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Changed for MGSH

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Sean
2025-02-06 16:41:38 -05:00
parent d0a416e853
commit dada5f0cdc
1 changed files with 122 additions and 113 deletions
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235
Model/ModelPerformanceAggregator.cs
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@@ -137,120 +137,8 @@ namespace TradeBlotter.Model
return performanceSeries; return performanceSeries;
} }
} }
//public static double CalculateCumulativeReturn(IEnumerable<MMPositionModel> positions)
//{
// ModelPerformanceSeries performanceSeries=GetModelPerformance(positions);
// if(null==performanceSeries) return double.NaN;
// return performanceSeries[performanceSeries.Count-1].CumProdMinusOne;
//}
//public static ModelPerformanceSeries GetModelPerformance(IEnumerable<MMPositionModel> positions)
//{
// ModelPerformanceSeries performanceSeries=new ModelPerformanceSeries();
// try
// {
// DateTime minDate=positions.Min(x => x.PurchaseDate);
// DateTime maxDate=PricingDA.GetLatestDate();
// DateGenerator dateGenerator=new DateGenerator();
// double cumulativeReturn=double.NaN;
// double prevGainLoss=double.NaN;
// LocalPriceCache.GetInstance().RemoveDate(maxDate);
// List<DateTime> historicalDates=dateGenerator.GenerateHistoricalDates(minDate,maxDate);
// foreach(MMPositionModel position in positions)
// {
// if(dateGenerator.IsWeekend(position.PurchaseDate))
// {
// while(true)
// {
// position.PurchaseDate=dateGenerator.GetNextBusinessDay(position.PurchaseDate);
// if(!HolidayDA.IsMarketHoliday(position.PurchaseDate)) break;
// }
// }
// if(dateGenerator.IsWeekend(position.SellDate))
// {
// while(true)
// {
// position.SellDate=dateGenerator.GetNextBusinessDay(position.SellDate);
// if(!HolidayDA.IsMarketHoliday(position.SellDate)) break;
// }
// }
// }
// foreach(DateTime currentDate in historicalDates)
// {
// IEnumerable<MMPositionModel> openPositions=positions.Where(x => (x.PurchaseDate<=currentDate&&(!Utility.IsEpoch(x.SellDate)&&x.SellDate>currentDate))||(x.PurchaseDate<=currentDate&&Utility.IsEpoch(x.SellDate))).ToList();
// IEnumerable<MMPositionModel> closedPositions=positions.Where(x => (!Utility.IsEpoch(x.SellDate)&&x.SellDate.Equals(currentDate))).ToList();
// if(0==openPositions.Count()&&0==closedPositions.Count()) continue;
// double gainLoss=0.00;
// double gainLossClosedPositions=0.00;
// double exposure=0.00;
// double marketValue=0.00;
// if(HolidayDA.IsMarketHoliday(currentDate)) continue;
// ModelPerformanceItem performanceItem=new ModelPerformanceItem();
// foreach(MMPositionModel openPosition in openPositions)
// {
// exposure+=openPosition.Shares*openPosition.PurchasePrice;
// if(!LocalPriceCache.GetInstance().ContainsPrice(openPosition.Symbol,currentDate))
// {
// Prices prices=PricingDA.GetPricesForward(openPosition.Symbol,currentDate,90);
// LocalPriceCache.GetInstance().Add(prices);
// }
// Price price=LocalPriceCache.GetInstance().GetPrice(openPosition.Symbol,currentDate);
// gainLoss+=((price.Close*openPosition.Shares)-(openPosition.PurchasePrice*openPosition.Shares));
// marketValue+=(price.Close*openPosition.Shares);
// }
// foreach(MMPositionModel closedPosition in closedPositions)
// {
// double gainLossPosition=(closedPosition.CurrentPrice*closedPosition.Shares)-(closedPosition.PurchasePrice*closedPosition.Shares);
// gainLossClosedPositions+=gainLossPosition;
// }
// double dailyReturn=0.00;
// if(double.IsNaN(prevGainLoss)) dailyReturn=(marketValue-exposure)/Math.Abs(exposure);
// else dailyReturn=((gainLoss-prevGainLoss)/Math.Abs(prevGainLoss))/100.00;
// if(double.IsNaN(cumulativeReturn)) cumulativeReturn=1.00*(1.00+dailyReturn);
// else cumulativeReturn=cumulativeReturn*(1.00+dailyReturn);
// performanceItem.Date=currentDate;
// performanceItem.Exposure=exposure;
// performanceItem.MarketValue=marketValue;
// performanceItem.GainLossDOD=double.IsNaN(prevGainLoss)?gainLoss:(gainLoss-prevGainLoss)+gainLossClosedPositions;
// performanceItem.GainLoss=gainLoss+gainLossClosedPositions;
// performanceItem.ClosedPositions=closedPositions.Count()>0?true:false;
// performanceSeries.Add(performanceItem);
// prevGainLoss=gainLoss;
// }
// for(int index=0;index<performanceSeries.Count;index++)
// {
// ModelPerformanceItem currentModelPerformanceItem=performanceSeries[index];
// ModelPerformanceItem prevModelPerformanceItem=0==index?null:performanceSeries[index-1];
// if(null==prevModelPerformanceItem)
// {
// currentModelPerformanceItem.CumulativeGainLoss=currentModelPerformanceItem.GainLossDOD;
// currentModelPerformanceItem.R=(currentModelPerformanceItem.MarketValue-currentModelPerformanceItem.Exposure)/currentModelPerformanceItem.Exposure;
// currentModelPerformanceItem.OnePlusR=1.00+currentModelPerformanceItem.R;
// currentModelPerformanceItem.CumProd=currentModelPerformanceItem.OnePlusR;
// currentModelPerformanceItem.CumProdMinusOne=currentModelPerformanceItem.CumProd-1.00;
// }
// else
// {
// currentModelPerformanceItem.CumulativeGainLoss=currentModelPerformanceItem.GainLossDOD+prevModelPerformanceItem.CumulativeGainLoss;
// currentModelPerformanceItem.R=prevModelPerformanceItem.Exposure.Equals(currentModelPerformanceItem.Exposure)?(currentModelPerformanceItem.MarketValue-prevModelPerformanceItem.MarketValue)/prevModelPerformanceItem.MarketValue:0;
// currentModelPerformanceItem.OnePlusR=1.00+currentModelPerformanceItem.R;
// currentModelPerformanceItem.CumProd=currentModelPerformanceItem.OnePlusR*prevModelPerformanceItem.CumProd;
// currentModelPerformanceItem.CumProdMinusOne=currentModelPerformanceItem.CumProd-1.00;
// }
// }
// return performanceSeries;
// }
// catch(Exception)
// {
// return performanceSeries;
// }
//}
// *********************************************************************************************************************************************************************************************************** // ***********************************************************************************************************************************************************************************************************
// *********************************************************************************** C L E N O W M O M E N T U M ************************************************************************************** // *********************************************************************************** C L E N O W M O M E N T U M (C M M M O M E N T U M )**************************************************************************************
// *********************************************************************************************************************************************************************************************************** // ***********************************************************************************************************************************************************************************************************
public static double CalculateCumulativeReturn(IEnumerable<CMPositionModel> positions) public static double CalculateCumulativeReturn(IEnumerable<CMPositionModel> positions)
{ {
@@ -258,12 +146,21 @@ namespace TradeBlotter.Model
if(null==performanceSeries)return double.NaN; if(null==performanceSeries)return double.NaN;
return performanceSeries[performanceSeries.Count-1].CumProdMinusOne; return performanceSeries[performanceSeries.Count-1].CumProdMinusOne;
} }
public static double CalculateCumulativeReturn(IEnumerable<MGPositionModel> positions) public static double CalculateCumulativeReturn(IEnumerable<MGPositionModel> positions)
{ {
ModelPerformanceSeries performanceSeries=GetModelPerformance(positions); ModelPerformanceSeries performanceSeries=GetModelPerformance(positions);
if(null==performanceSeries) return double.NaN; if(null==performanceSeries) return double.NaN;
return performanceSeries[performanceSeries.Count-1].CumProdMinusOne; return performanceSeries[performanceSeries.Count-1].CumProdMinusOne;
} }
public static double CalculateCumulativeReturn(IEnumerable<MGSHPositionModel> positions)
{
ModelPerformanceSeries performanceSeries=GetModelPerformance(positions);
if(null==performanceSeries) return double.NaN;
return performanceSeries[performanceSeries.Count-1].CumProdMinusOne;
}
public static ModelPerformanceSeries GetModelPerformance(IEnumerable<CMPositionModel> positions) public static ModelPerformanceSeries GetModelPerformance(IEnumerable<CMPositionModel> positions)
{ {
ModelPerformanceSeries performanceSeries=new ModelPerformanceSeries(); ModelPerformanceSeries performanceSeries=new ModelPerformanceSeries();
@@ -486,5 +383,117 @@ namespace TradeBlotter.Model
return null; return null;
} }
} }
// ***********************************************************************************************************************************************************************************************************
// *********************************************************************************** M G S H Q U A N T U M M O M E N T U M **************************************************************************************
// ***********************************************************************************************************************************************************************************************************
public static ModelPerformanceSeries GetModelPerformance(IEnumerable<MGSHPositionModel> positions)
{
ModelPerformanceSeries performanceSeries=new ModelPerformanceSeries();
try
{
DateTime minDate=positions.Min(x => x.PurchaseDate);
DateTime maxDate=PricingDA.GetLatestDate();
DateGenerator dateGenerator=new DateGenerator();
double cumulativeReturn=double.NaN;
double prevGainLoss=double.NaN;
LocalPriceCache.GetInstance().RemoveDate(maxDate);
List<DateTime> historicalDates=dateGenerator.GenerateHistoricalDates(minDate,maxDate);
foreach(MGSHPositionModel position in positions)
{
if(dateGenerator.IsWeekend(position.PurchaseDate))
{
while(true)
{
position.PurchaseDate=dateGenerator.GetNextBusinessDay(position.PurchaseDate);
if(!HolidayDA.IsMarketHoliday(position.PurchaseDate)) break;
}
}
if(dateGenerator.IsWeekend(position.SellDate))
{
while(true)
{
position.SellDate=dateGenerator.GetNextBusinessDay(position.SellDate);
if(!HolidayDA.IsMarketHoliday(position.SellDate)) break;
}
}
}
foreach(DateTime currentDate in historicalDates)
{
IEnumerable<MGSHPositionModel> openPositions=positions.Where(x => (x.PurchaseDate<=currentDate&&(!Utility.IsEpoch(x.SellDate)&&x.SellDate>currentDate))||(x.PurchaseDate<=currentDate&&Utility.IsEpoch(x.SellDate))).ToList();
IEnumerable<MGSHPositionModel> closedPositions=positions.Where(x => (!Utility.IsEpoch(x.SellDate)&&x.SellDate.Equals(currentDate))).ToList();
if(0==openPositions.Count()&&0==closedPositions.Count()) continue;
double gainLoss=0.00;
double gainLossClosedPositions=0.00;
double exposure=0.00;
double marketValue=0.00;
if(HolidayDA.IsMarketHoliday(currentDate)) continue;
ModelPerformanceItem performanceItem=new ModelPerformanceItem();
foreach(MGSHPositionModel openPosition in openPositions)
{
exposure+=openPosition.Shares*openPosition.PurchasePrice;
if(!LocalPriceCache.GetInstance().ContainsPrice(openPosition.Symbol,currentDate))
{
Prices prices=PricingDA.GetPricesForward(openPosition.Symbol,currentDate,90);
LocalPriceCache.GetInstance().Add(prices);
}
Price price=LocalPriceCache.GetInstance().GetPrice(openPosition.Symbol,currentDate);
if(null==price)
{
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("GetModelPerformance: No price for {0} on {1}",openPosition.Symbol,currentDate.ToShortDateString()));
continue;
}
gainLoss+=((price.Close*openPosition.Shares)-(openPosition.PurchasePrice*openPosition.Shares));
marketValue+=(price.Close*openPosition.Shares);
}
foreach(MGSHPositionModel closedPosition in closedPositions)
{
double gainLossPosition=(closedPosition.CurrentPrice*closedPosition.Shares)-(closedPosition.PurchasePrice*closedPosition.Shares);
gainLossClosedPositions+=gainLossPosition;
}
double dailyReturn=0.00;
if(double.IsNaN(prevGainLoss)) dailyReturn=(marketValue-exposure)/Math.Abs(exposure);
else dailyReturn=((gainLoss-prevGainLoss)/Math.Abs(prevGainLoss))/100.00;
if(double.IsNaN(cumulativeReturn)) cumulativeReturn=1.00*(1.00+dailyReturn);
else cumulativeReturn=cumulativeReturn*(1.00+dailyReturn);
performanceItem.Date=currentDate;
performanceItem.Exposure=exposure;
performanceItem.MarketValue=marketValue;
performanceItem.GainLossDOD=double.IsNaN(prevGainLoss)?gainLoss:(gainLoss-prevGainLoss)+gainLossClosedPositions;
performanceItem.GainLoss=gainLoss+gainLossClosedPositions;
performanceItem.ClosedPositions=closedPositions.Count()>0?true:false;
performanceSeries.Add(performanceItem);
prevGainLoss=gainLoss;
}
for(int index=0;index<performanceSeries.Count;index++)
{
ModelPerformanceItem currentModelPerformanceItem=performanceSeries[index];
ModelPerformanceItem prevModelPerformanceItem=0==index?null:performanceSeries[index-1];
if(null==prevModelPerformanceItem)
{
currentModelPerformanceItem.CumulativeGainLoss=currentModelPerformanceItem.GainLossDOD;
currentModelPerformanceItem.R=(currentModelPerformanceItem.MarketValue-currentModelPerformanceItem.Exposure)/currentModelPerformanceItem.Exposure;
currentModelPerformanceItem.OnePlusR=1.00+currentModelPerformanceItem.R;
currentModelPerformanceItem.CumProd=currentModelPerformanceItem.OnePlusR;
currentModelPerformanceItem.CumProdMinusOne=currentModelPerformanceItem.CumProd-1.00;
}
else
{
currentModelPerformanceItem.CumulativeGainLoss=currentModelPerformanceItem.GainLossDOD+prevModelPerformanceItem.CumulativeGainLoss;
currentModelPerformanceItem.R=prevModelPerformanceItem.Exposure.Equals(currentModelPerformanceItem.Exposure)?(currentModelPerformanceItem.MarketValue-prevModelPerformanceItem.MarketValue)/prevModelPerformanceItem.MarketValue:0;
currentModelPerformanceItem.OnePlusR=1.00+currentModelPerformanceItem.R;
currentModelPerformanceItem.CumProd=currentModelPerformanceItem.OnePlusR*prevModelPerformanceItem.CumProd;
currentModelPerformanceItem.CumProdMinusOne=currentModelPerformanceItem.CumProd-1.00;
}
}
return performanceSeries;
}
catch(Exception)
{
return null;
}
}
} }
} }