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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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170
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));
}
}
}