315 lines
17 KiB
C#
315 lines
17 KiB
C#
using MarketData.DataAccess;
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using MarketData.Generator.Indicators;
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using MarketData.MarketDataModel;
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using MarketData.Numerical;
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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 CMCandidateGenerator
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{
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private CMCandidateGenerator()
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{
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}
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// *******************************************************************************************************************************************************************************
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// ************************************************************************* G E N E R A T E C A N D I D A T E *****************************************************************
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// *******************************************************************************************************************************************************************************
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public static CMCandidate GenerateCandidate(String symbol, DateTime tradeDate, DateTime analysisDate, CMParams cmParams, List<String> symbolsHeld = null)
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{
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CMCandidate cmCandidate = new CMCandidate();
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// Check MarketCap
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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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cmCandidate.Violation = true;
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cmCandidate.Reason = String.Format("No fundamental for {0}.", symbol);
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return cmCandidate;
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}
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if (!(fundamental.MarketCap >= cmParams.MarketCapLowerLimit))
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{
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cmCandidate.Violation = true;
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cmCandidate.Reason = String.Format("MarketCapLowerLimit constraint violation for {0}.", symbol);
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return cmCandidate;
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}
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// Check if the symbol is held in any open positions
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if (null != symbolsHeld && symbolsHeld.Any(x => x.Equals(symbol)))
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{
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cmCandidate.Violation = true;
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cmCandidate.Reason = String.Format("{0} is already held.", symbol);
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return cmCandidate;
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}
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// No trade symbols
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if (null!=cmParams.NoTradeSymbolsList&&cmParams.NoTradeSymbolsList.Any(x => x.Equals(symbol)))
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{
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cmCandidate.Violation = true;
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cmCandidate.Reason = String.Format("{0} is in the No-Trade list.", symbol);
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return cmCandidate;
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}
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// Equity check
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CompanyProfile companyProfile = CompanyProfileDA.GetCompanyProfile(symbol);
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if (!companyProfile.IsEquity)
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{
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cmCandidate.Violation = true;
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cmCandidate.Reason = String.Format("{0} is not an equity. {1}.", symbol, companyProfile.SecurityType);
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return cmCandidate;
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}
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// Moving Average check
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Prices pricesDMA = PricingDA.GetPrices(symbol, tradeDate, cmParams.MovingAverageConstraintDays + 15);
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if (null == pricesDMA || (cmParams.MovingAverageConstraintDays + 15) != pricesDMA.Count)
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{
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cmCandidate.Violation = true;
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cmCandidate.Reason = String.Format("Insufficient pricing to generate {0} day moving average for {1}. Required {2} days.",cmParams.MovingAverageConstraintDays,symbol,cmParams.MovingAverageConstraintDays + 15);
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return cmCandidate;
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}
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DMAPrices dmaPrices = MovingAverageGenerator.GenerateMovingAverage(pricesDMA, cmParams.MovingAverageConstraintDays);
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if (dmaPrices[0].CurrentPrice < dmaPrices[0].AVGPrice)
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{
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cmCandidate.Violation = true;
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cmCandidate.Reason = String.Format("Current price for {0} is less than moving average. {1}<{2} on {3}", symbol, dmaPrices[0].CurrentPrice, dmaPrices[0].AVGPrice, dmaPrices[0].Date.ToShortDateString());
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return cmCandidate;
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}
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Prices prices = PricingDA.GetPrices(symbol, tradeDate, cmParams.DayCount); // The prices come back with the most recent date in the lowest index. We want the earliest date in the lowest index
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if (null == prices || cmParams.DayCount != prices.Count)
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{
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cmCandidate.Violation = true;
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cmCandidate.Reason = String.Format("Insufficient pricing data for {0}. Required {1} days.", symbol, cmParams.DayCount);
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return cmCandidate;
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}
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// Filter penny stocks - don't trade anything less than $1.00
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if (prices[0].Close < 1.00 || prices[0].Open < 1.00)
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{
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cmCandidate.Violation = true;
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cmCandidate.Reason = String.Format("Penny stock violation {0} Close price is {1}, Open price is ", symbol, Utility.FormatCurrency(prices[0].Close), Utility.FormatCurrency(prices[0].Open));
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return cmCandidate;
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}
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// Capture latest Volume - we'll do a min check later on
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cmCandidate.Volume = prices[0].Volume;
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// Liquidity check
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if (((from Price price in prices where price.Volume < 10000 select price).Count()) > 1)
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{
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cmCandidate.Violation = true;
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cmCandidate.Reason = String.Format("Liquidity check violation for {0}. Price volume must be above 10,000 ", symbol);
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return cmCandidate;
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}
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// OverExtended check
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if(cmParams.UseOverExtendedIndicator)
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{
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bool? result=OverExtendedIndicator.IsOverextended(symbol,tradeDate,cmParams.UseOverExtendedIndicatorDays,cmParams.UseOverExtendedIndicatorViolationThreshhold,cmParams.UseOverExtendedIndicatorMarginPercent);
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if(null!=result && true==result.Value)
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{
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cmCandidate.Violation=true;
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cmCandidate.Reason=String.Format("OverExtended violation for {0}. The security is price overextended for TradeDate:{1}.",symbol,Utility.DateTimeToStringMMHDDHYYYY(tradeDate));
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return cmCandidate;
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}
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}
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// Momentum Check
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float[] dailyReturns = prices.GetReturns(); // First we build the returns (before we reverse the pricing direction)
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if (HasReturnViolation(dailyReturns,cmParams.DailyReturnLimit)) // Check the return stream. If any daily return exceeds DailyReturnLimit then we discard.
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{
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cmCandidate.Violation = true;
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cmCandidate.Reason = String.Format("Daily return violation for {0}. A daily return exceeded {1}%.", symbol, cmParams.DailyReturnLimit);
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return cmCandidate;
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}
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// check for outliers in the return stream
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if ((from float value in dailyReturns where Math.Abs(value) > cmParams.DailyReturnLimit select value).Count() > 0)
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{
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cmCandidate.Violation = true;
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cmCandidate.Reason = String.Format("Outlier encountered in return stream for {0}. Limit {1}", symbol, cmParams.DailyReturnLimit);
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return cmCandidate;
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}
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prices.Reverse(); // Reverse the series here.
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double[] logPrices = null;
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logPrices = new double[prices.Count];
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for (int index = 0; index < prices.Count; index++)
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{
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Price price = prices[index];
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logPrices[index] = Math.Log(price.Close);
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}
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LeastSquaresResultWithR2 leastSquaresResult = LeastSquaresHelper.CalculateLeastSquaresWithR2(logPrices);
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cmCandidate = new CMCandidate();
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cmCandidate.Symbol = symbol;
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cmCandidate.AnalysisDate = analysisDate;
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cmCandidate.TradeDate = tradeDate;
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cmCandidate.DayCount = cmParams.DayCount;
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cmCandidate.Slope = leastSquaresResult.Slope;
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cmCandidate.AnnualizedReturn = Math.Pow(Math.Exp(cmCandidate.Slope), 252); //cmCandidate.AnnualizedReturn=Math.Pow(1.00+cmCandidate.Slope,252);
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if (cmCandidate.Slope < 0) cmCandidate.AnnualizedReturn *= -1.00; // preserve the sign of the slope
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cmCandidate.Score = leastSquaresResult.RSquared * cmCandidate.AnnualizedReturn; // The greater the score the higher the rank
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cmCandidate.RSquared = leastSquaresResult.RSquared;
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cmCandidate.Beta = BetaGenerator.Beta(symbol, tradeDate, cmParams.BetaMonths);
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cmCandidate.BetaMonths = cmParams.BetaMonths;
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if (double.IsNaN(cmCandidate.Beta))
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{
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cmCandidate.Violation = true;
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cmCandidate.Reason = String.Format("Unable to calculate {0} month beta for {1} ", cmParams.BetaMonths, symbol);
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return cmCandidate;
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}
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if (cmCandidate.Beta <= 0.00)
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{
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cmCandidate.Violation = true;
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cmCandidate.Reason = String.Format("Beta for {0} is less than or equal to zero {1}", symbol, cmCandidate.Beta);
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return cmCandidate;
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}
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if (cmParams.UseMaxBeta && cmCandidate.Beta > cmParams.MaxBeta)
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{
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cmCandidate.Violation = true;
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cmCandidate.Reason = String.Format("Beta for {0} exceeds maximum allowed. Candidate beta {1}, Max Beta:{2}", symbol, cmCandidate.Beta,cmParams.MaxBeta);
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return cmCandidate;
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}
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cmCandidate.SharpeRatio = SharpeRatioGenerator.GenerateSharpeRatio(cmCandidate.Symbol, tradeDate);
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if (double.IsNaN(cmCandidate.SharpeRatio))
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{
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cmCandidate.Violation = true;
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cmCandidate.Reason = String.Format("Unable to calculate Sharpe Ratio for {0}", symbol);
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return cmCandidate;
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}
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return cmCandidate;
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}
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// *******************************************************************************************************************************************************************************
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// ************************************************************* G E N E R A T E C A N D I D A T E F O R F A L L B A C K ***************************************************
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// *******************************************************************************************************************************************************************************
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public static CMCandidate GenerateCandidateForFallback(String symbol, DateTime tradeDate, DateTime analysisDate, CMParams cmParams, List<String> symbolsHeld = null)
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{
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CMCandidate cmCandidate = new CMCandidate();
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// Check MarketCap
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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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cmCandidate.Violation = true;
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cmCandidate.Reason = String.Format("No fundamental for {0}.", symbol);
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return cmCandidate;
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}
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if (!(fundamental.MarketCap >= cmParams.MarketCapLowerLimit))
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{
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cmCandidate.Violation = true;
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cmCandidate.Reason = String.Format("MarketCapLowerLimit constraint violation for {0}.", symbol);
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return cmCandidate;
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}
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// Check if the symbol is held in any open positions
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if (null != symbolsHeld && symbolsHeld.Any(x => x.Equals(symbol)))
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{
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cmCandidate.Violation = true;
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cmCandidate.Reason = String.Format("{0} is already held.", symbol);
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return cmCandidate;
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}
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Prices prices = PricingDA.GetPrices(symbol, tradeDate, cmParams.DayCount); // The prices come back with the most recent date in the lowest index. We want the earliest date in the lowest index
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if (null == prices || cmParams.DayCount != prices.Count)
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{
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cmCandidate.Violation = true;
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cmCandidate.Reason = String.Format("Insufficient pricing data for {0}. Required {1} days.", symbol, cmParams.DayCount);
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return cmCandidate;
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}
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cmCandidate.Volume = prices[0].Volume;
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// Momentum Check
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float[] dailyReturns = prices.GetReturns(); // First we build the returns (before we reverse the pricing direction)
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// check for outliers in the return stream
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if ((from float value in dailyReturns where Math.Abs(value) > cmParams.DailyReturnLimit select value).Count() > 0)
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{
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cmCandidate.Violation = true;
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cmCandidate.Reason = String.Format("Outlier encountered in return stream for {0}. Limit {1}", symbol,cmParams.DailyReturnLimit);
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return cmCandidate;
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}
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if (HasReturnViolation(dailyReturns, cmParams.DailyReturnLimit))
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{
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cmCandidate.Violation = true;
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cmCandidate.Reason = String.Format("Daily return violation for {0}. A daily return exceeded {1}%.", symbol, cmParams.DailyReturnLimit);
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return cmCandidate;
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}
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prices.Reverse(); // Reverse the series here.
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double[] logPrices = null;
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logPrices = new double[prices.Count];
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for (int index = 0; index < prices.Count; index++)
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{
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Price price = prices[index];
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logPrices[index] = Math.Log(price.Close);
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}
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LeastSquaresResultWithR2 leastSquaresResult = LeastSquaresHelper.CalculateLeastSquaresWithR2(logPrices);
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cmCandidate = new CMCandidate();
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cmCandidate.Symbol = symbol;
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cmCandidate.AnalysisDate = analysisDate;
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cmCandidate.TradeDate = tradeDate;
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cmCandidate.DayCount = cmParams.DayCount;
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cmCandidate.Slope = leastSquaresResult.Slope;
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cmCandidate.AnnualizedReturn = Math.Pow(Math.Exp(cmCandidate.Slope), 252); //cmCandidate.AnnualizedReturn=Math.Pow(1.00+cmCandidate.Slope,252);
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if (cmCandidate.Slope < 0) cmCandidate.AnnualizedReturn *= -1.00; // preserve the sign of the slope
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cmCandidate.Score = leastSquaresResult.RSquared * cmCandidate.AnnualizedReturn; // The greater the score the higher the rank
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cmCandidate.RSquared = leastSquaresResult.RSquared;
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cmCandidate.Beta = BetaGenerator.Beta(symbol,cmParams.BetaMonths); // generate a 90 day Beta
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cmCandidate.BetaMonths = cmParams.BetaMonths;
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if (double.IsNaN(cmCandidate.Beta))
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{
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cmCandidate.Violation = true;
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cmCandidate.Reason = String.Format("Unable to calculate {0} month beta for {1} ", cmParams.BetaMonths, symbol);
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return cmCandidate;
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}
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if (cmCandidate.Beta <= 0.00)
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{
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cmCandidate.Violation = true;
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cmCandidate.Reason = String.Format("Beta for {0} is less than or equal to zero {1}", symbol, cmCandidate.Beta);
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return cmCandidate;
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}
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if (cmParams.UseMaxBeta && cmCandidate.Beta > cmParams.MaxBeta)
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{
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cmCandidate.Violation = true;
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cmCandidate.Reason = String.Format("Beta for {0} exceeds maximum allowed. Candidate beta {1}, Max Beta:{2}", symbol, cmCandidate.Beta, cmParams.MaxBeta);
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return cmCandidate;
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}
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cmCandidate.SharpeRatio = SharpeRatioGenerator.GenerateSharpeRatio(cmCandidate.Symbol, tradeDate);
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if (double.IsNaN(cmCandidate.SharpeRatio)) cmCandidate.SharpeRatio = 0.00; // don't care about this for the fallback candidate
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return cmCandidate;
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}
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// Given the list of candidates select the one candidate with the most favorable slope as an absolute fallback
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// *******************************************************************************************************************************************************************************
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// ************************************************************ G E N E R A T E C A N D I D A T E O F L A S T R E S O R T ***************************************************
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// *******************************************************************************************************************************************************************************
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public static CMCandidate GetFallbackCandidateOfLastResort(List<String> candidates, DateTime tradeDate, DateTime analysisDate, CMParams cmParams)
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{
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CMCandidates cmCandidates = new CMCandidates();
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foreach (String candidate in candidates)
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{
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Prices prices = PricingDA.GetPrices(candidate, tradeDate, cmParams.DayCount); // The prices come back with the most recent date in the lowest index. We want the earliest date in the lowest index
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if (null == prices || cmParams.DayCount != prices.Count) continue;
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prices.Reverse(); // Reverse the series here.
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double[] logPrices = null;
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logPrices = new double[prices.Count];
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for (int index = 0; index < prices.Count; index++)
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{
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Price price = prices[index];
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logPrices[index] = Math.Log(price.Close);
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}
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LeastSquaresResultWithR2 leastSquaresResult = LeastSquaresHelper.CalculateLeastSquaresWithR2(logPrices);
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CMCandidate cmCandidate = new CMCandidate();
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cmCandidate = new CMCandidate();
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cmCandidate.Symbol = candidate;
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cmCandidate.AnalysisDate = analysisDate;
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cmCandidate.TradeDate = tradeDate;
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cmCandidate.DayCount = cmParams.DayCount;
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cmCandidate.Slope = leastSquaresResult.Slope;
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cmCandidate.AnnualizedReturn = Math.Pow(Math.Exp(cmCandidate.Slope), 252); //cmCandidate.AnnualizedReturn=Math.Pow(1.00+cmCandidate.Slope,252);
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if (cmCandidate.Slope < 0) cmCandidate.AnnualizedReturn *= -1.00; // preserve the sign of the slope
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cmCandidate.Score = leastSquaresResult.RSquared * cmCandidate.AnnualizedReturn; // The greater the score the higher the rank
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cmCandidate.RSquared = leastSquaresResult.RSquared;
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cmCandidate.Beta = BetaGenerator.Beta(candidate,tradeDate,cmParams.BetaMonths);
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cmCandidate.BetaMonths = cmParams.BetaMonths;
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if (cmCandidate.Beta <= 0) cmCandidate.Beta = .01;
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cmCandidate.SharpeRatio = SharpeRatioGenerator.GenerateSharpeRatio(cmCandidate.Symbol, tradeDate);
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if (double.IsNaN(cmCandidate.SharpeRatio)) cmCandidate.SharpeRatio = 0.00; // don't care about this for the fallback candidate
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cmCandidates.Add(cmCandidate);
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}
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return (from CMCandidate cmCandidate in cmCandidates select cmCandidate).OrderByDescending(x => x.Slope).ToList().Take(1).FirstOrDefault();
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}
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private static bool HasReturnViolation(float[] dailyReturns,double dailyReturnLimit)
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{
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foreach (float dailyReturn in dailyReturns) if (dailyReturn > dailyReturnLimit) return true;
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return false;
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}
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}
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}
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