Sean
2882559651
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.
41 lines
1.1 KiB
C#
41 lines
1.1 KiB
C#
using System;
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using System.Collections.Generic;
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namespace MarketData.Generator.CMMomentum
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{
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public class CMCandidates : List<CMCandidate>
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{
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public CMCandidates()
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{
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}
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public CMCandidates(List<CMCandidate> cmCandidates)
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{
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foreach (CMCandidate cmCandidate in cmCandidates) Add(cmCandidate);
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}
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}
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public class CMCandidate
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{
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public CMCandidate()
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{
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Violation = false;
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}
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public String Symbol { get; set; }
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public DateTime AnalysisDate { get; set; }
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public DateTime TradeDate { get; set; }
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public int DayCount { get; set; }
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public double Slope { get; set; }
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public double AnnualizedReturn { get; set; }
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public double Score { get; set; }
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public double RSquared { get; set; }
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public double Beta { get; set; }
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public int BetaMonths { get; set; }
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public double SharpeRatio { get; set; }
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public long Volume { get; set; }
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public bool Violation { get; set; }
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public String Reason { get; set; }
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public String ReasonCategory { get; set; }
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public bool CNNPrediction{get;set;}
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}
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}
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