700 lines
37 KiB
C#
700 lines
37 KiB
C#
using System;
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using System.Collections.Generic;
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using MarketData.MarketDataModel;
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using MarketData.DataAccess;
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using MarketData.Utils;
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using System.Linq;
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using MarketData.Numerical;
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using MarketData.Cache;
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// Filename: MomentumGenerator.cs
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// Author:Sean Kessler
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// Date:01/2018
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namespace MarketData.Generator.Momentum
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{
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/// <summary>Generate momentum selections - </summary>
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public class MomentumGenerator
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{
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public enum MomentumGeneratorConstants{DayCount=252}; // Trading days in one year
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private MomentumGenerator()
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{
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}
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// These two interfaces are used by the UI so that it can capture the fallback candidates
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public static MomentumCandidates GenerateMomentum(DateTime tradeDate,MGConfiguration config)
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{
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List<String> symbolsHeld=new List<String>();
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return new MomentumCandidates(GenerateMomentum(tradeDate,symbolsHeld,config).Take(config.MaxPositions).ToList());
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}
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public static MomentumCandidates GenerateMomentumWithFallback(DateTime tradeDate,MGConfiguration config)
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{
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List<String> symbolsHeld=new List<String>();
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MomentumCandidates momentumCandidates=GenerateMomentum(tradeDate,symbolsHeld,config);
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QualityIndicator qualityIndicator=new QualityIndicator(config.QualityIndicatorType);
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if((null==momentumCandidates||0==momentumCandidates.Count)&&config.UseFallbackCandidate)
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{
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QualityIndicatorCandidate bestCandidate=null;
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if(null!=config.FallbackCandidateBestOf && !"".Equals(config.FallbackCandidateBestOf))
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{
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bestCandidate=CandidateSelector.SelectBestCandidate(qualityIndicator,Utility.ToList(config.FallbackCandidateBestOf),config.FallbackCandidate,tradeDate);
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if(null!=bestCandidate)
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{
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ZacksRank zacksRank=ZacksRankDA.GetZacksRankOnOrBefore(bestCandidate.Symbol,tradeDate);
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MomentumCandidate momentumCandidate=new MomentumCandidate();
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momentumCandidate.Symbol=bestCandidate.Symbol;
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momentumCandidate.AnalysisDate=tradeDate;
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momentumCandidate.CumReturn252=bestCandidate.CumReturn252;
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momentumCandidate.IDIndicator=bestCandidate.IDIndicator;
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momentumCandidate.Score=bestCandidate.Score;
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momentumCandidate.DayCount=bestCandidate.DayCount;
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momentumCandidate.PE=bestCandidate.PE;
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momentumCandidate.Beta=bestCandidate.Beta;
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momentumCandidate.Return1D=bestCandidate.Return1D;
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if(null!=zacksRank)momentumCandidate.ZacksRank=zacksRank.Rank;
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momentumCandidates=new MomentumCandidates();
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momentumCandidates.Add(momentumCandidate);
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}
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}
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}
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return momentumCandidates;
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}
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// This interface is called by the Backtest
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public static MomentumCandidates GenerateMomentum(DateTime tradeDate,List<String> symbolsHeld,MGConfiguration config)
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{
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DateGenerator dateGenerator=new DateGenerator();
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List<String> symbols=PricingDA.GetSymbols();
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MomentumCandidates momentumCandidates=new MomentumCandidates();
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MomentumCandidates highPECandidates=new MomentumCandidates();
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DateTime startDateOfReturns=dateGenerator.GetPrevMonthEnd(tradeDate,2);
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List<String> noTradeSymbols=Utility.ToList(config.NoTradeSymbols);
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List<String> noTradeFinancialSymbols=Utility.ToList(config.NoTradeFinancialSymbols);
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CandidateViolations candidateViolations = new CandidateViolations();
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MDTrace.WriteLine(LogLevel.DEBUG,$"Fetching data...");
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// Filter out symbols where we do not have a price on trade date
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Profiler profiler = new Profiler();
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Dictionary<String,DateTime> latestDates = PricingDA.GetLatestDates(symbols);
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symbols=symbols.Where(x => latestDates.ContainsKey(x) && latestDates[x].Date>=tradeDate.Date).ToList();
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MDTrace.WriteLine(LogLevel.DEBUG,$"Loaded Pricing Dates in {Utility.FormatNumber(profiler.End(),0,true)} (ms)");
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// Prefetch a subset of fundamentals where each fundamental.asof is no greater than tradeDate
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profiler.Reset();
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FundamentalsV2 fundamentals = FundamentalDA.GetFundamentalsMaxDateV2(tradeDate);
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MDTrace.WriteLine(LogLevel.DEBUG,$"Loaded Fundamentals in {Utility.FormatNumber(profiler.End(),0,true)} (ms)");
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// Prefetch the Company Profiles
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profiler.Reset();
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Dictionary<String,CompanyProfile> companyProfiles = CompanyProfileDA.GetCompanyProfiles(symbols);
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MDTrace.WriteLine(LogLevel.DEBUG,$"Loaded Company Profiles in {Utility.FormatNumber(profiler.End(),0,true)} (ms)");
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// Prefetch the Analyst Ratings
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profiler.Reset();
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Dictionary<String,AnalystRatings> analystRatingsDictionary = AnalystRatingsDA.GetAnalystRatingsDowngradesMaxDateNoZacks(symbols, tradeDate);
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MDTrace.WriteLine(LogLevel.DEBUG,$"Loaded Analyst Ratings in {Utility.FormatNumber(profiler.End(),0,true)} (ms)");
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// Prefetch Zacks Ranks
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profiler.Reset();
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Dictionary<String,ZacksRank> zacksRanksDictionary = ZacksRankDA.GetZacksRankOnOrBefore(symbols, tradeDate);
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MDTrace.WriteLine(LogLevel.DEBUG,$"Loaded Zacks Ranks in {Utility.FormatNumber(profiler.End(),0,true)} (ms)");
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MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Generate momentum.. examining candidates"));
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// Go through the universe of stocks
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for(int index=0;index<symbols.Count;index++)
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{
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String symbol=symbols[index];
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if(0==(index%500))Console.WriteLine("Processing item {0} of {1}",index+1,symbols.Count);
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// Check if the symbol is held in any open positions
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if(symbolsHeld.Any(x=>x.Equals(symbol, StringComparison.CurrentCultureIgnoreCase)))
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{
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candidateViolations.Add(new CandidateViolation(symbol,"Candidate already held."));
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continue;
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}
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// Check if the symbol is in the no trade list (i.e.) Bitcoin etc.,
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if(noTradeSymbols.Any(x=>x.Equals(symbol, StringComparison.CurrentCultureIgnoreCase)))
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{
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candidateViolations.Add(new CandidateViolation(symbol,"Candidate in NoTradeSymbol."));
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continue;
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}
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// Check MarketCap, EBITDA, PE, and Revenue Per Share
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FundamentalV2 fundamental = default;
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if(fundamentals.ContainsKey(symbol))fundamental = fundamentals[symbol];
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if(null==fundamental)
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{
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candidateViolations.Add(new CandidateViolation(symbol,"Candidate no fundamental."));
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continue;
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}
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if(!(fundamental.MarketCap>=config.MarketCapLowerLimit))
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{
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candidateViolations.Add(new CandidateViolation(symbol,"Candidate MarketCapLimit."));
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continue;
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}
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if(config.UseEBITDAScreen && (double.IsNaN(fundamental.EBITDA)||fundamental.EBITDA<=0))
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{
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candidateViolations.Add(new CandidateViolation(symbol,"Candidate EBITDA violation."));
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continue;
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}
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if(config.UseRevenuePerShareScreen && (double.IsNaN(fundamental.RevenuePerShare)||fundamental.RevenuePerShare<0.00))
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{
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candidateViolations.Add(new CandidateViolation(symbol,"Candidate RevenuePerShare violation."));
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continue;
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}
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// 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
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if(config.UsePEScreen && (double.IsNaN(fundamental.PE)||fundamental.PE<=0.00))
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{
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candidateViolations.Add(new CandidateViolation(symbol,"Candidate PE violation."));
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continue;
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}
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// Exclude any company in the "Financial" sector
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CompanyProfile companyProfile = default;
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if(companyProfiles.ContainsKey(symbol))companyProfile = companyProfiles[symbol];
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if(null!=companyProfile&&null!=companyProfile.Sector&&noTradeFinancialSymbols.Any(x=>x.Equals(companyProfile.Sector)))
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{
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candidateViolations.Add(new CandidateViolation(symbol,"Candidate Financial Sector violation."));
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continue;
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}
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// Retrieve prices
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Prices prices=null;
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prices=GBPriceCache.GetInstance().GetPrices(symbol,tradeDate,(int)MomentumGeneratorConstants.DayCount+20);
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if(null==prices || prices.Count!=(int)MomentumGeneratorConstants.DayCount+20)
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{
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candidateViolations.Add(new CandidateViolation(symbol,"Candidate missing price history."));
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continue;
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}
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// Fetch single day price
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Price price=prices[0]; // GBPriceCache.GetInstance().GetPrice(symbol,tradeDate);
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if(null==price)
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{
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candidateViolations.Add(new CandidateViolation(symbol,"Candidate missing price on trade date."));
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continue;
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}
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// Filter penny stocks - don't trade anything less than $1.00
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if(price.Close<1.00||price.Open<1.00)
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{
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candidateViolations.Add(new CandidateViolation(symbol,"Candidate penny stock violation."));
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continue;
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}
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// calculate the one day return
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double return1D=prices.GetReturn1D();
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// Liquidity check - if any day has volume < 10,000 then we reject it
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if(((from Price xPrice in prices where xPrice.Volume<10000 select xPrice).Count())>1)
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{
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candidateViolations.Add(new CandidateViolation(symbol,"Liquidity violation."));
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continue;
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}
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// Calculate velocity as a percentage range of the open price within the 252+20 day range of prices - This is used for display purposes
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double velocity;
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Prices velocityPrices=GBPriceCache.GetInstance().GetPrices(symbol,tradeDate,(int)MomentumGenerator.MomentumGeneratorConstants.DayCount+20);
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double priceHigh=(from Price selectPrice in velocityPrices select selectPrice.Open).Max();
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double priceLow=(from Price selectPrice in velocityPrices select selectPrice.Open).Min();
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if(0.00==priceHigh-priceLow)velocity=0.00;
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else velocity=((price.Open-priceLow)*(100/(priceHigh-priceLow)))/100.00;
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// Price slopes - These are used for display purposes
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double[] pricesArray=null;
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LeastSquaresResult leastSquaresResult;
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// Get the benchmark pricing low pricing data and check the slope of previous lows; only if Beta of candidate is >= LowSlopeBetaThreshhold
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// 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
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// 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
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// The BetaCalc36 is calculated as part of the monthly fundamental run.
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double beta = fundamental.Beta;
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if(config.UseCalcBeta)beta=fundamental.BetaCalc36;
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if(config.UseLowSlopeBetaCheck && beta >= config.LowSlopeBetaThreshhold)
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{
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Prices benchmarkPrices=GBPriceCache.GetInstance().GetPrices(config.Benchmark,tradeDate,config.LowSlopeBetaDays);
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pricesArray=Numerics.ToDouble(benchmarkPrices.GetPricesLow());
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leastSquaresResult=Numerics.LeastSquares(pricesArray);
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double slopeBmk=leastSquaresResult.Slope;
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if(slopeBmk<0)
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{
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candidateViolations.Add(new CandidateViolation(symbol,"Beta threshhold violation."));
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continue;
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}
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}
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// *** MACDSignal detection
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if(config.UseMACD)
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{
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MACDSetup macdSetup=new MACDSetup(config.MACDSetup);
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MACDSignals macdSignals=MACDGenerator.GenerateMACD(prices,macdSetup);
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Signals signalsMACD = SignalGenerator.GenerateSignals(macdSignals);
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signalsMACD=new Signals(signalsMACD.Take(config.MACDSignalDays).ToList());
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int weakSellSignals=(from Signal signal in signalsMACD where signal.IsWeakSell() select signal).Count();
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int strongSellSignals=(from Signal signal in signalsMACD where signal.IsStrongSell() select signal).Count();
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if(config.MACDRejectWeakSellSignals && weakSellSignals>0)
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{
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candidateViolations.Add(new CandidateViolation(symbol,"MACD Reject Weak Sell violation."));
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continue;
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}
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if(config.MACDRejectStrongSellSignals && strongSellSignals>0)
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{
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candidateViolations.Add(new CandidateViolation(symbol,"MACD Reject Strong Sell violation."));
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continue;
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}
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}
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// *** Stochastics oscillator
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if(config.UseStochastics)
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{
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Stochastics stochastics=StochasticsGenerator.GenerateStochastics(prices);
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Signals signalsStochastics=new Signals(SignalGenerator.GenerateSignals(stochastics).OrderByDescending(x => x.SignalDate).ToList());
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signalsStochastics=new Signals(signalsStochastics.Take(config.StochasticsSignalDays).ToList());
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int weakSellCount=(from Signal signal in signalsStochastics where signal.IsWeakSell() select signal).Count();
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int strongSellCount=(from Signal signal in signalsStochastics where signal.IsStrongSell() select signal).Count();
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if(config.StochasticsRejectStrongSells&&strongSellCount>0)
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{
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candidateViolations.Add(new CandidateViolation(symbol,"Stochastics Oscillator Reject Strong Sell violation."));
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continue;
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}
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if(config.StochasticsRejectWeakSells&&weakSellCount>0)
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{
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candidateViolations.Add(new CandidateViolation(symbol,"Stochastics Oscillator Reject Weak Sell violation."));
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continue;
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}
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}
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// Analyst Ratings - "Downgrades" that are more than a year old (252 days) are not considered. Mean reversion.... bad companies improve, good companies decline.
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DateTime minRatingDate=dateGenerator.GenerateHistoricalDate(startDateOfReturns,(int)MomentumGeneratorConstants.DayCount);
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AnalystRatings analystRatings= default;
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if(analystRatingsDictionary.ContainsKey(symbol))analystRatings=analystRatingsDictionary[symbol];
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if(default!=analystRatings)
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{
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analystRatings.RemoveAll(x => x.Date<minRatingDate);
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AnalystRating rating=null;
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if(null!=analystRatings)rating=analystRatings.FirstOrDefault();
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if(null!=rating)
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{
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candidateViolations.Add(new CandidateViolation(symbol,"AnalystRating Downgrade violation within set period."));
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continue;
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}
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}
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// The cumulative returns for the ranking skip to the previous month to eliminate short term reversal anomaly (Wesley Gray : Quantum Momentum)
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prices=GBPriceCache.GetInstance().GetPrices(symbol,startDateOfReturns,(int)MomentumGeneratorConstants.DayCount);
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if(null==prices||(int)MomentumGeneratorConstants.DayCount!=prices.Count)
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{
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candidateViolations.Add(new CandidateViolation(symbol,"Insufficient pricing, cannot determine rank."));
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continue;
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}
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// check for outliers in the return stream
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float[] returns = default;
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returns=prices.GetReturns();
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if((from float value in returns where Math.Abs(value)>.50 select value).Count()>0)
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{
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candidateViolations.Add(new CandidateViolation(symbol,"Candidate pricing contains outliers in the returns."));
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continue;
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}
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// Cumulative return
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double cumulativeReturn=prices.GetCumulativeReturn();
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if(cumulativeReturn<.10)
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{
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candidateViolations.Add(new CandidateViolation(symbol,"Candidate cumulative returns below threshhold."));
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continue;
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}
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// Zacks Rank. This is for informational purposes for now but may further it's use in the future.
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ZacksRank zacksRank = default;
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if(zacksRanksDictionary.ContainsKey(symbol))
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{
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zacksRank = zacksRanksDictionary[symbol];
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}
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// Apply the PEScreening last because there an option to permit the inclusion of the high PE candidates if we have no other available candidates.
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// The idea is to try to avoid high PE stocks as they are more likey to introduce drawdowns as backtests have shown.
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if(config.UseMaxPEScreen && !double.IsNaN(fundamental.PE) && fundamental.PE>config.MaxPE)
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{
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candidateViolations.Add(new CandidateViolation(symbol,"PE violation."));
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MomentumCandidate highPECandidate=new MomentumCandidate();
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highPECandidate.AnalysisDate=tradeDate;
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highPECandidate.Symbol=symbol;
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highPECandidate.CumReturn252=prices.GetCumulativeReturn();
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highPECandidate.DayCount=(int)MomentumGeneratorConstants.DayCount;
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highPECandidate.IDIndicator=IDIndicator.Calculate(prices);
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highPECandidate.Score=ScoreIndicator.Calculate(prices);
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highPECandidate.MaxDrawdown=prices.MaxDrawdown();
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highPECandidate.MaxUpside=prices.MaxUpside();
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highPECandidate.PE=fundamental.PE;
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highPECandidate.Beta=beta;
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highPECandidate.Velocity=velocity;
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highPECandidate.Volume=price.Volume;
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highPECandidate.Return1D=return1D;
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if(null!=zacksRank)highPECandidate.ZacksRank=zacksRank.Rank;
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highPECandidates.Add(highPECandidate);
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continue;
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}
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// *********************************************************************** C A N D I D A T E A C C E P T A N C E *******************************************************
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// At this point whatever remains is taken so initialize the candidate and add to list
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MomentumCandidate momentumCandidate=new MomentumCandidate();
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momentumCandidate.AnalysisDate=tradeDate;
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momentumCandidate.Symbol=symbol;
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momentumCandidate.CumReturn252=prices.GetCumulativeReturn();
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momentumCandidate.DayCount=(int)MomentumGeneratorConstants.DayCount;
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momentumCandidate.IDIndicator=IDIndicator.Calculate(prices);
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momentumCandidate.Score=ScoreIndicator.Calculate(prices);
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momentumCandidate.MaxDrawdown=prices.MaxDrawdown();
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momentumCandidate.MaxUpside=prices.MaxUpside();
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momentumCandidate.PE=fundamental.PE;
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momentumCandidate.Beta=beta;
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momentumCandidate.Velocity=velocity;
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momentumCandidate.Volume=price.Volume;
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momentumCandidate.Return1D=return1D;
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if(null!=zacksRank)momentumCandidate.ZacksRank=zacksRank.Rank;
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momentumCandidates.Add(momentumCandidate);
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} // for all symbols
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if(0!=candidateViolations.Count)
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{
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MDTrace.WriteLine(LogLevel.DEBUG,"**************** C A N D I D A T E S U M M A R Y ************************");
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IEnumerable<Tuple<string, int>> groups = candidateViolations.GroupBy(x => x.ReasonCategory).OrderByDescending(group => group.Count()).Select(group => Tuple.Create(group.Key, group.Count()));
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foreach(Tuple<string, int> group in groups)
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{
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MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Group: {0} Count:{1}",group.Item1, group.Item2));
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}
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}
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MDTrace.WriteLine(LogLevel.DEBUG,String.Format($"Total Considered : {momentumCandidates.Count+candidateViolations.Count}"));
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MDTrace.WriteLine(LogLevel.DEBUG,String.Format($"Total Disqualified : {candidateViolations.Count}"));
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MDTrace.WriteLine(LogLevel.DEBUG,String.Format($"Total Eligible : {momentumCandidates.Count}"));
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MDTrace.WriteLine(LogLevel.DEBUG,"******************************************************************************************************");
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// ********************************************************* 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 ****************************************
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// If we wind up with less than the number of required candidates then check the StrictMaxPE
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// flag and, if allowed, add the highPECandidate (that we've accumulated but skipped) to the momentumCandidates ordering them by the Lowest PE
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if(!config.StrictMaxPE && momentumCandidates.Count<config.MaxPositions && highPECandidates.Count>0)
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{
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int takeCandidates=config.MaxPositions-momentumCandidates.Count;
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highPECandidates=new MomentumCandidates(highPECandidates.OrderBy(x=>x.PE).Take(takeCandidates).ToList());
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momentumCandidates.AddRange(highPECandidates);
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if(config.Verbose)MDTrace.WriteLine(LogLevel.DEBUG,String.Format("High PE Candidates,{0}",Utility.FromList((from MomentumCandidate momentumCandidate in highPECandidates select momentumCandidate.Symbol).ToList())));
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}
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QualityIndicator qualityIndicator=new QualityIndicator(config.QualityIndicatorType);
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if(qualityIndicator.Quality.Equals(QualityIndicator.QualityType.IDIndicator))
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{
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momentumCandidates=new MomentumCandidates((from MomentumCandidate momentumCandidate in momentumCandidates orderby momentumCandidate.IDIndicator ascending, momentumCandidate.CumReturn252 descending, momentumCandidate.Return1D descending, momentumCandidate.Volume descending select momentumCandidate).ToList());
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}
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else
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{
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momentumCandidates=new MomentumCandidates((from MomentumCandidate momentumCandidate in momentumCandidates orderby momentumCandidate.Score descending,momentumCandidate.CumReturn252 descending,momentumCandidate.Return1D descending,momentumCandidate.Volume descending select momentumCandidate).ToList());
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}
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MDTrace.WriteLine(LogLevel.DEBUG,String.Format("MomentumGenertor.GenerateMomentum:{0} candidates",momentumCandidates.Count()));
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return momentumCandidates;
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}
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/*
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// This interface is called by the Backtest
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public static MomentumCandidates GenerateMomentum(DateTime tradeDate,List<String> symbolsHeld,MGConfiguration config)
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{
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DateGenerator dateGenerator=new DateGenerator();
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List<String> symbols=PricingDA.GetSymbols();
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MomentumCandidates momentumCandidates=new MomentumCandidates();
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MomentumCandidates highPECandidates=new MomentumCandidates();
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DateTime startDateOfReturns=dateGenerator.GetPrevMonthEnd(tradeDate,2);
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List<String> noTradeSymbols=Utility.ToList(config.NoTradeSymbols);
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List<String> noTradeFinancialSymbols=Utility.ToList(config.NoTradeFinancialSymbols);
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CandidateViolations candidateViolations = new CandidateViolations();
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MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Generate momentum.. examining candidates"));
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// Go through the universe of stocks
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for(int index=0;index<symbols.Count;index++)
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{
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String symbol=symbols[index];
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if(0==(index%500))Console.WriteLine("Processing item {0} of {1}",index+1,symbols.Count);
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// Check if the symbol is held in any open positions
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if(symbolsHeld.Any(x=>x.Equals(symbol, StringComparison.CurrentCultureIgnoreCase)))
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{
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candidateViolations.Add(new CandidateViolation(symbol,"Candidate already held."));
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continue;
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}
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// Check if the symbol is in the no trade list (i.e.) Bitcoin etc.,
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if(noTradeSymbols.Any(x=>x.Equals(symbol, StringComparison.CurrentCultureIgnoreCase)))
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{
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candidateViolations.Add(new CandidateViolation(symbol,"Candidate in NoTradeSymbol."));
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continue;
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}
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// Check MarketCap, EBITDA, PE, and Revenue Per Share
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Fundamental fundamental=FundamentalDA.GetFundamentalMaxDate(symbol,tradeDate);
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if(null==fundamental)
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{
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candidateViolations.Add(new CandidateViolation(symbol,"Candidate no fundamental."));
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continue;
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}
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if(!(fundamental.MarketCap>=config.MarketCapLowerLimit))
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{
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candidateViolations.Add(new CandidateViolation(symbol,"Candidate MarketCapLimit."));
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continue;
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}
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if(config.UseEBITDAScreen && (double.IsNaN(fundamental.EBITDA)||fundamental.EBITDA<=0))
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{
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candidateViolations.Add(new CandidateViolation(symbol,"Candidate EBITDA violation."));
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continue;
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}
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if(config.UseRevenuePerShareScreen && (double.IsNaN(fundamental.RevenuePerShare)||fundamental.RevenuePerShare<0.00))
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{
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candidateViolations.Add(new CandidateViolation(symbol,"Candidate RevenuePerShare violation."));
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continue;
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}
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// 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
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if(config.UsePEScreen && (double.IsNaN(fundamental.PE)||fundamental.PE<=0.00))
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{
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candidateViolations.Add(new CandidateViolation(symbol,"Candidate PE violation."));
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continue;
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}
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// Exclude any company in the "Financial" sector
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CompanyProfile companyProfile=CompanyProfileDA.GetCompanyProfile(symbol);
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if(null!=companyProfile&&null!=companyProfile.Sector&&noTradeFinancialSymbols.Any(x=>x.Equals(companyProfile.Sector)))
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{
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candidateViolations.Add(new CandidateViolation(symbol,"Candidate Financial Sector violation."));
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continue;
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}
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// Fetch single day price
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Price price=GBPriceCache.GetInstance().GetPrice(symbol,tradeDate);
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if(null==price)
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{
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candidateViolations.Add(new CandidateViolation(symbol,"Candidate missing price on trade date."));
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continue;
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}
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// Filter penny stocks - don't trade anything less than $1.00
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if(price.Close<1.00||price.Open<1.00)
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{
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candidateViolations.Add(new CandidateViolation(symbol,"Candidate penny stock violation."));
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continue;
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}
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// Retrieve prices
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Prices prices=null;
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prices=GBPriceCache.GetInstance().GetPrices(symbol,tradeDate,(int)MomentumGeneratorConstants.DayCount);
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if(null==prices||prices.Count!=(int)MomentumGeneratorConstants.DayCount)
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{
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candidateViolations.Add(new CandidateViolation(symbol,"Candidate missing price history."));
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continue;
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}
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// calculate the one day return
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double return1D=prices.GetReturn1D();
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// Liquidity check - if any day has volume < 10,000 then we reject it
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if(((from Price xPrice in prices where xPrice.Volume<10000 select xPrice).Count())>1)
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{
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candidateViolations.Add(new CandidateViolation(symbol,"Liquidity violation."));
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continue;
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}
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// Calculate velocity as a percentage range of the open price within the 252+20 day range of prices - This is used for display purposes
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double velocity;
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Prices velocityPrices=GBPriceCache.GetInstance().GetPrices(symbol,tradeDate,(int)MomentumGenerator.MomentumGeneratorConstants.DayCount+20);
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double priceHigh=(from Price selectPrice in velocityPrices select selectPrice.Open).Max();
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double priceLow=(from Price selectPrice in velocityPrices select selectPrice.Open).Min();
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if(0.00==priceHigh-priceLow)velocity=0.00;
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else velocity=((price.Open-priceLow)*(100/(priceHigh-priceLow)))/100.00;
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// Price slopes - These are used for display purposes
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double[] pricesArray=null;
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LeastSquaresResult leastSquaresResult;
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// Get the benchmark pricing low pricing data and check the slope of previous lows; only if Beta of candidate is >= LowSlopeBetaThreshhold
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// 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
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// 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
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if(config.UseLowSlopeBetaCheck && fundamental.Beta>=config.LowSlopeBetaThreshhold)
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{
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Prices benchmarkPrices=GBPriceCache.GetInstance().GetPrices(config.Benchmark,tradeDate,config.LowSlopeBetaDays);
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pricesArray=Numerics.ToDouble(benchmarkPrices.GetPricesLow());
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leastSquaresResult=Numerics.LeastSquares(pricesArray);
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double slopeBmk=leastSquaresResult.Slope;
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if(slopeBmk<0)
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{
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candidateViolations.Add(new CandidateViolation(symbol,"Beta threshhold violation."));
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continue;
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}
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}
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// *** MACDSignal detection
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if(config.UseMACD)
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{
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MACDSetup macdSetup=new MACDSetup(config.MACDSetup);
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MACDSignals macdSignals=MACDGenerator.GenerateMACD(prices,macdSetup);
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Signals signalsMACD = SignalGenerator.GenerateSignals(macdSignals);
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signalsMACD=new Signals(signalsMACD.Take(config.MACDSignalDays).ToList());
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int weakSellSignals=(from Signal signal in signalsMACD where signal.IsWeakSell() select signal).Count();
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int strongSellSignals=(from Signal signal in signalsMACD where signal.IsStrongSell() select signal).Count();
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if(config.MACDRejectWeakSellSignals && weakSellSignals>0)
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{
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candidateViolations.Add(new CandidateViolation(symbol,"MACD Reject Weak Sell violation."));
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continue;
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}
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if(config.MACDRejectStrongSellSignals && strongSellSignals>0)
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{
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candidateViolations.Add(new CandidateViolation(symbol,"MACD Reject Strong Sell violation."));
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continue;
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}
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}
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// *** Stochastics oscillator
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if(config.UseStochastics)
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{
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Stochastics stochastics=StochasticsGenerator.GenerateStochastics(prices);
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Signals signalsStochastics=new Signals(SignalGenerator.GenerateSignals(stochastics).OrderByDescending(x => x.SignalDate).ToList());
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signalsStochastics=new Signals(signalsStochastics.Take(config.StochasticsSignalDays).ToList());
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int weakSellCount=(from Signal signal in signalsStochastics where signal.IsWeakSell() select signal).Count();
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int strongSellCount=(from Signal signal in signalsStochastics where signal.IsStrongSell() select signal).Count();
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if(config.StochasticsRejectStrongSells&&strongSellCount>0)
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{
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candidateViolations.Add(new CandidateViolation(symbol,"Stochastics Oscillator Reject Strong Sell violation."));
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continue;
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}
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if(config.StochasticsRejectWeakSells&&weakSellCount>0)
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{
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candidateViolations.Add(new CandidateViolation(symbol,"Stochastics Oscillator Reject Weak Sell violation."));
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continue;
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}
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}
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// Analyst Ratings - "Downgrades" that are more than a year old (252 days) are not considered. Mean reversion.... bad companies improve, good companies decline.
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DateTime minRatingDate=dateGenerator.GenerateHistoricalDate(startDateOfReturns,(int)MomentumGeneratorConstants.DayCount);
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AnalystRatings analystRatings=AnalystRatingsDA.GetAnalystRatingsMaxDateNoZacks(symbol,tradeDate);
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analystRatings.RemoveAll(x => x.Date<minRatingDate);
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AnalystRating rating=null;
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if(null!=analystRatings)rating=(from AnalystRating analystRating in analystRatings where analystRating.Type.Equals("Downgrades") select analystRating).FirstOrDefault();
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if(null!=rating)
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{
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candidateViolations.Add(new CandidateViolation(symbol,"AnalystRating Downgrade violation within set period."));
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continue;
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}
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// The cumulative returns for the ranking skip to the previous month to eliminate short term reversal anomaly (Wesley Gray : Quantum Momentum)
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prices=GBPriceCache.GetInstance().GetPrices(symbol,startDateOfReturns,(int)MomentumGeneratorConstants.DayCount);
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if(null==prices||(int)MomentumGeneratorConstants.DayCount!=prices.Count)
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{
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candidateViolations.Add(new CandidateViolation(symbol,"Insufficient pricing, cannot determine rank."));
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continue;
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}
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// check for outliers in the return stream
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float[] returns = default;
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returns=prices.GetReturns();
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if((from float value in returns where Math.Abs(value)>.50 select value).Count()>0)
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{
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candidateViolations.Add(new CandidateViolation(symbol,"Candidate pricing contains outliers in the returns."));
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continue;
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}
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// Cumulative return
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double cumulativeReturn=prices.GetCumulativeReturn();
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if(cumulativeReturn<.10)
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{
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candidateViolations.Add(new CandidateViolation(symbol,"Candidate cumulative returns below threshhold."));
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continue;
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}
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// Zacks Rank. This is for informational purposes for now but may further it's use in the future.
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ZacksRank zacksRank=ZacksRankDA.GetZacksRankOnOrBefore(symbol,tradeDate);
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// Apply the PEScreening last because there an option to permit the inclusion of the high PE candidates if we have no other available candidates.
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// The idea is to try to avoid high PE stocks as they are more likey to introduce drawdowns as backtests have shown.
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if(config.UseMaxPEScreen && !double.IsNaN(fundamental.PE) && fundamental.PE>config.MaxPE)
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{
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candidateViolations.Add(new CandidateViolation(symbol,"PE violation."));
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MomentumCandidate highPECandidate=new MomentumCandidate();
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highPECandidate.AnalysisDate=tradeDate;
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highPECandidate.Symbol=symbol;
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highPECandidate.CumReturn252=prices.GetCumulativeReturn();
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highPECandidate.DayCount=(int)MomentumGeneratorConstants.DayCount;
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highPECandidate.IDIndicator=IDIndicator.Calculate(prices);
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highPECandidate.Score=ScoreIndicator.Calculate(prices);
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highPECandidate.MaxDrawdown=prices.MaxDrawdown();
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highPECandidate.MaxUpside=prices.MaxUpside();
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highPECandidate.PE=fundamental.PE;
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highPECandidate.Beta=fundamental.Beta;
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highPECandidate.Velocity=velocity;
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highPECandidate.Volume=price.Volume;
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highPECandidate.Return1D=return1D;
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if(null!=zacksRank)highPECandidate.ZacksRank=zacksRank.Rank;
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highPECandidates.Add(highPECandidate);
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continue;
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}
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// *********************************************************************** C A N D I D A T E A C C E P T A N C E *******************************************************
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// At this point whatever remains is taken so initialize the candidate and add to list
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MomentumCandidate momentumCandidate=new MomentumCandidate();
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momentumCandidate.AnalysisDate=tradeDate;
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momentumCandidate.Symbol=symbol;
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momentumCandidate.CumReturn252=prices.GetCumulativeReturn();
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momentumCandidate.DayCount=(int)MomentumGeneratorConstants.DayCount;
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momentumCandidate.IDIndicator=IDIndicator.Calculate(prices);
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momentumCandidate.Score=ScoreIndicator.Calculate(prices);
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momentumCandidate.MaxDrawdown=prices.MaxDrawdown();
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momentumCandidate.MaxUpside=prices.MaxUpside();
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momentumCandidate.PE=fundamental.PE;
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momentumCandidate.Beta=fundamental.Beta;
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momentumCandidate.Velocity=velocity;
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momentumCandidate.Volume=price.Volume;
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momentumCandidate.Return1D=return1D;
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if(null!=zacksRank)momentumCandidate.ZacksRank=zacksRank.Rank;
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momentumCandidates.Add(momentumCandidate);
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} // for all symbols
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if(0!=candidateViolations.Count)
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{
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MDTrace.WriteLine(LogLevel.DEBUG,"**************** C A N D I D A T E S U M M A R Y ************************");
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IEnumerable<Tuple<string, int>> groups = candidateViolations.GroupBy(x => x.ReasonCategory).OrderByDescending(group => group.Count()).Select(group => Tuple.Create(group.Key, group.Count()));
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foreach(Tuple<string, int> group in groups)
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{
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MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Group: {0} Count:{1}",group.Item1, group.Item2));
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}
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}
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MDTrace.WriteLine(LogLevel.DEBUG,String.Format($"Total Considered : {momentumCandidates.Count+candidateViolations.Count}"));
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MDTrace.WriteLine(LogLevel.DEBUG,String.Format($"Total Disqualified : {candidateViolations.Count}"));
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MDTrace.WriteLine(LogLevel.DEBUG,String.Format($"Total Eligible : {momentumCandidates.Count}"));
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MDTrace.WriteLine(LogLevel.DEBUG,"******************************************************************************************************");
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// ********************************************************* 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 ****************************************
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// If we wind up with less than the number of required candidates then check the StrictMaxPE
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// flag and, if allowed, add the highPECandidate (that we've accumulated but skipped) to the momentumCandidates ordering them by the Lowest PE
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if(!config.StrictMaxPE && momentumCandidates.Count<config.MaxPositions && highPECandidates.Count>0)
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{
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int takeCandidates=config.MaxPositions-momentumCandidates.Count;
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highPECandidates=new MomentumCandidates(highPECandidates.OrderBy(x=>x.PE).Take(takeCandidates).ToList());
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momentumCandidates.AddRange(highPECandidates);
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if(config.Verbose)MDTrace.WriteLine(LogLevel.DEBUG,String.Format("High PE Candidates,{0}",Utility.FromList((from MomentumCandidate momentumCandidate in highPECandidates select momentumCandidate.Symbol).ToList())));
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}
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QualityIndicator qualityIndicator=new QualityIndicator(config.QualityIndicatorType);
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if(qualityIndicator.Quality.Equals(QualityIndicator.QualityType.IDIndicator))
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{
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momentumCandidates=new MomentumCandidates((from MomentumCandidate momentumCandidate in momentumCandidates orderby momentumCandidate.IDIndicator ascending, momentumCandidate.CumReturn252 descending, momentumCandidate.Return1D descending, momentumCandidate.Volume descending select momentumCandidate).ToList());
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}
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else
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{
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momentumCandidates=new MomentumCandidates((from MomentumCandidate momentumCandidate in momentumCandidates orderby momentumCandidate.Score descending,momentumCandidate.CumReturn252 descending,momentumCandidate.Return1D descending,momentumCandidate.Volume descending select momentumCandidate).ToList());
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}
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MDTrace.WriteLine(LogLevel.DEBUG,String.Format("MomentumGenertor.GenerateMomentum:{0} candidates",momentumCandidates.Count()));
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return momentumCandidates;
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}
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*/
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}
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}
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