Add the MGSHMomentumHelper

2025-02-06 16:50:01 -05:00
parent 0a5c5a9594
commit 47ccedf1fb
4 changed files with 388 additions and 13 deletions
--- a/MGSHMomentumHelper.cs
+++ b/MGSHMomentumHelper.cs
@@ -0,0 +1,127 @@
+using MarketData.Generator.MGSHMomentum;
+using System;
+using System.Collections.Generic;
+
+namespace MarketData
+{
+  public static class MGSHMomentumHelper
+  {
+    public static void HandleMGSHSession(String[] args)
+    {
+      CommandArgs commandArgs = new CommandArgs(args);
+      if(!commandArgs.Has("SESSIONFILE")) 
+      { 
+        MDTrace.WriteLine(LogLevel.DEBUG,"Missing SESSIONFILE");
+        return;
+      }
+      MGSHMomentumBacktest momentumBacktest = new MGSHMomentumBacktest();
+      momentumBacktest.DisplaySession(commandArgs.Coalesce<String>("SESSIONFILE"));
+    }
+
+    public static void HandleMGSHRunDaily(String[] args)
+    {
+      CommandArgs commandArgs = new CommandArgs(args);
+      if(!commandArgs.Has("SESSIONFILE,TRADEDATE"))
+      { 
+        MDTrace.WriteLine(LogLevel.DEBUG,"SESSIONFILE and TRADEDATE are required parameters.");
+        return;
+      }
+      DateTime tradeDate = commandArgs.Get<DateTime>("TRADEDATE");
+      String pathSessionFile = commandArgs.Get<String>("PATHSESSIONFILE");
+      MGSHMomentumBacktest momentumBacktest = new MGSHMomentumBacktest();
+      MGSHBacktestResult backtestResult = momentumBacktest.UpdateDaily(tradeDate, tradeDate, pathSessionFile);
+      backtestResult.Display();
+    }
+
+    public static void HandleMGSHRunBacktest(String[] args)
+    {
+      CommandArgs commandArgs = new CommandArgs(args);
+      MGSHConfiguration mgParams=new MGSHConfiguration();
+      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;
+      }
+      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);
+      }
+
+      if(commandArgs.Has("USESTOPLIMITS"))
+      {
+        mgParams.UseStopLimits=commandArgs.Coalesce<bool>("USESTOPLIMITS",false);
+      }
+
+      if(commandArgs.Has("STOPLIMITRISKPERCENTDECIMAL"))
+      {
+        mgParams.StopLimitRiskPercentDecimal=commandArgs.Coalesce<double>("STOPLIMITRISKPERCENTDECIMAL",.12);
+      }
+
+      if(commandArgs.Has("USEHEDGING"))
+      {
+        mgParams.UseHedging=commandArgs.Coalesce<bool>("USEHEDGING",false);
+        if(commandArgs.Has("INITIALHEDGECASH"))
+        {
+          mgParams.HedgeInitialCash=commandArgs.Get<double>("INITIALHEDGECASH");
+        }
+      }
+
+      if(commandArgs.Has("KEEPSLOTPOSITIONS"))
+      {
+        mgParams.KeepSlotPositions=commandArgs.Get<bool>("KEEPSLOTPOSITIONS");
+      }
+
+// ** 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);
+      }
+// **
+      MGSHQualityIndicator qualityIndicator=new MGSHQualityIndicator(MGSHQualityIndicator.QualityType.IDIndicator);
+      if(commandArgs.Has("QUALITYINDICATORTYPE")) qualityIndicator.Quality=MGSHQualityIndicator.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<MGSHBacktestResult> results=new List<MGSHBacktestResult>();
+      MGSHMomentumBacktest backtestMomentum=new MGSHMomentumBacktest();
+      results.Add(backtestMomentum.PerformBacktest(startDate,endDate,pathSessionFileName,mgParams));
+    }
+  }
+}