554f577803
Add logic to all models to avoid selling and immediately buying back the same security as this is considered a Wash Trade and is illegal.
2026-03-19 19:46:19 -04:00
05b9ac3897
Merge branch 'MKDT_CNN01'
2026-03-10 21:45:50 -04:00
22b387a2e3
Push MarketData Changes.
2026-03-10 21:43:40 -04:00
5c1dd6b2c5
Ensure GetModelPerformance does not short return when a price is missing.
2026-03-10 12:47:14 -04:00
2f9c01e5a0
Fix GLPriceCache
2026-02-26 16:24:35 -05:00
6d966c4f28
Additions
2026-02-19 09:13:15 -05:00
87f36345ff
Changes to display of Buys and Sells.
2025-12-01 19:45:58 -05:00
ac739d57f4
Fix MGSHBacktest Edit/Close hedge positions.
2025-08-04 22:21:48 -04:00
332ed89e5a
Add BarChart
2025-06-30 13:17:13 -04:00
b34722ec21
Fix AnalysisDate getting set to Epoch when editing or closing positions.
2025-06-02 19:07:11 -04:00
863f7cc703
Carry TradeDate and AnalysisDate to the Parameters.
2025-06-01 13:22:47 -04:00
e16034585e
Fix the monthly runs when running the month end process on the weekend... was picking the TradeDate as a weekend date.
...
Now if we run the model over the weekend the TradeDate and AnalysisDate will the the prior business day.
2025-05-31 12:09:43 -04:00
57f9f4857a
Point database to Adrastea. Fix MGSHBacktest.cs PerformanceStatistics. Provide an optimized PricingDA.GetLatestPrices() for use with the UI TradeBlotter.
2025-05-19 17:21:26 -04:00
e60d95b143
Add BetaCalc36,24,06 . Optimize MG
2025-05-09 17:40:13 -04:00
59ba764ae2
Updates to support calculated betas in the fundamental feed.
2025-05-06 19:07:18 -04:00
c0384feb95
Sync up with changes from ARM64
2025-05-01 14:08:33 -04:00
c9ec1a4ee8
Update
2025-05-01 11:28:28 -04:00
831e43e3b2
minor bug fix.
2025-04-15 22:05:31 -04:00
93c0642336
Code cleanup and optimization of CMTModel, code cleanup MGSH, added ConsoleColor to MDTrace.
2025-04-10 19:15:21 -04:00
1c69861ad5
Fix LocalPriceCache. Fix MGSHMomentum/MGSHSessionManager.cs
2025-04-09 17:22:15 -04:00
803fd5c45c
Fix SessionManager
2025-04-08 21:06:03 -04:00
8371775411
Optimizations
2025-04-08 12:59:57 -04:00
30c90cb56c
Optimizations
2025-03-31 15:40:02 -04:00
46e080923f
Code cleanup.
2025-03-03 19:41:45 -05:00
2365d1b9c4
Code cleanup
2025-02-25 20:33:28 -05:00
835c5be11a
Add Edit/Close positions for MG and CM models. Remove the Fix for purchase date sell date fall on weekend. Dead code elimination
2025-02-25 15:40:13 -05:00
c16c1f4988
Add interfaces, add edit position , close position to MG model.
2025-02-24 21:26:30 -05:00
eda09a7f4f
Added EvaluateStopOnUpTrend. The default is FALSE. This worked out well in backtests.
2025-02-22 22:17:03 -05:00
e50ac03b33
Add StopLimitATRMultiplier as a configurable parameter.
...
Code cleanup.
2025-02-22 22:15:37 -05:00
1f7aec2391
50 day moving average must remain above 200 day moving average in order for candidate to be selected.
2025-02-20 10:34:59 -05:00
aebd58be25
Code cleanup.
2025-02-20 10:34:04 -05:00
6f96ba3e22
BetaGenerator and some code cleanup
2025-02-14 18:56:11 -05:00
22a8b743a2
Hedge Cash + Code Cleanup
2025-02-13 15:02:19 -05:00
8090a5e093
Add ClosePosition log and fix bug in the initial stop limit adjustment where it was possible to adjust a stop limit downwards.
2025-02-11 19:19:05 -05:00
61ab01db83
Fix bug in initial stop limit adjustment where it is possible for a stop limit to be adjusted downwards.
2025-02-11 19:17:54 -05:00
0db4473632
Changes for MGSHBacktest model.
...
Code cleanup.
2025-02-10 07:57:00 -05:00
b7f72ef25a
Fix Backtest runs VS production run. Align dates.
2025-02-07 15:59:27 -05:00
d882b10ec0
Fix dictionary access.
2025-02-07 15:57:21 -05:00
348471cbdf
Fix MaxUpside
2025-02-06 16:47:00 -05:00
8bac96e8ff
New model
2025-02-06 16:46:27 -05:00
47a92584a2
Remove unnecessary usings.
2025-02-02 16:50:31 -05:00
22b8abd7f1
Removed
2025-02-02 16:43:22 -05:00
4d9f18d21e
Fix rejection statistics
2025-02-02 16:42:53 -05:00
2731016325
Replaced
2025-02-02 16:42:29 -05:00
2882559651
Fix GetMonthlyPrices in Prices. It was not correctly returning monthly prices.
...
This was causing an issue in the SharpeRatioGenerator whereby the SharpeRatio was not being calculated correctly where the asof date would
fall on a weekend of holiday.
Also, added a ReasonCategory to the CMCanidate as well as a Violation summary line in the model output to show where violations occur.
Had I implemented this previously I might have detected the SharpeRatio issue sooner.
Also added GetFundamentalMaxDateTop in the FundamentalDA which I used during debugging but is not currently being used anywhere.
2025-02-02 14:59:14 -05:00
1e130e3a15
Added ExponentialMovingAverageCrossover and moved all of the moving average stuff into it's own folder.
2025-01-31 18:13:22 -05:00
822221f9bb
Code cleanup MovingAverageGenerator
2025-01-29 20:40:34 -05:00
a1b15682ce
Fix issue in exponential moving average generator. Although I found where the generator was being used....the context
...
of the usage has no impact on the issue with the generator because the usage was only using the first index in the
exponential moving average which always amounts to just the value of the simple moving average. (i.e.) smoothing does
not occur on the first index, only subsequent indices are smoothed.
2025-01-29 11:12:37 -05:00
84af4b6be5
Code cleanup.
2025-01-24 11:21:58 -05:00
c4b0011317
Fix potential issue when selecting the fallback candidate and share count is zero.
2025-01-20 09:44:09 -05:00
