Sean/marketdata
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

Put the CMMomentum command line code into a helper class.

Browse Source
This commit is contained in:
Sean
2025-04-24 16:12:47 -04:00
parent ff006ad047
commit e4f2fdd1f1
2 changed files with 5 additions and 99 deletions
Download Patch File Download Diff File Expand all files Collapse all files

103
Program.cs
View File

@@ -16,7 +16,6 @@ using MarketData.Numerical;
using MarketData.ValueAtRisk;
using MarketData.Integration;
using MarketData.Generator.Momentum;
using MarketData.Generator.CMMomentum;
using MarketData.MarketDataModel.GainLoss;
using MarketData.Cache;
using MarketData.Generator.CMTrend;
@@ -24,7 +23,6 @@ using Axiom.Interpreter;
using System.Data;
using MarketData.Generator.MovingAverage;
using MarketData.Generator.MGSHMomentum;
using System.Net;
namespace MarketData
{
@@ -1828,35 +1826,19 @@ namespace MarketData
// *************************************************************************************************************************************************************************************************************************
else if(arg.Equals("RUNCMBACKTEST")) // CMMOMENTUM
{
RunCMMomentum(args);
CMMomentumHelper.RunCMMomentum(args);
}
else if (arg.Equals("CMSESSION")) // CMMOMENTUM
{
CommandArgs commandArgs = new CommandArgs(args);
if (!commandArgs.Has("SESSIONFILE")) {MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Missing SESSIONFILE"));return 0;}
CMMomentumBacktest cmBacktest = new CMMomentumBacktest();
cmBacktest.DisplaySession(commandArgs.Coalesce<String>("SESSIONFILE"));
CMMomentumHelper.RunCMSession(args);
}
else if(arg.Equals("CMGAINLOSS")) // CMMOMENTUM
{
CommandArgs commandArgs=new CommandArgs(args);
if(!commandArgs.Has("SESSIONFILE")) { MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Missing SESSIONFILE")); return 0; }
CMMomentumBacktest cmBacktest=new CMMomentumBacktest();
cmBacktest.DisplayGainLoss(commandArgs.Coalesce<String>("SESSIONFILE"));
CMMomentumHelper.RunCMGainLoss(args);
}
else if (arg.Equals("CMCANDIDATELASTRESORT")) // CMMOMENTUM
{
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 0; }
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 0; }
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));
CMMomentumHelper.RunCMCandidateLastResort(args);
}
else
{
@@ -4214,82 +4196,5 @@ namespace MarketData
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("{0}",momentumCandidate.ToString()));
}
}
// **********************************************************************************************************************************************************************************************
// *************************************************************************** C M M O M E N T U M ( B A C K T E S T & M O N T H L Y) ***********************************************************
// **********************************************************************************************************************************************************************************************
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));
}
}
}