Sean/marketdata
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

Add MGMomentumHelper

Browse Source
This commit is contained in:
Sean
2025-04-28 20:19:54 -04:00
parent 5c309a7c98
commit 2efe613cf1
2 changed files with 7 additions and 87 deletions
Download Patch File Download Diff File Expand all files Collapse all files

1
MarketData.csproj
View File

@@ -74,6 +74,7 @@
<Compile Include="CommandArgs.cs" />
<Compile Include="ModelHelper\CMMomentumHelper.cs" />
<Compile Include="ModelHelper\CMTrendHelper.cs" />
<Compile Include="ModelHelper\MGMomentumHelper.cs" />
<Compile Include="ModelHelper\MGSHMomentumHelper.cs" />
<Compile Include="Program.cs" />
<Compile Include="Properties\AssemblyInfo.cs" />

93
Program.cs
View File

@@ -185,7 +185,7 @@ namespace MarketData
MDTrace.WriteLine(LogLevel.DEBUG,"*********** M G M O M E N T U M (Q U A N T U M M O M E N T U M )************");
MDTrace.WriteLine(LogLevel.DEBUG," MGSESSION /SESSIONFILE:");
MDTrace.WriteLine(LogLevel.DEBUG,@" MGGAINLOSS /SESSIONFILE:{PATHSESSIONFILE} (i.e.) MGGAINLOSS /SESSIONFILE:C:\boneyard\marketdata\bin\Debug\saferun\MG20180131.txt");
MDTrace.WriteLine(LogLevel.DEBUG," RUNBACKTEST /STARTDATE: /MAXPOSITIONS: /INITIALCASH: /HOLDINGPERIOD: /{ENDDATE}: /SESSIONFILE:");
MDTrace.WriteLine(LogLevel.DEBUG," RUNBACKTEST /STARTDATE: /MAXPOSITIONS: /INITIALCASH: /HOLDINGPERIOD: /{ENDDATE}: /{SESSIONFILE}:");
MDTrace.WriteLine(LogLevel.DEBUG,"********** M G S H M O M E N T U M *********");
MDTrace.WriteLine(LogLevel.DEBUG," MGSHSESSION /SESSIONFILE:");
MDTrace.WriteLine(LogLevel.DEBUG," MGSHRUNBACKTEST /USEHEDGING: /HEDGEINITIALCASH: /USESTOPLIMITS: /KEEPSLOTPOSITIONS: /STARTDATE: /MAXPOSITIONS: /INITIALCASH: /HOLDINGPERIOD: /{ENDDATE}: /SESSIONFILE: ");
@@ -1730,97 +1730,27 @@ namespace MarketData
else if (arg.Equals("RUNMOMENTUM"))
{
CommandArgs commandArgs = new CommandArgs(args);
if (!commandArgs.Has("STARTDATE,MAXPOSITIONS")) return 0;
Program.RunMomentum(commandArgs.Coalesce<DateTime>("STARTDATE"), commandArgs.Coalesce<int>("MAXPOSITIONS"));
MGMomentumHelper.RunMomentum(commandArgs);
}
else if (arg.Equals("RUNBACKTEST"))
{
CommandArgs commandArgs = new CommandArgs(args);
MGConfiguration mgParams=new MGConfiguration();
if (!commandArgs.Has("STARTDATE,MAXPOSITIONS,INITIALCASH,HOLDINGPERIOD"))
{
if (!commandArgs.Has("STARTDATE")) MDTrace.WriteLine(LogLevel.DEBUG, "Missing STARTDATE");
if (!commandArgs.Has("MAXPOSITIONS")) MDTrace.WriteLine(LogLevel.DEBUG, "Missing MAXPOSITIONS");
if (!commandArgs.Has("INITIALCASH")) MDTrace.WriteLine(LogLevel.DEBUG, "Missing INITIALCASH");
if (!commandArgs.Has("HOLDINGPERIOD")) MDTrace.WriteLine(LogLevel.DEBUG, "Missing HOLDINGPERIOD");
return 0;
}
mgParams.MaxPositions=commandArgs.Coalesce<int>("MAXPOSITIONS");
mgParams.InitialCash=commandArgs.Coalesce<int>("INITIALCASH");
mgParams.HoldingPeriod=commandArgs.Coalesce<int>("HOLDINGPERIOD");
if(commandArgs.Has("INCLUDETRADEMASTERFORSYMBOLSHELD"))
{
mgParams.IncludeTradeMasterForSymbolsHeld=commandArgs.Get<bool>("INCLUDETRADEMASTERFORSYMBOLSHELD");
}
if(commandArgs.Has("USESTOCHASTICS"))
{
mgParams.UseStochastics=commandArgs.Coalesce<bool>("USESTOCHASTICS",true);
}
// ** M A C D
if(commandArgs.Has("USEMACD"))
{
mgParams.UseMACD=commandArgs.Coalesce<bool>("USEMACD",true);
}
if(commandArgs.Has("MACDREJECTSTRONGSELLSIGNALS"))
{
mgParams.MACDRejectStrongSellSignals=commandArgs.Coalesce<bool>("MACDREJECTSTRONGSELLSIGNALS",true);
}
if(commandArgs.Has("MACDREJECTWEAKSELLSIGNALS"))
{
mgParams.MACDRejectWeakSellSignals=commandArgs.Coalesce<bool>("MACDREJECTWEAKSELLSIGNALS",true);
}
if(commandArgs.Has("MACDSIGNALDAYS"))
{
mgParams.MACDSignalDays=commandArgs.Coalesce<int>("MACDSIGNALDAYS",mgParams.MACDSignalDays);
}
if(commandArgs.Has("MACDSETUP"))
{
mgParams.MACDSetup=commandArgs.Coalesce<String>("MACDSETUP",mgParams.MACDSetup);
}
// **
QualityIndicator qualityIndicator=new QualityIndicator(QualityIndicator.QualityType.IDIndicator);
if(commandArgs.Has("QUALITYINDICATORTYPE")) qualityIndicator.Quality=QualityIndicator.ToQuality(commandArgs.Coalesce<String>("QUALITYINDICATORTYPE","IDINDICATOR"));
mgParams.QualityIndicatorType=qualityIndicator.ToString();
mgParams.UseLowSlopeBetaCheck=true;
if(commandArgs.Has("USELOWSLOPEBETACHECK")) mgParams.UseLowSlopeBetaCheck=commandArgs.Coalesce<bool>("USELOWSLOPEBETACHECK",true);
DateTime startDate = commandArgs.Coalesce<DateTime>("STARTDATE");
DateTime endDate=commandArgs.Coalesce<DateTime>("ENDDATE",new DateTime());
String pathSessionFileName = commandArgs.Coalesce<String>("SESSIONFILE", null);
if(null!=pathSessionFileName)pathSessionFileName=pathSessionFileName.Trim();
mgParams.DisplayHeader();
List<BacktestResult> results=new List<BacktestResult>();
MomentumBacktest backtestMomentum=new MomentumBacktest();
results.Add(backtestMomentum.PerformBacktest(startDate,endDate,pathSessionFileName,mgParams));
MGMomentumHelper.RunBacktest(commandArgs);
}
else if (arg.Equals("MGSESSION"))
{
CommandArgs commandArgs = new CommandArgs(args);
if(!commandArgs.Has("SESSIONFILE")) { MDTrace.WriteLine(LogLevel.DEBUG,"Missing SESSIONFILE"); return 0; }
MomentumBacktest momentumBacktest = new MomentumBacktest();
momentumBacktest.DisplaySession(commandArgs.Coalesce<String>("SESSIONFILE"));
MGMomentumHelper.RunMGSession(commandArgs);
}
else if(arg.Equals("MGGAINLOSS"))
{
CommandArgs commandArgs = new CommandArgs(args);
if(!commandArgs.Has("SESSIONFILE")) { MDTrace.WriteLine(LogLevel.DEBUG,"Missing SESSIONFILE"); return 0; }
MomentumBacktest momentumBacktest = new MomentumBacktest();
MomentumBacktest.DisplayGainLoss(commandArgs.Coalesce<String>("SESSIONFILE"));
MGMomentumHelper.RunMGGainLoss(commandArgs);
}
else if (arg.Equals("MGLIQUIDATE"))
{
DateTime? tradeDate = null;
CommandArgs commandArgs = new CommandArgs(args);
if (!commandArgs.Has("SESSIONFILE")) return 0;
if (commandArgs.Has("TRADEDATE")) tradeDate = commandArgs.Coalesce<DateTime>("TRADEDATE");
MomentumBacktest momentumBacktest = new MomentumBacktest();
momentumBacktest.MGLiquididate(commandArgs.Coalesce<String>("SESSIONFILE"), tradeDate);
MGMomentumHelper.RunMGLiquidate(commandArgs);
}
// *************************************************************************************************************************************************************************************************************************
// ************************************************************************************************** C M M O M E N T U M *************************************************************************************************
@@ -4186,16 +4116,5 @@ namespace MarketData
Console.WriteLine(String.Format("Strongest Positive:{0},{1}",items[items.Count-2].Symbol,items[items.Count-2].Coefficient));
Console.WriteLine(String.Format("Strongest Positive:{0},{1}",items[items.Count-1].Symbol,items[items.Count-1].Coefficient));
}
public static void RunMomentum(DateTime analysisDate,int maxPositions)
{
MGConfiguration config=new MGConfiguration();
MomentumCandidates momentumCandidates=MomentumGenerator.GenerateMomentum(analysisDate,config);
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("{0}",MomentumCandidate.Header()));
for(int index=0;index<momentumCandidates.Count;index++)
{
MomentumCandidate momentumCandidate=momentumCandidates[index];
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("{0}",momentumCandidate.ToString()));
}
}
}
}