From e60d95b14384c104f7522183c10885ae1338c6c4 Mon Sep 17 00:00:00 2001 From: Sean Date: Fri, 9 May 2025 17:40:13 -0400 Subject: [PATCH] Add BetaCalc36,24,06 . Optimize MG --- MarketDataLib/DataAccess/AnalystRatingsDA.cs | 67 +++- MarketDataLib/DataAccess/FundamentalDA.cs | 34 +- MarketDataLib/DataAccess/ZacksRankDA.cs | 57 +++ .../Generator/Momentum/MGConfiguration.cs | 7 + .../Generator/Momentum/MomentumGenerator.cs | 340 ++++++++++++++++++ .../MarketDataModel/FundamentalV2.cs | 14 +- MarketDataLib/MarketDataModel/Fundamentals.cs | 15 +- 7 files changed, 517 insertions(+), 17 deletions(-) diff --git a/MarketDataLib/DataAccess/AnalystRatingsDA.cs b/MarketDataLib/DataAccess/AnalystRatingsDA.cs index 5513201..1e1f9af 100644 --- a/MarketDataLib/DataAccess/AnalystRatingsDA.cs +++ b/MarketDataLib/DataAccess/AnalystRatingsDA.cs @@ -12,6 +12,7 @@ namespace MarketData.DataAccess private AnalystRatingsDA() { } + public static AnalystRatings GetAnalystRatings() { MySqlConnection sqlConnection = null; @@ -63,6 +64,7 @@ namespace MarketData.DataAccess if (null != sqlConnection) sqlConnection.Close(); } } + public static AnalystRatings GetAnalystRatings(String symbol, DateTime minDate,DateTime maxDate) { MySqlConnection sqlConnection = null; @@ -119,6 +121,7 @@ namespace MarketData.DataAccess if (null != sqlConnection) sqlConnection.Close(); } } + public static DateTime GetMaxDateNoZacks() { MySqlConnection sqlConnection = null; @@ -150,6 +153,7 @@ namespace MarketData.DataAccess if (null != sqlConnection) sqlConnection.Close(); } } + public static AnalystRatings GetAnalystRatingsMaxDateNoZacks(String symbol,DateTime maxDate) { MySqlConnection sqlConnection = null; @@ -197,6 +201,61 @@ namespace MarketData.DataAccess if (null != sqlConnection) sqlConnection.Close(); } } + + public static Dictionary GetAnalystRatingsDowngradesMaxDateNoZacks(List symbols,DateTime maxDate) + { + MySqlConnection sqlConnection = null; + MySqlDataReader sqlDataReader = null; + MySqlCommand sqlCommand =null; + Dictionary analystRatings = new Dictionary(); + String strQuery = null; + + try + { + StringBuilder sb = new StringBuilder(); + sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data")); + sb.Append("SELECT B.date, B.symbol,B.company, B.brokerage_firm, B.type, B.ratings_change, B.price_target from "); + sb.Append("(SELECT date, symbol, upper(company) AS company, brokerage_firm, TYPE, ratings_change, price_target, ROW_NUMBER() OVER ("); + sb.Append(" PARTITION BY symbol ORDER BY DATE DESC) AS rownum from analystratings "); + sb.Append("WHERE symbol IN ").Append(SqlUtils.CreateInClause(symbols)).Append(" AND date<=").Append(SqlUtils.ToSqlDate(maxDate,true)); + sb.Append(" AND type='Downgrades')B"); + sb.Append(" WHERE B.rownum<=1"); + + strQuery = sb.ToString(); ; + sqlCommand = new MySqlCommand(strQuery, sqlConnection); + sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT; + sqlDataReader = sqlCommand.ExecuteReader(); + while (sqlDataReader.Read()) + { + AnalystRating analystRating = new AnalystRating(); + analystRating.Date = sqlDataReader.GetDateTime(0); + analystRating.Symbol = sqlDataReader.GetString(1); + analystRating.CompanyName = sqlDataReader.GetString(2); + analystRating.BrokerageFirm = sqlDataReader.GetString(3); + analystRating.Type = sqlDataReader.GetString(4); + analystRating.RatingsChange = sqlDataReader.GetString(5); + if (!sqlDataReader.IsDBNull(6)) analystRating.PriceTarget = sqlDataReader.GetDouble(6); + if(!analystRatings.ContainsKey(analystRating.Symbol)) + { + analystRatings.Add(analystRating.Symbol,new AnalystRatings()); + } + analystRatings[analystRating.Symbol].Add(analystRating); + } + return analystRatings; + } + catch (Exception exception) + { + MDTrace.WriteLine(LogLevel.DEBUG,exception); + return null; + } + finally + { + if(null!=sqlCommand)sqlCommand.Dispose(); + if (null != sqlDataReader) {sqlDataReader.Close();sqlDataReader.Dispose();} + if (null != sqlConnection) sqlConnection.Close(); + } + } + public static AnalystRatings GetAnalystRatingsMaxDate(String symbol,DateTime maxDate) { MySqlConnection sqlConnection = null; @@ -252,6 +311,7 @@ namespace MarketData.DataAccess if (null != sqlConnection) sqlConnection.Close(); } } + public static AnalystRatings GetAnalystRatings(String symbol, DateTime date) { MySqlConnection sqlConnection = null; @@ -307,6 +367,7 @@ namespace MarketData.DataAccess if (null != sqlConnection) sqlConnection.Close(); } } + public static AnalystRatings GetAnalystRatings(DateTime date) { MySqlConnection sqlConnection = null; @@ -360,6 +421,7 @@ namespace MarketData.DataAccess if (null != sqlConnection) sqlConnection.Close(); } } + public static AnalystRatings GetAnalystRatings(String symbol) { MySqlConnection sqlConnection = null; @@ -414,7 +476,7 @@ namespace MarketData.DataAccess if (null != sqlConnection) sqlConnection.Close(); } } -// **************************************************************************************************************************************************** + public static List GetAnalystRatingsDates() { MySqlConnection sqlConnection = null; @@ -451,6 +513,7 @@ namespace MarketData.DataAccess if (null != sqlConnection) sqlConnection.Close(); } } + public static bool InsertAnalystRatings(AnalystRatings analystRatings) { MySqlConnection sqlConnection = null; @@ -500,6 +563,7 @@ namespace MarketData.DataAccess if (null != sqlConnection) sqlConnection.Close(); } } + public static bool ContainsAnalystRating(AnalystRating analystRating) { MySqlConnection sqlConnection = null; @@ -536,6 +600,7 @@ namespace MarketData.DataAccess if (null != sqlConnection) sqlConnection.Close(); } } + private static bool DeleteAnalystRatings(AnalystRatings analystRatings, MySqlConnection sqlConnection, MySqlTransaction sqlTransaction) { try diff --git a/MarketDataLib/DataAccess/FundamentalDA.cs b/MarketDataLib/DataAccess/FundamentalDA.cs index 649a7e3..b44a532 100644 --- a/MarketDataLib/DataAccess/FundamentalDA.cs +++ b/MarketDataLib/DataAccess/FundamentalDA.cs @@ -94,10 +94,10 @@ namespace MarketData.DataAccess } /// - /// Updates the beta36 and bet6 for a symbol for a specific date + /// Updates the beta36, beta24, and bet06 for a symbol for a specific date /// /// - public static bool UpdateBeta(String symbol,DateTime asof,double beta36, double beta06) + public static bool UpdateBeta(String symbol,DateTime asof,double beta36, double beta24, double beta06) { MySqlConnection sqlConnection = null; MySqlTransaction sqlTransaction = null; @@ -112,12 +112,20 @@ namespace MarketData.DataAccess sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data")); sqlTransaction = sqlConnection.BeginTransaction(System.Data.IsolationLevel.ReadCommitted); sb.Append("update fundamentals set "); + sb.Append("beta_calc_36="); if (!Double.IsNaN(beta36)) sb.Append(beta36).Append(","); else sb.Append("null").Append(","); + + sb.Append("beta_calc_24="); + if (!Double.IsNaN(beta24)) sb.Append(beta24).Append(","); + else sb.Append("null").Append(","); + + sb.Append("beta_calc_06="); if (!Double.IsNaN(beta06)) sb.Append(beta06); else sb.Append("null"); + sb.Append(" where "); sb.Append("symbol='").Append(symbol).Append("' and asof =").Append(SqlUtils.ToSqlDate(asof,true)); strQuery = sb.ToString(); @@ -332,7 +340,7 @@ namespace MarketData.DataAccess { StringBuilder sb = new StringBuilder(); sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data")); - sb.Append("select symbol,asof,next_earnings_date,beta,low52,high52,volume,market_cap,pe,eps,peg,return_on_assets,return_on_equity,total_cash,total_debt,shares_outstanding,revenue,revenue_per_share,qtrly_revenue_growth,gross_profit,ebitda,net_income_available_to_common,book_value_per_share,operating_cashflow,leveraged_free_cashflow,book_value_per_share*shares_outstanding as equity,trailing_pe,ebit,enterprise_value,source,beta_calc_36,beta_calc_06 from fundamentals where symbol="); + sb.Append("select symbol,asof,next_earnings_date,beta,low52,high52,volume,market_cap,pe,eps,peg,return_on_assets,return_on_equity,total_cash,total_debt,shares_outstanding,revenue,revenue_per_share,qtrly_revenue_growth,gross_profit,ebitda,net_income_available_to_common,book_value_per_share,operating_cashflow,leveraged_free_cashflow,book_value_per_share*shares_outstanding as equity,trailing_pe,ebit,enterprise_value,source,beta_calc_36,beta_calc_06,beta_calc_24 from fundamentals where symbol="); sb.Append("'").Append(symbol).Append("'").Append(" "); sb.Append("and asof=(select max(asof) from fundamentals where symbol='").Append(symbol).Append("')"); strQuery = sb.ToString(); ; @@ -373,6 +381,7 @@ namespace MarketData.DataAccess if (!sqlDataReader.IsDBNull(29)) fundamental.Source = sqlDataReader.GetString(29); if (!sqlDataReader.IsDBNull(30)) fundamental.BetaCalc36 = sqlDataReader.GetDouble(30); if (!sqlDataReader.IsDBNull(31)) fundamental.BetaCalc06 = sqlDataReader.GetDouble(31); + if (!sqlDataReader.IsDBNull(32)) fundamental.BetaCalc24 = sqlDataReader.GetDouble(32); BalanceSheet balanceSheet=BalanceSheetDA.GetBalanceSheetOnOrBefore(symbol,fundamental.AsOf,BalanceSheet.PeriodType.Annual); if(null!=balanceSheet&&!double.IsNaN(balanceSheet.TotalStockHolderEquity)&&!double.IsNaN(fundamental.TotalDebt)&&0!=fundamental.TotalDebt)fundamental.DebtToEquity=fundamental.TotalDebt/balanceSheet.TotalStockHolderEquity; return fundamental; @@ -400,7 +409,7 @@ namespace MarketData.DataAccess { StringBuilder sb = new StringBuilder(); sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data")); - sb.Append("select symbol,asof,next_earnings_date,beta,low52,high52,volume,market_cap,pe,eps,peg,return_on_assets,return_on_equity,total_cash,total_debt,shares_outstanding,revenue,revenue_per_share,qtrly_revenue_growth,gross_profit,ebitda,net_income_available_to_common,book_value_per_share,operating_cashflow,leveraged_free_cashflow,book_value_per_share*shares_outstanding as equity,trailing_pe,ebit,enterprise_value,source,beta_calc_36,beta_calc_06 from fundamentals where symbol="); + sb.Append("select symbol,asof,next_earnings_date,beta,low52,high52,volume,market_cap,pe,eps,peg,return_on_assets,return_on_equity,total_cash,total_debt,shares_outstanding,revenue,revenue_per_share,qtrly_revenue_growth,gross_profit,ebitda,net_income_available_to_common,book_value_per_share,operating_cashflow,leveraged_free_cashflow,book_value_per_share*shares_outstanding as equity,trailing_pe,ebit,enterprise_value,source,beta_calc_36,beta_calc_06,beta_calc_24 from fundamentals where symbol="); sb.Append("'").Append(symbol).Append("'").Append(" "); sb.Append("and asof=").Append("'").Append(Utility.DateTimeToStringYYYYHMMHDD(asof)).Append("'").Append(";"); strQuery = sb.ToString(); ; @@ -441,7 +450,8 @@ namespace MarketData.DataAccess if (!sqlDataReader.IsDBNull(28)) fundamental.EnterpriseValue = sqlDataReader.GetDouble(28); if (!sqlDataReader.IsDBNull(29)) fundamental.Source = sqlDataReader.GetString(29); if (!sqlDataReader.IsDBNull(30)) fundamental.BetaCalc36 = sqlDataReader.GetDouble(30); - if (!sqlDataReader.IsDBNull(3)) fundamental.BetaCalc06 = sqlDataReader.GetDouble(31); + if (!sqlDataReader.IsDBNull(31)) fundamental.BetaCalc06 = sqlDataReader.GetDouble(31); + if (!sqlDataReader.IsDBNull(32)) fundamental.BetaCalc24 = sqlDataReader.GetDouble(32); if (null != balanceSheet && !double.IsNaN(balanceSheet.TotalStockHolderEquity) && !double.IsNaN(fundamental.TotalDebt) && 0 != fundamental.TotalDebt) { fundamental.DebtToEquity=fundamental.TotalDebt/balanceSheet.TotalStockHolderEquity; @@ -520,7 +530,7 @@ namespace MarketData.DataAccess { StringBuilder sb = new StringBuilder(); sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data")); - sb.Append("SELECT A.asof,A.symbol, A.market_cap,A.ebitda,A.pe,A.revenue_per_share,A.beta,A.beta_calc_36,A.beta_calc_06 FROM fundamentals A JOIN "); + sb.Append("SELECT A.asof,A.symbol, A.market_cap,A.ebitda,A.pe,A.revenue_per_share,A.beta,A.beta_calc_36,A.beta_calc_06,A.beta_calc_24 FROM fundamentals A JOIN "); sb.Append("(SELECT MAX(asof) asof,symbol FROM fundamentals WHERE asof<=").Append("'"); sb.Append(Utility.DateTimeToStringYYYYHMMHDD(tradeDate.Date)); sb.Append("'"); @@ -542,6 +552,7 @@ namespace MarketData.DataAccess if(!sqlDataReader.IsDBNull(6)) fundamental.Beta = sqlDataReader.GetDouble(6); if(!sqlDataReader.IsDBNull(7)) fundamental.BetaCalc36 = sqlDataReader.GetDouble(7); if(!sqlDataReader.IsDBNull(8)) fundamental.BetaCalc06 = sqlDataReader.GetDouble(8); + if(!sqlDataReader.IsDBNull(9)) fundamental.BetaCalc24 = sqlDataReader.GetDouble(9); if(!fundamentals.ContainsKey(fundamental.Symbol))fundamentals.Add(fundamental.Symbol,fundamental); } return fundamentals; @@ -572,7 +583,7 @@ namespace MarketData.DataAccess if(null==maxDate)return null; StringBuilder sb = new StringBuilder(); sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data")); - sb.Append("select symbol,asof,next_earnings_date,beta,low52,high52,volume,market_cap,pe,eps,peg,return_on_assets,return_on_equity,total_cash,total_debt,shares_outstanding,revenue,revenue_per_share,qtrly_revenue_growth,gross_profit,ebitda,net_income_available_to_common,book_value_per_share,operating_cashflow,leveraged_free_cashflow,book_value_per_share*shares_outstanding as equity,trailing_pe,ebit,enterprise_value,source,beta_calc_36,beta_calc_06 from fundamentals where symbol="); + sb.Append("select symbol,asof,next_earnings_date,beta,low52,high52,volume,market_cap,pe,eps,peg,return_on_assets,return_on_equity,total_cash,total_debt,shares_outstanding,revenue,revenue_per_share,qtrly_revenue_growth,gross_profit,ebitda,net_income_available_to_common,book_value_per_share,operating_cashflow,leveraged_free_cashflow,book_value_per_share*shares_outstanding as equity,trailing_pe,ebit,enterprise_value,source,beta_calc_36,beta_calc_06,beta_calc_24 from fundamentals where symbol="); sb.Append("'").Append(symbol).Append("'").Append(" "); sb.Append("and asof=").Append("'").Append(Utility.DateTimeToStringYYYYHMMHDD(maxDate.Value)).Append("'"); sb.Append(" limit 1"); @@ -615,6 +626,7 @@ namespace MarketData.DataAccess if (!sqlDataReader.IsDBNull(29)) fundamental.Source = sqlDataReader.GetString(29); if (!sqlDataReader.IsDBNull(30)) fundamental.BetaCalc36 = sqlDataReader.GetDouble(30); if (!sqlDataReader.IsDBNull(31)) fundamental.BetaCalc06 = sqlDataReader.GetDouble(31); + if (!sqlDataReader.IsDBNull(32)) fundamental.BetaCalc24 = sqlDataReader.GetDouble(32); if (!double.IsNaN(totalStockHolderEquity) && !double.IsNaN(fundamental.TotalDebt)) { if(0.00==totalStockHolderEquity)fundamental.TotalDebt=0.00; @@ -650,7 +662,7 @@ namespace MarketData.DataAccess { Fundamental fundamental = fundamentals[index]; StringBuilder sb = new StringBuilder(); - sb.Append("insert into fundamentals (symbol,asof,next_earnings_date,beta,beta_calc_36,beta_calc_06,low52,high52,volume,market_cap,pe,eps,peg,return_on_assets,return_on_equity,total_cash,total_debt,shares_outstanding,revenue,revenue_per_share,qtrly_revenue_growth,gross_profit,ebitda,net_income_available_to_common,book_value_per_share,operating_cashflow,leveraged_free_cashflow,trailing_pe,ebit,enterprise_value,source) "); + sb.Append("insert into fundamentals (symbol,asof,next_earnings_date,beta,beta_calc_36,beta_calc_24,beta_calc_06,low52,high52,volume,market_cap,pe,eps,peg,return_on_assets,return_on_equity,total_cash,total_debt,shares_outstanding,revenue,revenue_per_share,qtrly_revenue_growth,gross_profit,ebitda,net_income_available_to_common,book_value_per_share,operating_cashflow,leveraged_free_cashflow,trailing_pe,ebit,enterprise_value,source) "); sb.Append("values("); sb.Append("'").Append(fundamental.Symbol).Append("'").Append(","); sb.Append("'").Append(Utility.DateTimeToStringYYYYHMMHDD(fundamental.AsOf)).Append("'").Append(","); @@ -660,6 +672,8 @@ namespace MarketData.DataAccess else sb.Append("null").Append(","); if (!Double.IsNaN(fundamental.BetaCalc36)) sb.Append(fundamental.BetaCalc36).Append(","); else sb.Append("null").Append(","); + if (!Double.IsNaN(fundamental.BetaCalc24)) sb.Append(fundamental.BetaCalc24).Append(","); + else sb.Append("null").Append(","); if (!Double.IsNaN(fundamental.BetaCalc06)) sb.Append(fundamental.BetaCalc06).Append(","); else sb.Append("null").Append(","); if (!Double.IsNaN(fundamental.Low52)) sb.Append(fundamental.Low52).Append(","); @@ -746,7 +760,7 @@ namespace MarketData.DataAccess sqlTransaction = sqlConnection.BeginTransaction(System.Data.IsolationLevel.ReadCommitted); DeleteFundamental(fundamental, sqlConnection, sqlTransaction); StringBuilder sb = new StringBuilder(); - sb.Append("insert into fundamentals (symbol,asof,next_earnings_date,beta,beta_calc_36,beta_calc_06,low52,high52,volume,market_cap,pe,eps,peg,return_on_assets,return_on_equity,total_cash,total_debt,shares_outstanding,revenue,revenue_per_share,qtrly_revenue_growth,gross_profit,ebitda,net_income_available_to_common,book_value_per_share,operating_cashflow,leveraged_free_cashflow,trailing_pe,ebit,enterprise_value,source) "); + sb.Append("insert into fundamentals (symbol,asof,next_earnings_date,beta,beta_calc_36,beta_calc_24,beta_calc_06,low52,high52,volume,market_cap,pe,eps,peg,return_on_assets,return_on_equity,total_cash,total_debt,shares_outstanding,revenue,revenue_per_share,qtrly_revenue_growth,gross_profit,ebitda,net_income_available_to_common,book_value_per_share,operating_cashflow,leveraged_free_cashflow,trailing_pe,ebit,enterprise_value,source) "); sb.Append("values("); sb.Append("'").Append(fundamental.Symbol).Append("'").Append(","); sb.Append("'").Append(Utility.DateTimeToStringYYYYHMMHDD(fundamental.AsOf)).Append("'").Append(","); @@ -756,6 +770,8 @@ namespace MarketData.DataAccess else sb.Append("null").Append(","); if (!Double.IsNaN(fundamental.BetaCalc36)) sb.Append(fundamental.BetaCalc36).Append(","); else sb.Append("null").Append(","); + if (!Double.IsNaN(fundamental.BetaCalc24)) sb.Append(fundamental.BetaCalc24).Append(","); + else sb.Append("null").Append(","); if (!Double.IsNaN(fundamental.BetaCalc06)) sb.Append(fundamental.BetaCalc06).Append(","); else sb.Append("null").Append(","); if (!Double.IsNaN(fundamental.Low52)) sb.Append(fundamental.Low52).Append(","); diff --git a/MarketDataLib/DataAccess/ZacksRankDA.cs b/MarketDataLib/DataAccess/ZacksRankDA.cs index 62c8fc4..7001f79 100644 --- a/MarketDataLib/DataAccess/ZacksRankDA.cs +++ b/MarketDataLib/DataAccess/ZacksRankDA.cs @@ -12,6 +12,58 @@ namespace MarketData.DataAccess private ZacksRankDA() { } + +// Get the latest rank for symbol that falls on or before the specified date + public static Dictionary GetZacksRankOnOrBefore(List symbols, DateTime maxDate) + { + MySqlConnection sqlConnection = null; + MySqlDataReader sqlDataReader = null; + MySqlCommand sqlCommand=null; + String strQuery = null; + Dictionary zacksRanks = new Dictionary(); + + try + { + + StringBuilder sb = new StringBuilder(); + sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data")); + sb.Append("SELECT B.symbol, B.zacks_rank, B.date, B.type "); + sb.Append("FROM (SELECT symbol,zacks_rank,date,type , ROW_NUMBER() OVER "); + sb.Append("(PARTITION BY symbol ORDER BY date desc) AS rownum "); + sb.Append("FROM zacksrank WHERE symbol IN ").Append(SqlUtils.CreateInClause(symbols)).Append(" and DATE<=").Append(SqlUtils.ToSqlDate(maxDate,true)).Append(")B "); + sb.Append("WHERE B.rownum<=1"); + strQuery = sb.ToString(); ; + sqlCommand = new MySqlCommand(strQuery, sqlConnection); + sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT; + sqlDataReader = sqlCommand.ExecuteReader(); + + while(sqlDataReader.Read()) + { + ZacksRank zacksRank=new ZacksRank(); + zacksRank.Symbol=sqlDataReader.GetString(0); + zacksRank.Rank=sqlDataReader.GetString(1); + zacksRank.Date=sqlDataReader.GetDateTime(2); + if(!sqlDataReader.IsDBNull(3))zacksRank.Type=sqlDataReader.GetString(3); + if(!zacksRanks.ContainsKey(zacksRank.Symbol)) + { + zacksRanks.Add(zacksRank.Symbol, zacksRank); + } + } + return zacksRanks; + } + catch (Exception exception) + { + MDTrace.WriteLine(LogLevel.DEBUG,exception); + return null; + } + finally + { + if(null!=sqlCommand)sqlCommand.Dispose(); + if (null != sqlDataReader) {sqlDataReader.Close();sqlDataReader.Dispose();} + if (null != sqlConnection) sqlConnection.Close(); + } + } + // Get the latest rank for symbol that falls on or before the specified date public static ZacksRank GetZacksRankOnOrBefore(String symbol, DateTime date) { @@ -54,6 +106,7 @@ namespace MarketData.DataAccess if (null != sqlConnection) sqlConnection.Close(); } } + // Get the most recent rank date on or before the given date for specified symbol private static DateTime? GetMaxDateOnOrBefore(String symbol, DateTime date) { @@ -92,6 +145,7 @@ namespace MarketData.DataAccess if (null != sqlConnection) sqlConnection.Close(); } } + // Get the latest rank for symbol public static ZacksRank GetZacksRank(String symbol) { @@ -131,6 +185,7 @@ namespace MarketData.DataAccess if (null != sqlConnection) sqlConnection.Close(); } } + // Insert a rank if the latest rank that we have is different from the one to be added or we do not have a rank public static bool InsertZacksRank(ZacksRank zacksRank) { @@ -179,6 +234,7 @@ namespace MarketData.DataAccess if (null != sqlConnection) sqlConnection.Close(); } } + private static String GetChangeType(ZacksRank latestRank,ZacksRank newRank) { if(null==latestRank)return "Initial"; @@ -190,6 +246,7 @@ namespace MarketData.DataAccess return "NoChange"; } + // Delete a ranking on symbol and date private static bool DeleteZacksRank(ZacksRank zacksRank,MySqlConnection sqlConnection,MySqlTransaction sqlTransaction) { diff --git a/MarketDataLib/Generator/Momentum/MGConfiguration.cs b/MarketDataLib/Generator/Momentum/MGConfiguration.cs index c7f7944..5fcbea8 100644 --- a/MarketDataLib/Generator/Momentum/MGConfiguration.cs +++ b/MarketDataLib/Generator/Momentum/MGConfiguration.cs @@ -32,6 +32,7 @@ namespace MarketData.Generator.Momentum public bool UseLowSlopeBetaCheck{get;set;} public int LowSlopeBetaDays{get;set;} public double LowSlopeBetaThreshhold{get;set;} + public bool UseCalcBeta{get;set;} // if this is set then use the betaCalc36 values from the beta generator that have been added to fundamentals, otherwise use the Beta from fundamentals (Yahoo/FinViz) // MACD Settings : If MACD is being used then the process configures the MACD as per setup and eliminates candidates with a weak sell/strong sell signal in the signal days setting. public bool UseMACD{get;set;} @@ -85,6 +86,8 @@ namespace MarketData.Generator.Momentum UseLowSlopeBetaCheck=true; // true is the default. this yields the most optimal performance in backtests LowSlopeBetaDays=15; // 15 is the default. This yields the most optimal performance in backtests LowSlopeBetaThreshhold=1.00; // (1.00) is the default This yields the most optimal performance in backtests + UseCalcBeta=true; // This is set to true by default + UseMACD=true; // true is the default MACDSetup="(12,26,9)"; // (12,26,9) MACDSignalDays=12; // 12 is the default @@ -126,6 +129,7 @@ namespace MarketData.Generator.Momentum nvpCollection.Add(new NVP("UseLowSlopeBetaCheck",UseLowSlopeBetaCheck.ToString())); nvpCollection.Add(new NVP("LowSlopeBetaDays",LowSlopeBetaDays.ToString())); nvpCollection.Add(new NVP("LowSlopeBetaThreshhold",LowSlopeBetaThreshhold.ToString())); + nvpCollection.Add(new NVP("UseCalcBeta",UseCalcBeta.ToString())); nvpCollection.Add(new NVP("UseMACD",UseMACD.ToString())); nvpCollection.Add(new NVP("MACDSetup",MACDSetup.ToString())); nvpCollection.Add(new NVP("MACDSignalDays",MACDSignalDays.ToString())); @@ -167,6 +171,8 @@ namespace MarketData.Generator.Momentum mgConfiguration.UseLowSlopeBetaCheck=nvpDictionary["UseLowSlopeBetaCheck"].Get(); mgConfiguration.LowSlopeBetaDays=nvpDictionary["LowSlopeBetaDays"].Get(); mgConfiguration.LowSlopeBetaThreshhold=nvpDictionary["LowSlopeBetaThreshhold"].Get(); + if(nvpDictionary.ContainsKey("UseCalcBeta"))mgConfiguration.UseCalcBeta=nvpDictionary["UseCalcBeta"].Get(); + else mgConfiguration.UseCalcBeta=true; mgConfiguration.UseMACD=nvpDictionary["UseMACD"].Get(); mgConfiguration.MACDSetup=nvpDictionary["MACDSetup"].Get(); mgConfiguration.MACDSignalDays=nvpDictionary["MACDSignalDays"].Get(); @@ -208,6 +214,7 @@ namespace MarketData.Generator.Momentum MDTrace.WriteLine(LogLevel.DEBUG,String.Format("UseLowSlopeBetaCheck,{0}",UseLowSlopeBetaCheck)); MDTrace.WriteLine(LogLevel.DEBUG,String.Format("LowSlopeBetaDays,{0}",LowSlopeBetaDays)); MDTrace.WriteLine(LogLevel.DEBUG,String.Format("LowSlopeBetaThreshhold,{0}",LowSlopeBetaThreshhold)); + MDTrace.WriteLine(LogLevel.DEBUG,String.Format("UseCalcBeta,{0}",UseCalcBeta)); MDTrace.WriteLine(LogLevel.DEBUG,String.Format("UseMACD,{0}",UseMACD)); MDTrace.WriteLine(LogLevel.DEBUG,String.Format("MACDSetup,{0}",MACDSetup)); diff --git a/MarketDataLib/Generator/Momentum/MomentumGenerator.cs b/MarketDataLib/Generator/Momentum/MomentumGenerator.cs index bd7f992..ba19fe8 100644 --- a/MarketDataLib/Generator/Momentum/MomentumGenerator.cs +++ b/MarketDataLib/Generator/Momentum/MomentumGenerator.cs @@ -59,6 +59,345 @@ namespace MarketData.Generator.Momentum } return momentumCandidates; } + +// This interface is called by the Backtest + public static MomentumCandidates GenerateMomentum(DateTime tradeDate,List symbolsHeld,MGConfiguration config) + { + DateGenerator dateGenerator=new DateGenerator(); + List symbols=PricingDA.GetSymbols(); + MomentumCandidates momentumCandidates=new MomentumCandidates(); + MomentumCandidates highPECandidates=new MomentumCandidates(); + DateTime startDateOfReturns=dateGenerator.GetPrevMonthEnd(tradeDate,2); + List noTradeSymbols=Utility.ToList(config.NoTradeSymbols); + List noTradeFinancialSymbols=Utility.ToList(config.NoTradeFinancialSymbols); + CandidateViolations candidateViolations = new CandidateViolations(); + + MDTrace.WriteLine(LogLevel.DEBUG,$"Fetching data..."); +// Filter out symbols where we do not have a price on trade date + Profiler profiler = new Profiler(); + Dictionary latestDates = PricingDA.GetLatestDates(symbols); + symbols=symbols.Where(x => latestDates.ContainsKey(x) && latestDates[x].Date>=tradeDate.Date).ToList(); + MDTrace.WriteLine(LogLevel.DEBUG,$"Loaded Pricing Dates in {Utility.FormatNumber(profiler.End(),0,true)} (ms)"); + +// Prefetch a subset of fundamentals where each fundamental.asof is no greater than tradeDate + profiler.Reset(); + FundamentalsV2 fundamentals = FundamentalDA.GetFundamentalsMaxDateV2(tradeDate); + MDTrace.WriteLine(LogLevel.DEBUG,$"Loaded Fundamentals in {Utility.FormatNumber(profiler.End(),0,true)} (ms)"); + +// Prefetch the Company Profiles + profiler.Reset(); + Dictionary companyProfiles = CompanyProfileDA.GetCompanyProfiles(symbols); + MDTrace.WriteLine(LogLevel.DEBUG,$"Loaded Company Profiles in {Utility.FormatNumber(profiler.End(),0,true)} (ms)"); + +// Prefetch the Analyst Ratings + profiler.Reset(); + Dictionary analystRatingsDictionary = AnalystRatingsDA.GetAnalystRatingsDowngradesMaxDateNoZacks(symbols, tradeDate); + MDTrace.WriteLine(LogLevel.DEBUG,$"Loaded Analyst Ratings in {Utility.FormatNumber(profiler.End(),0,true)} (ms)"); + +// Prefetch Zacks Ranks + profiler.Reset(); + Dictionary zacksRanksDictionary = ZacksRankDA.GetZacksRankOnOrBefore(symbols, tradeDate); + MDTrace.WriteLine(LogLevel.DEBUG,$"Loaded Zacks Ranks in {Utility.FormatNumber(profiler.End(),0,true)} (ms)"); + + MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Generate momentum.. examining candidates")); +// Go through the universe of stocks + for(int index=0;indexx.Equals(symbol, StringComparison.CurrentCultureIgnoreCase))) + { + candidateViolations.Add(new CandidateViolation(symbol,"Candidate already held.")); + continue; + } + +// Check if the symbol is in the no trade list (i.e.) Bitcoin etc., + if(noTradeSymbols.Any(x=>x.Equals(symbol, StringComparison.CurrentCultureIgnoreCase))) + { + candidateViolations.Add(new CandidateViolation(symbol,"Candidate in NoTradeSymbol.")); + continue; + } + +// Check MarketCap, EBITDA, PE, and Revenue Per Share + FundamentalV2 fundamental = default; + if(fundamentals.ContainsKey(symbol))fundamental = fundamentals[symbol]; + if(null==fundamental) + { + candidateViolations.Add(new CandidateViolation(symbol,"Candidate no fundamental.")); + continue; + } + + if(!(fundamental.MarketCap>=config.MarketCapLowerLimit)) + { + candidateViolations.Add(new CandidateViolation(symbol,"Candidate MarketCapLimit.")); + continue; + } + + if(config.UseEBITDAScreen && (double.IsNaN(fundamental.EBITDA)||fundamental.EBITDA<=0)) + { + candidateViolations.Add(new CandidateViolation(symbol,"Candidate EBITDA violation.")); + continue; + } + + if(config.UseRevenuePerShareScreen && (double.IsNaN(fundamental.RevenuePerShare)||fundamental.RevenuePerShare<0.00)) + { + candidateViolations.Add(new CandidateViolation(symbol,"Candidate RevenuePerShare violation.")); + continue; + } + +// Initial PE screening. This screen checks for existance of PE and if it is availabe it must be >0.00 . There is another PE based on limits further below + if(config.UsePEScreen && (double.IsNaN(fundamental.PE)||fundamental.PE<=0.00)) + { + candidateViolations.Add(new CandidateViolation(symbol,"Candidate PE violation.")); + continue; + } + +// Exclude any company in the "Financial" sector + CompanyProfile companyProfile = default; + if(companyProfiles.ContainsKey(symbol))companyProfile = companyProfiles[symbol]; + if(null!=companyProfile&&null!=companyProfile.Sector&&noTradeFinancialSymbols.Any(x=>x.Equals(companyProfile.Sector))) + { + candidateViolations.Add(new CandidateViolation(symbol,"Candidate Financial Sector violation.")); + continue; + } + +// Retrieve prices + Prices prices=null; + prices=GBPriceCache.GetInstance().GetPrices(symbol,tradeDate,(int)MomentumGeneratorConstants.DayCount+20); + if(null==prices || prices.Count!=(int)MomentumGeneratorConstants.DayCount+20) + { + candidateViolations.Add(new CandidateViolation(symbol,"Candidate missing price history.")); + continue; + } + +// Fetch single day price + Price price=prices[0]; // GBPriceCache.GetInstance().GetPrice(symbol,tradeDate); + if(null==price) + { + candidateViolations.Add(new CandidateViolation(symbol,"Candidate missing price on trade date.")); + continue; + } +// Filter penny stocks - don't trade anything less than $1.00 + if(price.Close<1.00||price.Open<1.00) + { + candidateViolations.Add(new CandidateViolation(symbol,"Candidate penny stock violation.")); + continue; + } + +// calculate the one day return + double return1D=prices.GetReturn1D(); + +// Liquidity check - if any day has volume < 10,000 then we reject it + if(((from Price xPrice in prices where xPrice.Volume<10000 select xPrice).Count())>1) + { + candidateViolations.Add(new CandidateViolation(symbol,"Liquidity violation.")); + continue; + } + +// Calculate velocity as a percentage range of the open price within the 252+20 day range of prices - This is used for display purposes + double velocity; + Prices velocityPrices=GBPriceCache.GetInstance().GetPrices(symbol,tradeDate,(int)MomentumGenerator.MomentumGeneratorConstants.DayCount+20); + double priceHigh=(from Price selectPrice in velocityPrices select selectPrice.Open).Max(); + double priceLow=(from Price selectPrice in velocityPrices select selectPrice.Open).Min(); + if(0.00==priceHigh-priceLow)velocity=0.00; + else velocity=((price.Open-priceLow)*(100/(priceHigh-priceLow)))/100.00; + +// Price slopes - These are used for display purposes + double[] pricesArray=null; + LeastSquaresResult leastSquaresResult; + +// Get the benchmark pricing low pricing data and check the slope of previous lows; only if Beta of candidate is >= LowSlopeBetaThreshhold +// The idea behind this check is that a high beta stock will track to the benchmark. So if the benchmark lows are forming a downward pattern then we +// assume that this is a somewhat bearish condition. The config has the setting at a 15 day check and the threshold beta set to 1.00 +// The BetaCalc36 is calculated as part of the monthly fundamental run. + double beta = fundamental.Beta; + if(config.UseCalcBeta)beta=fundamental.BetaCalc36; + if(config.UseLowSlopeBetaCheck && beta >= config.LowSlopeBetaThreshhold) + { + Prices benchmarkPrices=GBPriceCache.GetInstance().GetPrices(config.Benchmark,tradeDate,config.LowSlopeBetaDays); + pricesArray=Numerics.ToDouble(benchmarkPrices.GetPricesLow()); + leastSquaresResult=Numerics.LeastSquares(pricesArray); + double slopeBmk=leastSquaresResult.Slope; + if(slopeBmk<0) + { + candidateViolations.Add(new CandidateViolation(symbol,"Beta threshhold violation.")); + continue; + } + } + +// *** MACDSignal detection + if(config.UseMACD) + { + MACDSetup macdSetup=new MACDSetup(config.MACDSetup); + MACDSignals macdSignals=MACDGenerator.GenerateMACD(prices,macdSetup); + Signals signalsMACD = SignalGenerator.GenerateSignals(macdSignals); + signalsMACD=new Signals(signalsMACD.Take(config.MACDSignalDays).ToList()); + int weakSellSignals=(from Signal signal in signalsMACD where signal.IsWeakSell() select signal).Count(); + int strongSellSignals=(from Signal signal in signalsMACD where signal.IsStrongSell() select signal).Count(); + if(config.MACDRejectWeakSellSignals && weakSellSignals>0) + { + candidateViolations.Add(new CandidateViolation(symbol,"MACD Reject Weak Sell violation.")); + continue; + } + if(config.MACDRejectStrongSellSignals && strongSellSignals>0) + { + candidateViolations.Add(new CandidateViolation(symbol,"MACD Reject Strong Sell violation.")); + continue; + } + } + +// *** Stochastics oscillator + if(config.UseStochastics) + { + Stochastics stochastics=StochasticsGenerator.GenerateStochastics(prices); + Signals signalsStochastics=new Signals(SignalGenerator.GenerateSignals(stochastics).OrderByDescending(x => x.SignalDate).ToList()); + signalsStochastics=new Signals(signalsStochastics.Take(config.StochasticsSignalDays).ToList()); + int weakSellCount=(from Signal signal in signalsStochastics where signal.IsWeakSell() select signal).Count(); + int strongSellCount=(from Signal signal in signalsStochastics where signal.IsStrongSell() select signal).Count(); + if(config.StochasticsRejectStrongSells&&strongSellCount>0) + { + candidateViolations.Add(new CandidateViolation(symbol,"Stochastics Oscillator Reject Strong Sell violation.")); + continue; + } + if(config.StochasticsRejectWeakSells&&weakSellCount>0) + { + candidateViolations.Add(new CandidateViolation(symbol,"Stochastics Oscillator Reject Weak Sell violation.")); + continue; + } + } + +// Analyst Ratings - "Downgrades" that are more than a year old (252 days) are not considered. Mean reversion.... bad companies improve, good companies decline. + DateTime minRatingDate=dateGenerator.GenerateHistoricalDate(startDateOfReturns,(int)MomentumGeneratorConstants.DayCount); + AnalystRatings analystRatings= default; + if(analystRatingsDictionary.ContainsKey(symbol))analystRatings=analystRatingsDictionary[symbol]; + if(default!=analystRatings) + { + analystRatings.RemoveAll(x => x.Date.50 select value).Count()>0) + { + candidateViolations.Add(new CandidateViolation(symbol,"Candidate pricing contains outliers in the returns.")); + continue; + } +// Cumulative return + double cumulativeReturn=prices.GetCumulativeReturn(); + if(cumulativeReturn<.10) + { + candidateViolations.Add(new CandidateViolation(symbol,"Candidate cumulative returns below threshhold.")); + continue; + } + +// Zacks Rank. This is for informational purposes for now but may further it's use in the future. + ZacksRank zacksRank = default; + if(zacksRanksDictionary.ContainsKey(symbol)) + { + zacksRank = zacksRanksDictionary[symbol]; + } + +// Apply the PEScreening last because there an option to permit the inclusion of the high PE candidates if we have no other available candidates. +// The idea is to try to avoid high PE stocks as they are more likey to introduce drawdowns as backtests have shown. + if(config.UseMaxPEScreen && !double.IsNaN(fundamental.PE) && fundamental.PE>config.MaxPE) + { + candidateViolations.Add(new CandidateViolation(symbol,"PE violation.")); + MomentumCandidate highPECandidate=new MomentumCandidate(); + highPECandidate.AnalysisDate=tradeDate; + highPECandidate.Symbol=symbol; + highPECandidate.CumReturn252=prices.GetCumulativeReturn(); + highPECandidate.DayCount=(int)MomentumGeneratorConstants.DayCount; + highPECandidate.IDIndicator=IDIndicator.Calculate(prices); + highPECandidate.Score=ScoreIndicator.Calculate(prices); + highPECandidate.MaxDrawdown=prices.MaxDrawdown(); + highPECandidate.MaxUpside=prices.MaxUpside(); + highPECandidate.PE=fundamental.PE; + highPECandidate.Beta=beta; + highPECandidate.Velocity=velocity; + highPECandidate.Volume=price.Volume; + highPECandidate.Return1D=return1D; + if(null!=zacksRank)highPECandidate.ZacksRank=zacksRank.Rank; + highPECandidates.Add(highPECandidate); + continue; + } +// *********************************************************************** C A N D I D A T E A C C E P T A N C E ******************************************************* +// At this point whatever remains is taken so initialize the candidate and add to list + MomentumCandidate momentumCandidate=new MomentumCandidate(); + momentumCandidate.AnalysisDate=tradeDate; + momentumCandidate.Symbol=symbol; + momentumCandidate.CumReturn252=prices.GetCumulativeReturn(); + momentumCandidate.DayCount=(int)MomentumGeneratorConstants.DayCount; + momentumCandidate.IDIndicator=IDIndicator.Calculate(prices); + momentumCandidate.Score=ScoreIndicator.Calculate(prices); + momentumCandidate.MaxDrawdown=prices.MaxDrawdown(); + momentumCandidate.MaxUpside=prices.MaxUpside(); + momentumCandidate.PE=fundamental.PE; + momentumCandidate.Beta=beta; + momentumCandidate.Velocity=velocity; + momentumCandidate.Volume=price.Volume; + momentumCandidate.Return1D=return1D; + if(null!=zacksRank)momentumCandidate.ZacksRank=zacksRank.Rank; + momentumCandidates.Add(momentumCandidate); + + } // for all symbols + + if(0!=candidateViolations.Count) + { + MDTrace.WriteLine(LogLevel.DEBUG,"**************** C A N D I D A T E S U M M A R Y ************************"); + IEnumerable> groups = candidateViolations.GroupBy(x => x.ReasonCategory).OrderByDescending(group => group.Count()).Select(group => Tuple.Create(group.Key, group.Count())); + foreach(Tuple group in groups) + { + MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Group: {0} Count:{1}",group.Item1, group.Item2)); + } + } + MDTrace.WriteLine(LogLevel.DEBUG,String.Format($"Total Considered : {momentumCandidates.Count+candidateViolations.Count}")); + MDTrace.WriteLine(LogLevel.DEBUG,String.Format($"Total Disqualified : {candidateViolations.Count}")); + MDTrace.WriteLine(LogLevel.DEBUG,String.Format($"Total Eligible : {momentumCandidates.Count}")); + MDTrace.WriteLine(LogLevel.DEBUG,"******************************************************************************************************"); + +// ********************************************************* E N D C A N D I D A T E S E L E C T I O N C R I T E R I A **************************************** +// If we wind up with less than the number of required candidates then check the StrictMaxPE +// flag and, if allowed, add the highPECandidate (that we've accumulated but skipped) to the momentumCandidates ordering them by the Lowest PE + if(!config.StrictMaxPE && momentumCandidates.Count0) + { + int takeCandidates=config.MaxPositions-momentumCandidates.Count; + highPECandidates=new MomentumCandidates(highPECandidates.OrderBy(x=>x.PE).Take(takeCandidates).ToList()); + momentumCandidates.AddRange(highPECandidates); + if(config.Verbose)MDTrace.WriteLine(LogLevel.DEBUG,String.Format("High PE Candidates,{0}",Utility.FromList((from MomentumCandidate momentumCandidate in highPECandidates select momentumCandidate.Symbol).ToList()))); + } + + QualityIndicator qualityIndicator=new QualityIndicator(config.QualityIndicatorType); + if(qualityIndicator.Quality.Equals(QualityIndicator.QualityType.IDIndicator)) + { + momentumCandidates=new MomentumCandidates((from MomentumCandidate momentumCandidate in momentumCandidates orderby momentumCandidate.IDIndicator ascending, momentumCandidate.CumReturn252 descending, momentumCandidate.Return1D descending, momentumCandidate.Volume descending select momentumCandidate).ToList()); + } + else + { + momentumCandidates=new MomentumCandidates((from MomentumCandidate momentumCandidate in momentumCandidates orderby momentumCandidate.Score descending,momentumCandidate.CumReturn252 descending,momentumCandidate.Return1D descending,momentumCandidate.Volume descending select momentumCandidate).ToList()); + } + MDTrace.WriteLine(LogLevel.DEBUG,String.Format("MomentumGenertor.GenerateMomentum:{0} candidates",momentumCandidates.Count())); + return momentumCandidates; + } + +/* // This interface is called by the Backtest public static MomentumCandidates GenerateMomentum(DateTime tradeDate,List symbolsHeld,MGConfiguration config) { @@ -355,5 +694,6 @@ namespace MarketData.Generator.Momentum MDTrace.WriteLine(LogLevel.DEBUG,String.Format("MomentumGenertor.GenerateMomentum:{0} candidates",momentumCandidates.Count())); return momentumCandidates; } +*/ } } diff --git a/MarketDataLib/MarketDataModel/FundamentalV2.cs b/MarketDataLib/MarketDataModel/FundamentalV2.cs index a26dae2..0d0615e 100644 --- a/MarketDataLib/MarketDataModel/FundamentalV2.cs +++ b/MarketDataLib/MarketDataModel/FundamentalV2.cs @@ -20,9 +20,10 @@ namespace MarketData.MarketDataModel private double pe; private double ebitda; private double revenuePerShare; - private double beta; - private double betaCalc36; - private double betaCalc06; + private double beta; // 36 month beta from Yahoo Finance or FINVIZ + private double betaCalc36; // 36 month beta calculated from the Beta Generator + private double betaCalc24; // 24 month beta calculated from the Beta Generator + private double betaCalc06; // 6 month beta calculated from the Beta Generator public FundamentalV2() { @@ -66,7 +67,12 @@ namespace MarketData.MarketDataModel { get { return betaCalc36; } set { betaCalc36 = value; } - } + } + public double BetaCalc24 + { + get { return betaCalc24; } + set { betaCalc24 = value; } + } public double BetaCalc06 { get { return betaCalc06; } diff --git a/MarketDataLib/MarketDataModel/Fundamentals.cs b/MarketDataLib/MarketDataModel/Fundamentals.cs index 13723f7..d9e8d1a 100644 --- a/MarketDataLib/MarketDataModel/Fundamentals.cs +++ b/MarketDataLib/MarketDataModel/Fundamentals.cs @@ -17,9 +17,10 @@ namespace MarketData.MarketDataModel private String symbol; private DateTime asOf; private DateTime nextEarningsDate; - private double beta; - private double betaCalc36; - private double betaCalc06; + private double beta; // 36 month beta retrieved from Yahoo Finance or FINVIZ + private double betaCalc36; // 36 month beta calculated with the Beta Generator + private double betaCalc24; // 24 month beta calculated with the Beta Generator + private double betaCalc06; // 6 month beta calculated with the Beta Generator private double low52; private double high52; private Int64 volume; @@ -81,6 +82,11 @@ namespace MarketData.MarketDataModel get { return betaCalc36; } set { betaCalc36 = value; } } + public double BetaCalc24 + { + get { return betaCalc24; } + set { betaCalc24 = value; } + } public double BetaCalc06 { get { return betaCalc06; } @@ -342,6 +348,7 @@ namespace MarketData.MarketDataModel sb.Append("NextEarningsDate").Append(","); sb.Append("Beta").Append(","); sb.Append("BetaCalc36").Append(","); + sb.Append("BetaCalc24").Append(","); sb.Append("BetaCalc06").Append(","); sb.Append("Low52").Append(","); sb.Append("High52").Append(","); @@ -381,6 +388,7 @@ namespace MarketData.MarketDataModel sb.Append(Utility.DateTimeToStringMMSDDSYYYY(NextEarningsDate)).Append(","); sb.Append(String.Format("{0:0.00}",Beta )).Append(","); sb.Append(String.Format("{0:0.00}",BetaCalc36 )).Append(","); + sb.Append(String.Format("{0:0.00}",BetaCalc24 )).Append(","); sb.Append(String.Format("{0:0.00}",BetaCalc06 )).Append(","); sb.Append(String.Format("{0:0.00}",Low52)).Append(","); sb.Append(String.Format("{0:0.00}",High52)).Append(","); @@ -412,3 +420,4 @@ namespace MarketData.MarketDataModel } } } +