307 lines
12 KiB
C#
307 lines
12 KiB
C#
using System;
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using System.Collections.Generic;
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using MarketData.Utils;
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using System.Linq;
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using MarketData.Generator.Interface;
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namespace MarketData.Generator.Momentum
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{
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public class Position : IPurePosition
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{
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public Position()
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{
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CurrentPrice=double.NaN;
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}
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public Position(Position position)
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{
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Symbol = position.Symbol;
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PurchaseDate = position.PurchaseDate;
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SellDate = position.SellDate;
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Shares = position.Shares;
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PurchasePrice = position.PurchasePrice;
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CurrentPrice = position.CurrentPrice;
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Volume = position.Volume;
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Return1D = position.Return1D;
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ZacksRank = position.ZacksRank;
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CumReturn252 = position.CumReturn252;
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IDIndicator = position.IDIndicator;
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Score=position.Score;
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MaxDrawdown = position.MaxDrawdown;
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MaxUpside = position.MaxUpside;
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Velocity = position.Velocity;
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PE = position.PE;
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Beta = position.Beta;
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SharpeRatio = position.SharpeRatio;
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}
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public static Position Clone(Position position)
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{
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Position clonedPosition = new Position();
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clonedPosition.Symbol = position.Symbol;
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clonedPosition.PurchaseDate = position.PurchaseDate;
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clonedPosition.SellDate = position.SellDate;
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clonedPosition.Shares = position.Shares;
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clonedPosition.PurchasePrice = position.PurchasePrice;
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clonedPosition.CurrentPrice = position.CurrentPrice;
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clonedPosition.Volume = position.Volume;
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clonedPosition.Return1D = position.Return1D;
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clonedPosition.ZacksRank = position.ZacksRank;
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clonedPosition.CumReturn252 = position.CumReturn252;
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clonedPosition.IDIndicator = position.IDIndicator;
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clonedPosition.Score = position.Score;
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clonedPosition.MaxDrawdown = position.MaxDrawdown;
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clonedPosition.MaxUpside = position.MaxUpside;
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clonedPosition.Velocity = position.Velocity;
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clonedPosition.PE = position.PE;
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clonedPosition.Beta = position.Beta;
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clonedPosition.SharpeRatio = position.SharpeRatio;
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return clonedPosition;
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}
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public String Symbol{get;set;}
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public DateTime PurchaseDate{get;set;}
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public DateTime SellDate{get;set;}
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public double Shares{get;set;}
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public double PurchasePrice{get;set;}
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public double CurrentPrice{get;set;}
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public double Exposure{get{return Shares*PurchasePrice;}}
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public double MarketValue{get{return Shares*CurrentPrice;}}
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public long Volume{get;set;}
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public double Return1D{get;set;}
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public double GainLoss{get{return MarketValue-Exposure;}}
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public double GainLossPcnt{get{return (MarketValue-Exposure)/Exposure;}}
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public String ZacksRank{get;set;}
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public double CumReturn252{get;set;}
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public double IDIndicator{get;set;}
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public double Score{get;set;}
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public double MaxDrawdown{get;set;}
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public double MaxUpside{get;set;}
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public double Velocity{get;set;}
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public double PE{get;set;}
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public double Beta{get;set;}
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public double SharpeRatio { get; set; }
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public virtual NVPCollection ToNVPCollection()
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{
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NVPCollection nvpCollection=new NVPCollection();
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nvpCollection.Add(new NVP("Symbol",Symbol.ToString()));
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nvpCollection.Add(new NVP("PurchaseDate",PurchaseDate.ToString()));
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nvpCollection.Add(new NVP("SellDate",SellDate.ToString()));
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nvpCollection.Add(new NVP("Shares",Shares.ToString()));
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nvpCollection.Add(new NVP("PurchasePrice",PurchasePrice.ToString()));
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nvpCollection.Add(new NVP("CurrentPrice",CurrentPrice.ToString()));
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nvpCollection.Add(new NVP("Volume",Volume.ToString()));
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nvpCollection.Add(new NVP("Return1D",Return1D.ToString()));
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nvpCollection.Add(new NVP("ZacksRank",ZacksRank));
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nvpCollection.Add(new NVP("CumReturn252",CumReturn252.ToString()));
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nvpCollection.Add(new NVP("IDIndicator",IDIndicator.ToString()));
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nvpCollection.Add(new NVP("Score",Score.ToString()));
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nvpCollection.Add(new NVP("MaxDrawdown",MaxDrawdown.ToString()));
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nvpCollection.Add(new NVP("MaxUpside",MaxUpside.ToString()));
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nvpCollection.Add(new NVP("Velocity",Velocity.ToString()));
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nvpCollection.Add(new NVP("PE",PE.ToString()));
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nvpCollection.Add(new NVP("Beta",Beta.ToString()));
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nvpCollection.Add(new NVP("SharpeRatio", SharpeRatio.ToString()));
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return nvpCollection;
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}
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public static Position FromNVPCollection(NVPCollection nvpCollection)
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{
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Position position=new Position();
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NVPDictionary nvpDictionary=nvpCollection.ToDictionary();
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position.Symbol=nvpDictionary["Symbol"].Get<String>();
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position.PurchaseDate=nvpDictionary["PurchaseDate"].Get<DateTime>();
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position.SellDate=nvpDictionary["SellDate"].Get<DateTime>();
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position.Shares=nvpDictionary["Shares"].Get<double>();
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position.PurchasePrice=nvpDictionary["PurchasePrice"].Get<double>();
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position.CurrentPrice=nvpDictionary["CurrentPrice"].Get<double>();
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position.Volume=nvpDictionary["Volume"].Get<long>();
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position.Return1D=nvpDictionary["Return1D"].Get<long>();
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if(nvpDictionary.ContainsKey("ZacksRank"))position.ZacksRank=nvpDictionary["ZacksRank"].Get<String>();
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position.CumReturn252=nvpDictionary["CumReturn252"].Get<long>();
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position.IDIndicator=nvpDictionary["IDIndicator"].Get<double>();
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if(nvpDictionary.ContainsKey("MaxDrawdown"))position.MaxDrawdown=nvpDictionary["MaxDrawdown"].Get<double>();
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if(nvpDictionary.ContainsKey("MaxUpside"))position.MaxUpside=nvpDictionary["MaxUpside"].Get<double>();
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position.Velocity=nvpDictionary["Velocity"].Get<double>();
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position.PE=nvpDictionary["PE"].Get<double>();
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position.Beta=nvpDictionary["Beta"].Get<double>();
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if (nvpDictionary.ContainsKey("SharpeRatio")) position.SharpeRatio = nvpDictionary["SharpeRatio"].Get<double>();
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else position.SharpeRatio = double.NaN;
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if(nvpDictionary.ContainsKey("Score")) position.Score=nvpDictionary["Score"].Get<double>();
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else position.Score=double.NaN;
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return position;
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}
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public static void DisplayHeader()
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{
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MDTrace.WriteLine(LogLevel.DEBUG, "Symbol,Purchase Date,Shares,Purchase Price,Exposure,Volume,Return1D,Sell Date,Sell Price,Market Value,Gain Loss,Gain Loss(%),CumReturn252,IDIndicator,Score,MaxDrawdown,MaxUpside,Velocity,PE,Beta,SharpeRatio");
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}
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public void Display()
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{
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if (Utility.IsEpoch(SellDate) && double.IsNaN(CurrentPrice))
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{
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MDTrace.WriteLine(LogLevel.DEBUG, String.Format("{0},{1},{2},{3},{4},{5},{6},N/A,N/A,N/A,N/A,N/A,{7},{8},{9},{10},{11},{12},{13},{14},{15}",
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Symbol,
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Utility.DateTimeToStringMMHDDHYYYY(PurchaseDate),
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Shares,
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Utility.AddQuotes(Utility.FormatCurrency(PurchasePrice)),
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Utility.AddQuotes(Utility.FormatCurrency(Exposure)),
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Volume,
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Utility.AddQuotes(Utility.FormatPercent(Return1D)),
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Utility.AddQuotes(Utility.FormatPercent(CumReturn252)),
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Utility.AddQuotes(Utility.FormatNumber(IDIndicator)),
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Utility.AddQuotes(Utility.FormatNumber(Score)),
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Utility.AddQuotes(Utility.FormatPercent(MaxDrawdown)),
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Utility.AddQuotes(Utility.FormatPercent(MaxUpside)),
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Utility.AddQuotes(Utility.FormatPercent(Velocity)),
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Utility.AddQuotes(Utility.FormatNumber(PE)),
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Utility.AddQuotes(Utility.FormatNumber(Beta)),
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Utility.AddQuotes(Utility.FormatNumber(SharpeRatio))
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));
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}
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else
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{
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MDTrace.WriteLine(LogLevel.DEBUG, String.Format("{0},{1},{2},{3},{4},{5},{6},{7},{8},{9},{10},{11},{12},{13},{14},{15},{16},{17},{18},{19},{20}",
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Symbol,
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Utility.DateTimeToStringMMHDDHYYYY(PurchaseDate),
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Shares,
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Utility.AddQuotes(Utility.FormatCurrency(PurchasePrice)),
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Utility.AddQuotes(Utility.FormatCurrency(Exposure)),
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Volume,
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Utility.AddQuotes(Utility.FormatPercent(Return1D)),
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Utility.DateTimeToStringMMHDDHYYYY(SellDate),
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Utility.AddQuotes(Utility.FormatCurrency(CurrentPrice)),
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Utility.AddQuotes(Utility.FormatCurrency(MarketValue)),
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Utility.AddQuotes(Utility.FormatCurrency(GainLoss)),
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Utility.FormatPercent(GainLossPcnt),
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Utility.AddQuotes(Utility.FormatPercent(CumReturn252)),
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Utility.AddQuotes(Utility.FormatNumber(IDIndicator)),
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Utility.AddQuotes(Utility.FormatNumber(Score)),
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Utility.AddQuotes(Utility.FormatPercent(MaxDrawdown)),
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Utility.AddQuotes(Utility.FormatPercent(MaxUpside)),
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Utility.AddQuotes(Utility.FormatPercent(Velocity)),
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Utility.AddQuotes(Utility.FormatNumber(PE)),
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Utility.AddQuotes(Utility.FormatNumber(Beta)),
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Utility.AddQuotes(Utility.FormatNumber(SharpeRatio))
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));
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}
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}
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}
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// ****************************************************************************************************************************************************************
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public class Positions : List<Position>
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{
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public Positions()
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{
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}
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public Positions(Positions positions)
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{
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foreach(Position position in positions)Add(position);
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}
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public Positions(List<Position> positions)
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{
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foreach(Position position in positions)Add(position);
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}
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public Positions(Position position)
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{
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Add(position);
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}
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public void Add(Positions positions)
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{
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foreach(Position position in positions)Add(position);
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}
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public double Exposure
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{
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get
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{
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return (from Position position in this select position.PurchasePrice*position.Shares).Sum();
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}
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}
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public double MarketValue
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{
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get
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{
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return (from Position position in this select position.CurrentPrice*position.Shares).Sum();
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}
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}
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public NVPCollections ToNVPCollections()
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{
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NVPCollections nvpCollections=new NVPCollections();
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foreach(Position position in this)
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{
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nvpCollections.Add(position.ToNVPCollection());
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}
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return nvpCollections;
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}
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public static Positions FromNVPCollections(NVPCollections nvpCollections)
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{
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Positions positions=new Positions();
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foreach(NVPCollection nvpCollection in nvpCollections)
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{
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positions.Add(Position.FromNVPCollection(nvpCollection));
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}
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return positions;
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}
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public void DisplayTopFive()
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{
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Positions positions = new Positions(this.OrderByDescending(x => x.GainLossPcnt).Take(5).ToList());
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Position.DisplayHeader();
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for (int index = 0; index < positions.Count; index++)
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{
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Position position = positions[index];
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position.Display();
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}
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}
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public void DisplayBottomFive()
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{
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Positions positions = new Positions(this.OrderBy(x => x.GainLossPcnt).Take(5).ToList());
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Position.DisplayHeader();
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for (int index = 0; index < positions.Count; index++)
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{
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Position position = positions[index];
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position.Display();
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}
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}
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public void Display()
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{
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Position.DisplayHeader();
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for(int index=0;index<Count;index++)
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{
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Position position=this[index];
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position.Display();
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}
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if(this.Any(x=>Utility.IsEpoch(x.SellDate)||double.IsNaN(x.CurrentPrice)))
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{
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MDTrace.WriteLine(LogLevel.DEBUG, String.Format("EXPOSURE:{0}", Utility.FormatCurrency(this.Exposure)));
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}
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else
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{
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MDTrace.WriteLine(LogLevel.DEBUG, String.Format("GAIN/LOSS {0}", Utility.FormatCurrency(this.Sum(x => x.GainLoss))));
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}
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MDTrace.WriteLine(LogLevel.DEBUG,"****************************************************************************************************************************");
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}
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}
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}
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