Updates to support calculated betas in the fundamental feed.

Database/MarketData.sql

@@ -394,6 +394,8 @@ CREATE TABLE Fundamentals
 	source VARCHAR(15),
 	next_earnings_date DATE,
 	beta NUMERIC(19,2),
+	beta_calc_36 NUMERIC(19,2),
+	beta_calc_06 NUMERIC(19,2),
 	low52 NUMERIC(19,2),
 	high52 NUMERIC(19,2),
 	volume BIGINT,

Database/dump.bat

@@ -1,7 +1,11 @@
-REM I wrote this specifically to dump the entire database including SQL to the backupdb.sql for the purpose
+ECHO STARTING DUMP FOR MARIADB
-REM of importing it into MariaDb running on the Andrastea machine which is a Pi 4 B.
+REM  "C:\Program Files\MySQL\MySQL Server 8.0\bin\mysqldump" --hex-blob --max_allowed_packet=64M --default-character-set=utf8mb4 --all-databases --user=root --password=dbas --master-data > backupdb.sql 
-REM If this works out nicely then I am considering purchasing another Pi 5 16Gig 
 
-"C:\Program Files\MySQL\MySQL Server 8.0\bin\mysqldump" --hex-blob --max_allowed_packet=64M --default-character-set=utf8mb4 --all-databases --user=root --password=dbas --master-data > backupdb.sql 
+IF EXIST backupdb.sql (
+  ECHO REMOVING backupdb.sql
+  DEL backupdb.sql
+)
 
 
+"C:\Program Files\MySQL\MySQL Server 8.0\bin\mysqldump" --hex-blob --max_allowed_packet=64M --default-character-set=utf8mb4 --databases market_data portfolio_data user_data --user=root --password=dbas --master-data > backupdb.sql 
+

MarketDataLib/DataAccess/FundamentalDA.cs

@@ -12,6 +12,134 @@ namespace MarketData.DataAccess
     private FundamentalDA()
     {
     }
+
+    /// <summary>
+    /// Gets a distinct list of asof dates from the fundamentals
+    /// </summary>
+    /// <returns></returns>
+    public static List<DateTime> GetDistinctAsOf()
+    {
+      MySqlConnection sqlConnection = null;
+      MySqlDataReader sqlDataReader = null;
+			MySqlCommand sqlCommand =null;
+      List<DateTime> dates = new List<DateTime>();
+      String strQuery = null;
+
+      try
+      {
+        StringBuilder sb = new StringBuilder();
+        sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
+        sb.Append("select distinct(asof) from fundamentals order by 1 desc");
+        strQuery = sb.ToString(); ;
+        sqlCommand = new MySqlCommand(strQuery, sqlConnection);
+        sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT;
+        sqlDataReader = sqlCommand.ExecuteReader();
+        while (sqlDataReader.Read()) 
+        {
+          dates.Add(sqlDataReader.GetDateTime(0));
+        }
+        return dates;
+      }
+      catch (Exception exception)
+      {
+        MDTrace.WriteLine(LogLevel.DEBUG,exception);
+        return null;
+      }
+      finally
+      {
+				if(null!=sqlCommand)sqlCommand.Dispose();
+        if (null != sqlDataReader) {sqlDataReader.Close();sqlDataReader.Dispose();}
+        if (null != sqlConnection) sqlConnection.Close();
+      }
+    }
+
+    /// <summary>
+    /// Gets the symbols for a particular asof date
+    /// </summary>
+    /// <returns></returns>
+    public static List<String> GetSymbolsAsOf(DateTime asof)
+    {
+      MySqlConnection sqlConnection = null;
+      MySqlDataReader sqlDataReader = null;
+			MySqlCommand sqlCommand =null;
+      List<String> symbols = new List<String>();
+      String strQuery = null;
+
+      try
+      {
+        StringBuilder sb = new StringBuilder();
+        sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
+        sb.Append("select symbol from fundamentals where asof =").Append(SqlUtils.ToSqlDate(asof,true)).Append(" order by 1 asc");
+        strQuery = sb.ToString(); ;
+        sqlCommand = new MySqlCommand(strQuery, sqlConnection);
+        sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT;
+        sqlDataReader = sqlCommand.ExecuteReader();
+        while (sqlDataReader.Read()) 
+        {
+          symbols.Add(sqlDataReader.GetString(0));
+        }
+        return symbols;
+      }
+      catch (Exception exception)
+      {
+        MDTrace.WriteLine(LogLevel.DEBUG,exception);
+        return null;
+      }
+      finally
+      {
+				if(null!=sqlCommand)sqlCommand.Dispose();
+        if (null != sqlDataReader) {sqlDataReader.Close();sqlDataReader.Dispose();}
+        if (null != sqlConnection) sqlConnection.Close();
+      }
+    }
+
+    /// <summary>
+    /// Updates the beta36 and bet6 for a symbol for a specific date
+    /// </summary>
+    /// <returns></returns>
+    public static bool UpdateBeta(String symbol,DateTime asof,double beta36, double beta06)
+    {
+      MySqlConnection sqlConnection = null;
+      MySqlTransaction sqlTransaction = null;
+			MySqlCommand sqlCommand =null;
+
+      List<String> symbols = new List<String>();
+      String strQuery = null;
+
+      try
+      {
+        StringBuilder sb = new StringBuilder();
+        sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
+        sqlTransaction = sqlConnection.BeginTransaction(System.Data.IsolationLevel.ReadCommitted);
+        sb.Append("update fundamentals set ");
+        sb.Append("beta_calc_36=");
+        if (!Double.IsNaN(beta36)) sb.Append(beta36).Append(",");
+        else sb.Append("null").Append(",");
+        sb.Append("beta_calc_06=");
+        if (!Double.IsNaN(beta06)) sb.Append(beta06);
+        else sb.Append("null");
+        sb.Append(" where ");
+        sb.Append("symbol='").Append(symbol).Append("' and asof =").Append(SqlUtils.ToSqlDate(asof,true));
+        strQuery = sb.ToString();
+        sqlCommand = new MySqlCommand(strQuery, sqlConnection, sqlTransaction);
+        sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT;
+        sqlCommand.ExecuteNonQuery();
+        sqlTransaction.Commit();
+        return true;
+      }
+      catch (Exception exception)
+      {
+        MDTrace.WriteLine(LogLevel.DEBUG,exception);
+        return false;
+      }
+      finally
+      {
+        if(null != sqlTransaction)sqlTransaction.Dispose();
+				if(null != sqlCommand)sqlCommand.Dispose();
+        if(null != sqlConnection) sqlConnection.Close();
+      }
+    }
+
     public static bool CheckFundamentalModifiedOn(String symbol,DateTime modified)
     {
       MySqlConnection sqlConnection = null;
@@ -47,42 +175,6 @@ namespace MarketData.DataAccess
         if (null != sqlConnection) sqlConnection.Close();
       }
     }
-    public static DateTime GetLatestDate(String symbol)
-    {
-      MySqlConnection sqlConnection = null;
-      MySqlDataReader sqlDataReader = null;
-			MySqlCommand sqlCommand=null;
-      String strQuery = null;
-      DateTime maxDate = DateTime.Parse("01-01-0001");
-
-      try
-      {
-        StringBuilder sb = new StringBuilder();
-        sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
-        sb.Append("select max(asof) from fundamentals").Append(" ");
-        sb.Append("where symbol='").Append(symbol).Append("'");
-        strQuery = sb.ToString(); ;
-        sqlCommand = new MySqlCommand(strQuery, sqlConnection);
-        sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT;
-        sqlDataReader = sqlCommand.ExecuteReader();
-        if (sqlDataReader.Read())
-        {
-          if (!sqlDataReader.IsDBNull(0))maxDate=sqlDataReader.GetDateTime(0);
-        }
-        return maxDate;
-      }
-      catch (Exception exception)
-      {
-        MDTrace.WriteLine(LogLevel.DEBUG,exception);
-        return maxDate;
-      }
-      finally
-      {
-				if(null!=sqlCommand)sqlCommand.Dispose();
-        if (null != sqlDataReader) {sqlDataReader.Close();sqlDataReader.Dispose();}
-        if(null != sqlConnection) sqlConnection.Close();
-      }
-    }
     public static TimeSeriesCollection GetTotalCashMils(String symbol)
     {
       MySqlConnection sqlConnection = null;
@@ -240,7 +332,7 @@ namespace MarketData.DataAccess
       {
         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("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,beta_calc_36,beta_calc_06 from fundamentals where symbol=");
         sb.Append("'").Append(symbol).Append("'").Append(" ");
         sb.Append("and asof=(select max(asof) from fundamentals where symbol='").Append(symbol).Append("')");
         strQuery = sb.ToString(); ;
@@ -279,6 +371,8 @@ namespace MarketData.DataAccess
         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 (!sqlDataReader.IsDBNull(30)) fundamental.BetaCalc36 = sqlDataReader.GetDouble(30);
+        if (!sqlDataReader.IsDBNull(31)) fundamental.BetaCalc06 = sqlDataReader.GetDouble(31);
         BalanceSheet balanceSheet=BalanceSheetDA.GetBalanceSheetOnOrBefore(symbol,fundamental.AsOf,BalanceSheet.PeriodType.Annual);
         if(null!=balanceSheet&&!double.IsNaN(balanceSheet.TotalStockHolderEquity)&&!double.IsNaN(fundamental.TotalDebt)&&0!=fundamental.TotalDebt)fundamental.DebtToEquity=fundamental.TotalDebt/balanceSheet.TotalStockHolderEquity;
         return fundamental;
@@ -306,7 +400,7 @@ namespace MarketData.DataAccess
       {
         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("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,beta_calc_36,beta_calc_06 from fundamentals where symbol=");
         sb.Append("'").Append(symbol).Append("'").Append(" ");
         sb.Append("and asof=").Append("'").Append(Utility.DateTimeToStringYYYYHMMHDD(asof)).Append("'").Append(";");
         strQuery = sb.ToString(); ;
@@ -346,6 +440,8 @@ namespace MarketData.DataAccess
         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 (!sqlDataReader.IsDBNull(30)) fundamental.BetaCalc36 = sqlDataReader.GetDouble(30);
+        if (!sqlDataReader.IsDBNull(3)) fundamental.BetaCalc06 = sqlDataReader.GetDouble(31);
         if (null != balanceSheet && !double.IsNaN(balanceSheet.TotalStockHolderEquity) && !double.IsNaN(fundamental.TotalDebt) && 0 != fundamental.TotalDebt)
         {
           fundamental.DebtToEquity=fundamental.TotalDebt/balanceSheet.TotalStockHolderEquity;
@@ -403,7 +499,6 @@ namespace MarketData.DataAccess
       }
     }
 
-    
     /// <summary>
     /// Retrieve latest MarketCap, PE, EBITDA, RevenuePerShare for all symbols with aasof being no more recent than the provided date
     /// Given a tradeDate of 04/18/2025 this method might return a collection similar to below.  The model returned is a subset of the fundamental 
@@ -425,7 +520,7 @@ namespace MarketData.DataAccess
       {
         StringBuilder sb = new StringBuilder();
         sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
-        sb.Append("SELECT A.asof,A.symbol, A.market_cap,A.ebitda,A.pe,A.revenue_per_share FROM fundamentals A JOIN ");
+        sb.Append("SELECT A.asof,A.symbol, A.market_cap,A.ebitda,A.pe,A.revenue_per_share,A.beta,A.beta_calc_36,A.beta_calc_06 FROM fundamentals A JOIN ");
         sb.Append("(SELECT MAX(asof) asof,symbol FROM fundamentals WHERE asof<=").Append("'");
         sb.Append(Utility.DateTimeToStringYYYYHMMHDD(tradeDate.Date));
         sb.Append("'");
@@ -444,6 +539,9 @@ namespace MarketData.DataAccess
           if(!sqlDataReader.IsDBNull(3)) fundamental.EBITDA = sqlDataReader.GetDouble(3);
           if(!sqlDataReader.IsDBNull(4)) fundamental.PE = sqlDataReader.GetDouble(4);
           if(!sqlDataReader.IsDBNull(5)) fundamental.RevenuePerShare = sqlDataReader.GetDouble(5);
+          if(!sqlDataReader.IsDBNull(6)) fundamental.Beta = sqlDataReader.GetDouble(6);
+          if(!sqlDataReader.IsDBNull(7)) fundamental.BetaCalc36 = sqlDataReader.GetDouble(7);
+          if(!sqlDataReader.IsDBNull(8)) fundamental.BetaCalc06 = sqlDataReader.GetDouble(8);
           if(!fundamentals.ContainsKey(fundamental.Symbol))fundamentals.Add(fundamental.Symbol,fundamental);
         }
         return fundamentals;
@@ -474,7 +572,7 @@ namespace MarketData.DataAccess
         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("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,beta_calc_36,beta_calc_06 from fundamentals where symbol=");
         sb.Append("'").Append(symbol).Append("'").Append(" ");
         sb.Append("and asof=").Append("'").Append(Utility.DateTimeToStringYYYYHMMHDD(maxDate.Value)).Append("'");
         sb.Append(" limit 1");
@@ -515,6 +613,8 @@ namespace MarketData.DataAccess
         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 (!sqlDataReader.IsDBNull(30)) fundamental.BetaCalc36 = sqlDataReader.GetDouble(30);
+        if (!sqlDataReader.IsDBNull(31)) fundamental.BetaCalc06 = sqlDataReader.GetDouble(31);
         if (!double.IsNaN(totalStockHolderEquity) && !double.IsNaN(fundamental.TotalDebt))
         {
           if(0.00==totalStockHolderEquity)fundamental.TotalDebt=0.00;
@@ -535,86 +635,6 @@ namespace MarketData.DataAccess
       }
     }
 
-    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();sqlDataReader.Dispose();}
-        if (null != sqlConnection) sqlConnection.Close();
-      }
-    }
-
     public static bool InsertFundamentals(Fundamentals fundamentals)
     {
       MySqlConnection sqlConnection = null;
@@ -630,7 +650,7 @@ namespace MarketData.DataAccess
         {
           Fundamental fundamental = fundamentals[index];
           StringBuilder sb = new StringBuilder();
-          sb.Append("insert into fundamentals (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,trailing_pe,ebit,enterprise_value,source) ");
+          sb.Append("insert into fundamentals (symbol,asof,next_earnings_date,beta,beta_calc_36,beta_calc_06,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,trailing_pe,ebit,enterprise_value,source) ");
           sb.Append("values(");
           sb.Append("'").Append(fundamental.Symbol).Append("'").Append(",");
           sb.Append("'").Append(Utility.DateTimeToStringYYYYHMMHDD(fundamental.AsOf)).Append("'").Append(",");
@@ -638,6 +658,10 @@ namespace MarketData.DataAccess
           else sb.Append("'").Append(Utility.DateTimeToStringYYYYHMMHDD(fundamental.NextEarningsDate)).Append("'").Append(",");
           if (!Double.IsNaN(fundamental.Beta)) sb.Append(fundamental.Beta).Append(",");
           else sb.Append("null").Append(",");
+          if (!Double.IsNaN(fundamental.BetaCalc36)) sb.Append(fundamental.BetaCalc36).Append(",");
+          else sb.Append("null").Append(",");
+          if (!Double.IsNaN(fundamental.BetaCalc06)) sb.Append(fundamental.BetaCalc06).Append(",");
+          else sb.Append("null").Append(",");
           if (!Double.IsNaN(fundamental.Low52)) sb.Append(fundamental.Low52).Append(",");
           else sb.Append("null").Append(",");
           if (!Double.IsNaN(fundamental.High52)) sb.Append(fundamental.High52).Append(",");
@@ -722,7 +746,7 @@ namespace MarketData.DataAccess
         sqlTransaction = sqlConnection.BeginTransaction(System.Data.IsolationLevel.ReadCommitted);
         DeleteFundamental(fundamental, sqlConnection, sqlTransaction);
         StringBuilder sb = new StringBuilder();
-        sb.Append("insert into fundamentals (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,trailing_pe,ebit,enterprise_value,source) ");
+        sb.Append("insert into fundamentals (symbol,asof,next_earnings_date,beta,beta_calc_36,beta_calc_06,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,trailing_pe,ebit,enterprise_value,source) ");
         sb.Append("values(");
         sb.Append("'").Append(fundamental.Symbol).Append("'").Append(",");
         sb.Append("'").Append(Utility.DateTimeToStringYYYYHMMHDD(fundamental.AsOf)).Append("'").Append(",");
@@ -730,6 +754,10 @@ namespace MarketData.DataAccess
         else sb.Append("'").Append(Utility.DateTimeToStringYYYYHMMHDD(fundamental.NextEarningsDate)).Append("'").Append(",");
         if (!Double.IsNaN(fundamental.Beta)) sb.Append(fundamental.Beta).Append(",");
         else sb.Append("null").Append(",");
+        if (!Double.IsNaN(fundamental.BetaCalc36)) sb.Append(fundamental.BetaCalc36).Append(",");
+        else sb.Append("null").Append(",");
+        if (!Double.IsNaN(fundamental.BetaCalc06)) sb.Append(fundamental.BetaCalc06).Append(",");
+        else sb.Append("null").Append(",");
         if (!Double.IsNaN(fundamental.Low52)) sb.Append(fundamental.Low52).Append(",");
         else sb.Append("null").Append(",");
         if (!Double.IsNaN(fundamental.High52)) sb.Append(fundamental.High52).Append(",");

MarketDataLib/Generator/MGSHMomentum/MGSHBacktest.cs

@@ -829,7 +829,7 @@ namespace MarketData.Generator.MGSHMomentum
           }
           else
           {
-            MDTrace.WriteLine(LogLevel.DEBUG, String.Format("[UpdateStopLimitsForActivePositions] No stop adjustment for {0} on {1} because low price {2} is less then or equal to the purchase price {3}.", 
+            MDTrace.WriteLine(LogLevel.DEBUG, String.Format("[UpdateStopLimitsForActivePositions] No stop adjustment for {0} on {1} because low price {2} is less than or equal to the purchase price {3}.", 
               position.Symbol, 
               analysisDate.ToShortDateString(),
               Utility.FormatCurrency(price.Low),

MarketDataLib/Helper/FundamentalMarketDataHelper.cs

@@ -6,6 +6,7 @@ using System.Threading;
 using MarketData.MarketDataModel;
 using MarketData.DataAccess;
 using MarketData.Utils;
+using MarketData.Numerical;
 
 namespace MarketData.Helper
 {
@@ -219,6 +220,8 @@ namespace MarketData.Helper
 				{
           Fundamental priorFundamental=FundamentalDA.GetFundamental(symbol);
           fundamental.MergeFrom(priorFundamental);             // if any fields are missing on this run then carry forward fields from previous run
+          fundamental.BetaCalc36=BetaGenerator.Beta(fundamental.Symbol,fundamental.AsOf,36);
+          fundamental.BetaCalc06=BetaGenerator.Beta(fundamental.Symbol,fundamental.AsOf,6);
 					FundamentalDA.InsertFundamental(fundamental);
 					MDTrace.WriteLine(LogLevel.DEBUG,Fundamental.Header);
 					MDTrace.WriteLine(LogLevel.DEBUG,fundamental.ToString());
@@ -243,6 +246,8 @@ namespace MarketData.Helper
         if(null!=nextEarningsDate)fundamental.NextEarningsDate=nextEarningsDate.Value;
         Fundamental priorFundamental=FundamentalDA.GetFundamental(symbol);
         fundamental.MergeFrom(priorFundamental);             // if any fields are missing on this run then carry forward fields from previous run
+        fundamental.BetaCalc36=BetaGenerator.Beta(fundamental.Symbol,fundamental.AsOf,36);
+        fundamental.BetaCalc06=BetaGenerator.Beta(fundamental.Symbol,fundamental.AsOf,6);
 				FundamentalDA.InsertFundamental(fundamental);
 				MDTrace.WriteLine(LogLevel.DEBUG,Fundamental.Header);
 				MDTrace.WriteLine(LogLevel.DEBUG,fundamental.ToString());

MarketDataLib/MarketDataModel/FundamentalV2.cs

@@ -0,0 +1,76 @@
+using System;
+using System.Collections.Generic;
+using System.Net.Http.Headers;
+using System.Text;
+using MarketData.Utils;
+
+namespace MarketData.MarketDataModel
+{
+  public class FundamentalsV2 : Dictionary<String,FundamentalV2>
+  {
+    public FundamentalsV2()
+    {
+    }
+  }
+  public class FundamentalV2
+  {
+    private String symbol;
+    private DateTime asOf;
+    private double marketCap;
+    private double pe;
+    private double ebitda;     
+    private double revenuePerShare;    
+    private double beta;
+    private double betaCalc36;
+    private double betaCalc06;
+
+    public FundamentalV2()
+    {
+    }
+    public String Symbol
+    {
+      get { return symbol; }
+      set { symbol = value; }
+    }
+    public DateTime AsOf
+    {
+      get { return asOf; }
+      set { asOf = value; }
+    }
+    public double MarketCap
+    {
+      get { return marketCap; }
+      set { marketCap = value; }
+    }
+    public double PE
+    {
+      get { return pe; }
+      set { pe = value; }
+    }
+    public double RevenuePerShare
+    {
+      get { return revenuePerShare; }
+      set { revenuePerShare = value; }
+    }  
+    public double EBITDA
+    {
+      get { return ebitda; }
+      set { ebitda = value; }
+    }      
+    public double Beta
+    {
+      get { return beta; }
+      set { beta = value; }
+    }      
+    public double BetaCalc36
+    {
+      get { return betaCalc36; }
+      set { betaCalc36 = value; }
+    }      
+    public double BetaCalc06
+    {
+      get { return betaCalc06; }
+      set { betaCalc06 = value; }
+    }      
+  }
+}

MarketDataLib/MarketDataModel/Fundamentals.cs

@@ -18,6 +18,8 @@ namespace MarketData.MarketDataModel
     private DateTime asOf;
     private DateTime nextEarningsDate;
     private double beta;
+    private double betaCalc36;
+    private double betaCalc06;
     private double low52;
     private double high52;
     private Int64 volume;
@@ -74,6 +76,16 @@ namespace MarketData.MarketDataModel
       get { return beta; }
       set { beta = value; }
     }
+    public double BetaCalc36
+    {
+      get { return betaCalc36; }
+      set { betaCalc36 = value; }
+    }
+    public double BetaCalc06
+    {
+      get { return betaCalc06; }
+      set { betaCalc06 = value; }
+    }
     public double Low52
     {
       get { return low52; }
@@ -329,6 +341,8 @@ namespace MarketData.MarketDataModel
         sb.Append("Source,");
         sb.Append("NextEarningsDate").Append(",");
         sb.Append("Beta").Append(",");
+        sb.Append("BetaCalc36").Append(",");
+        sb.Append("BetaCalc06").Append(",");
         sb.Append("Low52").Append(",");
         sb.Append("High52").Append(",");
         sb.Append("Volume").Append(",");
@@ -366,6 +380,8 @@ namespace MarketData.MarketDataModel
       sb.Append(null == Source ? "" : Source).Append(",");
       sb.Append(Utility.DateTimeToStringMMSDDSYYYY(NextEarningsDate)).Append(",");
       sb.Append(String.Format("{0:0.00}",Beta )).Append(",");
+      sb.Append(String.Format("{0:0.00}",BetaCalc36 )).Append(",");
+      sb.Append(String.Format("{0:0.00}",BetaCalc06 )).Append(",");
       sb.Append(String.Format("{0:0.00}",Low52)).Append(",");
       sb.Append(String.Format("{0:0.00}",High52)).Append(",");
       sb.Append(String.Format("{0:0.00}", Volume)).Append(",");