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BetaGenerator test code.

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Sean
2025-02-14 19:00:38 -05:00
parent be7d9e32cb
commit a464132e14
1 changed files with 57 additions and 0 deletions
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57
Program.cs
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@@ -986,6 +986,63 @@ namespace MarketData
Trace.Listeners.Add(new TextWriterTraceListener(strLogFile));
DateTime currentDate=DateTime.Now;
//List<String> candidatesList = new List<String>();
//List<String> differenceItems = new List<String>();
//String benchmark = "SPY";
//int lowSlopeBetaDays = 15;
//List<String> symbols = PricingDA.GetSymbols();
//DateTime tradeDateA = DateTime.Parse("12-31-2024");
//for (int index = 0; index < symbols.Count; index++)
//{
// if (0 == (index % 500)) MDTrace.WriteLine(LogLevel.DEBUG, $"Working...{index}");
// String symbol = symbols[index];
// if (symbol.StartsWith("^")) continue;
// Price price = GBPriceCache.GetInstance().GetPrice(symbol, tradeDateA);
// if (null == price) continue;
// Prices prices = GBPriceCache.GetInstance().GetPrices(symbol, tradeDateA, (int)252);
// if (null == prices || prices.Count < 252) continue;
// Fundamental fundamental = FundamentalDA.GetFundamentalMaxDate(symbol, tradeDateA);
// if (null == fundamental) continue;
// if (double.IsNaN(fundamental.PE) || fundamental.PE <= 0.00) continue;
// double fundamentalBeta = fundamental.Beta;
// double beta = BetaGenerator.Beta(symbol, tradeDateA, 36);
// if (double.IsNaN(beta) || double.IsNaN(fundamental.Beta)) continue;
// if (0 == fundamentalBeta) fundamentalBeta = .00000000000000000001;
// double difference = Math.Abs(((beta - fundamentalBeta) / fundamentalBeta));
// if (difference > .25) // greater than 5%
// {
// differenceItems.Add(symbol);
// }
// if (beta >= 1.00)
// {
// double[] pricesArray = null;
// LeastSquaresResult leastSquaresResult;
// Prices benchmarkPrices = GBPriceCache.GetInstance().GetPrices(benchmark, tradeDateA, lowSlopeBetaDays);
// pricesArray = Numerics.ToDouble(benchmarkPrices.GetPricesLow());
// leastSquaresResult = Numerics.LeastSquares(pricesArray);
// double slopeBmk = leastSquaresResult.Slope;
// if (slopeBmk < 0)
// {
// continue;
// }
// }
// candidatesList.Add(symbol);
// //if(double.IsNaN(beta))
// //{
// // MDTrace.WriteLine(LogLevel.DEBUG,$"No beta for {symbol}");
// //}
//}
DateTime maxHolidayDate =HolidayDA.GetMaxHolidayDate();
if(currentDate>maxHolidayDate)
{