);
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dialog.DataContext = closePositionViewModel;
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await dialog.ShowDialog(GetTopLevelWindow());
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if (!closePositionViewModel.IsSuccess) return;
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MomentumBacktest momentumModel = new MomentumBacktest();
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if (!momentumModel.ClosePosition(clonedPosition.Symbol, clonedPosition.PurchaseDate, clonedPosition.SellDate, clonedPosition.CurrentPrice, pathFileName))
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{
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MxMessageBox.Show(GetTopLevelWindow(), "Failed to close the position, check log for details.", "Close Position");
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return;
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}
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String strMessage = String.Format("Closed position for {0}, Purchase Date:{1}, Sell Date{2}, Current Price:{3}. Saved to {4}. A backup was created.",
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clonedPosition.Symbol,
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clonedPosition.PurchaseDate.ToShortDateString(),
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clonedPosition.SellDate.ToShortDateString(),
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Utility.FormatCurrency(clonedPosition.CurrentPrice),
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pathFileName);
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MxMessageBox.Show(GetTopLevelWindow(), strMessage, "Close Position");
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LoadSessionFile();
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await Task.FromResult(true);
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}
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public async Task OpenEditDialog()
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{
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EditPositionDialogNoStop dialog = new EditPositionDialogNoStop();
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Position clonedPosition = Position.Clone(selectedPosition.Position);
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EditPositionDialogNoStopViewModel editPositionViewModel = new EditPositionDialogNoStopViewModel(dialog, clonedPosition);
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dialog.DataContext = editPositionViewModel;
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await dialog.ShowDialog(GetTopLevelWindow());
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GetTopLevelWindow().BringIntoView();
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if (!editPositionViewModel.IsSuccess) return;
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MomentumBacktest momentumBacktest = new MomentumBacktest();
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if (!momentumBacktest.EditPosition(clonedPosition.Symbol, clonedPosition.PurchaseDate, clonedPosition.PurchasePrice, pathFileName))
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{
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MxMessageBox.Show(GetTopLevelWindow(), "Failed to edit the position, check log for details.", "Edit Position");
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return;
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}
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selectedPosition.PurchaseDate = clonedPosition.PurchaseDate;
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selectedPosition.PurchasePrice = clonedPosition.PurchasePrice;
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String strMessage = String.Format("Edited Position for {0} Purchase Date:{1} Purchase Price:{2}. A backup was created.",
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selectedPosition.Symbol, selectedPosition.PurchaseDate.ToShortDateString(), Utility.FormatCurrency(selectedPosition.PurchasePrice));
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MxMessageBox.Show(GetTopLevelWindow(), strMessage, "Edit Position");
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LoadSessionFile();
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}
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private void HandleToggleReturnOrPercent()
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{
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showAsGainLoss = !showAsGainLoss;
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base.OnPropertyChanged("Data");
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base.OnPropertyChanged("PercentButtonText");
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base.OnPropertyChanged("GraphTitle");
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}
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public bool CanAddToWatchList()
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{
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if (null == selectedPosition) return false;
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return WatchListDA.IsInWatchList(selectedPosition.Symbol) ? false : true;
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}
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public bool CanClosePosition()
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{
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if (null == selectedPosition || null == selectedPosition.Symbol) return false;
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return true;
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}
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public bool CanEdit()
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{
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if (null == selectedPosition || null == selectedPosition.Symbol || !Utility.IsEpoch(selectedPosition.SellDate)) return false;
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return true;
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}
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public bool CanRemoveFromWatchList()
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{
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if (null == selectedPosition) return false;
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if (!WatchListDA.IsInWatchList(selectedPosition.Symbol)) return false;
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PortfolioTrades portfolioTrades = PortfolioDA.GetOpenTrades();
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if (portfolioTrades.Any(x => x.Symbol.Equals(selectedPosition.Symbol))) return false;
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return true;
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}
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public async Task ReloadTradeFile()
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{
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LoadSessionFile();
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await Task.FromResult(true);
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}
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public async Task LoadTradeFile()
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{
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TopLevel topLevel = TopLevel.GetTopLevel(GetTopLevelWindow());
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IReadOnlyList<IStorageFile> files = await topLevel.StorageProvider.OpenFilePickerAsync(new FilePickerOpenOptions
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{
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Title = "Open Trade File",
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AllowMultiple = false,
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});
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IStorageFile storageFile = files.FirstOrDefault();
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if (null == storageFile) return;
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Uri uri = storageFile.Path;
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pathFileName = uri.LocalPath;
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if (null == pathFileName) return;
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if (!MGSessionManager.IsValidSessionFile(pathFileName))
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{
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pathFileName = null;
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}
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else LoadSessionFile();
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}
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public bool LoadSessionFile()
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{
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IsBusy = true;
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Task workerTask = Task.Factory.StartNew(() =>
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{
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try
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{
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if (!MGSessionManager.IsValidSessionFile(pathFileName))
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{
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MxMessageBox.Show(GetTopLevelWindow(), String.Format("'{0}' is not a valid model. IsValidSessionFile returned false.", pathFileName));
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pathFileName = null;
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return false;
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}
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sessionParams = MGSessionManager.RestoreSession(pathFileName);
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if (null == sessionParams)
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{
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MxMessageBox.Show(GetTopLevelWindow(), String.Format("Unable to open '{0}'. Restore session failed.", pathFileName));
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pathFileName = null;
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return false;
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}
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modelStatistics = MomentumBacktest.GetModelStatistics(sessionParams);
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modelPerformanceSeries = MomentumBacktest.GetModelPerformance(sessionParams);
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configuration = sessionParams.Configuration;
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NVPCollection nvpCollection = sessionParams.Configuration.ToNVPCollection();
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nvpDictionary = nvpCollection.ToDictionary();
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List<String> dictionaryKeys = new List<String>(nvpDictionary.Keys);
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dictionaryKeys.Sort();
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nvpDictionaryKeys = new ObservableCollection<String>(dictionaryKeys);
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selectedParameter = nvpDictionaryKeys[0];
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positions = new MGPositionModelCollection();
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positions.Add(sessionParams.ActivePositions);
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positions.Add(sessionParams.AllPositions);
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UpdatePositionPrices(false);
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UpdatePositionRSI3(true);
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RunPerformance();
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return true;
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}
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catch (Exception exception)
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{
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MxMessageBox.Show(GetTopLevelWindow(), String.Format("Exception {0}", exception.ToString()), "Error");
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return false;
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}
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});
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workerTask.ContinueWith(continuation =>
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{
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IsBusy = false;
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base.OnPropertyChanged("Parameters");
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base.OnPropertyChanged("SelectedParameter");
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base.OnPropertyChanged("ParameterValue");
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base.OnPropertyChanged("Title");
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base.OnPropertyChanged("DisplayName");
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base.OnPropertyChanged("AllPositions");
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base.OnPropertyChanged("CashBalance");
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base.OnPropertyChanged("NonTradeableCash");
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base.OnPropertyChanged("ModelExpectation");
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base.OnPropertyChanged("ExpectationColor");
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base.OnPropertyChanged("ReloadEnabled");
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});
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return true;
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}
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private void UpdateTooltipProperties()
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{
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base.OnPropertyChanged("ExpectationDescription");
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base.OnPropertyChanged("CompanyDescriptionSelectedPosition");
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}
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private void UpdatePositionPrices(bool change = true)
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{
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try
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{
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DateTime today = DateTime.Now;
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if (null == positions || 0 == positions.Count) return;
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List<String> symbols = (from MGPositionModel position in positions where position.IsActivePosition select position.Symbol).Distinct().ToList();
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foreach (String symbol in symbols)
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{
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var selectedPositions = (from MGPositionModel position in positions where position.IsActivePosition && position.Symbol.Equals(symbol) select position);
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foreach (MGPositionModel selectedPosition in selectedPositions)
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|
{
|
|
Price price = PricingDA.GetPrice(symbol);
|
|
if (null == price) continue;
|
|
selectedPosition.CurrentPrice = price.Close;
|
|
selectedPosition.Volume = price.Volume;
|
|
selectedPosition.LastUpdated = price.Date.Date < today.Date ? price.Date : today;
|
|
}
|
|
}
|
|
if (change) positions.OnCollectionChanged();
|
|
}
|
|
catch (Exception exception)
|
|
{
|
|
MDTrace.WriteLine(LogLevel.DEBUG, exception.ToString());
|
|
}
|
|
}
|
|
|
|
private void UpdatePositionRSI3(bool change = true)
|
|
{
|
|
try
|
|
{
|
|
if (null == positions || 0 == positions.Count) return;
|
|
List<String> symbols = (from MGPositionModel position in positions where position.IsActivePosition select position.Symbol).Distinct().ToList();
|
|
foreach (String symbol in symbols)
|
|
{
|
|
var selectedPositions = (from MGPositionModel position in positions where position.IsActivePosition && position.Symbol.Equals(symbol) select position);
|
|
foreach (MGPositionModel selectedPosition in selectedPositions)
|
|
{
|
|
RSICollection rsiCollection = RSIGenerator.GenerateRSI(symbol, 30, 3);
|
|
if (null == rsiCollection || 0 == rsiCollection.Count) continue;
|
|
selectedPosition.RSI3 = rsiCollection[rsiCollection.Count - 1].RSI;
|
|
}
|
|
}
|
|
if (change) positions.OnCollectionChanged();
|
|
}
|
|
catch (Exception exception)
|
|
{
|
|
MDTrace.WriteLine(LogLevel.DEBUG, exception.ToString());
|
|
}
|
|
}
|
|
|
|
private void RunPerformance()
|
|
{
|
|
if (null == sessionParams) return;
|
|
modelPerformanceSeries = MomentumBacktest.GetModelPerformance(sessionParams);
|
|
base.OnPropertyChanged("Data");
|
|
base.OnPropertyChanged("GraphTitle");
|
|
}
|
|
|
|
// ********************************************************** P E R S I S T E N C E ******************************************************
|
|
|
|
public override bool CanPersist()
|
|
{
|
|
return true;
|
|
}
|
|
|
|
public override SaveParameters GetSaveParameters()
|
|
{
|
|
SaveParameters saveParams = new SaveParameters();
|
|
if (null == pathFileName) return null;
|
|
saveParams.Add(new KeyValuePair<String, String>("Type", GetType().Namespace + "." + GetType().Name));
|
|
saveParams.Add(new KeyValuePair<String, String>("PathFileName", pathFileName));
|
|
return saveParams;
|
|
}
|
|
|
|
public override void SetSaveParameters(SaveParameters saveParameters)
|
|
{
|
|
try
|
|
{
|
|
pathFileName = (from KeyValuePair<String, String> item in saveParameters where item.Key.Equals("PathFileName") select item).FirstOrDefault().Value;
|
|
if (!LoadSessionFile()) pathFileName = null;
|
|
}
|
|
catch (Exception exception)
|
|
{
|
|
MDTrace.WriteLine(LogLevel.DEBUG, String.Format("Exception:{0}", exception.ToString()));
|
|
}
|
|
}
|
|
|
|
// ************************************************** T O O L T I P S *************************************************
|
|
|
|
public String ExpectationDescription
|
|
{
|
|
get
|
|
{
|
|
if (null == modelStatistics) return "";
|
|
StringBuilder sb = new StringBuilder();
|
|
sb.Append("Expectancy is (percentage of winning trades * average gain) / (percentage of losing trades * average loss).").Append("\n");
|
|
sb.Append("Total Trades : ").Append(modelStatistics.TotalTrades).Append("\n");
|
|
sb.Append("Winning Trades : ").Append(modelStatistics.WinningTrades).Append("\n");
|
|
sb.Append("Losing Trades : ").Append(modelStatistics.LosingTrades).Append("\n");
|
|
sb.Append("Winning Trades : ").Append(Utility.FormatNumber(modelStatistics.WinningTradesPercent, 2)).Append("%").Append("\n");
|
|
sb.Append("Losing Trades : ").Append(Utility.FormatNumber(modelStatistics.LosingTradesPercent, 2)).Append("%").Append("\n");
|
|
sb.Append("Average Winning Trade Gain : ").Append(Utility.FormatNumber(modelStatistics.AverageWinningTradePercentGain, 2)).Append("%").Append("\n");
|
|
sb.Append("Average Losing Trade Loss : ").Append(Utility.FormatNumber(modelStatistics.AverageLosingTradePercentLoss, 2)).Append("%").Append("\n");
|
|
sb.Append("Expectancy : ").Append(Utility.FormatNumber(modelStatistics.Expectancy, 2)).Append("\n");
|
|
sb.Append("\n");
|
|
sb.Append("Maintain a positive Expectancy and you're a winner.");
|
|
sb.Append("\n");
|
|
sb.Append("The calculations are based on closed positions.");
|
|
return sb.ToString();
|
|
}
|
|
}
|
|
|
|
public String CompanyDescriptionSelectedPosition
|
|
{
|
|
get
|
|
{
|
|
if (null == selectedPosition || null == selectedPosition.Symbol) return "No row selected.";
|
|
CompanyProfile companyProfile = CompanyProfileDA.GetCompanyProfile(selectedPosition.Symbol);
|
|
if (null == companyProfile || null == companyProfile.Description || "".Equals(companyProfile.Description)) return "No description found.";
|
|
StringBuilder sb = new StringBuilder();
|
|
sb.Append(companyProfile.Symbol).Append(" - ").Append(companyProfile.CompanyName).Append("\n");
|
|
sb.Append(companyProfile.Sector).Append("/").Append(companyProfile.Industry).Append("\n").Append(companyProfile.Description);
|
|
return sb.ToString();
|
|
}
|
|
}
|
|
}
|
|
} |