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Fix GetMonthlyPrices in Prices. It was not correctly returning monthly prices.

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This was causing an issue in the SharpeRatioGenerator whereby the SharpeRatio was not being calculated correctly where the asof date would
fall on a weekend of holiday.
Also, added a ReasonCategory to the CMCanidate as well as a Violation summary line in the model output to show where violations occur.
Had I implemented this previously I might have detected the SharpeRatio issue sooner.
Also added GetFundamentalMaxDateTop in the FundamentalDA which I used during debugging but is not currently being used anywhere.
This commit is contained in:
Sean
2025-02-02 14:59:14 -05:00
parent 4b9be6bc12
commit 2882559651
7 changed files with 183 additions and 34 deletions
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81
MarketDataLib/DataAccess/FundamentalDA.cs
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@@ -459,6 +459,87 @@ namespace MarketData.DataAccess
if (null != sqlConnection) sqlConnection.Close();
}
}
public static Fundamentals GetFundamentalMaxDateTop(String symbol, DateTime asof, int top)
{
MySqlConnection sqlConnection = null;
MySqlDataReader sqlDataReader = null;
MySqlCommand sqlCommand=null;
String strQuery = null;
Fundamentals fundamentals = new Fundamentals();
try
{
DateTime? maxDate=GetMaxDateFromFundamental(symbol,asof); // get the maximum date on record on or before max date
if(null==maxDate)return null;
StringBuilder sb = new StringBuilder();
sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
sb.Append("select symbol,asof,next_earnings_date,beta,low52,high52,volume,market_cap,pe,eps,peg,return_on_assets,return_on_equity,total_cash,total_debt,shares_outstanding,revenue,revenue_per_share,qtrly_revenue_growth,gross_profit,ebitda,net_income_available_to_common,book_value_per_share,operating_cashflow,leveraged_free_cashflow,book_value_per_share*shares_outstanding as equity,trailing_pe,ebit,enterprise_value,source from fundamentals where symbol=");
sb.Append("'").Append(symbol).Append("'").Append(" ");
sb.Append("and asof<=").Append("'").Append(Utility.DateTimeToStringYYYYHMMHDD(maxDate.Value)).Append("'");
sb.Append(" order by asof desc ");
sb.Append(" limit ").Append(top);
strQuery = sb.ToString();
sqlCommand = new MySqlCommand(strQuery, sqlConnection);
sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT;
sqlDataReader = sqlCommand.ExecuteReader();
while(sqlDataReader.Read())
{
double totalStockHolderEquity=BalanceSheetDA.GetTotalStockHolderEquityOnOrBefore(symbol,asof,BalanceSheet.PeriodType.Annual);
Fundamental fundamental = new Fundamental();
fundamental.Symbol = sqlDataReader.GetString(0);
fundamental.AsOf = sqlDataReader.GetDateTime(1);
if (!sqlDataReader.IsDBNull(2)) fundamental.NextEarningsDate = sqlDataReader.GetDateTime(2);
if (!sqlDataReader.IsDBNull(3)) fundamental.Beta = sqlDataReader.GetDouble(3);
if (!sqlDataReader.IsDBNull(4)) fundamental.Low52 = sqlDataReader.GetDouble(4);
if (!sqlDataReader.IsDBNull(5)) fundamental.High52 = sqlDataReader.GetDouble(5);
if (!sqlDataReader.IsDBNull(6)) fundamental.Volume = sqlDataReader.GetInt64(6);
if (!sqlDataReader.IsDBNull(7)) fundamental.MarketCap = sqlDataReader.GetDouble(7);
if (!sqlDataReader.IsDBNull(8)) fundamental.PE = sqlDataReader.GetDouble(8);
if (!sqlDataReader.IsDBNull(9)) fundamental.EPS = sqlDataReader.GetDouble(9);
if (!sqlDataReader.IsDBNull(10)) fundamental.PEG = sqlDataReader.GetDouble(10);
if (!sqlDataReader.IsDBNull(11)) fundamental.ReturnOnAssets = sqlDataReader.GetDouble(11);
if (!sqlDataReader.IsDBNull(12)) fundamental.ReturnOnEquity = sqlDataReader.GetDouble(12);
if (!sqlDataReader.IsDBNull(13)) fundamental.TotalCash = sqlDataReader.GetDouble(13);
if (!sqlDataReader.IsDBNull(14)) fundamental.TotalDebt = sqlDataReader.GetDouble(14);
if (!sqlDataReader.IsDBNull(15)) fundamental.SharesOutstanding = sqlDataReader.GetDouble(15);
if (!sqlDataReader.IsDBNull(16)) fundamental.Revenue = sqlDataReader.GetDouble(16);
if (!sqlDataReader.IsDBNull(17)) fundamental.RevenuePerShare = sqlDataReader.GetDouble(17);
if (!sqlDataReader.IsDBNull(18)) fundamental.QtrlyRevenueGrowth = sqlDataReader.GetDouble(18);
if (!sqlDataReader.IsDBNull(19)) fundamental.GrossProfit = sqlDataReader.GetDouble(19);
if (!sqlDataReader.IsDBNull(20)) fundamental.EBITDA = sqlDataReader.GetDouble(20);
if (!sqlDataReader.IsDBNull(21)) fundamental.NetIncomeAvailableToCommon = sqlDataReader.GetDouble(21);
if (!sqlDataReader.IsDBNull(22)) fundamental.BookValuePerShare = sqlDataReader.GetDouble(22);
if (!sqlDataReader.IsDBNull(23)) fundamental.OperatingCashflow = sqlDataReader.GetDouble(23);
if (!sqlDataReader.IsDBNull(24)) fundamental.LeveragedFreeCashflow = sqlDataReader.GetDouble(24);
if (!sqlDataReader.IsDBNull(25)) fundamental.Equity = sqlDataReader.GetDouble(25);
if (!sqlDataReader.IsDBNull(26)) fundamental.TrailingPE = sqlDataReader.GetDouble(26);
if (!sqlDataReader.IsDBNull(27)) fundamental.EBIT = sqlDataReader.GetDouble(27);
if (!sqlDataReader.IsDBNull(28)) fundamental.EnterpriseValue = sqlDataReader.GetDouble(28);
if (!sqlDataReader.IsDBNull(29)) fundamental.Source = sqlDataReader.GetString(29);
if (!double.IsNaN(totalStockHolderEquity) && !double.IsNaN(fundamental.TotalDebt))
{
if(0.00==totalStockHolderEquity)fundamental.TotalDebt=0.00;
else fundamental.DebtToEquity=fundamental.TotalDebt/totalStockHolderEquity;
}
fundamentals.Add(fundamental);
}
return fundamentals;
}
catch (Exception exception)
{
MDTrace.WriteLine(LogLevel.DEBUG,exception);
return null;
}
finally
{
if(null!=sqlCommand)sqlCommand.Dispose();
if (null != sqlDataReader) sqlDataReader.Close();
if (null != sqlConnection) sqlConnection.Close();
}
}
public static bool InsertFundamentals(Fundamentals fundamentals)
{
MySqlConnection sqlConnection = null;