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Sean
2026-02-19 09:13:15 -05:00
parent 69c8736bf3
commit 6d966c4f28
12 changed files with 849 additions and 0 deletions
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135
ModelHelper/CMMomentumHelper.cs Normal file
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using MarketData.Generator.CMMomentum;
using MarketData.Utils;
using System;
using System.Collections.Generic;
namespace MarketData.ModelHelper
{
public static class CMMomentumHelper
{
/// <summary>
/// CMCANDIDATELASTRESORT /TRADEDATE:
/// </summary>
/// <param name="args"></param>
public static void RunCMCandidateLastResort(String[] args)
{
CMParams cmParams = new CMParams();
List<String> candidates = Utility.ToList(cmParams.FallbackCandidateBestOf);
CommandArgs commandArgs = new CommandArgs(args);
if (!commandArgs.Has("TRADEDATE")) { MDTrace.WriteLine(LogLevel.DEBUG, "TRADEDATE required"); return; }
CMCandidate cmCandidate = CMCandidateGenerator.GetFallbackCandidateOfLastResort(candidates, commandArgs.Coalesce<DateTime>("TRADEDATE"), commandArgs.Coalesce<DateTime>("TRADEDATE"), cmParams);
if (null == cmCandidate) { MDTrace.WriteLine(LogLevel.DEBUG, "Unable to determine candidate of last resort."); return; }
foreach (String candidate in candidates)
{
MDTrace.WriteLine(LogLevel.DEBUG, String.Format("Candidate examined..{0}", candidate));
}
MDTrace.WriteLine(LogLevel.DEBUG, String.Format("Best candidate is {0}", cmCandidate.Symbol));
}
/// <summary>
/// CMGAINLOSS /SESSIONFILE:{PATHSESSIONFILE} (i.e.) CMGAINLOSS /SESSIONFILE:C:\boneyard\marketdata\bin\Debug\saferun\CM20191031.txt");
/// </summary>
/// <param name="args"></param>
public static void RunCMGainLoss(String[] args)
{
CommandArgs commandArgs=new CommandArgs(args);
if(!commandArgs.Has("SESSIONFILE")) { MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Missing SESSIONFILE")); return; }
CMMomentumBacktest cmBacktest=new CMMomentumBacktest();
cmBacktest.DisplayGainLoss(commandArgs.Coalesce<String>("SESSIONFILE"));
}
/// <summary>
/// CMSESSION /SESSIONFILE:
/// </summary>
/// <param name="args"></param>
public static void RunCMSession(String[] args)
{
CommandArgs commandArgs = new CommandArgs(args);
if (!commandArgs.Has("SESSIONFILE"))
{
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Missing SESSIONFILE"));
return;
}
CMMomentumBacktest cmBacktest = new CMMomentumBacktest();
cmBacktest.DisplaySession(commandArgs.Coalesce<String>("SESSIONFILE"));
}
/// <summary>
/// RUNCMBACKTEST /STARTDATE: /MAXPOSITIONS: /INITIALCASH: /HOLDINGPERIOD: /{USEBINBASEDPOSITIONSIZING}: /{USEBINBASEDPOSITIONSIZINGNUMBINS}: /{TARGETBETA}: /{ENDDATE}: /SESSIONFILE: /{USECNN}: /{USECNNHOST}: /{USECNNDAYCOUNT}:
/// </summary>
/// <param name="args"></param>
public static void RunCMMomentum(String[] args)
{
CommandArgs commandArgs=new CommandArgs(args);
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;
}
CMParams cmParams=new CMParams();
cmParams.AnalysisDate=commandArgs.Get<DateTime>("STARTDATE");
cmParams.MaxPositions=commandArgs.Get<int>("MAXPOSITIONS");
cmParams.InitialCash=commandArgs.Get<double>("INITIALCASH");
cmParams.HoldingPeriod=commandArgs.Get<int>("HOLDINGPERIOD");
if(commandArgs.Has("USECNN"))
{
if(!commandArgs.Has("USECNNCLIENT,USECNNDAYCOUNT"))
{
MDTrace.WriteLine(LogLevel.DEBUG,"Missing USECNNCLIENT, USECNNDAYCOUNT");
return;
}
cmParams.UseCNN=true;
cmParams.UseCNNHost=commandArgs.Get<String>("USECNNHOST");
cmParams.UseCNNDayCount=commandArgs.Get<int>("USECNNDAYCOUNT");
if(commandArgs.Has("USECNNREWARDPERCENTDECIMAL"))cmParams.UseCNNRewardPercentDecimal=commandArgs.Get<double>("USECNNREWARDPERCENTDECIMAL");
}
if(commandArgs.Has("USEOVEREXTENDEDINDICATOR"))
{
if(!commandArgs.Has("USEOVEREXTENDEDINDICATORDAYS,USEOVEREXTENDEDINDICATORVIOLATIONTHRESHHOLD,USEOVEREXTENDEDINDICATORMARGINPERCENT"))
{
MDTrace.WriteLine(LogLevel.DEBUG,"Missing USEOVEREXTENDEDINDICATORDAYS, USEOVEREXTENDEDINDICATORVIOLATIONTHRESHHOLD, USEOVEREXTENDEDINDICATORMARGINPERCENT");
return;
}
cmParams.UseOverExtendedIndicator=commandArgs.Get<bool>("USEOVEREXTENDEDINDICATOR");
cmParams.UseOverExtendedIndicatorDays=commandArgs.Get<int>("USEOVEREXTENDEDINDICATORDAYS");
cmParams.UseOverExtendedIndicatorViolationThreshhold=commandArgs.Get<int>("USEOVEREXTENDEDINDICATORVIOLATIONTHRESHHOLD");
cmParams.UseOverExtendedIndicatorMarginPercent=commandArgs.Get<double>("USEOVEREXTENDEDINDICATORMARGINPERCENT");
}
if(commandArgs.Has("USEMAXPOSITIONBUCKETWEIGHT")) // UseMaxPositionBucketWeight
{
if(!commandArgs.Has("USEMAXPOSITIONBUCKETWEIGHTMAXWEIGHT")) // UseMaxPositionBucketWeightMaxWeight
{
MDTrace.WriteLine(LogLevel.DEBUG,"Missing USEMAXPOSITIONBUCKETWEIGHTMAXWEIGHT");
return;
}
cmParams.UseMaxPositionBucketWeight=commandArgs.Get<bool>("USEMAXPOSITIONBUCKETWEIGHT");
cmParams.UseMaxPositionBucketWeightMaxWeight=commandArgs.Get<double>("USEMAXPOSITIONBUCKETWEIGHTMAXWEIGHT");
}
else
{
cmParams.UseMaxPositionBucketWeight=false;
cmParams.UseMaxPositionBucketWeightMaxWeight=0;
}
if(commandArgs.Has("TARGETBETA"))cmParams.TargetBeta=commandArgs.Get<double>("TARGETBETA");
else cmParams.TargetBeta=1.00;
DateTime endDate=DateTime.Now;
String pathSessionFileName=commandArgs.Coalesce<String>("SESSIONFILE",null);
if(null!=pathSessionFileName) pathSessionFileName=pathSessionFileName.Trim();
cmParams.DisplayHeader();
CMMomentumBacktest backtestMomentum=new CMMomentumBacktest();
List<CMBacktestResult> results=new List<CMBacktestResult>();
results.Add(backtestMomentum.PerformBacktest(cmParams.AnalysisDate,endDate,pathSessionFileName,cmParams));
}
}
}

185
ModelHelper/CMTrendHelper.cs Normal file
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using MarketData.Generator.CMTrend;
using MarketData.Utils;
using System;
using System.Collections.Generic;
using System.Linq;
namespace MarketData.ModelHelper
{
public static class CMTrendHelper
{
public static void HandleCMTSession(CommandArgs commandArgs)
{
if (!commandArgs.Has("SESSIONFILE")) {MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Missing SESSIONFILE"));return;}
CMTTrendModel trendModel=new CMTTrendModel();
trendModel.DisplaySession(commandArgs.Coalesce<String>("SESSIONFILE"));
}
public static void HandleRunCMTrend(CommandArgs commandArgs)
{
String mode;
if(!commandArgs.Has("MODE"))
{
if(!commandArgs.Has("MODE")) MDTrace.WriteLine(LogLevel.DEBUG,"MODE is a required paramater.");
MDTrace.WriteLine(LogLevel.DEBUG,"RUNMMTREND /MODE:DAILY|BACKTEST|RUNTRENDTEMPLATE|ANALYZE|DISPLAY|CLOSEPOSITION /SELLDATE:{CLOSEPOSITION} /PRICE:{CLOSEPOSITION} /SYMBOL:{for mode ANALYZE,CLOSEPOSITION} /TRADEDATE:{for mode DAILY,RUNTRENDTEMPLATE,ANALYZE,CLOSEPOSITION) /STARTDATE:(for mode BACKTEST) /ENDDATE:(for mode BACKTEST) /INITIALCASH: /SESSIONFILE: MAXOPENPOSITIONS: /MAXDAILYPOSITIONS: Runs Mark Minervini trend");
return;
}
mode=commandArgs.Get<String>("MODE");
if("ENTRYTEST".Equals(mode))
{
CMTParams cmtParams=new CMTParams();
if(!commandArgs.Has("SYMBOL")||!commandArgs.Has("STARTDATE"))
{
if(!commandArgs.Contains("SYMBOL")) MDTrace.WriteLine(LogLevel.DEBUG,"SYMBOL is a required parameter when MODE=ENTRYTEST");
if(!commandArgs.Contains("STARTDATE")) MDTrace.WriteLine(LogLevel.DEBUG,"STARTDATE is a required parameter when MODE=ENTRYTEST");
return;
}
CMTTrendModel trendModel=new CMTTrendModel();
trendModel.EntryTest(commandArgs.Get<String>("SYMBOL"),commandArgs.Get<DateTime>("STARTDATE"));
}
else if("CLOSEPOSITION".Equals(mode))
{
CMTParams cmtParams=new CMTParams();
if(!commandArgs.Has("PURCHASEDATE,SYMBOL,SESSIONFILE,PRICE,SELLDATE"))
{
if(!commandArgs.Contains("PURCHASEDATE")) MDTrace.WriteLine(LogLevel.DEBUG,"PURCHASEDATE is a required parameter when MODE=CLOSEPOSITION");
if(!commandArgs.Contains("SYMBOL")) MDTrace.WriteLine(LogLevel.DEBUG,"SYMBOL is a required parameter when MODE=CLOSEPOSITION");
if(!commandArgs.Contains("SESSIONFILE")) MDTrace.WriteLine(LogLevel.DEBUG,"SESSIONFILE is a required parameter when MODE=CLOSEPOSITION");
if(!commandArgs.Contains("PRICE")) MDTrace.WriteLine(LogLevel.DEBUG,"PRICE is a required parameter when MODE=CLOSEPOSITION");
if(!commandArgs.Contains("SELLDATE")) MDTrace.WriteLine(LogLevel.DEBUG,"SELLDATE is a required parameter when MODE=CLOSEPOSITION");
return;
}
CMTTrendModel trendModel=new CMTTrendModel();
trendModel.ClosePosition(commandArgs.Get<String>("SYMBOL"),commandArgs.Get<DateTime>("PURCHASEDATE"),commandArgs.Get<DateTime>("SELLDATE"),commandArgs.Get<double>("PRICE"),commandArgs.Get<String>("SESSIONFILE"));
}
else if("DAILY".Equals(mode))
{
CMTParams cmtParams=new CMTParams();
if(!commandArgs.Has("TRADEDATE,SESSIONFILE"))
{
if(!commandArgs.Contains("TRADEDATE")) MDTrace.WriteLine(LogLevel.DEBUG,"TRADEDATE is a required parameter when MODE=DAILY");
if(!commandArgs.Contains("SESSIONFILE")) MDTrace.WriteLine(LogLevel.DEBUG,"SESSIONFILE is a required parameter when MODE=DAILY");
return;
}
if(commandArgs.Contains("INITIALCASH")) cmtParams.InitialCash=commandArgs.Get<double>("INITIALCASH");
if(commandArgs.Contains("MAXDAILYPOSITIONS")) cmtParams.MaxDailyPositions=commandArgs.Get<int>("MAXDAILYPOSITIONS");
if(commandArgs.Contains("MAXOPENPOSITIONS")) cmtParams.MaxOpenPositions=commandArgs.Get<int>("MAXOPENPOSITIONS");
if(commandArgs.Has("ONLYTRADESYMBOLS")) cmtParams.OnlyTradeSymbols=commandArgs.Get<String>("ONLYTRADESYMBOLS");
if(commandArgs.Contains("POSITIONRISKPERCENTDECIMAL"))
{
cmtParams.PositionRiskPercentDecimal=commandArgs.Get<double>("POSITIONRISKPERCENTDECIMAL");
}
if(commandArgs.Contains("ENTRYTYPE"))
{
List<String> entryTypes=Utility.ToList(commandArgs.Get<String>("ENTRYTYPE"));
List<String> constraints=new List<String> { "OVEREXTENDED","MVP","NARROWRANGE","MACD","PRICETREND","VOLUMETREND" };
bool results=entryTypes.All(i => constraints.ContainsIgnoreCase(i));
if(!results)
{
MDTrace.WriteLine(LogLevel.DEBUG,"ENTRYTYPE must consist of one or more OVEREXTENDED, MVP, NarrowRange, MACD, PriceTrend, VolumeTrend");
return;
}
cmtParams.EntryType=commandArgs.Get<String>("ENTRYTYPE");
}
CMTTrendModel trendModel=new CMTTrendModel();
if(commandArgs.Contains("USETRADEONLYSECTORS"))
{
cmtParams.UseTradeOnlySectors=commandArgs.Get<bool>("USETRADEONLYSECTORS");
if(cmtParams.UseTradeOnlySectors)
{
cmtParams.UseTradeOnlySectorsSectors=commandArgs.Get<String>("USETRADEONLYSECTORSSECTORS");
}
}
CMTTrendModelResult result=trendModel.RunDaily(commandArgs.Get<DateTime>("TRADEDATE"),commandArgs.Get<String>("SESSIONFILE"),cmtParams);
}
else if("BACKTEST".Equals(mode))
{
CMTParams cmtParams=new CMTParams();
bool sellAtEndOfSimulation=true;
if(!commandArgs.Has("STARTDATE,ENDDATE,SESSIONFILE"))
{
if(!commandArgs.Contains("STARTDATE")) MDTrace.WriteLine(LogLevel.DEBUG,"STARTDATE is a required parameter");
if(!commandArgs.Contains("ENDDATE")) MDTrace.WriteLine(LogLevel.DEBUG,"ENDDATE is a required parameter");
if(!commandArgs.Contains("SESSIONFILE")) MDTrace.WriteLine(LogLevel.DEBUG,"SESSIONFILE is a required parameter");
return;
}
CMTTrendModel trendModel=new CMTTrendModel();
if(commandArgs.Contains("USETRADEONLYSECTORS"))
{
cmtParams.UseTradeOnlySectors=commandArgs.Get<bool>("USETRADEONLYSECTORS");
if(cmtParams.UseTradeOnlySectors)
{
cmtParams.UseTradeOnlySectorsSectors=commandArgs.Get<String>("USETRADEONLYSECTORSSECTORS");
}
}
if(commandArgs.Contains("USEPROFITMAXIMIZATION"))
{
cmtParams.UseProfitMaximization=commandArgs.Get<bool>("USEPROFITMAXIMIZATION");
if(commandArgs.Contains("USEPROFITMAXIMIZATIONEXPRESSION"))
{
cmtParams.UseProfitMaximizationExpression=commandArgs.Get<String>("USEPROFITMAXIMIZATIONEXPRESSION");
}
}
if(commandArgs.Contains("MAXDAILYPOSITIONS")) cmtParams.MaxDailyPositions=commandArgs.Get<int>("MAXDAILYPOSITIONS");
if(commandArgs.Contains("MAXOPENPOSITIONS")) cmtParams.MaxOpenPositions=commandArgs.Get<int>("MAXOPENPOSITIONS");
if(commandArgs.Contains("BENCHMARKMOVINGAVERAGEDAYS")) cmtParams.BenchmarkMovingAverageDays=commandArgs.Get<int>("BENCHMARKMOVINGAVERAGEDAYS");
if(commandArgs.Contains("BENCHMARKMOVINGAVERAGEHORIZON")) cmtParams.BenchmarkMovingAverageHorizon=commandArgs.Get<int>("BENCHMARKMOVINGAVERAGEHORIZON");
if(commandArgs.Has("ONLYTRADESYMBOLS")) cmtParams.OnlyTradeSymbols=commandArgs.Get<String>("ONLYTRADESYMBOLS");
if(commandArgs.Contains("POSITIONRISKPERCENTDECIMAL"))
{
cmtParams.PositionRiskPercentDecimal=commandArgs.Get<double>("POSITIONRISKPERCENTDECIMAL");
}
if(commandArgs.Contains("ENTRYTYPE"))
{
List<String> entryTypes=Utility.ToList(commandArgs.Get<String>("ENTRYTYPE"));
List<String> constraints=new List<String> { "OVEREXTENDED","MVP","NARROWRANGE","MACD","PRICETREND","VOLUMETREND" };
bool results=entryTypes.All(i => constraints.ContainsIgnoreCase(i));
if(!results)
{
MDTrace.WriteLine(LogLevel.DEBUG,"ENTRYTYPE must consist of one or more OVEREXTENDED, MVP, NarrowRange, MACD, PriceTrend, VolumeTrend");
return;
}
cmtParams.EntryType=commandArgs.Get<String>("ENTRYTYPE");
}
if(commandArgs.Contains("SELLATENDOFSIMULATION"))
{
sellAtEndOfSimulation=commandArgs.Get<bool>("SELLATENDOFSIMULATION");
}
CMTTrendModelResult result=trendModel.RunBacktestMode(commandArgs.Get<DateTime>("STARTDATE"),commandArgs.Get<DateTime>("ENDDATE"),sellAtEndOfSimulation,commandArgs.Get<String>("SESSIONFILE"),cmtParams);
}
else if("DISPLAY".Equals(mode))
{
if(!commandArgs.Contains("SESSIONFILE")) { MDTrace.WriteLine(LogLevel.DEBUG,"SESSIONFILE is a required parameter"); return; }
CMTTrendModel trendModel=new CMTTrendModel();
trendModel.DisplaySession(commandArgs.Get<String>("SESSIONFILE"));
}
else if("RUNTRENDTEMPLATE".Equals(mode))
{
if(!commandArgs.Contains("TRADEDATE"))
{
MDTrace.WriteLine(LogLevel.DEBUG,"TRADEDATE is a required parameter when MODE=DAILY");
return;
}
CMTTrendModel trendModel=new CMTTrendModel();
trendModel.RunTrendTemplate(commandArgs.Get<DateTime>("TRADEDATE"));
}
else
{
MDTrace.WriteLine(LogLevel.DEBUG,"RUNCMTREND /MODE:DAILY|BACKTEST /TRADEDATE:{for mode DAILY) /STARTDATE:(for mode BACKTEST) /ENDDATE:(for mode BACKTEST) /INITIALCASH: /SESSIONFILE: /MAXPOSITIONS Runs Mark Minervini trend");
}
return;
}
}
}

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ModelHelper/MGMomentumHelper.cs Normal file
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using MarketData.Generator.Momentum;
using System;
using System.Collections.Generic;
namespace MarketData.ModelHelper
{
public static class MGMomentumHelper
{
/// <summary>
/// RUNMOMENTUM /STARTDATE: /MAXPOSITIONS:
/// </summary>
/// <param name="commandArgs"></param>
public static void RunMomentum(CommandArgs commandArgs)
{
if (!commandArgs.Has("STARTDATE,MAXPOSITIONS")) return;
DateTime analysisDate = commandArgs.Coalesce<DateTime>("STARTDATE");
int maxPositions = commandArgs.Coalesce<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()));
}
}
/// <summary>
/// MGLIQUIDATE /SESSIONFILE: /TRADEDATE:
/// </summary>
/// <param name="commandArgs"></param>
public static void RunMGLiquidate(CommandArgs commandArgs)
{
DateTime? tradeDate = null;
if (!commandArgs.Has("SESSIONFILE")) return;
if (commandArgs.Has("TRADEDATE")) tradeDate = commandArgs.Coalesce<DateTime>("TRADEDATE");
MomentumBacktest momentumBacktest = new MomentumBacktest();
momentumBacktest.MGLiquididate(commandArgs.Coalesce<String>("SESSIONFILE"), tradeDate);
}
/// <summary>
/// MGGAINLOSS /SESSIONFILE:{PATHSESSIONFILE} (i.e.) MGGAINLOSS /SESSIONFILE:C:\boneyard\marketdata\bin\Debug\saferun\MG20180131.txt");
/// </summary>
/// <param name="commandArgs"></param>
public static void RunMGGainLoss(CommandArgs commandArgs)
{
if(!commandArgs.Has("SESSIONFILE")) { MDTrace.WriteLine(LogLevel.DEBUG,"Missing SESSIONFILE"); return; }
MomentumBacktest momentumBacktest = new MomentumBacktest();
MomentumBacktest.DisplayGainLoss(commandArgs.Coalesce<String>("SESSIONFILE"));
}
/// <summary>
/// MGSESSION /SESSIONFILE:
/// </summary>
/// <param name="commandArgs"></param>
public static void RunMGSession(CommandArgs commandArgs)
{
if(!commandArgs.Has("SESSIONFILE")) { MDTrace.WriteLine(LogLevel.DEBUG,"Missing SESSIONFILE"); return; }
MomentumBacktest momentumBacktest = new MomentumBacktest();
momentumBacktest.DisplaySession(commandArgs.Coalesce<String>("SESSIONFILE"));
}
/// <summary>
/// RUNBACKTEST /STARTDATE: /MAXPOSITIONS: /INITIALCASH: /HOLDINGPERIOD: /{ENDDATE}: /{SESSIONFILE}:
/// </summary>
/// <param name="commandArgs"></param>
public static void RunBacktest(CommandArgs commandArgs)
{
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;
}
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("USECALCBETA"))
{
mgParams.UseCalcBeta=commandArgs.Coalesce<bool>("USECALCBETA",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));
}
}
}

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ModelHelper/MGSHMomentumHelper.cs Normal file
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using MarketData.Generator.MGSHMomentum;
using MarketData.Utils;
using System;
using System.Collections.Generic;
using System.IO;
namespace MarketData.ModelHelper
{
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)
{
DateGenerator dateGenerator = new DateGenerator();
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");
if(!dateGenerator.IsMarketOpen(tradeDate))
{
MDTrace.WriteLine(LogLevel.DEBUG,$"TRADEDATE {tradeDate.ToShortDateString()} is not a trading date.");
return;
}
DateTime endDate = dateGenerator.FindNextBusinessDay(tradeDate); // UpdateDaily will not process the endDate (i.e.) while(tradeDate<endDate){;}
String pathSessionFile = commandArgs.Get<String>("SESSIONFILE");
pathSessionFile = pathSessionFile.Trim();
if(!File.Exists(pathSessionFile))
{
MDTrace.WriteLine(LogLevel.DEBUG,$"The specified file '{pathSessionFile}' does not exist.");
return;
}
MGSHMomentumBacktest momentumBacktest = new MGSHMomentumBacktest();
if(!dateGenerator.IsMarketOpen(tradeDate))
{
Console.WriteLine(String.Format("The market is closed today, please confirm Y/N:{0}?",tradeDate.ToShortDateString()));
String result=Console.ReadLine();
if(null==result||!(result.ToUpper().Equals("Y")||result.ToUpper().Equals("YES")))return;
}
MGSHBacktestResult backtestResult = momentumBacktest.UpdateDaily(tradeDate, endDate, DateTime.Now, pathSessionFile);
}
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());
DateGenerator dateGenerator = new DateGenerator();
if(!dateGenerator.IsMarketOpen(startDate))
{
MDTrace.WriteLine(LogLevel.DEBUG,$"STARTDATE {startDate.ToShortDateString()} is not a trading date.");
return;
}
if(!dateGenerator.IsMarketOpen(endDate))
{
MDTrace.WriteLine(LogLevel.DEBUG,$"ENDDATE {endDate.ToShortDateString()} is not a trading date.");
return;
}
if(!commandArgs.Has("SESSIONFILE"))
{
MDTrace.WriteLine(LogLevel.DEBUG,$"SESSIONFILE is a required parameter.");
return;
}
String pathSessionFile = commandArgs.Get<String>("SESSIONFILE");
pathSessionFile = pathSessionFile.Trim();
List<MGSHBacktestResult> results=new List<MGSHBacktestResult>();
MGSHMomentumBacktest backtestMomentum=new MGSHMomentumBacktest();
results.Add(backtestMomentum.PerformBacktest(startDate, endDate, pathSessionFile, mgParams));
}
}
}