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Fix MGSHBacktest Edit/Close hedge positions.

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Sean
2025-08-04 22:21:48 -04:00
parent 030ea19909
commit ac739d57f4
2 changed files with 25 additions and 7 deletions
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8
MarketDataLib/DataAccess/HolidayDA.cs
View File

@@ -25,7 +25,7 @@ namespace MarketData.DataAccess
{
StringBuilder sb=new StringBuilder();
sqlConnection=SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
sb.Append("select description from MarketHolidays where date='").Append(Utils.SqlUtils.SqlDate(date)).Append("'");
sb.Append("select description from marketholidays where date='").Append(Utils.SqlUtils.SqlDate(date)).Append("'");
strQuery=sb.ToString();
sqlCommand=new MySqlCommand(strQuery,sqlConnection);
sqlCommand.CommandTimeout=SqlUtils.COMMAND_TIMEOUT;
@@ -60,7 +60,7 @@ namespace MarketData.DataAccess
{
StringBuilder sb=new StringBuilder();
sqlConnection=SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
sb.Append("select max(date) from MarketHolidays");
sb.Append("select max(date) from marketholidays");
strQuery=sb.ToString();
sqlCommand=new MySqlCommand(strQuery,sqlConnection);
sqlCommand.CommandTimeout=SqlUtils.COMMAND_TIMEOUT;
@@ -96,7 +96,7 @@ namespace MarketData.DataAccess
{
StringBuilder sb=new StringBuilder();
sqlConnection=SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
sb.Append("select count(*) from MarketHolidays where date='").Append(Utility.DateTimeToStringYYYYHMMHDD(date)).Append("' ");
sb.Append("select count(*) from marketholidays where date='").Append(Utility.DateTimeToStringYYYYHMMHDD(date)).Append("' ");
strQuery=sb.ToString();
sqlCommand=new MySqlCommand(strQuery,sqlConnection);
sqlCommand.CommandTimeout=SqlUtils.COMMAND_TIMEOUT;
@@ -131,7 +131,7 @@ namespace MarketData.DataAccess
{
StringBuilder sb=new StringBuilder();
sqlConnection=SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
sb.Append("select date from MarketHolidays order by date desc");
sb.Append("select date from marketholidays order by date desc");
strQuery=sb.ToString();
sqlCommand=new MySqlCommand(strQuery,sqlConnection);
sqlCommand.CommandTimeout=SqlUtils.COMMAND_TIMEOUT;

24
MarketDataLib/Generator/MGSHMomentum/MGSHBacktest.cs
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@@ -103,10 +103,12 @@ namespace MarketData.Generator.MGSHMomentum
if(!BackupSession())return false;
MGSHPositions activePositions = ActivePositions.GetPositions();
MGSHPosition position = activePositions.Where(x => x.Symbol.Equals(symbol) && x.PurchaseDate.Equals(purchaseDate)).FirstOrDefault();
bool isHedgePosition=false;
if (null == position)
{
MGSHPositions hedgePositions = HedgePositions;
position = hedgePositions.Where(x => x.Symbol.Equals(symbol) && x.PurchaseDate.Equals(purchaseDate)).FirstOrDefault();
isHedgePosition=true;
if(null == position)
{
MDTrace.WriteLine(LogLevel.DEBUG, String.Format("Cannot locate position for symbol '{0}' purchased on {1}.", symbol, purchaseDate.ToShortDateString()));
@@ -120,7 +122,8 @@ namespace MarketData.Generator.MGSHMomentum
{
MDTrace.WriteLine(LogLevel.DEBUG, String.Format("Adjusting Cash for Position for symbol '{0}' purchased on {1}. Original Price: {2} New Price: {3} Change in Cash: {4}", symbol, purchaseDate.ToShortDateString(), Utility.FormatCurrency(position.PurchasePrice), Utility.FormatCurrency(purchasePrice), Utility.FormatCurrency((position.PurchasePrice - purchasePrice) * position.Shares)));
MDTrace.WriteLine(LogLevel.DEBUG, String.Format("Adjusting R for Position for symbol '{0}' purchased on {1}. Original R: {2} New R: {3} ", symbol, purchaseDate.ToShortDateString(), Utility.FormatNumber(position.R, 2), Utility.FormatNumber(position.PositionRiskPercentDecimal * purchasePrice)));
CashBalance += (position.PurchasePrice - purchasePrice) * position.Shares;
if(isHedgePosition)HedgeCashBalance += (position.PurchasePrice - purchasePrice) * position.Shares;
else CashBalance += (position.PurchasePrice - purchasePrice) * position.Shares;
position.Comment = (String.IsNullOrEmpty(position.Comment) ? "" : position.Comment + ".") + String.Format("Price changed on {0} from {1} to {2}", DateTime.Now.ToShortDateString(), Utility.FormatCurrency(position.PurchasePrice), Utility.FormatCurrency(purchasePrice));
position.PurchasePrice = purchasePrice;
}
@@ -160,6 +163,13 @@ namespace MarketData.Generator.MGSHMomentum
MGSHPositions activePositions = ActivePositions.GetPositions();
MGSHPosition position=activePositions.Where(x => x.Symbol.Equals(symbol) && x.PurchaseDate.Equals(purchaseDate)).FirstOrDefault();
bool isHedgePosition=false;
if(null==position) // It could be an open hedge position that we are closing
{
MGSHPositions hedgePositions = HedgePositions;
position = hedgePositions.Where(x => x.Symbol.Equals(symbol) && x.PurchaseDate.Equals(purchaseDate)).FirstOrDefault();
isHedgePosition=true;
}
if(null==position) // if it is not in the active positions then the position is already closed and we are modifying either the sell date or the sell price
{
position=AllPositions.Where(x => x.Symbol.Equals(symbol)&&x.PurchaseDate.Equals(purchaseDate)).FirstOrDefault();
@@ -178,8 +188,16 @@ namespace MarketData.Generator.MGSHMomentum
position.SellDate=sellDate;
position.CurrentPrice=price;
position.Comment="Manual close.";
CashBalance+=position.MarketValue;
ActivePositions.Remove(position);
if(isHedgePosition)
{
HedgeCashBalance+=position.MarketValue;
HedgePositions.Remove(position);
}
else
{
CashBalance+=position.MarketValue;
ActivePositions.Remove(position);
}
AllPositions.Add(position);
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Position for symbol '{0}' purchased on {1} is now closed.",symbol,purchaseDate.ToShortDateString()));
SaveSession();