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Relocate the helpers to ModelHelpers folder.

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Sean
2025-04-24 16:59:42 -04:00
parent e4f2fdd1f1
commit ff1db226e9
4 changed files with 5 additions and 358 deletions
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185
CMTrendHelper.cs
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@@ -1,185 +0,0 @@
using MarketData.Generator.CMTrend;
using MarketData.Utils;
using System;
using System.Collections.Generic;
using System.Linq;
namespace MarketData
{
public static class CMTrendHelper
{
public static void HandleCMTSession(CommandArgs commandArgs)
{
if (!commandArgs.Has("SESSIONFILE")) {MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Missing SESSIONFILE"));return;}
CMTTrendModel trendModel=new CMTTrendModel();
trendModel.DisplaySession(commandArgs.Coalesce<String>("SESSIONFILE"));
}
public static void HandleRunCMTrend(CommandArgs commandArgs)
{
String mode;
if(!commandArgs.Has("MODE"))
{
if(!commandArgs.Has("MODE")) MDTrace.WriteLine(LogLevel.DEBUG,"MODE is a required paramater.");
MDTrace.WriteLine(LogLevel.DEBUG,"RUNMMTREND /MODE:DAILY|BACKTEST|RUNTRENDTEMPLATE|ANALYZE|DISPLAY|CLOSEPOSITION /SELLDATE:{CLOSEPOSITION} /PRICE:{CLOSEPOSITION} /SYMBOL:{for mode ANALYZE,CLOSEPOSITION} /TRADEDATE:{for mode DAILY,RUNTRENDTEMPLATE,ANALYZE,CLOSEPOSITION) /STARTDATE:(for mode BACKTEST) /ENDDATE:(for mode BACKTEST) /INITIALCASH: /SESSIONFILE: MAXOPENPOSITIONS: /MAXDAILYPOSITIONS: Runs Mark Minervini trend");
return;
}
mode=commandArgs.Get<String>("MODE");
if("ENTRYTEST".Equals(mode))
{
CMTParams cmtParams=new CMTParams();
if(!commandArgs.Has("SYMBOL")||!commandArgs.Has("STARTDATE"))
{
if(!commandArgs.Contains("SYMBOL")) MDTrace.WriteLine(LogLevel.DEBUG,"SYMBOL is a required parameter when MODE=ENTRYTEST");
if(!commandArgs.Contains("STARTDATE")) MDTrace.WriteLine(LogLevel.DEBUG,"STARTDATE is a required parameter when MODE=ENTRYTEST");
return;
}
CMTTrendModel trendModel=new CMTTrendModel();
trendModel.EntryTest(commandArgs.Get<String>("SYMBOL"),commandArgs.Get<DateTime>("STARTDATE"));
}
else if("CLOSEPOSITION".Equals(mode))
{
CMTParams cmtParams=new CMTParams();
if(!commandArgs.Has("PURCHASEDATE,SYMBOL,SESSIONFILE,PRICE,SELLDATE"))
{
if(!commandArgs.Contains("PURCHASEDATE")) MDTrace.WriteLine(LogLevel.DEBUG,"PURCHASEDATE is a required parameter when MODE=CLOSEPOSITION");
if(!commandArgs.Contains("SYMBOL")) MDTrace.WriteLine(LogLevel.DEBUG,"SYMBOL is a required parameter when MODE=CLOSEPOSITION");
if(!commandArgs.Contains("SESSIONFILE")) MDTrace.WriteLine(LogLevel.DEBUG,"SESSIONFILE is a required parameter when MODE=CLOSEPOSITION");
if(!commandArgs.Contains("PRICE")) MDTrace.WriteLine(LogLevel.DEBUG,"PRICE is a required parameter when MODE=CLOSEPOSITION");
if(!commandArgs.Contains("SELLDATE")) MDTrace.WriteLine(LogLevel.DEBUG,"SELLDATE is a required parameter when MODE=CLOSEPOSITION");
return;
}
CMTTrendModel trendModel=new CMTTrendModel();
trendModel.ClosePosition(commandArgs.Get<String>("SYMBOL"),commandArgs.Get<DateTime>("PURCHASEDATE"),commandArgs.Get<DateTime>("SELLDATE"),commandArgs.Get<double>("PRICE"),commandArgs.Get<String>("SESSIONFILE"));
}
else if("DAILY".Equals(mode))
{
CMTParams cmtParams=new CMTParams();
if(!commandArgs.Has("TRADEDATE,SESSIONFILE"))
{
if(!commandArgs.Contains("TRADEDATE")) MDTrace.WriteLine(LogLevel.DEBUG,"TRADEDATE is a required parameter when MODE=DAILY");
if(!commandArgs.Contains("SESSIONFILE")) MDTrace.WriteLine(LogLevel.DEBUG,"SESSIONFILE is a required parameter when MODE=DAILY");
return;
}
if(commandArgs.Contains("INITIALCASH")) cmtParams.InitialCash=commandArgs.Get<double>("INITIALCASH");
if(commandArgs.Contains("MAXDAILYPOSITIONS")) cmtParams.MaxDailyPositions=commandArgs.Get<int>("MAXDAILYPOSITIONS");
if(commandArgs.Contains("MAXOPENPOSITIONS")) cmtParams.MaxOpenPositions=commandArgs.Get<int>("MAXOPENPOSITIONS");
if(commandArgs.Has("ONLYTRADESYMBOLS")) cmtParams.OnlyTradeSymbols=commandArgs.Get<String>("ONLYTRADESYMBOLS");
if(commandArgs.Contains("POSITIONRISKPERCENTDECIMAL"))
{
cmtParams.PositionRiskPercentDecimal=commandArgs.Get<double>("POSITIONRISKPERCENTDECIMAL");
}
if(commandArgs.Contains("ENTRYTYPE"))
{
List<String> entryTypes=Utility.ToList(commandArgs.Get<String>("ENTRYTYPE"));
List<String> constraints=new List<String> { "OVEREXTENDED","MVP","NARROWRANGE","MACD","PRICETREND","VOLUMETREND" };
bool results=entryTypes.All(i => constraints.ContainsIgnoreCase(i));
if(!results)
{
MDTrace.WriteLine(LogLevel.DEBUG,"ENTRYTYPE must consist of one or more OVEREXTENDED, MVP, NarrowRange, MACD, PriceTrend, VolumeTrend");
return;
}
cmtParams.EntryType=commandArgs.Get<String>("ENTRYTYPE");
}
CMTTrendModel trendModel=new CMTTrendModel();
if(commandArgs.Contains("USETRADEONLYSECTORS"))
{
cmtParams.UseTradeOnlySectors=commandArgs.Get<bool>("USETRADEONLYSECTORS");
if(cmtParams.UseTradeOnlySectors)
{
cmtParams.UseTradeOnlySectorsSectors=commandArgs.Get<String>("USETRADEONLYSECTORSSECTORS");
}
}
CMTTrendModelResult result=trendModel.RunDaily(commandArgs.Get<DateTime>("TRADEDATE"),commandArgs.Get<String>("SESSIONFILE"),cmtParams);
}
else if("BACKTEST".Equals(mode))
{
CMTParams cmtParams=new CMTParams();
bool sellAtEndOfSimulation=true;
if(!commandArgs.Has("STARTDATE,ENDDATE,SESSIONFILE"))
{
if(!commandArgs.Contains("STARTDATE")) MDTrace.WriteLine(LogLevel.DEBUG,"STARTDATE is a required parameter");
if(!commandArgs.Contains("ENDDATE")) MDTrace.WriteLine(LogLevel.DEBUG,"ENDDATE is a required parameter");
if(!commandArgs.Contains("SESSIONFILE")) MDTrace.WriteLine(LogLevel.DEBUG,"SESSIONFILE is a required parameter");
return;
}
CMTTrendModel trendModel=new CMTTrendModel();
if(commandArgs.Contains("USETRADEONLYSECTORS"))
{
cmtParams.UseTradeOnlySectors=commandArgs.Get<bool>("USETRADEONLYSECTORS");
if(cmtParams.UseTradeOnlySectors)
{
cmtParams.UseTradeOnlySectorsSectors=commandArgs.Get<String>("USETRADEONLYSECTORSSECTORS");
}
}
if(commandArgs.Contains("USEPROFITMAXIMIZATION"))
{
cmtParams.UseProfitMaximization=commandArgs.Get<bool>("USEPROFITMAXIMIZATION");
if(commandArgs.Contains("USEPROFITMAXIMIZATIONEXPRESSION"))
{
cmtParams.UseProfitMaximizationExpression=commandArgs.Get<String>("USEPROFITMAXIMIZATIONEXPRESSION");
}
}
if(commandArgs.Contains("MAXDAILYPOSITIONS")) cmtParams.MaxDailyPositions=commandArgs.Get<int>("MAXDAILYPOSITIONS");
if(commandArgs.Contains("MAXOPENPOSITIONS")) cmtParams.MaxOpenPositions=commandArgs.Get<int>("MAXOPENPOSITIONS");
if(commandArgs.Contains("BENCHMARKMOVINGAVERAGEDAYS")) cmtParams.BenchmarkMovingAverageDays=commandArgs.Get<int>("BENCHMARKMOVINGAVERAGEDAYS");
if(commandArgs.Contains("BENCHMARKMOVINGAVERAGEHORIZON")) cmtParams.BenchmarkMovingAverageHorizon=commandArgs.Get<int>("BENCHMARKMOVINGAVERAGEHORIZON");
if(commandArgs.Has("ONLYTRADESYMBOLS")) cmtParams.OnlyTradeSymbols=commandArgs.Get<String>("ONLYTRADESYMBOLS");
if(commandArgs.Contains("POSITIONRISKPERCENTDECIMAL"))
{
cmtParams.PositionRiskPercentDecimal=commandArgs.Get<double>("POSITIONRISKPERCENTDECIMAL");
}
if(commandArgs.Contains("ENTRYTYPE"))
{
List<String> entryTypes=Utility.ToList(commandArgs.Get<String>("ENTRYTYPE"));
List<String> constraints=new List<String> { "OVEREXTENDED","MVP","NARROWRANGE","MACD","PRICETREND","VOLUMETREND" };
bool results=entryTypes.All(i => constraints.ContainsIgnoreCase(i));
if(!results)
{
MDTrace.WriteLine(LogLevel.DEBUG,"ENTRYTYPE must consist of one or more OVEREXTENDED, MVP, NarrowRange, MACD, PriceTrend, VolumeTrend");
return;
}
cmtParams.EntryType=commandArgs.Get<String>("ENTRYTYPE");
}
if(commandArgs.Contains("SELLATENDOFSIMULATION"))
{
sellAtEndOfSimulation=commandArgs.Get<bool>("SELLATENDOFSIMULATION");
}
CMTTrendModelResult result=trendModel.RunBacktestMode(commandArgs.Get<DateTime>("STARTDATE"),commandArgs.Get<DateTime>("ENDDATE"),sellAtEndOfSimulation,commandArgs.Get<String>("SESSIONFILE"),cmtParams);
}
else if("DISPLAY".Equals(mode))
{
if(!commandArgs.Contains("SESSIONFILE")) { MDTrace.WriteLine(LogLevel.DEBUG,"SESSIONFILE is a required parameter"); return; }
CMTTrendModel trendModel=new CMTTrendModel();
trendModel.DisplaySession(commandArgs.Get<String>("SESSIONFILE"));
}
else if("RUNTRENDTEMPLATE".Equals(mode))
{
if(!commandArgs.Contains("TRADEDATE"))
{
MDTrace.WriteLine(LogLevel.DEBUG,"TRADEDATE is a required parameter when MODE=DAILY");
return;
}
CMTTrendModel trendModel=new CMTTrendModel();
trendModel.RunTrendTemplate(commandArgs.Get<DateTime>("TRADEDATE"));
}
else
{
MDTrace.WriteLine(LogLevel.DEBUG,"RUNCMTREND /MODE:DAILY|BACKTEST /TRADEDATE:{for mode DAILY) /STARTDATE:(for mode BACKTEST) /ENDDATE:(for mode BACKTEST) /INITIALCASH: /SESSIONFILE: /MAXPOSITIONS Runs Mark Minervini trend");
}
return;
}
}
}

170
MGSHMomentumHelper.cs
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@@ -1,170 +0,0 @@
using MarketData.Generator.MGSHMomentum;
using MarketData.Utils;
using System;
using System.Collections.Generic;
using System.IO;
namespace MarketData
{
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));
}
}
}

7
MarketData.csproj
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@@ -71,10 +71,10 @@
<Reference Include="System.Xml" />
</ItemGroup>
<ItemGroup>
<Compile Include="CMMomentumHelper.cs" />
<Compile Include="CMTrendHelper.cs" />
<Compile Include="CommandArgs.cs" />
<Compile Include="MGSHMomentumHelper.cs" />
<Compile Include="ModelHelper\CMMomentumHelper.cs" />
<Compile Include="ModelHelper\CMTrendHelper.cs" />
<Compile Include="ModelHelper\MGSHMomentumHelper.cs" />
<Compile Include="Program.cs" />
<Compile Include="Properties\AssemblyInfo.cs" />
</ItemGroup>
@@ -94,6 +94,7 @@
<SubType>Designer</SubType>
</None>
</ItemGroup>
<ItemGroup />
<Import Project="$(MSBuildToolsPath)\Microsoft.CSharp.targets" />
<PropertyGroup>
<PostBuildEvent>editbin /largeaddressaware $(targetpath)

1
Program.cs
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@@ -19,6 +19,7 @@ using MarketData.Generator.Momentum;
using MarketData.MarketDataModel.GainLoss;
using MarketData.Cache;
using MarketData.Generator.CMTrend;
using MarketData.ModelHelper;
using Axiom.Interpreter;
using System.Data;
using MarketData.Generator.MovingAverage;