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.
165 lines
8.5 KiB
C#
165 lines
8.5 KiB
C#
using MarketData.CNNProcessing;
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using MarketData.DataAccess;
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using MarketData.Generator.MovingAverage;
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using MarketData.MarketDataModel;
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using MarketData.Utils;
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using System;
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using System.Collections.Generic;
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using System.Linq;
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namespace MarketData.Generator.CMMomentum
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{
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public class CMMomentumGenerator
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{
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private CMMomentumGenerator()
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{
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}
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public static CMGeneratorResult GenerateCMCandidates(DateTime tradeDate,DateTime analysisDate,CMParams cmParams,List<String> symbolsHeld)
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{
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CMGeneratorResult cmGeneratorResult = new CMGeneratorResult();
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try
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{
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if(cmParams.UseCNN)
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{
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CNNClient cnnClient=new CNNClient(cmParams.UseCNNHost);
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if(!cnnClient.Ping())
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{
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cmGeneratorResult.Success=false;
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cmGeneratorResult.Messages.Add(String.Format("The CNN server at {0} is not responding",cmParams.UseCNNHost));
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return cmGeneratorResult;
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}
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}
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List<String> symbols = PricingDA.GetSymbols();
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bool checkBenchmarkSMAResult = CheckBenchmarkSMA(tradeDate,cmParams, cmGeneratorResult);
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if (!checkBenchmarkSMAResult && false == cmGeneratorResult.Success) return cmGeneratorResult; // indicates an error calulating the moving average
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if (false == checkBenchmarkSMAResult)
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{
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MDTrace.WriteLine(String.Format("The benchmark simple moving average is less than the benchmark price. Benchamrk:{0}, Days:{1}",cmParams.Benchmark,cmParams.BenchmarkMovingAverageDays));
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cmGeneratorResult.CMCandidates = GenerateFallbackCandidates(tradeDate,analysisDate,cmParams,symbolsHeld);
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cmGeneratorResult.InFallback = true;
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return cmGeneratorResult;
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}
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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)) MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Processing item {0} of {1}", index + 1, symbols.Count));
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CMCandidate cmCandidate = CMCandidateGenerator.GenerateCandidate(symbol,tradeDate,analysisDate,cmParams,symbolsHeld);
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if (null == cmCandidate) continue;
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if (cmCandidate.Violation)
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{
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cmGeneratorResult.CMCandidatesWithViolation.Add(cmCandidate);
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}
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else
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{
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if(cmParams.UseCNN)PredictCandidate(cmCandidate,cmParams);
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cmGeneratorResult.CMCandidates.Add(cmCandidate);
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}
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}
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if(null!=cmGeneratorResult.CMCandidatesWithViolation && 0!=cmGeneratorResult.CMCandidatesWithViolation.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 = cmGeneratorResult.CMCandidatesWithViolation.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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MDTrace.WriteLine(LogLevel.DEBUG,String.Format($"Total Considered : {cmGeneratorResult.CMCandidates.Count+cmGeneratorResult.CMCandidatesWithViolation.Count}"));
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MDTrace.WriteLine(LogLevel.DEBUG,String.Format($"Total Disqualified : {cmGeneratorResult.CMCandidatesWithViolation.Count}"));
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MDTrace.WriteLine(LogLevel.DEBUG,String.Format($"Total Eligible : {cmGeneratorResult.CMCandidates.Count}"));
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MDTrace.WriteLine(LogLevel.DEBUG,"******************************************************************************************************");
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}
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if (0 == cmGeneratorResult.CMCandidates.Count)
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{
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cmGeneratorResult.CMCandidates = GenerateFallbackCandidates(tradeDate, analysisDate, cmParams,symbolsHeld);
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cmGeneratorResult.InFallback = true;
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}
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if (null == cmGeneratorResult.CMCandidates || 0 == cmGeneratorResult.CMCandidates.Count)
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{
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MDTrace.WriteLine(String.Format("Unable to produce any candidates for TradeDate {0}", tradeDate));
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return null;
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}
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cmGeneratorResult.CMCandidates = new CMCandidates((from CMCandidate cmCandidate in cmGeneratorResult.CMCandidates select cmCandidate).OrderByDescending(x => x.Score).ThenByDescending(x=>x.SharpeRatio).ToList().Take(cmParams.MaxPositions).ToList());
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cmGeneratorResult.Success = true;
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return cmGeneratorResult;
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}
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catch (Exception exception)
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{
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cmGeneratorResult.Success = false;
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cmGeneratorResult.Messages.Add(exception.ToString());
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MDTrace.WriteLine(LogLevel.DEBUG, exception.ToString());
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return cmGeneratorResult;
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}
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}
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public static CMCandidates GenerateFallbackCandidates(DateTime tradeDate,DateTime analysisDate,CMParams cmParams,List<String> symbolsHeld)
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{
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CMCandidates cmCandidates = new CMCandidates();
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if (null == cmParams || null == cmParams.FallbackCandidateBestOf) return null;
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List<String> fallbackCandidateSymbols = Utility.ToList(cmParams.FallbackCandidateBestOf);
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if (null != symbolsHeld && 0 != symbolsHeld.Count) fallbackCandidateSymbols = fallbackCandidateSymbols.Except(symbolsHeld).ToList();
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foreach (String symbol in fallbackCandidateSymbols)
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{
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CMCandidate cmCandidate = CMCandidateGenerator.GenerateCandidateForFallback(symbol, tradeDate,analysisDate,cmParams,null);
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if (null == cmCandidate || cmCandidate.Violation) continue;
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cmCandidates.Add(cmCandidate);
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}
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cmCandidates = new CMCandidates((from CMCandidate cmCandidate in cmCandidates select cmCandidate).OrderByDescending(x => x.Score).ToList());
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cmCandidates = new CMCandidates(cmCandidates.Take(1).ToList());
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if (null == cmCandidates || 0 == cmCandidates.Count) // Guarantee that we get a candidate
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{
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CMCandidate cmCandidate = CMCandidateGenerator.GetFallbackCandidateOfLastResort(Utility.ToList(cmParams.FallbackCandidateBestOf), tradeDate, analysisDate, cmParams);
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cmCandidates.Add(cmCandidate);
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}
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return cmCandidates;
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}
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private static bool CheckBenchmarkSMA(DateTime tradeDate,CMParams cmParams, CMGeneratorResult cmGeneratorResult)
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{
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Prices pricesDMA = PricingDA.GetPrices(cmParams.Benchmark, tradeDate, cmParams.BenchmarkMovingAverageDays + 15);
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if (null == pricesDMA || (cmParams.BenchmarkMovingAverageDays + 15) != pricesDMA.Count)
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{
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cmGeneratorResult.Success = false;
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cmGeneratorResult.Messages.Add(String.Format("Insufficient pricing to generate {0} day moving average for {0}. Required {2} days.", cmParams.Benchmark, cmParams.BenchmarkMovingAverageDays, cmParams.BenchmarkMovingAverageDays + 15));
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return false;
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}
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DMAPrices dmaPrices = MovingAverageGenerator.GenerateMovingAverage(pricesDMA, cmParams.BenchmarkMovingAverageDays);
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if (dmaPrices[0].CurrentPrice < dmaPrices[0].AVGPrice)
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{
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cmGeneratorResult.Success = true;
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cmGeneratorResult.Messages.Add(String.Format("Current price for {0} is less than moving average. {1}<{2} on {3}", cmParams.Benchmark, dmaPrices[0].CurrentPrice, dmaPrices[0].AVGPrice, dmaPrices[0].Date.ToShortDateString()));
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return false;
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}
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return true;
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}
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// This method is made public in order that it can be tested
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public static bool PredictCandidate(CMCandidate cmCandidate,CMParams cmParams)
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{
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try
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{
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CNNClient cnnClient=new CNNClient(cmParams.UseCNNHost);
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DataProcessor dataProcessor=new DataProcessor();
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dataProcessor.Width=128;
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dataProcessor.Height=128;
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dataProcessor.PenWidth=1;
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TestCase testCase=new TestCase(cmCandidate.Symbol,cmCandidate.TradeDate,cmParams.UseCNNDayCount,TestCase.CaseType.Test,TestCase.GenerateType.BollingerBand,TestCase.OutputType.OutputStream);
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dataProcessor.ProcessData(testCase);
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String prediction = cnnClient.Predict(CNNClient.Model.resnet50_20241024_270,testCase.LastStream);
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prediction=prediction.Substring(prediction.IndexOf("-->"));
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int result=int.Parse(Utility.BetweenString(prediction,"[[","]"));
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if(1==result)
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{
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cmCandidate.Score*=(1.00+cmParams.UseCNNRewardPercentDecimal); // increase the score by the percentage indicated in the params settings
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cmCandidate.CNNPrediction=true;
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}
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return true;
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}
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catch(Exception exception)
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{
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MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Error encountered calling convolutional model at {0}. Exception was {1}",cmParams.UseCNNHost,exception.ToString()));
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return false;
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}
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}
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}
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}
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