103 lines
4.8 KiB
C#
103 lines
4.8 KiB
C#
//using System;
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//using System.Collections.Generic;
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//using System.Text;
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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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//namespace MarketData.Generator
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//{
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// public delegate void ProgressHandler(String symbol);
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// public class TradeSignalWatchGenerator
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// {
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// private TradeSignalWatchGenerator()
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// {
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// }
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// public static List<TradeResult> GenerateTradeSignalWatchList(String watchListName, String initialInvestment, String historicalDate, String macd,ProgressHandler progressHandler)
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// {
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// try
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// {
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// List<TradeResult> tradeResultList = new List<TradeResult>();
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// List<String> symbols = WatchListDA.GetWatchList(watchListName);
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// foreach (String symbol in symbols)
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// {
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// if (null != progressHandler) progressHandler(symbol);
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// TradeResult tradeResult = TradeSignalSymbolDateWithResult(symbol, initialInvestment, historicalDate, macd, null, null);
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// if(null!=tradeResult)tradeResultList.Add(tradeResult);
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// }
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// tradeResultList.Sort();
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// return tradeResultList;
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// }
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// catch (Exception exception)
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// {
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// MDTrace.WriteLine(LogLevel.DEBUG,exception);
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// return null;
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// }
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// }
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// private static TradeResult TradeSignalSymbolDateWithResult(String symbol, String initialInvestment, String strHistoricalDate, String macd, String strStopLossThreshold, String strStopLossDays)
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// {
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// try
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// {
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// TradeResult tradeResult = new TradeResult();
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// DateGenerator dateGenerator = new DateGenerator();
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// MACDSetup macdSetup = null;
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// double stopLossThreshold = 0.00;
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// int stopLossDays = 0;
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// symbol = symbol.ToUpper();
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// tradeResult.Symbol = symbol;
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// DateRange tradeDates = new DateRange(DateTime.Parse(strHistoricalDate), DateTime.Now);
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// if (null != strStopLossThreshold) stopLossThreshold = Double.Parse(strStopLossThreshold);
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// else stopLossThreshold = 0;
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// if (null != strStopLossDays) stopLossDays = Int32.Parse(strStopLossDays);
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// else stopLossDays = 0;
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// double initialCash = double.Parse(initialInvestment);
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// DateTime historicalDate = DateTime.Parse(strHistoricalDate);
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// DateTime latestPricingDate = PricingDA.GetLatestDate(symbol);
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// String companyName = PricingDA.GetNameForSymbol(symbol);
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// if (null == macd) macdSetup = new MACDSetup(8, 17, 9);
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// else macdSetup = new MACDSetup(macd);
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// historicalDate = dateGenerator.GenerateHistoricalDate(historicalDate, macdSetup.Slow);
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// tradeResult.Company = companyName;
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// tradeResult.MACDSetup = macdSetup;
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// tradeResult.StopLossThreshold = stopLossThreshold;
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// tradeResult.StopLossDays = stopLossDays;
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// if (latestPricingDate < historicalDate)
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// {
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// MDTrace.WriteLine(LogLevel.DEBUG,"The historical date you are trying to run is later than the latest date for which prices are available.");
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// return null;
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// }
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// tradeResult.InitialCash = initialCash;
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// Dictionary<DateTime, Price> pricesByDate = new Dictionary<DateTime, Price>();
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// Prices prices = PricingDA.GetPrices(symbol, DateTime.Now, historicalDate);
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// Price latestPrice = prices[0];
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// DateTime startDate = prices[0].Date;
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// DateTime endDate = prices[prices.Count - 1].Date;
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// tradeResult.StartDate = startDate;
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// tradeResult.HistoricalDate = historicalDate;
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// for (int index = 0; index < prices.Count; index++) pricesByDate.Add(prices[index].Date, prices[index]);
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// MACDSignals macdSignals = MACDGenerator.GenerateMACD(prices, macdSetup);
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// Signals signals = SignalGenerator.GenerateSignals(macdSignals);
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// Portfolio portfolio = SignalTrader.TradeSignals(tradeDates, signals, prices, initialCash, stopLossThreshold, stopLossDays);
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// tradeResult.AvailableCash = portfolio.AvailableCash;
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// double portfolioValue = portfolio.GetPortfolioValue(latestPrice);
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// double returnOnInvestment = (portfolioValue - initialCash) / initialCash;
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// tradeResult.TotalPortfolioValue = portfolioValue;
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// tradeResult.TotalGainLoss = portfolioValue - initialCash;
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// tradeResult.ROI = returnOnInvestment;
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// tradeResult.Trades = portfolio.Trades;
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// tradeResult.AverageGainLoss = portfolio.GetAverageGainLoss();
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// tradeResult.AverageHoldingDays = portfolio.GetAverageHoldingDays();
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// tradeResult.MinimumHoldingDays = portfolio.GetMinHoldingDays();
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// tradeResult.MaximumHoldingDays = portfolio.GetMaxHoldingDays();
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// return tradeResult;
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// }
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// catch (Exception exception)
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// {
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// MDTrace.WriteLine(LogLevel.DEBUG,exception.ToString());
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// return null;
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// }
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// }
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// }
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//}
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