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ItalienischSind bestimmte Bausteine besser als andere? Können wir bessere Bausteine für unsere Einstellungen, für unsere Instrumente und Zeitrahmen finden? V2
Inhalt der Seite
1/ Was ist neu in dieser Version?
- Wir haben jetzt Name der Bausteine anstelle des Variablennamens. Es ist einfacher zu verstehen, welche Bausteine effizienter sind in Zeitraum außerhalb der Stichprobe.
- Der Kodex analysiert die Eintrag und Ausstiegssignal.
- Dieses neue Snippet analysiert die Blöcke nach Signalnamen. Sie können nun das Signal, das Sie analysieren möchten, namentlich auswählen.
- Indem Sie den Namen des Signals wählen, Sie können ein Einstiegs- oder Ausstiegssignal, ein Long- oder Short-Signal wählen zu analysieren
- Dies ist besonders praktisch, wenn Sie Vorlagenerstellungkönnen Sie mehrere Signale mit unterschiedlichen Namen haben. Sie können den Namen des Signals Ihrer Vorlage eingeben
- Normalerweise verwenden wir dieses Snippet nur mit der Einstiegsposition, Long oder Short, um Klarheit in den Ergebnissen zu haben Dies ist jedoch nicht immer möglich, wenn Sie Vorlagenerstellung. Ihre Vorlage kann Long und Short, Einstiegs- und Ausstiegsindikator enthalten. Mit diesem Snippet können Sie Statistiken pro Signal erstellen.
- Sie können zwei oder mehr Handelssignale aus Ihrer Vorlage hinzufügen oder nur eine Signalanalyse durchführen.
- Sie können dieses Snippet auf beliebige StrategyQuant-Metriken erweitern. Derzeit sind 10 Metriken verfügbar.
- Dieses Snippet kann ein Portfolio von Geschäften aus Ihrer OOS-Filterauswahl in der letzten Datenbank erstellen. Dann können Sie die Out-of-Sample-Ergebnisse auf der Registerkarte StrategyQuant-Ergebnisse sehen.
- Dieses Snippet erstellt eine Statistik für jede Datenbank und eine Liste der Bausteine, die die Kriterien erfüllen im Ordner 'C:\temp\'
- dieser Ausschnitt schreibt einen 'Zufallsgruppen für jede Datenbank, um eine präzisere Auswahl für den nächsten Zeitraum Out of Sample zu treffen.
2/ Wie man es installiert
- im CodeEditor : Importieren "SQExtension RankStratsParameters 15052022 V2 04" (und "SQErweiterung_SortinoRatio", wenn es nicht bereits in Ihrer SQX installiert ist)
- Kompilieren
- Neustart SQX
- (siehe beigefügtes Video "1 Snippets Installation")
- Erstellen Sie einen Ordner C:\Temp\
- Erstellen Sie die Verzeichnisse wie in der Abbildung unten beschrieben, C:\Temp\Resultate P1 usw. (Sie können die Dateien entpacken "Verzeichnisse.rar" in "C:\Temp" um Ihnen zu helfen)
- Benutzerdefiniertes Projekt importieren "I 1176 Bouillant Research Custom Project EURUSD Ent 1i Ex 1i I" (Sie wird Ihre Strategien entwickeln)
- Benutzerdefiniertes Projekt importieren "I 1177 Bouillant-Analyse Benutzerdefiniertes Projekt" (es wird Ihre Strategien analysieren wenn Sie mehr als 20000 Strategien in Ihrem Projekt haben)
- Benutzerdefiniertes Projekt importieren "I 1177 Bouillant-Analyse plus kundenspezifisches Projekt" (es wird Ihre Strategien analysieren wenn Sie weniger als 20000 Strategien in Ihrem Projekt haben)
3/ Wie können wir die Bausteine testen?
Eine Möglichkeit ist, dass Strategien entwickeln in einem Benutzerdefinierte Analyse und Analysieren Sie die Long Entry, Short Entry, Long Exit, Short Exit aus ihren Out Of Sample-Ergebnissen in einer anderen benutzerdefinierten Analyse:
Das Projekt Custom "I 1176 Bouillant Research Custom Project EURUSD Ent 1i Ex 1i I" wird erstellen Sie Ihre Strategien, und das benutzerdefinierte Projekt "I 1177 Bouillant-Analyse Benutzerdefiniertes Projekt" wird Analysieren Sie Ihre Strategien.
Es funktioniert wie folgt: (Schema.docx)
4/ Gibt es Gebäude Blöcke besser als die anderen?
Auf die Ergebnisse von 3 Instrumenten, über 21 Jahre aus der Stichprobe insgesamt, Ich habe festgestellt, dass einige Bausteine viel besser sind als andere:
wenn Sie die angehängte Datei "Ergebnisse sortiert nach NettoGewinn von P1 R", (Sie können sich das beigefügte Video "2 sind Block besser als der andere")
Sie können auf "Ergebnisse1″. dass einige Bausteine haben einen Nettogewinn von 4959 $ pro Jahr und am "Ergebnisse2" andere Bausteine haben einen Verlust von -4977 $
Ja, einige Bausteine bringen mehr Gewinn als andereEs hängt von Ihrem Instrument und Ihrer Strategie ab.
Vergessen Sie nicht, dass einige wenige Blöcke Ihre Ergebnisse durcheinander bringen können.
5/ Wie führen wir das Snippet auf One Databank aus?
Sie müssen nur
- einfügen Benutzerdefinierte Analyseaufgabe zu Ihrem benutzerdefinierten Projekt
- auswählen "RankStrategiesParameters" in der Dropbox
- wählen Sie die Quelle: Datenbank (P1R in diesem Beispiel)
- die Aufgabe ausführen
- Eingabe 1 als Anzahl der DataBanks im ersten Eingabefeld
- Dann geben Sie ein 10 als Mindestanzahl von Strategien pro Baustein (Mehr ist besser, dies hängt von der Anzahl der in Ihrer Datenbank verfügbaren Strategien ab)
(Sie können die "3 Wie man die Snippets auf Single DataBank" ausführt auch das beigefügte Video)
6/ Können wir noch weiter gehen und mehrere Datenbanken analysieren? Die besten Bausteine einer Cross-Validation-Periode auswählen und auf die nächste Periode anwenden?
Dank Mark und den Coding Sessions kann dieses Snippet mehrere Datenbanken lesen.
Wenn Sie mehrere Datenbanken auswählen, werden diese nacheinander analysiert und die Bausteine nach den von Ihnen festgelegten Kriterien ausgewählt.
7/ Wie können wir die Snippets auf mehreren Datenbanken ausführen?
Ich habe ein Workflow-Beispiel erstellt, Sie können es herunterladen: "I 1172 USDCHF H1 10YP1" (Ich habe ein Video beigefügt "4 So führen Sie die Snippets auf mehreren DataBanks aus")
Der Zeitraum innerhalb der Stichprobe beträgt 10 Jahre, der Zeitraum außerhalb der Stichprobe ist ein Jahr. Es ist H1.
Die Arbeitsablauf erstreckt sich über 7 Zeiträume von einem Jahr. Diese Schnipsel sind für 7 Datenbanken angepasst: (Sie können sie anpassen)
input = JOptionPane.showInputDialog("Geben Sie die Anzahl der Datenbänke ein"); // Mögliche Option
NbDataBanks = Integer.parseInt(input);
if (NbDataBanks 7) {NbDataBanks = 7;}
Für Ihren Workflow können Sie auch den Datenbanknamen ändern:
String DatabankName1 = "P1 R"; // Wenn Sie mit mehreren DataBanks arbeiten, müssen Sie hier die Nummer der Datenbank und den Namen der Datenbank angeben String DatabankName2 = "P2 R"; // Wenn Sie mit mehreren Datenbanken arbeiten, müssen Sie hier die Nummer der Datenbank und den Namen der Datenbank angeben. String DatabankName3 = "P3 R"; // Wenn Sie mit mehreren Datenbanken arbeiten, müssen Sie hier die Nummer der Datenbank und den Namen der Datenbank angeben String DatabankName4 = "P4 R"; // Wenn Sie mit mehreren Datenbanken arbeiten, müssen Sie hier die Nummer der Datenbank und den Namen der Datenbank angeben String DatabankName5 = "P5 R"; // Wenn Sie mit mehreren Datenbanken arbeiten, müssen Sie hier die Nummer der Datenbank und den Namen der Datenbank angeben String DatabankName6 = "P6 R"; // Wenn Sie mit mehreren Datenbanken arbeiten, müssen Sie hier die Nummer der Datenbank und den Namen der Datenbank angeben String DatabankName7 = "P7 R"; // Wenn Sie mit mehreren Datenbanken arbeiten, müssen Sie hier die Nummer der Datenbank und den Namen der Datenbank angeben String DatabankName8 = "P8 R"; // Wenn Sie mit mehreren Datenbanken arbeiten, müssen Sie hier die Nummer der Datenbank und den Namen der Datenbank angeben String DatabankName9 = "P9 R"; // Wenn Sie mit mehreren Datenbanken arbeiten, müssen Sie hier die Nummer der Datenbank und den Namen der Datenbank angeben String DatabankName10 = "P10 R"; // Wenn Sie mit mehreren Datenbanken arbeiten, müssen Sie hier die Nummer der Datenbank und den Namen der Datenbank angeben String DatabankName11 = "P11 R"; // Wenn Sie mit mehreren Datenbanken arbeiten, müssen Sie hier die Nummer der Datenbank und den Namen der Datenbank angeben String DatabankName12 = "P12 R"; // Wenn Sie mit mehreren Datenbanken arbeiten, müssen Sie hier die Nummer der Datenbank und den Namen der Datenbank angeben.
Die Benutzerdefinierte Analyse ist die letzte Aufgabe.
Für diesen Arbeitsablauf : (Ich habe ein Video angehängt "4 Wie man die Snippets auf mehreren Datenbanken ausführt")
- Ihr Eintrag 7 als die Anzahl der DataBanks
- Ihr Eintrag 10 als die Mindeststrategien pro Bausteine
- Ihr Eintrag 1denn Sie möchten ein Portfolio von CV-Geschäften auf der Grundlage Ihrer Blockauswahlkriterien
- Sie geben die Kriterien ein, 2 für den Reingewinn
- Sie geben die Betrag oberhalb derer Ihre Bausteine akzeptabel sind.
8/ Können dadurch die Ergebnisse verbessert werden?
Am Ende dieses Prozesses erstellt dieses Snippet ein Portfolio in den letzten Datenbanken. Wir können einen globalen Überblick über alle Out-of-Sample-Perioden Trades haben
In diesem Test konnte ich bei zwei Instrumenten Out Of Sample-Verbesserungen erzielen und den Verlust von 2020sehen Sie sich bitte das beigefügte Video an "5 Einige Ergebnisse"
EURUSD ohne Blocks-Filter :
CHFUSD ohne Blocks-Filter :
EURUSD mit Blocks-Filter :
CHFUSD mit Blocks-Filter :
Mein einziges Kriterium war nur der Nettogewinn aber was ist mit Sharpe Ratio und Ulcer Index? Was würde passieren, wenn wir Nettogewinn und Sharpe Ratio auswählen?
Bis jetzt, Ich habe die Strategien nur nach Blocknamen gefiltertwas wäre das Ergebnis, wenn wir Suche in jeder Periode aus einer Zufallsgruppe mit genauen Einstellungen in jedem Block. Die Ergebnisse würden sicherlich noch besser ausfallen.
Wir können weitere Tests mit anderen Metriken durchführen. Wir haben 10 Metriken in dem Snippet verfügbar, und wir können mehr hinzufügen. Das Snippet ist einfach zu entwickeln und anzupassen.
StrategyQuant haben viele hilfreiche Metriken. Es ist präzise und zuverlässig, für Händler gemacht. Es ist leicht zu entwickeln mit Hilfe der Codierung Sitzungen und die Community-Mitglieder.
Die Snippets sind ein guter Weg, um Entwickler und Händler zu vereinen, eine Idee von einem kann vielen helfen. Bitte teilen Sie Ihre Snippets, denn sie helfen den Mitgliedern der Community.
9/ Der Schnipselcode :
Überblick über den Code :
Sie können den Code nach #Region einklappen, um einen Überblick über den Code zu erhalten:
package SQ.CustomAnalysis;
import com.strategyquant.lib.*;
import java.util.ArrayList;
import com.strategyquant.datalib.*;
import com.strategyquant.tradinglib.*;
import com.strategyquant.tradinglib.PlTypes;
import com.strategyquant.tradinglib.project.ProjectEngine;
import com.strategyquant.tradinglib.results.SpecialValues;
import com.strategyquant.datalib.TradingException;
import com.strategyquant.lib.SQTime;
import com.strategyquant.lib.ValuesMap;
import com.strategyquant.lib.XMLUtil;
import java.util.Arrays;
import java.util.Collections;
import java.lang.String;
import com.strategyquant.tradinglib.results.stats.comparator.OrderComparatorByOpenTime;
import SQ.Utils.Bouillant;
import com.strategyquant.lib.L;
import com.strategyquant.tradinglib.optimization.WalkForwardMatrixResult;
import com.strategyquant.lib.ValuesMap;
import java.io.File;
import java.io.BufferedWriter;
import java.io.IOException;
import java.io.FileWriter;
import java.util.Scanner;
import javax.swing.JOptionPane;
import java.io.FileNotFoundException;
import java.io.*;
import org.jdom2.*;
import org.jdom2.output.*;
import org.jdom2.Element;
import org.jdom2.input.SAXBuilder;
import org.jdom2.Document;
import java.io.StringReader;
import java.util.*;
import java.io.IOException;
import org.jdom2.Attribute;
import org.jdom2.output.Format;
import org.jdom2.output.XMLOutputter;
import com.google.common.base.Strings;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import java.time.Duration;
import java.time.Instant;
import java.sql.Timestamp;
// Created in France by Emmanuel Bouillant-Evrard for the StrategyQuantX Community :)
public class RankStratsParametersV1 extends CustomAnalysisMethod
{
public static final Logger Log = LoggerFactory.getLogger(RankStratsParametersV1.class);
static Boolean DebugMode = false; // false : Off, true : on
static FileWriter FilterWriterTmp ;
public RankStratsParametersV1()
{
super("RankStrategiesParameters", TYPE_PROCESS_DATABANK);
}
@Override
public boolean filterStrategy(String project, String task, String databankName, ResultsGroup rg) throws Exception
{
return true;
}
@Override
public ArrayList<ResultsGroup> processDatabank(String project, String task, String databankName, ArrayList<ResultsGroup> databankRG) throws Exception
{
try
{
//#region ********************************************************* Init1 *************************************************************************************************
// ArrayList where we store stratgies
ArrayList<ResultsGroup> newDatabankContents = new ArrayList<ResultsGroup>();
// create new ResultsGroup for our new portfolio
ResultsGroup portfolioRG = new ResultsGroup("Filtered portfolio"); //("Filtered portfolio "+ "of "+ databankName);
// get OrderList from new portfolio (empty so far),
// we will insert WF orders there
OrdersList portfolioOrdersList = portfolioRG.orders();
Databank databank1 = ProjectEngine.get(project).getDatabanks().get(databankName);
String LongEntrySignal= "LongEntrySignal"; // if you are templating, you enter the name of your signal here
String ShortEntrySignal= "ShortEntrySignal"; // if you are templating, you enter the name of your signal here
String LongExitSignal= "LongExitSignal"; // if you are templating, you enter the name of your signal here
String ShortExitSignal= "ShortExitSignal"; // if you are templating, you enter the name of your signal here
String stratMetric1= "ProfitFactor";
String stratMetric2 = "NetProfit";
String stratMetric3 = "SharpeRatio";
String stratMetric4 = "UlcerIndex";
String stratMetric5 = "SortinoRatio";
String stratMetric6 = "WinningPct";
String stratMetric7 = "ReturnDDRatio";
String stratMetric8 = "RExpectancy";
String stratMetric9 = "AnnualPctReturnDDRatio";
String stratMetric10 = "Drawdown";
String stratMetric11 = "NumberOfTrades";
int NewOrderForPortefolio = 0;
int SortType = 1; // SortType
int AscDesc = 1; // automatically set by the switch bellow
int AboveUnder = 1; // automatically set by the switch bellow
int AboveUnder2 = 1; // automatically set by the switch bellow
int NbDataBanks = 1; // Are you working on One Databank only or on Multiple DataBanks.
String DatabankName1 = "P1 R"; // If you are working on Multiple DataBanks, enter the name of the Databanks here
String DatabankName2 = "P2 R"; // If you are working on Multiple DataBanks, enter the name of the Databanks here
String DatabankName3 = "P3 R"; // If you are working on Multiple DataBanks, enter the name of the Databanks here
String DatabankName4 = "P4 R"; // If you are working on Multiple DataBanks, enter the name of the Databanks here
String DatabankName5 = "P5 R"; // If you are working on Multiple DataBanks, enter the name of the Databanks here
String DatabankName6 = "P6 R"; // If you are working on Multiple DataBanks, enter the name of the Databanks here
String DatabankName7 = "P7 R"; // If you are working on Multiple DataBanks, enter the name of the Databanks here
String DatabankName8 = "P8 R"; // If you are working on Multiple DataBanks, enter the name of the Databanks here
String DatabankName9 = "P9 R"; // If you are working on Multiple DataBanks, enter the name of the Databanks here
String DatabankName10 = "P10 R"; // If you are working on Multiple DataBanks, enter the name of the Databanks here
String DatabankName11 = "P11 R"; // If you are working on Multiple DataBanks, enter the name of the Databanks here
String DatabankName12 = "P12 R"; // If you are working on Multiple DataBanks, enter the name of the Databanks here
String DatabankName13 = "All DB"; // If you are working on Multiple DataBanks, enter the name of the Databanks here
int breakdownLevelMax = 50; // Level Max of Block breakdown in a Strategy, must be < 100
Element AllGroups = new Element("Groups"); // Groups of All group generated
boolean randomID = false; // Generate a random ID for each group, or keep the same ID each time to avoid redoing a the template
boolean outputXmlStrategyFile = false; // Output Strategy File
boolean outputPortfolio = true; // Output a portfolio of trade filtered by block name only.
boolean NbTotalOnNbTradeOrNbStrategies = false; // The minimum is based on the Total Strategies (false), or on the Total of Trades from all strategies (true)
int NbOrdersperPortfolioMax = 100000; // Some Portfolio may have to much trades, we have to limit them otherwise it may takes to much time to save the portfolio (hours)
Timestamp timestamp1 = new Timestamp(System.currentTimeMillis());
Instant instant1 = timestamp1.toInstant();
//#endregion
//#region ********************************************************* Settings & Dialog Box input ***************************************************************************
String OutputPath1 = "C:\\Temp\\"; // OutputPath !!!!!!!!!!!!! IMPORTANT !!!!!!!!!!!!!! Must be set, it depend on the installation of the computer !!!!!!!!!!!!!!!!!!!!!!!!!
NbDataBanks = 1; // Are you working on One Databank only or on Multiple DataBanks. If you are working on Multiple DataBanks, you have to set the Number of Databank Here, the name of the Databanks on Line 114 - 132
String input; // To hold String input.
input1: do // (forward : without do)
{
input = (String)JOptionPane.showInputDialog(null, "How many DataBanks are you analysing ? (Databanks P1 to DataBank P?)", "Analysis Settings", JOptionPane.QUESTION_MESSAGE, null, null, 7); // Possible Option
if (Strings.isNullOrEmpty(input)){ continue input1;} // (forward : break instead of continue) // or (input == null || input.trim().isEmpty())
break input1; // (forward : without break
}while(true);
NbDataBanks = Integer.parseInt(input); // Convert the String input to an int.
if (NbDataBanks < 1) {NbDataBanks = 1;}
if (NbDataBanks > 12) {NbDataBanks = 12;} // For the moment I am using 12 Databanks max in my custom project, you can add more databanks in the code if necessary
NbDataBanks = NbDataBanks + 1; // I am adding 1, for the "All DB" databank, this last Databank is giving the global stats results of all DataBanks
int minimum = 10; // This is the Number of strategies minimum using a block indicator. more is better . However this depend on the number of strategies you have in the databanks, more is better and more reliable statistics.
input2: do
{
input = (String)JOptionPane.showInputDialog(null,"Enter the minimum number of strategies for a Building block to be selected (More may be better)", "Analysis Settings", JOptionPane.QUESTION_MESSAGE, null, null, 10); // Possible Option
if (Strings.isNullOrEmpty(input)){ continue input2;}
break input2;
}while(true);
minimum = Integer.parseInt(input); // Convert the String input to an int.
if (minimum <= 0) { minimum = 1 ; }
int minimumXml = minimum; //3; // This is the Number of strategies minimum using a block indicator. more is better . However this depend on the number of strategies you have in the databanks, more is better and more reliable statistics.
int IsOos = 2; // We always choose 2 : Out of sample because only OOS is important, I kept the rest as an option, you can activate the next 4 line if you need option (1) InSample Stats, (3) Full Sample Stats
int LongShort = 3;
int OosSimulationOverPreviousBlockFilter = 0;
int ChoiceFilterNextOOS = 0;
int ChoiceFilterNextOOS2 = 0;
double MinimumLevelFilterNextOOS = 0;
double MinimumLevelFilterNextOOS2 = 0;
double MinimumLevelFilterRandomGroups = 0;
if (NbDataBanks > 1)
{
OosSimulationOverPreviousBlockFilter = 1;
input4: do
{
input = (String)JOptionPane.showInputDialog(null,"Do you want a PortFolio of Multiple Cross-Validation Period ? (0) No, (1) Yes", "PortFolio creation" , JOptionPane.QUESTION_MESSAGE, null, null, 1); // Possible Option
if (Strings.isNullOrEmpty(input)){ continue input4;}
break input4;
}while(true);
OosSimulationOverPreviousBlockFilter = Integer.parseInt(input); // Convert the String input to an int.
if (OosSimulationOverPreviousBlockFilter < 0) {OosSimulationOverPreviousBlockFilter = 0;}
if (OosSimulationOverPreviousBlockFilter > 1) {OosSimulationOverPreviousBlockFilter = 1;}
if (OosSimulationOverPreviousBlockFilter == 1)
{
NbOrdersperPortfolioMax = 400000; // Some Portfolio may have to much trades, we have to limit them otherwise it may takes to much time to save the portfolio (hours)
input11: do // (forward : without do)
{
input = (String)JOptionPane.showInputDialog(null,"Enter the maximum of trades per PortFolio (500000 max, more will slow the analysis), if the maximum is exceeded, it will create several portfolios in the databanks ", "PortFolio creation Settings", JOptionPane.QUESTION_MESSAGE, null, null, NbOrdersperPortfolioMax ); // Possible Option
if (Strings.isNullOrEmpty(input)){ continue input11;} // (forward : break instead of continue) // or (input == null || input.trim().isEmpty())
break input11; // (forward : without break
}while(true);
NbOrdersperPortfolioMax = Integer.parseInt(input); // Convert the String input to an int.
if (NbOrdersperPortfolioMax < 1) {NbOrdersperPortfolioMax = 1;}
if (NbOrdersperPortfolioMax > 600000) {NbOrdersperPortfolioMax = 600000;}
ChoiceFilterNextOOS = 2;
input5: do
{ // 2 : NetProfit is selected
input = (String)JOptionPane.showInputDialog(null,"Select a filter to filter each OOS period : (0)None, (1)ProfitFactor,(2)NetProfit,(3)SharpeRatio,(4)UlcerIndex,(5)SortinoRatio,(6)WinningPct,(7)ReturnDDRatio,(8)RExpectancy,(9)AnnualPctReturnDDRatio,(10)Drawdown", "PortFolio creation Settings" , JOptionPane.QUESTION_MESSAGE, null, null,2);
if (Strings.isNullOrEmpty(input)){ continue input5;}
break input5;
}while(true);
ChoiceFilterNextOOS = Integer.parseInt(input); // Convert the String input to an int.
if (ChoiceFilterNextOOS < 0) {ChoiceFilterNextOOS = 0;}
if (ChoiceFilterNextOOS > 10) {ChoiceFilterNextOOS = 10;}
if (ChoiceFilterNextOOS != 0)
{
MinimumLevelFilterNextOOS = 1000; // 1000 profit minimum selected for the next CV/OOS period
MinimumLevelFilterNextOOS2 = 1000; // 1000 profit minimum selected for the next CV/OOS period
if (ChoiceFilterNextOOS != 0){
input6: do
{
input = (String)JOptionPane.showInputDialog(null,"Enter the minimum or maximum for this filter", "Filter Settings", JOptionPane.QUESTION_MESSAGE, null, null,2000);
if (Strings.isNullOrEmpty(input)){ continue input6;}
break input6;
}while(true);
MinimumLevelFilterNextOOS = Double.parseDouble(input); // Convert the String input to a double.
}
ChoiceFilterNextOOS2 = 0;
MinimumLevelFilterRandomGroups = MinimumLevelFilterNextOOS; //1000; // 1000 profit minimum selected for the next CV/OOS period
}
}
}
//#endregion
for(int DatabanksNumber = 1; DatabanksNumber <= NbDataBanks; DatabanksNumber++) // For each DataBanks
{
for(int SignalType = 1; SignalType <= 2; SignalType++) // Select "Entry signal" or "Exit Signal"
{
//#region ******************************************************** Loading Databanks **************************************************************************************
if (NbDataBanks > 1)
{
switch (DatabanksNumber)
{
case 1:
databank1 = ProjectEngine.get(project).getDatabanks().get(DatabankName1); // Enter here your dataBank Name instead of "P1 R"
break;
case 2:
databank1 = ProjectEngine.get(project).getDatabanks().get(DatabankName2); // Enter here your dataBank Name
break;
case 3:
databank1 = ProjectEngine.get(project).getDatabanks().get(DatabankName3); // Enter here your dataBank Name
break;
case 4:
databank1 = ProjectEngine.get(project).getDatabanks().get(DatabankName4); // Enter here your dataBank Name
break;
case 5:
databank1 = ProjectEngine.get(project).getDatabanks().get(DatabankName5); // Enter here your dataBank Name
break;
case 6:
databank1 = ProjectEngine.get(project).getDatabanks().get(DatabankName6); // Enter here your dataBank Name
break;
case 7:
databank1 = ProjectEngine.get(project).getDatabanks().get(DatabankName7); // Enter here your dataBank Name
break;
case 8:
databank1 = ProjectEngine.get(project).getDatabanks().get(DatabankName8); // Enter here your dataBank Name
break;
case 9:
databank1 = ProjectEngine.get(project).getDatabanks().get(DatabankName9); // Enter here your dataBank Name
break;
case 10:
databank1 = ProjectEngine.get(project).getDatabanks().get(DatabankName10); // Enter here your dataBank Name
break;
case 11:
databank1 = ProjectEngine.get(project).getDatabanks().get(DatabankName11); // Enter here your dataBank Name
break;
case 12:
databank1 = ProjectEngine.get(project).getDatabanks().get(DatabankName12); // Enter here your dataBank Name
break;
}
if (DatabanksNumber == NbDataBanks) // All Databanks, to have a general stats of all the building blocks
{
databank1 = ProjectEngine.get(project).getDatabanks().get(DatabankName13);
}
databankName = databank1.getName();
databankRG = databank1.getRecords();
}
if (DebugMode){
FileWriter FilterWriterTmp = new FileWriter(OutputPath1 + "Test of "+ databankName + ".xml" , true);
FilterWriterTmp.write(databankName+"\r\n");
FilterWriterTmp.write("databankRG.size() " +String.valueOf(databankRG.size())+"\r\n");
FilterWriterTmp.close();}
//#endregion
//#region ********************************************************* Init2 *************************************************************************************************
int counter = 0;
String [] arrays1 = new String[100000]; // 0 : variable name
String [] arrays1XmlLong = new String[100000]; // 0 : Xml Building Blocks
String [] arrays1XmlShort = new String[100000]; // 0 : Xml Building Blocks
Element [] arrays1XmlLongb = new Element[100000]; // 0 : Xml Building Blocks
Element [] arrays1XmlShortb = new Element[100000]; // 0 : Xml Building Blocks
double [][] arrays2 = new double[100000][12]; // 0 : Nb , 1 : Total Profit Factor, 2 : NetProfit, 3 : SharpeRatio, 4 : UlcerIndex, 6 : etc.
double [][] arrays2Long = new double[100000][12]; // 0 : Nb , 1 : Total Profit Factor, 2 : NetProfit, 3 : SharpeRatio, 4 : UlcerIndex, 6 : etc.
double [][] arrays2Short = new double[100000][12]; // 0 : Nb , 1 : Total Profit Factor, 2 : NetProfit, 3 : SharpeRatio, 4 : UlcerIndex, 6 : etc.
double [][] arrays2LongXml = new double[100000][12]; // 0 : Nb , 1 : Total Profit Factor, 2 : NetProfit, 3 : SharpeRatio, 4 : UlcerIndex, 6 : etc.
double [][] arrays2ShortXml = new double[100000][12]; // 0 : Nb , 1 : Total Profit Factor, 2 : NetProfit, 3 : SharpeRatio, 4 : UlcerIndex, 6 : etc.
String [] arrays2LongXmlName = new String[100000];
String [] arrays2ShortXmlName = new String[100000];
String [] arraysFilterEntryLong = new String[100000]; // 0 : variable filtered name
String [] arraysFilterEntryShort = new String[100000]; // 0 : variable filtered name
String [] arraysFilterExitLong = new String[100000]; // 0 : variable filtered name
String [] arraysFilterExitShort = new String[100000]; // 0 : variable filtered name
int NbNameEntryLong = 0;
int NbNameEntryShort = 0;
int NbNameExitLong = 0;
int NbNameExitShort = 0;
Double[][] stats = new Double[databankRG.size()][11];
Double[][] statsLong = new Double[databankRG.size()][11];
Double[][] statsShort = new Double[databankRG.size()][11];
String[] statsStr = new String[databankRG.size()];
String[][]statsStr2 = new String[databankRG.size()][];
String[][]statsStr2XmlLong = new String[databankRG.size()][];
String[][]statsStr2XmlShort = new String[databankRG.size()][];
List<Element>[] statsStr2XmlLongb = new List[databankRG.size()];
for (int i = 0; i < databankRG.size(); i++)
{
statsStr2XmlLongb[i] = new ArrayList<Element>();
}
List<Element>[] statsStr2XmlShortb = new List[databankRG.size()];
for (int i = 0; i < databankRG.size(); i++)
{
statsStr2XmlShortb[i] = new ArrayList<Element>();
}
File myObj;
File FilterFile;
File FilterFile2;
File FilterFileLong;
File FilterFile2Long;
File FilterFileShort;
File FilterFile2Short;
File FilterFileExitLong;
File FilterFileExitShort;
//#endregion
//#region ********** loop through strategies in databank and assign the variable to 2 Arrays : stats for stratMetric and statsStr2 for the variable name *******************
counter = 0;
for(ResultsGroup strategyRG : databankRG) // Read each values strategy from the databank
{
Result mainResult = strategyRG.subResult( strategyRG.getMainResultKey());
if(mainResult==null) break;
String strName = strategyRG.getName();
if(strName.startsWith("Filtered portfolio"))
{
continue;
}
SQStats statsFull = mainResult.stats(Directions.Both,PlTypes.Money, SampleTypes.FullSample);
SQStats statsFullLong = mainResult.stats(Directions.Long,PlTypes.Money, SampleTypes.FullSample);
SQStats statsFullShort = mainResult.stats(Directions.Short,PlTypes.Money, SampleTypes.FullSample);
if (LongShort == 1)
{
if (IsOos == 1 )
{
statsFull = mainResult.stats(Directions.Long,PlTypes.Money, SampleTypes.InSample);
}
else if (IsOos == 2 )
{
statsFull = mainResult.stats(Directions.Long,PlTypes.Money, SampleTypes.OutOfSample);
}
else
{
statsFull = mainResult.stats(Directions.Long,PlTypes.Money, SampleTypes.FullSample);
}
}
else if (LongShort == 2)
{
if (IsOos == 1 )
{
statsFull = mainResult.stats(Directions.Short,PlTypes.Money, SampleTypes.InSample);
}
else if (IsOos == 2 )
{
statsFull = mainResult.stats(Directions.Short,PlTypes.Money, SampleTypes.OutOfSample);
}
else
{
statsFull = mainResult.stats(Directions.Short,PlTypes.Money, SampleTypes.FullSample);
}
}
else if (LongShort == 3)
{
if (IsOos == 1 )
{
statsFull = mainResult.stats(Directions.Both,PlTypes.Money, SampleTypes.InSample);
statsFullLong = mainResult.stats(Directions.Long,PlTypes.Money, SampleTypes.InSample);
statsFullShort = mainResult.stats(Directions.Short,PlTypes.Money, SampleTypes.InSample);
}
else if (IsOos == 2 )
{
statsFull = mainResult.stats(Directions.Both,PlTypes.Money, SampleTypes.OutOfSample);
statsFullLong = mainResult.stats(Directions.Long,PlTypes.Money, SampleTypes.OutOfSample);
statsFullShort = mainResult.stats(Directions.Short,PlTypes.Money, SampleTypes.OutOfSample);
}
else
{
statsFull = mainResult.stats(Directions.Both,PlTypes.Money, SampleTypes.FullSample);
statsFullLong = mainResult.stats(Directions.Long,PlTypes.Money, SampleTypes.FullSample);
statsFullShort = mainResult.stats(Directions.Short,PlTypes.Money, SampleTypes.FullSample);
}
}
if(statsFull == null) break;
stats[counter][0] = statsFull.getDouble(stratMetric1);
stats[counter][1] = statsFull.getDouble(stratMetric2);
stats[counter][2] = statsFull.getDouble(stratMetric3);
stats[counter][3] = statsFull.getDouble(stratMetric4);
stats[counter][4] = statsFull.getDouble(stratMetric5);
stats[counter][5] = statsFull.getDouble(stratMetric6);
stats[counter][6] = statsFull.getDouble(stratMetric7);
stats[counter][7] = statsFull.getDouble(stratMetric8);
stats[counter][8] = statsFull.getDouble(stratMetric9);
stats[counter][9] = statsFull.getDouble(stratMetric10);
stats[counter][10] = statsFull.getDouble(stratMetric11);
if (LongShort == 3 && statsFullLong != null)
{
statsLong[counter][0] = statsFullLong.getDouble(stratMetric1);
statsLong[counter][1] = statsFullLong.getDouble(stratMetric2);
statsLong[counter][2] = statsFullLong.getDouble(stratMetric3);
statsLong[counter][3] = statsFullLong.getDouble(stratMetric4);
statsLong[counter][4] = statsFullLong.getDouble(stratMetric5);
statsLong[counter][5] = statsFullLong.getDouble(stratMetric6);
statsLong[counter][6] = statsFullLong.getDouble(stratMetric7);
statsLong[counter][7] = statsFullLong.getDouble(stratMetric8);
statsLong[counter][8] = statsFullLong.getDouble(stratMetric9);
statsLong[counter][9] = statsFullLong.getDouble(stratMetric10);
statsLong[counter][10] = statsFullLong.getDouble(stratMetric11);
}
if (LongShort == 3 && statsFullShort != null)
{
statsShort[counter][0] = statsFullShort.getDouble(stratMetric1);
statsShort[counter][1] = statsFullShort.getDouble(stratMetric2);
statsShort[counter][2] = statsFullShort.getDouble(stratMetric3);
statsShort[counter][3] = statsFullShort.getDouble(stratMetric4);
statsShort[counter][4] = statsFullShort.getDouble(stratMetric5);
statsShort[counter][5] = statsFullShort.getDouble(stratMetric6);
statsShort[counter][6] = statsFullShort.getDouble(stratMetric7);
statsShort[counter][7] = statsFullShort.getDouble(stratMetric8);
statsShort[counter][8] = statsFullShort.getDouble(stratMetric9);
statsShort[counter][9] = statsFullShort.getDouble(stratMetric10);
statsShort[counter][10] = statsFullShort.getDouble(stratMetric11);
}
//#region ********************************************************* V2 now , we are searching the Building Blocks Name from a Trading signal ******************
String BuildingBlocksName1 = "";
String BuildingBlocksName2 = "";
String BuildingBlocksName3 = "";
String BuildingBlocksName4 = "";
Bouillant BouilltParaObj1 = new Bouillant();
Bouillant BouilltParaObj2 = new Bouillant();
Bouillant BouilltParaObj3 = new Bouillant();
Bouillant BouilltParaObj4 = new Bouillant();
if (SignalType == 1)
{
try
{
BuildingBlocksName1 = BouilltParaObj1.toBuildingBlocksName(strategyRG, false, LongEntrySignal, 50); // We are searching the Building Blocks from a trading signal. 50 : to have a general view of larger blocks (build with two blocks) like (("IsRising") || ("IsFalling") || ("IsLowerCount") || ("IsGreaterCount") || ("IsLower") || ("IsLowerOrEqual") || ("IsGreater") || ("IsGreaterOrEqual") || ("CrossesAbove") || ("CrossesBelow")
BuildingBlocksName2 = BouilltParaObj2.toBuildingBlocksName(strategyRG, false, ShortEntrySignal, 50); // We are searching the Building Blocks from a trading signal
BuildingBlocksName3 = BouilltParaObj1.toBuildingBlocksName(strategyRG, false, LongEntrySignal, 100); // We are searching the Building Blocks from a trading signal. 100 : to have a details of the smallest basic blocks
BuildingBlocksName4 = BouilltParaObj2.toBuildingBlocksName(strategyRG, false, ShortEntrySignal, 100); // We are searching the Building Blocks from a trading signal
} catch (Exception e){}
}
else if (SignalType == 2)
{
try
{
BuildingBlocksName1 = BouilltParaObj1.toBuildingBlocksName(strategyRG, false, LongExitSignal, 50);
BuildingBlocksName2 = BouilltParaObj2.toBuildingBlocksName(strategyRG, false, ShortExitSignal, 50);
BuildingBlocksName3 = BouilltParaObj1.toBuildingBlocksName(strategyRG, false, LongExitSignal, 100);
BuildingBlocksName4 = BouilltParaObj2.toBuildingBlocksName(strategyRG, false, ShortExitSignal, 100);
} catch (Exception e){}
}
if (!BuildingBlocksName1.equals("") && !BuildingBlocksName2.equals(""))
{
statsStr[counter] = BuildingBlocksName1 + "," + BuildingBlocksName2 + "," + BuildingBlocksName3 + "," + BuildingBlocksName4;
}
else if (!BuildingBlocksName1.equals(""))
{
statsStr[counter] = BuildingBlocksName1 + "," + BuildingBlocksName3;
}
else if (!BuildingBlocksName2.equals(""))
{
statsStr[counter] = BuildingBlocksName2 + "," + BuildingBlocksName4;
}
if (DebugMode){
FilterWriterTmp = new FileWriter(OutputPath1 + "Test of "+ databankName + ".xml" , true);
FilterWriterTmp.write(String.valueOf(counter) + statsStr[counter]+"\r\n");
FilterWriterTmp.close();}
String [] myArray;
String text1 = "";
text1 = statsStr[counter];
if (text1 == null)
{
statsStr2[counter] = new String[]{""} ;
counter++;
continue;
} // V2
myArray = text1.split(",");
statsStr2[counter] = myArray ;
//#endregion
//#region ********************************************************* V2 now , we are searching the Building Blocks XML from a Trading signal ******************
String[] BuildingBlocksXML1b = new String[1];
String[] BuildingBlocksXML2b = new String[1];
BouilltParaObj1 = new Bouillant();
BouilltParaObj2 = new Bouillant();
if (SignalType == 1)
{
try
{
BuildingBlocksXML1b = BouilltParaObj1.toBuildingBlocksXml2(strategyRG, false, LongEntrySignal, breakdownLevelMax); // read the string of the Element
BuildingBlocksXML2b = BouilltParaObj2.toBuildingBlocksXml2(strategyRG, false, ShortEntrySignal, breakdownLevelMax);
} catch (Exception e){}
}
else if (SignalType == 2)
{
try
{
BuildingBlocksXML1b = BouilltParaObj1.toBuildingBlocksXml2(strategyRG, false, LongExitSignal, breakdownLevelMax); // read the string of the Element
BuildingBlocksXML2b = BouilltParaObj2.toBuildingBlocksXml2(strategyRG, false, ShortExitSignal, breakdownLevelMax);
} catch (Exception e){}
}
statsStr2XmlLong[counter] = BuildingBlocksXML1b;
statsStr2XmlShort[counter] = BuildingBlocksXML2b;
ArrayList<Element> BuildingBlocksXML1c = new ArrayList<Element>();
ArrayList<Element> BuildingBlocksXML2c = new ArrayList<Element>();
BouilltParaObj1 = new Bouillant();
BouilltParaObj2 = new Bouillant();
if (SignalType == 1)
{
try
{
BuildingBlocksXML1c = BouilltParaObj1.toBuildingBlocksXml3(strategyRG, false, LongEntrySignal, breakdownLevelMax); // read the Element
BuildingBlocksXML2c = BouilltParaObj2.toBuildingBlocksXml3(strategyRG, false, ShortEntrySignal, breakdownLevelMax);
} catch (Exception e){}
}
else if (SignalType == 2)
{
try
{
BuildingBlocksXML1c = BouilltParaObj1.toBuildingBlocksXml3(strategyRG, false, LongExitSignal, breakdownLevelMax); // read the Element
BuildingBlocksXML2c = BouilltParaObj2.toBuildingBlocksXml3(strategyRG, false, ShortExitSignal, breakdownLevelMax);
} catch (Exception e){}
}
statsStr2XmlLongb[counter] = BuildingBlocksXML1c;
statsStr2XmlShortb[counter] = BuildingBlocksXML2c;
counter++;
}
if (DebugMode){
FilterWriterTmp = new FileWriter(OutputPath1 + "Test of "+ databankName + ".xml" , true);
FilterWriterTmp.write("counter " + String.valueOf(counter)+"\r\n");
FilterWriterTmp.close();}
//#endregion
//#endregion
//#region ********************************************************* Assign each values to array arrays1, arrays2, arrays2Long, arrays2Short *******************************
int NbVariable = 0 ;
int IndexVariableTrouvé = 0 ;
for(int i1 = 0; i1 < counter; i1++) // For each strategies
{
if (statsStr2[i1] == null)
{
if (DebugMode){
FilterWriterTmp = new FileWriter(OutputPath1 + "Test of "+ databankName + ".xml" , true);
FilterWriterTmp.write("statsStr2[i1] == null \r\n");
FilterWriterTmp.close();}
continue;
} // V2
for(int i2 = 0; i2 < statsStr2[i1].length; i2 += 1) //+= 2 V1 // For each variables
{
// Search among existing variables
IndexVariableTrouvé = -1;
for(int i3 = 0; i3 < NbVariable; i3++) // Search in arrays1, to check if the variable exist already
{
if (arrays1[i3].equals(statsStr2[i1][i2].trim()))
{
IndexVariableTrouvé = i3;
break;
}
}
if (IndexVariableTrouvé == -1 && NbVariable < arrays1.length) // if it is a new variable, we add it to the list
{
arrays1[NbVariable] = statsStr2[i1][i2].trim();
IndexVariableTrouvé = NbVariable;
NbVariable+=1;
}
if (IndexVariableTrouvé != -1)
{
arrays2[IndexVariableTrouvé][0] += 1;
arrays2[IndexVariableTrouvé][1] += stats[i1][0];
arrays2[IndexVariableTrouvé][2] += stats[i1][1];
arrays2[IndexVariableTrouvé][3] += stats[i1][2];
arrays2[IndexVariableTrouvé][4] += stats[i1][3];
arrays2[IndexVariableTrouvé][5] += stats[i1][4];
arrays2[IndexVariableTrouvé][6] += stats[i1][5];
arrays2[IndexVariableTrouvé][7] += stats[i1][6];
arrays2[IndexVariableTrouvé][8] += stats[i1][7];
arrays2[IndexVariableTrouvé][9] += stats[i1][8];
arrays2[IndexVariableTrouvé][10] += stats[i1][9];
arrays2[IndexVariableTrouvé][11] += stats[i1][10];
}
if (LongShort == 3 && (statsLong[i1][1] != 0 || statsLong[i1][2] != 0 || statsLong[i1][3] != 0))
{
arrays2Long[IndexVariableTrouvé][0] += 1;
arrays2Long[IndexVariableTrouvé][1] += statsLong[i1][0];
arrays2Long[IndexVariableTrouvé][2] += statsLong[i1][1];
arrays2Long[IndexVariableTrouvé][3] += statsLong[i1][2];
arrays2Long[IndexVariableTrouvé][4] += statsLong[i1][3];
arrays2Long[IndexVariableTrouvé][5] += statsLong[i1][4];
arrays2Long[IndexVariableTrouvé][6] += statsLong[i1][5];
arrays2Long[IndexVariableTrouvé][7] += statsLong[i1][6];
arrays2Long[IndexVariableTrouvé][8] += statsLong[i1][7];
arrays2Long[IndexVariableTrouvé][9] += statsLong[i1][8];
arrays2Long[IndexVariableTrouvé][10] += statsLong[i1][9];
arrays2Long[IndexVariableTrouvé][11] += statsLong[i1][10];
}
if (LongShort == 3 && (statsShort[i1][1] != 0 || statsLong[i1][2] != 0 || statsLong[i1][3] != 0))
{
arrays2Short[IndexVariableTrouvé][0] += 1;
arrays2Short[IndexVariableTrouvé][1] += statsShort[i1][0];
arrays2Short[IndexVariableTrouvé][2] += statsShort[i1][1];
arrays2Short[IndexVariableTrouvé][3] += statsShort[i1][2];
arrays2Short[IndexVariableTrouvé][4] += statsShort[i1][3];
arrays2Short[IndexVariableTrouvé][5] += statsShort[i1][4];
arrays2Short[IndexVariableTrouvé][6] += statsShort[i1][5];
arrays2Short[IndexVariableTrouvé][7] += statsShort[i1][6];
arrays2Short[IndexVariableTrouvé][8] += statsShort[i1][7];
arrays2Short[IndexVariableTrouvé][9] += statsShort[i1][8];
arrays2Short[IndexVariableTrouvé][10] += statsShort[i1][9];
arrays2Short[IndexVariableTrouvé][11] += statsShort[i1][10];
}
}
}
if (DebugMode){
FilterWriterTmp = new FileWriter(OutputPath1 + "Test of "+ databankName + ".xml" , true);
FilterWriterTmp.write(String.valueOf(NbVariable)+"\r\n");
FilterWriterTmp.close();
FilterWriterTmp = new FileWriter(OutputPath1 + "Test of "+ databankName + ".xml" , true);
FilterWriterTmp.write(String.valueOf(arrays1XmlLong.length)+"\r\n");
FilterWriterTmp.close();
FilterWriterTmp = new FileWriter(OutputPath1 + "Test of "+ databankName + ".xml" , true);
FilterWriterTmp.write(String.valueOf(arrays1XmlShort.length)+"\r\n");
FilterWriterTmp.close();}
//#endregion
//#region ********************************************************* Assign each values to array arrays1Xml, arrays2Xml, arrays2LongXml, arrays2ShortXml *******************************
int NbVariableXmlLong = 0 ;
IndexVariableTrouvé = 0 ;
String String10 = "";
String String20 = "";
String Param1 = "";
String Param2 = "";
for(int i1 = 0; i1 < counter; i1++) // For each strategies
{
if (statsStr2XmlLong[i1] == null)
{
if (DebugMode){
FilterWriterTmp = new FileWriter(OutputPath1 + "Test of "+ databankName + ".xml" , true);
FilterWriterTmp.write("statsStr2XmlLong[i1] == null " + String.valueOf(i1) + "\r\n");
FilterWriterTmp.close();}
continue;
}
for(int i2 = 0; i2 < statsStr2XmlLong[i1].length; i2 += 1) //+= 2 V1 // For each variables
{
// Search among existing variables
IndexVariableTrouvé = -1;
for(int i3 = 0; i3 < NbVariableXmlLong; i3++) // Search in arrays1Xml, to check if the variable exist already
{
if (statsStr2XmlLong[i1][i2] != null)
{
Element element1 = arrays1XmlLongb[i3];
String10 = element1.getAttributeValue("name");
Element element2 = statsStr2XmlLongb[i1].get(i2);
String20 = element2.getAttributeValue("name");
if (String10 != null && String20 != null)
{
if (String10.equals(String20)) // if it is the same Building blocks name
{
Element element1Copy = (Element)element1.clone();
element1Copy.detach();
String test4 = "" ;
List<Element> paramElems2 = element1Copy.getChildren();
for (int i4 = 0; i4 < paramElems2.size(); i4++)
{
Element element5 = paramElems2.get(i4);
String elParamKey3 = element5.getAttributeValue("key"); // the name
String elParamVariable3 = element5.getAttributeValue("variable"); // the variable
String gid = element5.getAttributeValue("gid"); // the gid
if (gid != null)
{
if (elParamKey3.startsWith("#")) // && elParamVariable3=="true"
{
element5.setAttribute("gid","0");
}
}
}
Element element2Copy = (Element)element2.clone();
element2Copy.detach();
test4 = "" ;
paramElems2 = element2Copy.getChildren();
for (int i4 = 0; i4 < paramElems2.size(); i4++)
{
Element element5 = paramElems2.get(i4);
String elParamKey3 = element5.getAttributeValue("key"); // the name
String elParamVariable3 = element5.getAttributeValue("variable"); // the variable
String gid = element5.getAttributeValue("gid"); // the gid
if (gid != null)
{
if (elParamKey3.startsWith("#")) // && elParamVariable3=="true"
{
element5.setAttribute("gid","0");
}
}
}
Element element3 = element1Copy.getChild("Param");
Element element4 = element2Copy.getChild("Param");
Param1 = XMLUtil.elementToString(element3);
Param2 = XMLUtil.elementToString(element4);
if (Param1 != null && Param2 != null){
if (Param1.equals(Param2) && IndexVariableTrouvé == -1) // if it is the same parameter in each Building blocks name
{
IndexVariableTrouvé = i3;
}}
arrays2LongXml[i3][0] += 1; // Modif V 2.01
arrays2LongXml[i3][1] += statsLong[i1][0]; // Modif V 2.01
arrays2LongXml[i3][2] += statsLong[i1][1];
arrays2LongXml[i3][3] += statsLong[i1][2];
arrays2LongXml[i3][4] += statsLong[i1][3];
arrays2LongXml[i3][5] += statsLong[i1][4];
arrays2LongXml[i3][6] += statsLong[i1][5];
arrays2LongXml[i3][7] += statsLong[i1][6];
arrays2LongXml[i3][8] += statsLong[i1][7];
arrays2LongXml[i3][9] += statsLong[i1][8];
arrays2LongXml[i3][10] += statsLong[i1][9];
arrays2LongXml[i3][11] += statsLong[i1][10];
}
}
}
}
if (statsStr2XmlLong[i1][i2] != null && statsStr2XmlLongb[i1].get(i2) != null){
if (IndexVariableTrouvé == -1 && NbVariableXmlLong < arrays1XmlLong.length) // if it is a new variable, we add it to the list
{
arrays1XmlLong[NbVariableXmlLong] = statsStr2XmlLong[i1][i2].trim();
arrays1XmlLongb[NbVariableXmlLong] = statsStr2XmlLongb[i1].get(i2);
IndexVariableTrouvé = NbVariableXmlLong;
NbVariableXmlLong+=1;
}
if (IndexVariableTrouvé != -1)
{
arrays2LongXml[IndexVariableTrouvé][0] += 1;
arrays2LongXml[IndexVariableTrouvé][1] += statsLong[i1][0];
arrays2LongXml[IndexVariableTrouvé][2] += statsLong[i1][1];
arrays2LongXml[IndexVariableTrouvé][3] += statsLong[i1][2];
arrays2LongXml[IndexVariableTrouvé][4] += statsLong[i1][3];
arrays2LongXml[IndexVariableTrouvé][5] += statsLong[i1][4];
arrays2LongXml[IndexVariableTrouvé][6] += statsLong[i1][5];
arrays2LongXml[IndexVariableTrouvé][7] += statsLong[i1][6];
arrays2LongXml[IndexVariableTrouvé][8] += statsLong[i1][7];
arrays2LongXml[IndexVariableTrouvé][9] += statsLong[i1][8];
arrays2LongXml[IndexVariableTrouvé][10] += statsLong[i1][9];
arrays2LongXml[IndexVariableTrouvé][11] += statsLong[i1][10];
arrays2LongXmlName[IndexVariableTrouvé] = String20;
}}
}
}
int NbVariableXmlShort = 0 ;
IndexVariableTrouvé = 0 ;
for(int i1 = 0; i1 < counter; i1++) // For each strategies
{
if (statsStr2XmlShort[i1] == null)
{
if (DebugMode){
FilterWriterTmp = new FileWriter(OutputPath1 + "Test of "+ databankName + ".xml" , true);
FilterWriterTmp.write("statsStr2XmlShort[i1] == null " + String.valueOf(i1) + "\r\n");
FilterWriterTmp.close();}
continue;
} // V2
for(int i2 = 0; i2 < statsStr2XmlShort[i1].length; i2 += 1) //+= 2 V1 // For each variables
{
// Search among existing variables
IndexVariableTrouvé = -1;
for(int i3 = 0; i3 < NbVariableXmlShort; i3++) // Search in arrays1Xml, to check if the variable exist already
{
if (statsStr2XmlShort[i1][i2] != null)
{
Element element1 = arrays1XmlShortb[i3];
String10 = element1.getAttributeValue("name");
Element element2 = statsStr2XmlShortb[i1].get(i2);
String20 = element2.getAttributeValue("name");
if (String10 != null && String20 != null)
{
if (String10.equals(String20)) // if it is the same Building blocks name
{
Element element1Copy = (Element)element1.clone();
element1Copy.detach();
String test4 = "" ;
List<Element> paramElems2 = element1Copy.getChildren();
for (int i4 = 0; i4 < paramElems2.size(); i4++)
{
Element element5 = paramElems2.get(i4);
String elParamKey3 = element5.getAttributeValue("key"); // the name
String elParamVariable3 = element5.getAttributeValue("variable"); // the variable
String gid = element5.getAttributeValue("gid"); // the gid
if (gid != null)
{
if (elParamKey3.startsWith("#")) // && elParamVariable3=="true"
{
element5.setAttribute("gid","0");
}
}
}
Element element2Copy = (Element)element2.clone();
element2Copy.detach();
test4 = "" ;
paramElems2 = element2Copy.getChildren();
for (int i4 = 0; i4 < paramElems2.size(); i4++)
{
Element element5 = paramElems2.get(i4);
String elParamKey3 = element5.getAttributeValue("key"); // the name
String elParamVariable3 = element5.getAttributeValue("variable"); // the variable
String gid = element5.getAttributeValue("gid"); // the gid
if (gid != null)
{
if (elParamKey3.startsWith("#")) // && elParamVariable3=="true"
{
element5.setAttribute("gid","0");
}
}
}
Element element3 = element1Copy.getChild("Param");
Element element4 = element2Copy.getChild("Param");
Param1 = XMLUtil.elementToString(element3);
Param2 = XMLUtil.elementToString(element4);
if (Param1 != null && Param2 != null){
if (Param1.equals(Param2) && IndexVariableTrouvé == -1) // if it is the same parameter in each Building blocks name
{
IndexVariableTrouvé = i3;
////break; // Modif V 2.01
}}
arrays2ShortXml[i3][0] += 1; // Modif V 2.01
arrays2ShortXml[i3][1] += statsShort[i1][0]; // Modif V 2.01
arrays2ShortXml[i3][2] += statsShort[i1][1];
arrays2ShortXml[i3][3] += statsShort[i1][2];
arrays2ShortXml[i3][4] += statsShort[i1][3];
arrays2ShortXml[i3][5] += statsShort[i1][4];
arrays2ShortXml[i3][6] += statsShort[i1][5];
arrays2ShortXml[i3][7] += statsShort[i1][6];
arrays2ShortXml[i3][8] += statsShort[i1][7];
arrays2ShortXml[i3][9] += statsShort[i1][8];
arrays2ShortXml[i3][10] += statsShort[i1][9];
arrays2ShortXml[i3][11] += statsShort[i1][10];
}
}
}
/*if (arrays1XmlShort[i3].equals(statsStr2XmlShort[i1][i2].trim()))
{
IndexVariableTrouvé = i3;
break;
}}*/
}
if (statsStr2XmlShort[i1][i2] != null && statsStr2XmlShortb[i1].get(i2) != null){
if (IndexVariableTrouvé == -1 && NbVariableXmlShort < arrays1XmlShort.length) // if it is a new variable, we add it to the list
{
arrays1XmlShort[NbVariableXmlShort] = statsStr2XmlShort[i1][i2].trim();
arrays1XmlShortb[NbVariableXmlShort] = statsStr2XmlShortb[i1].get(i2);
IndexVariableTrouvé = NbVariableXmlShort;
NbVariableXmlShort+=1;
}
if (IndexVariableTrouvé != -1)
{
arrays2ShortXml[IndexVariableTrouvé][0] += 1;
arrays2ShortXml[IndexVariableTrouvé][1] += statsShort[i1][0];
arrays2ShortXml[IndexVariableTrouvé][2] += statsShort[i1][1];
arrays2ShortXml[IndexVariableTrouvé][3] += statsShort[i1][2];
arrays2ShortXml[IndexVariableTrouvé][4] += statsShort[i1][3];
arrays2ShortXml[IndexVariableTrouvé][5] += statsShort[i1][4];
arrays2ShortXml[IndexVariableTrouvé][6] += statsShort[i1][5];
arrays2ShortXml[IndexVariableTrouvé][7] += statsShort[i1][6];
arrays2ShortXml[IndexVariableTrouvé][8] += statsShort[i1][7];
arrays2ShortXml[IndexVariableTrouvé][9] += statsShort[i1][8];
arrays2ShortXml[IndexVariableTrouvé][10] += statsShort[i1][9];
arrays2ShortXml[IndexVariableTrouvé][11] += statsShort[i1][10];
arrays2ShortXmlName[IndexVariableTrouvé] = String20;
}}
}
}
if (DebugMode){
FilterWriterTmp = new FileWriter(OutputPath1 + "Test of "+ databankName + ".xml" , true);
FilterWriterTmp.write(String.valueOf(NbVariableXmlLong)+"\r\n");
FilterWriterTmp.close();
FilterWriterTmp = new FileWriter(OutputPath1 + "Test of "+ databankName + ".xml" , true);
FilterWriterTmp.write(String.valueOf(NbVariableXmlShort)+"\r\n");
FilterWriterTmp.close();}
//#endregion
//#region ******************************************************** OosSimulationOverPreviousBlockFilter ******************************************************************
if (DatabanksNumber != 1 && OosSimulationOverPreviousBlockFilter == 1 && SignalType == 1 && DatabanksNumber < NbDataBanks && outputPortfolio) // We are doing a portfolio only on the Entry, excluding All DB // if filter file already exist
{
//#region ************************************************************************ Read previous Filter ********************************************************************
FilterFileLong = new File(OutputPath1+"Entry Long Filter File.txt");
FilterFileShort = new File(OutputPath1+"Entry Short Filter File.txt");
FilterFileExitLong = new File(OutputPath1+"Exit Long Filter File.txt");
FilterFileExitShort = new File(OutputPath1+"Exit Short Filter File.txt");
arraysFilterEntryLong = new String[100000]; // 0 : variable filtered name
arraysFilterEntryShort = new String[100000]; // 0 : variable filtered name
arraysFilterExitLong = new String[100000]; // 0 : variable filtered name
arraysFilterExitShort = new String[100000]; // 0 : variable filtered name
NbNameEntryLong = 0;
NbNameEntryShort = 0;
NbNameExitLong = 0;
NbNameExitShort = 0;
if (FilterFileLong.exists())
{
Scanner myFilterReaderEntryLong = new Scanner(FilterFileLong);
while (myFilterReaderEntryLong.hasNextLine())
{
String data = myFilterReaderEntryLong.nextLine();
arraysFilterEntryLong[NbNameEntryLong] = data;
NbNameEntryLong +=1;
}
myFilterReaderEntryLong.close();
}
if (FilterFileShort.exists())
{
Scanner myFilterReaderEntryShort = new Scanner(FilterFileShort);
while (myFilterReaderEntryShort.hasNextLine())
{
String data = myFilterReaderEntryShort.nextLine();
arraysFilterEntryShort[NbNameEntryShort] = data;
NbNameEntryShort +=1;
}
myFilterReaderEntryShort.close();
}
if (FilterFileExitLong.exists())
{
Scanner myFilterReaderExitLong = new Scanner(FilterFileExitLong);
while (myFilterReaderExitLong.hasNextLine())
{
String data = myFilterReaderExitLong.nextLine();
arraysFilterExitLong[NbNameExitLong] = data;
NbNameExitLong +=1;
}
myFilterReaderExitLong.close();
}
if (FilterFileExitShort.exists())
{
Scanner myFilterReaderExitShort = new Scanner(FilterFileExitShort);
while (myFilterReaderExitShort.hasNextLine())
{
String data = myFilterReaderExitShort.nextLine();
arraysFilterExitShort[NbNameExitShort] = data;
NbNameExitShort +=1;
}
myFilterReaderExitShort.close();
}
int counter2 = 0;
for(ResultsGroup strategyRG : databankRG) // For each Strategy
{
// skip strategies whose name starts with "Filtered portfolio"
// this will ensure that we'll ignore our portfolios created
// in previous runs
String strName = strategyRG.getName();
if(strName.startsWith("Filtered portfolio"))
{
continue;
}
Result mainResult = strategyRG.subResult(strategyRG.getMainResultKey()); // Main
if(mainResult==null) break;
// **************************************** Read the Strategy Stats, check if it must be filtered *************************************
int StrategyFilteredEntryLong = 0;
int StrategyFilteredEntryShort = 0;
int StrategyFilteredExitLong = 0;
int StrategyFilteredExitShort = 0;
if (statsStr2[counter2] == null)
{
counter2 += 1;
continue;
} // V2
//loops1:
for(int i2 = 0; i2 < statsStr2[counter2].length; i2 += 1) // += 2 V1 // For each variables from this strategy, Search among existing variables in arraysFilter
{
for(int i3 = 0; i3 < NbNameEntryLong; i3++) // Search in arraysFilter, to check if the variable exist already
{
if (arraysFilterEntryLong[i3].equals(statsStr2[counter2][i2].trim())) // if a variable exist in the Arrayfilter, we will add it to the portfolio
{
StrategyFilteredEntryLong = 1;
}
}
for(int i3 = 0; i3 < NbNameEntryShort; i3++) // Search in arraysFilter, to check if the variable exist already
{
if (arraysFilterEntryShort[i3].equals(statsStr2[counter2][i2].trim())) // if a variable exist in the Arrayfilter, we will add it to the portfolio
{
StrategyFilteredEntryShort = 1;
}
}
for(int i3 = 0; i3 < NbNameExitLong; i3++) // Search in arraysFilter, to check if the variable exist already
{
if (arraysFilterExitLong[i3].equals(statsStr2[counter2][i2].trim())) // if a variable exist in the Arrayfilter, we will add it to the portfolio
{
StrategyFilteredExitLong = 1;
}
}
for(int i3 = 0; i3 < NbNameExitShort; i3++) // Search in arraysFilter, to check if the variable exist already
{
if (arraysFilterExitShort[i3].equals(statsStr2[counter2][i2].trim())) // if a variable exist in the Arrayfilter, we will add it to the portfolio
{
StrategyFilteredExitShort = 1;
}
}
}
counter2 += 1;
// ************************************************************************************************************************************
String wfResultKey = strategyRG.getMainResultKey(); //wfResult.getResultKey();
// we'll name the new subresult as "StrategyName "+ "existing WF result name"
String newSubResultKey = String.format("%s-%s", databankName + " " + strategyRG.getName(), wfResultKey);
// clone settings to use them in the new result
SettingsMap settingsMapCopy = mainResult.getSettings().clone(); //wfResult.getSettings().clone();
// create new result that will be added to the portfolio
Result wfResultCopied = new Result(newSubResultKey, portfolioRG, settingsMapCopy);
if (FilterFileLong.exists() && FilterFileExitLong.exists() && StrategyFilteredEntryLong == 1 && StrategyFilteredExitLong == 1) // ||StrategyFiltered != 1 // a variable exist in the Arrayfilter, we will add it to the portfolio
{
// copy WF orders from original strategy to new results group
OrdersList filteredOL = strategyRG.orders().filterWithClone(wfResultKey, Directions.Long , SampleTypes.OutOfSample); // SampleTypes.OutOfSample
OrdersList filteredOLShort = strategyRG.orders().filterWithClone(wfResultKey, Directions.Short , SampleTypes.OutOfSample); // SampleTypes.OutOfSample
//fdebug("Debug ", "filteredOL.size : "+ filteredOL.size() );
if (filteredOL != null)
{
for(int i = 0; i < filteredOL.size(); i++)
{
if (portfolioOrdersList.size() <= NbOrdersperPortfolioMax)
{
Order order = filteredOL.get(i);
// change setup name to match the new result name in the new portfolio
order.SetupName = newSubResultKey;
order.IsInPortfolio = 1;
// add the order to the portfolio OrdersList
portfolioOrdersList.add(order);
NewOrderForPortefolio = 1;
}
}
// copy also symbol definitions from old strategy
// this is needed for proper calculation of PL and metrics
if (filteredOLShort == null)
{
if (filteredOL.size() > 0)
{
portfolioRG.addSubresult(newSubResultKey, settingsMapCopy, wfResultCopied);
portfolioRG.symbols().add(strategyRG.symbols());
}
}
else
{
if (filteredOL.size() > 0 && (filteredOLShort.size() == 0 || StrategyFilteredEntryShort == 0 || StrategyFilteredExitShort == 0 || !FilterFileShort.exists() || !FilterFileExitShort.exists()))
{
portfolioRG.addSubresult(newSubResultKey, settingsMapCopy, wfResultCopied);
portfolioRG.symbols().add(strategyRG.symbols());
}
}
}
}
if (FilterFileShort.exists() && FilterFileExitShort.exists() && StrategyFilteredEntryShort == 1 && StrategyFilteredExitShort == 1) // ||StrategyFiltered != 1 // a variable exist in the Arrayfilter, we will add it to the portfolio
{
// copy WF orders from original strategy to new results group
OrdersList filteredOL = strategyRG.orders().filterWithClone(wfResultKey, Directions.Short, SampleTypes.OutOfSample); // SampleTypes.OutOfSample
//fdebug("Debug ", "filteredOL.size : "+ filteredOL.size() );
if (filteredOL != null)
{
for(int i = 0; i < filteredOL.size(); i++)
{
if (portfolioOrdersList.size() <= NbOrdersperPortfolioMax)
{
Order order = filteredOL.get(i);
// change setup name to match the new result name in the new portfolio
order.SetupName = newSubResultKey;
order.IsInPortfolio = 1;
// add the order to the portfolio OrdersList
portfolioOrdersList.add(order);
NewOrderForPortefolio = 1;
}
}
// copy also symbol definitions from old strategy
// this is needed for proper calculation of PL and metrics
if (filteredOL.size() > 0)
{
portfolioRG.addSubresult(newSubResultKey, settingsMapCopy, wfResultCopied);
portfolioRG.symbols().add(strategyRG.symbols());
}
}
}
}
if (portfolioOrdersList.size() >= NbOrdersperPortfolioMax || DatabanksNumber == (NbDataBanks - 1)) // if the numboer of order is more than NbOrdersperPortfolioMax, we close the portfolio and create a new one
{
createPortfolioResult(portfolioRG);
//portfolioRG.computeAllStats(); // !!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!! a remettre
Databank databank = ProjectEngine.get(project).getDatabanks().get(databankName);
databank.add(portfolioRG, true);
Timestamp timestamp2 = new Timestamp(System.currentTimeMillis());
Instant instant2 = timestamp2.toInstant();
Duration between = Duration.between(instant1, instant2);
long seconds = between.getSeconds();
long absoluteResult = between.abs().toMinutes();
if (absoluteResult > 45) // if it takes more than 45 minutes to create a portfolio, then SQX ask if you want to continue save portfolio
{
OosSimulationOverPreviousBlockFilter = 1;
input12: do
{
input = JOptionPane.showInputDialog("Do you want to continue to create Results on PortFolio of Multiple Cross-Validation Period ? (0) No, (1) Yes",1); // Possible Option
if (Strings.isNullOrEmpty(input)){ continue input12;}
break input12;
}while(true);
OosSimulationOverPreviousBlockFilter = Integer.parseInt(input); // Convert the String input to an int.
if (OosSimulationOverPreviousBlockFilter < 0) {OosSimulationOverPreviousBlockFilter = 0;}
if (OosSimulationOverPreviousBlockFilter > 1) {OosSimulationOverPreviousBlockFilter = 1;}
}
timestamp1 = new Timestamp(System.currentTimeMillis());
instant1 = timestamp1.toInstant();
// ******************************************************************************************
if (DatabanksNumber != (NbDataBanks - 1))
{
// create new ResultsGroup for our new portfolio
portfolioRG = new ResultsGroup("Filtered portfolio"); //("Filtered portfolio "+ "of "+ databankName);
// get OrderList from new portfolio (empty so far),
// we will insert WF orders there
portfolioOrdersList = portfolioRG.orders();
}
}
//#endregion
}
//#endregion
//#region ********************************************************* OutPut File For each SortType by : (1)ProfitFactor,(2)NetProfit,(3)SharpeRatio,(4)UlcerIndex,(5)SortinoRatio,(6)WinningPct,(7)ReturnDDRatio,(8)RExpectancy,(9)AnnualPctReturnDDRatio,(10)Drawdown" *******************************
for(SortType = 1; SortType <= 10; SortType++) //
{
//#region ************************************************************************ File Name ************************************************************************
String StringTemp = "";
switch (SortType)
{
case 1:
StringTemp = stratMetric1;
AscDesc = 1; // "Enter Sort : (1) From Highest To Lowest , (2) From Lowest To Highest"
AboveUnder = 1; // "Enter Above/Under the limit : (1) Above , (2) Under"
break;
case 2:
StringTemp = stratMetric2;
AscDesc = 1; // "Enter Sort : (1) From Highest To Lowest , (2) From Lowest To Highest"
AboveUnder = 1; // "Enter Above/Under the limit : (1) Above , (2) Under"
break;
case 3:
StringTemp = stratMetric3;
AscDesc = 1; // "Enter Sort : (1) From Highest To Lowest , (2) From Lowest To Highest"
AboveUnder = 1; // "Enter Above/Under the limit : (1) Above , (2) Under"
break;
case 4:
StringTemp = stratMetric4;
AscDesc = 2; // "Enter Sort : (1) From Highest To Lowest , (2) From Lowest To Highest"
AboveUnder = 2; // "Enter Above/Under the limit : (1) Above , (2) Under"
break;
case 5:
StringTemp = stratMetric5;
AscDesc = 1; // "Enter Sort : (1) From Highest To Lowest , (2) From Lowest To Highest"
AboveUnder = 1; // "Enter Above/Under the limit : (1) Above , (2) Under"
break;
case 6:
StringTemp = stratMetric6;
AscDesc = 1; // "Enter Sort : (1) From Highest To Lowest , (2) From Lowest To Highest"
AboveUnder = 1; // "Enter Above/Under the limit : (1) Above , (2) Under"
break;
case 7:
StringTemp = stratMetric7;
AscDesc = 1; // "Enter Sort : (1) From Highest To Lowest , (2) From Lowest To Highest"
AboveUnder = 1; // "Enter Above/Under the limit : (1) Above , (2) Under"
break;
case 8:
StringTemp = stratMetric8;
AscDesc = 1; // "Enter Sort : (1) From Highest To Lowest , (2) From Lowest To Highest"
AboveUnder = 1; // "Enter Above/Under the limit : (1) Above , (2) Under"
break;
case 9:
StringTemp = stratMetric9;
AscDesc = 1; // "Enter Sort : (1) From Highest To Lowest , (2) From Lowest To Highest"
AboveUnder = 1; // "Enter Above/Under the limit : (1) Above , (2) Under"
break;
case 10:
StringTemp = stratMetric10;
AscDesc = 2; // "Enter Sort : (1) From Highest To Lowest , (2) From Lowest To Highest"
AboveUnder = 2; // "Enter Above/Under the limit : (1) Above , (2) Under"
break;
}
if (ChoiceFilterNextOOS == 0) {AboveUnder = 1;}
switch (ChoiceFilterNextOOS2)
{
case 0:
AboveUnder2 = 1; // "Enter Above/Under the limit : (1) Above , (2) Under"
break;
case 1:
AboveUnder2 = 1; // "Enter Above/Under the limit : (1) Above , (2) Under"
break;
case 2:
AboveUnder2 = 1; // "Enter Above/Under the limit : (1) Above , (2) Under"
break;
case 3:
AboveUnder2 = 1; // "Enter Above/Under the limit : (1) Above , (2) Under"
break;
case 4:
AboveUnder2 = 2; // "Enter Above/Under the limit : (1) Above , (2) Under"
break;
case 5:
AboveUnder2 = 1; // "Enter Above/Under the limit : (1) Above , (2) Under"
break;
case 6:
AboveUnder2 = 1; // "Enter Above/Under the limit : (1) Above , (2) Under"
break;
case 7:
AboveUnder2 = 1; // "Enter Above/Under the limit : (1) Above , (2) Under"
break;
case 8:
AboveUnder2 = 1; // "Enter Above/Under the limit : (1) Above , (2) Under"
break;
case 9:
AboveUnder2 = 1; // "Enter Above/Under the limit : (1) Above , (2) Under"
break;
case 10:
AboveUnder2 = 2; // "Enter Above/Under the limit : (1) Above , (2) Under"
break;
}
String OutputPath = "";
if (SignalType == 1)
{
OutputPath = OutputPath1+"Entry Results sorted by " + StringTemp + " of "+ databankName + ".txt"; // OutputPath
}
else if (SignalType == 2)
{
OutputPath = OutputPath1+"Exit Results sorted by " + StringTemp + " of "+ databankName + ".txt"; // OutputPath
}
//#endregion
//#region ************************************************************************ Sort the best value of the arrays1, depending on SortType ************************
for(int i1 = 0; i1 < NbVariable; i1++) // for each Variables
{
for(int i2 = i1 + 1; i2 < NbVariable; i2++) // Pour chaque Variables
{
if (AscDesc==1) // Sort from higher to lower
{
if ((SortType == 1 && arrays2[i2][1] / arrays2[i2][0] > arrays2[i1][1] / arrays2[i1][0]) || (SortType == 2 && arrays2[i2][2] / arrays2[i2][0] > arrays2[i1][2] / arrays2[i1][0]) || (SortType == 3 && arrays2[i2][3] / arrays2[i2][0] > arrays2[i1][3] / arrays2[i1][0]) || (SortType == 4 && arrays2[i2][4] / arrays2[i2][0] > arrays2[i1][4] / arrays2[i1][0]) || (SortType == 5 && arrays2[i2][5] / arrays2[i2][0] > arrays2[i1][5] / arrays2[i1][0]) || (SortType == 6 && arrays2[i2][6] / arrays2[i2][0] > arrays2[i1][6] / arrays2[i1][0]) || (SortType == 7 && arrays2[i2][7] / arrays2[i2][0] > arrays2[i1][7] / arrays2[i1][0]) || (SortType == 8 && arrays2[i2][8] / arrays2[i2][0] > arrays2[i1][8] / arrays2[i1][0]) || (SortType == 9 && arrays2[i2][9] / arrays2[i2][0] > arrays2[i1][9] / arrays2[i1][0]) || (SortType == 10 && arrays2[i2][10] / arrays2[i2][0] > arrays2[i1][10] / arrays2[i1][0]))
{
String StringTemp0 = arrays1[i1];
double DoubleTemp0 = arrays2[i1][0];
double DoubleTemp1 = arrays2[i1][1];
double DoubleTemp2 = arrays2[i1][2];
double DoubleTemp3 = arrays2[i1][3];
double DoubleTemp4 = arrays2[i1][4];
double DoubleTemp5 = arrays2[i1][5];
double DoubleTemp6 = arrays2[i1][6];
double DoubleTemp7 = arrays2[i1][7];
double DoubleTemp8 = arrays2[i1][8];
double DoubleTemp9 = arrays2[i1][9];
double DoubleTemp10 = arrays2[i1][10];
double DoubleTemp11 = arrays2[i1][11];
arrays1[i1] = arrays1[i2];
arrays2[i1][0] = arrays2[i2][0];
arrays2[i1][1] = arrays2[i2][1];
arrays2[i1][2] = arrays2[i2][2];
arrays2[i1][3] = arrays2[i2][3];
arrays2[i1][4] = arrays2[i2][4];
arrays2[i1][5] = arrays2[i2][5];
arrays2[i1][6] = arrays2[i2][6];
arrays2[i1][7] = arrays2[i2][7];
arrays2[i1][8] = arrays2[i2][8];
arrays2[i1][9] = arrays2[i2][9];
arrays2[i1][10] = arrays2[i2][10];
arrays2[i1][11] = arrays2[i2][11];
arrays1[i2] = StringTemp0;
arrays2[i2][0] = DoubleTemp0;
arrays2[i2][1] = DoubleTemp1;
arrays2[i2][2] = DoubleTemp2;
arrays2[i2][3] = DoubleTemp3;
arrays2[i2][4] = DoubleTemp4;
arrays2[i2][5] = DoubleTemp5;
arrays2[i2][6] = DoubleTemp6;
arrays2[i2][7] = DoubleTemp7;
arrays2[i2][8] = DoubleTemp8;
arrays2[i2][9] = DoubleTemp9;
arrays2[i2][10] = DoubleTemp10;
arrays2[i2][11] = DoubleTemp11;
if (LongShort == 3)
{
DoubleTemp0 = arrays2Long[i1][0];
DoubleTemp1 = arrays2Long[i1][1];
DoubleTemp2 = arrays2Long[i1][2];
DoubleTemp3 = arrays2Long[i1][3];
DoubleTemp4 = arrays2Long[i1][4];
DoubleTemp5 = arrays2Long[i1][5];
DoubleTemp6 = arrays2Long[i1][6];
DoubleTemp7 = arrays2Long[i1][7];
DoubleTemp8 = arrays2Long[i1][8];
DoubleTemp9 = arrays2Long[i1][9];
DoubleTemp10 = arrays2Long[i1][10];
DoubleTemp11 = arrays2Long[i1][11];
arrays2Long[i1][0] = arrays2Long[i2][0];
arrays2Long[i1][1] = arrays2Long[i2][1];
arrays2Long[i1][2] = arrays2Long[i2][2];
arrays2Long[i1][3] = arrays2Long[i2][3];
arrays2Long[i1][4] = arrays2Long[i2][4];
arrays2Long[i1][5] = arrays2Long[i2][5];
arrays2Long[i1][6] = arrays2Long[i2][6];
arrays2Long[i1][7] = arrays2Long[i2][7];
arrays2Long[i1][8] = arrays2Long[i2][8];
arrays2Long[i1][9] = arrays2Long[i2][9];
arrays2Long[i1][10] = arrays2Long[i2][10];
arrays2Long[i1][11] = arrays2Long[i2][11];
arrays2Long[i2][0] = DoubleTemp0;
arrays2Long[i2][1] = DoubleTemp1;
arrays2Long[i2][2] = DoubleTemp2;
arrays2Long[i2][3] = DoubleTemp3;
arrays2Long[i2][4] = DoubleTemp4;
arrays2Long[i2][5] = DoubleTemp5;
arrays2Long[i2][6] = DoubleTemp6;
arrays2Long[i2][7] = DoubleTemp7;
arrays2Long[i2][8] = DoubleTemp8;
arrays2Long[i2][9] = DoubleTemp9;
arrays2Long[i2][10] = DoubleTemp10;
arrays2Long[i2][11] = DoubleTemp11;
DoubleTemp0 = arrays2Short[i1][0];
DoubleTemp1 = arrays2Short[i1][1];
DoubleTemp2 = arrays2Short[i1][2];
DoubleTemp3 = arrays2Short[i1][3];
DoubleTemp4 = arrays2Short[i1][4];
DoubleTemp5 = arrays2Short[i1][5];
DoubleTemp6 = arrays2Short[i1][6];
DoubleTemp7 = arrays2Short[i1][7];
DoubleTemp8 = arrays2Short[i1][8];
DoubleTemp9 = arrays2Short[i1][9];
DoubleTemp10 = arrays2Short[i1][10];
DoubleTemp11 = arrays2Short[i1][11];
arrays2Short[i1][0] = arrays2Short[i2][0];
arrays2Short[i1][1] = arrays2Short[i2][1];
arrays2Short[i1][2] = arrays2Short[i2][2];
arrays2Short[i1][3] = arrays2Short[i2][3];
arrays2Short[i1][4] = arrays2Short[i2][4];
arrays2Short[i1][5] = arrays2Short[i2][5];
arrays2Short[i1][6] = arrays2Short[i2][6];
arrays2Short[i1][7] = arrays2Short[i2][7];
arrays2Short[i1][8] = arrays2Short[i2][8];
arrays2Short[i1][9] = arrays2Short[i2][9];
arrays2Short[i1][10] = arrays2Short[i2][10];
arrays2Short[i1][11] = arrays2Short[i2][11];
arrays2Short[i2][0] = DoubleTemp0;
arrays2Short[i2][1] = DoubleTemp1;
arrays2Short[i2][2] = DoubleTemp2;
arrays2Short[i2][3] = DoubleTemp3;
arrays2Short[i2][4] = DoubleTemp4;
arrays2Short[i2][5] = DoubleTemp5;
arrays2Short[i2][6] = DoubleTemp6;
arrays2Short[i2][7] = DoubleTemp7;
arrays2Short[i2][8] = DoubleTemp8;
arrays2Short[i2][9] = DoubleTemp9;
arrays2Short[i2][10] = DoubleTemp10;
arrays2Short[i2][11] = DoubleTemp11;
}
}
}
if (AscDesc == 2) // Sort from lower to Higher
{
if ((SortType == 1 && arrays2[i2][1] / arrays2[i2][0] < arrays2[i1][1] / arrays2[i1][0]) || (SortType == 2 && arrays2[i2][2] / arrays2[i2][0] < arrays2[i1][2] / arrays2[i1][0]) || (SortType == 3 && arrays2[i2][3] / arrays2[i2][0] < arrays2[i1][3] / arrays2[i1][0]) || (SortType == 4 && arrays2[i2][4] / arrays2[i2][0] < arrays2[i1][4] / arrays2[i1][0]) || (SortType == 5 && arrays2[i2][5] / arrays2[i2][0] < arrays2[i1][5] / arrays2[i1][0]) || (SortType == 6 && arrays2[i2][6] / arrays2[i2][0] < arrays2[i1][6] / arrays2[i1][0]) || (SortType == 7 && arrays2[i2][7] / arrays2[i2][0] < arrays2[i1][7] / arrays2[i1][0]) || (SortType == 8 && arrays2[i2][8] / arrays2[i2][0] < arrays2[i1][8] / arrays2[i1][0]) || (SortType == 9 && arrays2[i2][9] / arrays2[i2][0] < arrays2[i1][9] / arrays2[i1][0]) || (SortType == 10 && arrays2[i2][10] / arrays2[i2][0] < arrays2[i1][10] / arrays2[i1][0]))
{
String StringTemp0 = arrays1[i1];
double DoubleTemp0 = arrays2[i1][0];
double DoubleTemp1 = arrays2[i1][1];
double DoubleTemp2 = arrays2[i1][2];
double DoubleTemp3 = arrays2[i1][3];
double DoubleTemp4 = arrays2[i1][4];
double DoubleTemp5 = arrays2[i1][5];
double DoubleTemp6 = arrays2[i1][6];
double DoubleTemp7 = arrays2[i1][7];
double DoubleTemp8 = arrays2[i1][8];
double DoubleTemp9 = arrays2[i1][9];
double DoubleTemp10 = arrays2[i1][10];
double DoubleTemp11 = arrays2[i1][11];
arrays1[i1] = arrays1[i2];
arrays2[i1][0] = arrays2[i2][0];
arrays2[i1][1] = arrays2[i2][1];
arrays2[i1][2] = arrays2[i2][2];
arrays2[i1][3] = arrays2[i2][3];
arrays2[i1][4] = arrays2[i2][4];
arrays2[i1][5] = arrays2[i2][5];
arrays2[i1][6] = arrays2[i2][6];
arrays2[i1][7] = arrays2[i2][7];
arrays2[i1][8] = arrays2[i2][8];
arrays2[i1][9] = arrays2[i2][9];
arrays2[i1][10] = arrays2[i2][10];
arrays2[i1][11] = arrays2[i2][11];
arrays1[i2] = StringTemp0;
arrays2[i2][0] = DoubleTemp0;
arrays2[i2][1] = DoubleTemp1;
arrays2[i2][2] = DoubleTemp2;
arrays2[i2][3] = DoubleTemp3;
arrays2[i2][4] = DoubleTemp4;
arrays2[i2][5] = DoubleTemp5;
arrays2[i2][6] = DoubleTemp6;
arrays2[i2][7] = DoubleTemp7;
arrays2[i2][8] = DoubleTemp8;
arrays2[i2][9] = DoubleTemp9;
arrays2[i2][10] = DoubleTemp10;
arrays2[i2][11] = DoubleTemp11;
if (LongShort == 3)
{
DoubleTemp0 = arrays2Long[i1][0];
DoubleTemp1 = arrays2Long[i1][1];
DoubleTemp2 = arrays2Long[i1][2];
DoubleTemp3 = arrays2Long[i1][3];
DoubleTemp4 = arrays2Long[i1][4];
DoubleTemp5 = arrays2Long[i1][5];
DoubleTemp6 = arrays2Long[i1][6];
DoubleTemp7 = arrays2Long[i1][7];
DoubleTemp8 = arrays2Long[i1][8];
DoubleTemp9 = arrays2Long[i1][9];
DoubleTemp10 = arrays2Long[i1][10];
DoubleTemp11 = arrays2Long[i1][11];
arrays2Long[i1][0] = arrays2Long[i2][0];
arrays2Long[i1][1] = arrays2Long[i2][1];
arrays2Long[i1][2] = arrays2Long[i2][2];
arrays2Long[i1][3] = arrays2Long[i2][3];
arrays2Long[i1][4] = arrays2Long[i2][4];
arrays2Long[i1][5] = arrays2Long[i2][5];
arrays2Long[i1][6] = arrays2Long[i2][6];
arrays2Long[i1][7] = arrays2Long[i2][7];
arrays2Long[i1][8] = arrays2Long[i2][8];
arrays2Long[i1][9] = arrays2Long[i2][9];
arrays2Long[i1][10] = arrays2Long[i2][10];
arrays2Long[i1][11] = arrays2Long[i2][11];
arrays2Long[i2][0] = DoubleTemp0;
arrays2Long[i2][1] = DoubleTemp1;
arrays2Long[i2][2] = DoubleTemp2;
arrays2Long[i2][3] = DoubleTemp3;
arrays2Long[i2][4] = DoubleTemp4;
arrays2Long[i2][5] = DoubleTemp5;
arrays2Long[i2][6] = DoubleTemp6;
arrays2Long[i2][7] = DoubleTemp7;
arrays2Long[i2][8] = DoubleTemp8;
arrays2Long[i2][9] = DoubleTemp9;
arrays2Long[i2][10] = DoubleTemp10;
arrays2Long[i2][11] = DoubleTemp11;
DoubleTemp0 = arrays2Short[i1][0];
DoubleTemp1 = arrays2Short[i1][1];
DoubleTemp2 = arrays2Short[i1][2];
DoubleTemp3 = arrays2Short[i1][3];
DoubleTemp4 = arrays2Short[i1][4];
DoubleTemp5 = arrays2Short[i1][5];
DoubleTemp6 = arrays2Short[i1][6];
DoubleTemp7 = arrays2Short[i1][7];
DoubleTemp8 = arrays2Short[i1][8];
DoubleTemp9 = arrays2Short[i1][9];
DoubleTemp10 = arrays2Short[i1][10];
DoubleTemp11 = arrays2Short[i1][11];
arrays2Short[i1][0] = arrays2Short[i2][0];
arrays2Short[i1][1] = arrays2Short[i2][1];
arrays2Short[i1][2] = arrays2Short[i2][2];
arrays2Short[i1][3] = arrays2Short[i2][3];
arrays2Short[i1][4] = arrays2Short[i2][4];
arrays2Short[i1][5] = arrays2Short[i2][5];
arrays2Short[i1][6] = arrays2Short[i2][6];
arrays2Short[i1][7] = arrays2Short[i2][7];
arrays2Short[i1][8] = arrays2Short[i2][8];
arrays2Short[i1][9] = arrays2Short[i2][9];
arrays2Short[i1][10] = arrays2Short[i2][10];
arrays2Short[i1][11] = arrays2Short[i2][11];
arrays2Short[i2][0] = DoubleTemp0;
arrays2Short[i2][1] = DoubleTemp1;
arrays2Short[i2][2] = DoubleTemp2;
arrays2Short[i2][3] = DoubleTemp3;
arrays2Short[i2][4] = DoubleTemp4;
arrays2Short[i2][5] = DoubleTemp5;
arrays2Short[i2][6] = DoubleTemp6;
arrays2Short[i2][7] = DoubleTemp7;
arrays2Short[i2][8] = DoubleTemp8;
arrays2Short[i2][9] = DoubleTemp9;
arrays2Short[i2][10] = DoubleTemp10;
arrays2Short[i2][11] = DoubleTemp11;
}
}
}
}
}
//#endregion
//#region ************************************************************************ Sort the best value of the arrays1Xml, depending on SortType *********************
for(int i1 = 0; i1 < NbVariableXmlLong; i1++) // for each Variables
{
for(int i2 = i1 + 1; i2 < NbVariableXmlLong; i2++) // for each Variables
{
if (AscDesc==1) // Sort from higher to lower
{
if ((SortType == 1 && arrays2LongXml[i2][1] / arrays2LongXml[i2][0] > arrays2LongXml[i1][1] / arrays2LongXml[i1][0]) || (SortType == 2 && arrays2LongXml[i2][2] / arrays2LongXml[i2][0] > arrays2LongXml[i1][2] / arrays2LongXml[i1][0]) || (SortType == 3 && arrays2LongXml[i2][3] / arrays2LongXml[i2][0] > arrays2LongXml[i1][3] / arrays2LongXml[i1][0]) || (SortType == 4 && arrays2LongXml[i2][4] / arrays2LongXml[i2][0] > arrays2LongXml[i1][4] / arrays2LongXml[i1][0]) || (SortType == 5 && arrays2LongXml[i2][5] / arrays2LongXml[i2][0] > arrays2LongXml[i1][5] / arrays2LongXml[i1][0]) || (SortType == 6 && arrays2LongXml[i2][6] / arrays2LongXml[i2][0] > arrays2LongXml[i1][6] / arrays2LongXml[i1][0]) || (SortType == 7 && arrays2LongXml[i2][7] / arrays2LongXml[i2][0] > arrays2LongXml[i1][7] / arrays2LongXml[i1][0]) || (SortType == 8 && arrays2LongXml[i2][8] / arrays2LongXml[i2][0] > arrays2LongXml[i1][8] / arrays2LongXml[i1][0]) || (SortType == 9 && arrays2LongXml[i2][9] / arrays2LongXml[i2][0] > arrays2LongXml[i1][9] / arrays2LongXml[i1][0]) || (SortType == 10 && arrays2LongXml[i2][10] / arrays2LongXml[i2][0] > arrays2LongXml[i1][10] / arrays2LongXml[i1][0]))
{
Element Element0 = arrays1XmlLongb[i1];
String StringTemp0 = arrays1XmlLong[i1];
String StringTemp0b = arrays2LongXmlName[i1];
double DoubleTemp0 = arrays2LongXml[i1][0];
double DoubleTemp1 = arrays2LongXml[i1][1];
double DoubleTemp2 = arrays2LongXml[i1][2];
double DoubleTemp3 = arrays2LongXml[i1][3];
double DoubleTemp4 = arrays2LongXml[i1][4];
double DoubleTemp5 = arrays2LongXml[i1][5];
double DoubleTemp6 = arrays2LongXml[i1][6];
double DoubleTemp7 = arrays2LongXml[i1][7];
double DoubleTemp8 = arrays2LongXml[i1][8];
double DoubleTemp9 = arrays2LongXml[i1][9];
double DoubleTemp10 = arrays2LongXml[i1][10];
double DoubleTemp11 = arrays2LongXml[i1][11];
arrays1XmlLongb[i1] = arrays1XmlLongb[i2];
arrays1XmlLong[i1] = arrays1XmlLong[i2];
arrays2LongXmlName[i1] = arrays2LongXmlName[i2];
arrays2LongXml[i1][0] = arrays2LongXml[i2][0];
arrays2LongXml[i1][1] = arrays2LongXml[i2][1];
arrays2LongXml[i1][2] = arrays2LongXml[i2][2];
arrays2LongXml[i1][3] = arrays2LongXml[i2][3];
arrays2LongXml[i1][4] = arrays2LongXml[i2][4];
arrays2LongXml[i1][5] = arrays2LongXml[i2][5];
arrays2LongXml[i1][6] = arrays2LongXml[i2][6];
arrays2LongXml[i1][7] = arrays2LongXml[i2][7];
arrays2LongXml[i1][8] = arrays2LongXml[i2][8];
arrays2LongXml[i1][9] = arrays2LongXml[i2][9];
arrays2LongXml[i1][10] = arrays2LongXml[i2][10];
arrays2LongXml[i1][11] = arrays2LongXml[i2][11];
arrays1XmlLongb[i2] = Element0;
arrays1XmlLong[i2] = StringTemp0;
arrays2LongXmlName[i2] = StringTemp0b;
arrays2LongXml[i2][0] = DoubleTemp0;
arrays2LongXml[i2][1] = DoubleTemp1;
arrays2LongXml[i2][2] = DoubleTemp2;
arrays2LongXml[i2][3] = DoubleTemp3;
arrays2LongXml[i2][4] = DoubleTemp4;
arrays2LongXml[i2][5] = DoubleTemp5;
arrays2LongXml[i2][6] = DoubleTemp6;
arrays2LongXml[i2][7] = DoubleTemp7;
arrays2LongXml[i2][8] = DoubleTemp8;
arrays2LongXml[i2][9] = DoubleTemp9;
arrays2LongXml[i2][10] = DoubleTemp10;
arrays2LongXml[i2][11] = DoubleTemp11;
}
}
if (AscDesc == 2) // Sort from lower to Higher
{
if ((SortType == 1 && arrays2LongXml[i2][1] / arrays2LongXml[i2][0] < arrays2LongXml[i1][1] / arrays2LongXml[i1][0]) || (SortType == 2 && arrays2LongXml[i2][2] / arrays2LongXml[i2][0] < arrays2LongXml[i1][2] / arrays2LongXml[i1][0]) || (SortType == 3 && arrays2LongXml[i2][3] / arrays2LongXml[i2][0] < arrays2LongXml[i1][3] / arrays2LongXml[i1][0]) || (SortType == 4 && arrays2LongXml[i2][4] / arrays2LongXml[i2][0] < arrays2LongXml[i1][4] / arrays2LongXml[i1][0]) || (SortType == 5 && arrays2LongXml[i2][5] / arrays2LongXml[i2][0] < arrays2LongXml[i1][5] / arrays2LongXml[i1][0]) || (SortType == 6 && arrays2LongXml[i2][6] / arrays2LongXml[i2][0] < arrays2LongXml[i1][6] / arrays2LongXml[i1][0]) || (SortType == 7 && arrays2LongXml[i2][7] / arrays2LongXml[i2][0] < arrays2LongXml[i1][7] / arrays2LongXml[i1][0]) || (SortType == 8 && arrays2LongXml[i2][8] / arrays2LongXml[i2][0] < arrays2LongXml[i1][8] / arrays2LongXml[i1][0]) || (SortType == 9 && arrays2LongXml[i2][9] / arrays2LongXml[i2][0] < arrays2LongXml[i1][9] / arrays2LongXml[i1][0]) || (SortType == 10 && arrays2LongXml[i2][10] / arrays2LongXml[i2][0] < arrays2LongXml[i1][10] / arrays2LongXml[i1][0]))
{
Element Element0 = arrays1XmlLongb[i1];
String StringTemp0 = arrays1XmlLong[i1];
String StringTemp0b = arrays2LongXmlName[i1];
double DoubleTemp0 = arrays2LongXml[i1][0];
double DoubleTemp1 = arrays2LongXml[i1][1];
double DoubleTemp2 = arrays2LongXml[i1][2];
double DoubleTemp3 = arrays2LongXml[i1][3];
double DoubleTemp4 = arrays2LongXml[i1][4];
double DoubleTemp5 = arrays2LongXml[i1][5];
double DoubleTemp6 = arrays2LongXml[i1][6];
double DoubleTemp7 = arrays2LongXml[i1][7];
double DoubleTemp8 = arrays2LongXml[i1][8];
double DoubleTemp9 = arrays2LongXml[i1][9];
double DoubleTemp10 = arrays2LongXml[i1][10];
double DoubleTemp11 = arrays2LongXml[i1][11];
arrays1XmlLongb[i1] = arrays1XmlLongb[i2];
arrays1XmlLong[i1] = arrays1XmlLong[i2];
arrays2LongXmlName[i1] = arrays2LongXmlName[i2];
arrays2LongXml[i1][0] = arrays2LongXml[i2][0];
arrays2LongXml[i1][1] = arrays2LongXml[i2][1];
arrays2LongXml[i1][2] = arrays2LongXml[i2][2];
arrays2LongXml[i1][3] = arrays2LongXml[i2][3];
arrays2LongXml[i1][4] = arrays2LongXml[i2][4];
arrays2LongXml[i1][5] = arrays2LongXml[i2][5];
arrays2LongXml[i1][6] = arrays2LongXml[i2][6];
arrays2LongXml[i1][7] = arrays2LongXml[i2][7];
arrays2LongXml[i1][8] = arrays2LongXml[i2][8];
arrays2LongXml[i1][9] = arrays2LongXml[i2][9];
arrays2LongXml[i1][10] = arrays2LongXml[i2][10];
arrays2LongXml[i1][11] = arrays2LongXml[i2][11];
arrays1XmlLongb[i2] = Element0;
arrays1XmlLong[i2] = StringTemp0;
arrays2LongXmlName[i2] = StringTemp0b;
arrays2LongXml[i2][0] = DoubleTemp0;
arrays2LongXml[i2][1] = DoubleTemp1;
arrays2LongXml[i2][2] = DoubleTemp2;
arrays2LongXml[i2][3] = DoubleTemp3;
arrays2LongXml[i2][4] = DoubleTemp4;
arrays2LongXml[i2][5] = DoubleTemp5;
arrays2LongXml[i2][6] = DoubleTemp6;
arrays2LongXml[i2][7] = DoubleTemp7;
arrays2LongXml[i2][8] = DoubleTemp8;
arrays2LongXml[i2][9] = DoubleTemp9;
arrays2LongXml[i2][10] = DoubleTemp10;
arrays2LongXml[i2][11] = DoubleTemp11;
}
}
}
}
for(int i1 = 0; i1 < NbVariableXmlShort; i1++) // for each Variables
{
for(int i2 = i1 + 1; i2 < NbVariableXmlShort; i2++) // for each Variables
{
if (AscDesc==1) // Sort from higher to lower
{
if ((SortType == 1 && arrays2ShortXml[i2][1] / arrays2ShortXml[i2][0] > arrays2ShortXml[i1][1] / arrays2ShortXml[i1][0]) || (SortType == 2 && arrays2ShortXml[i2][2] / arrays2ShortXml[i2][0] > arrays2ShortXml[i1][2] / arrays2ShortXml[i1][0]) || (SortType == 3 && arrays2ShortXml[i2][3] / arrays2ShortXml[i2][0] > arrays2ShortXml[i1][3] / arrays2ShortXml[i1][0]) || (SortType == 4 && arrays2ShortXml[i2][4] / arrays2ShortXml[i2][0] > arrays2ShortXml[i1][4] / arrays2ShortXml[i1][0]) || (SortType == 5 && arrays2ShortXml[i2][5] / arrays2ShortXml[i2][0] > arrays2ShortXml[i1][5] / arrays2ShortXml[i1][0]) || (SortType == 6 && arrays2ShortXml[i2][6] / arrays2ShortXml[i2][0] > arrays2ShortXml[i1][6] / arrays2ShortXml[i1][0]) || (SortType == 7 && arrays2ShortXml[i2][7] / arrays2ShortXml[i2][0] > arrays2ShortXml[i1][7] / arrays2ShortXml[i1][0]) || (SortType == 8 && arrays2ShortXml[i2][8] / arrays2ShortXml[i2][0] > arrays2ShortXml[i1][8] / arrays2ShortXml[i1][0]) || (SortType == 9 && arrays2ShortXml[i2][9] / arrays2ShortXml[i2][0] > arrays2ShortXml[i1][9] / arrays2ShortXml[i1][0]) || (SortType == 10 && arrays2ShortXml[i2][10] / arrays2ShortXml[i2][0] > arrays2ShortXml[i1][10] / arrays2ShortXml[i1][0]))
{
Element Element0 = arrays1XmlShortb[i1];
String StringTemp0 = arrays1XmlShort[i1];
String StringTemp0b = arrays2ShortXmlName[i1];
double DoubleTemp0 = arrays2ShortXml[i1][0];
double DoubleTemp1 = arrays2ShortXml[i1][1];
double DoubleTemp2 = arrays2ShortXml[i1][2];
double DoubleTemp3 = arrays2ShortXml[i1][3];
double DoubleTemp4 = arrays2ShortXml[i1][4];
double DoubleTemp5 = arrays2ShortXml[i1][5];
double DoubleTemp6 = arrays2ShortXml[i1][6];
double DoubleTemp7 = arrays2ShortXml[i1][7];
double DoubleTemp8 = arrays2ShortXml[i1][8];
double DoubleTemp9 = arrays2ShortXml[i1][9];
double DoubleTemp10 = arrays2ShortXml[i1][10];
double DoubleTemp11 = arrays2ShortXml[i1][11];
arrays1XmlShortb[i1] = arrays1XmlShortb[i2];
arrays1XmlShort[i1] = arrays1XmlShort[i2];
arrays2ShortXmlName[i1] = arrays2ShortXmlName[i2];
arrays2ShortXml[i1][0] = arrays2ShortXml[i2][0];
arrays2ShortXml[i1][1] = arrays2ShortXml[i2][1];
arrays2ShortXml[i1][2] = arrays2ShortXml[i2][2];
arrays2ShortXml[i1][3] = arrays2ShortXml[i2][3];
arrays2ShortXml[i1][4] = arrays2ShortXml[i2][4];
arrays2ShortXml[i1][5] = arrays2ShortXml[i2][5];
arrays2ShortXml[i1][6] = arrays2ShortXml[i2][6];
arrays2ShortXml[i1][7] = arrays2ShortXml[i2][7];
arrays2ShortXml[i1][8] = arrays2ShortXml[i2][8];
arrays2ShortXml[i1][9] = arrays2ShortXml[i2][9];
arrays2ShortXml[i1][10] = arrays2ShortXml[i2][10];
arrays2ShortXml[i1][11] = arrays2ShortXml[i2][11];
arrays1XmlShortb[i2] = Element0;
arrays1XmlShort[i2] = StringTemp0;
arrays2ShortXmlName[i2] = StringTemp0b;
arrays2ShortXml[i2][0] = DoubleTemp0;
arrays2ShortXml[i2][1] = DoubleTemp1;
arrays2ShortXml[i2][2] = DoubleTemp2;
arrays2ShortXml[i2][3] = DoubleTemp3;
arrays2ShortXml[i2][4] = DoubleTemp4;
arrays2ShortXml[i2][5] = DoubleTemp5;
arrays2ShortXml[i2][6] = DoubleTemp6;
arrays2ShortXml[i2][7] = DoubleTemp7;
arrays2ShortXml[i2][8] = DoubleTemp8;
arrays2ShortXml[i2][9] = DoubleTemp9;
arrays2ShortXml[i2][10] = DoubleTemp10;
arrays2ShortXml[i2][11] = DoubleTemp11;
}
}
if (AscDesc == 2) // Sort from lower to Higher
{
if ((SortType == 1 && arrays2ShortXml[i2][1] / arrays2ShortXml[i2][0] < arrays2ShortXml[i1][1] / arrays2ShortXml[i1][0]) || (SortType == 2 && arrays2ShortXml[i2][2] / arrays2ShortXml[i2][0] < arrays2ShortXml[i1][2] / arrays2ShortXml[i1][0]) || (SortType == 3 && arrays2ShortXml[i2][3] / arrays2ShortXml[i2][0] < arrays2ShortXml[i1][3] / arrays2ShortXml[i1][0]) || (SortType == 4 && arrays2ShortXml[i2][4] / arrays2ShortXml[i2][0] < arrays2ShortXml[i1][4] / arrays2ShortXml[i1][0]) || (SortType == 5 && arrays2ShortXml[i2][5] / arrays2ShortXml[i2][0] < arrays2ShortXml[i1][5] / arrays2ShortXml[i1][0]) || (SortType == 6 && arrays2ShortXml[i2][6] / arrays2ShortXml[i2][0] < arrays2ShortXml[i1][6] / arrays2ShortXml[i1][0]) || (SortType == 7 && arrays2ShortXml[i2][7] / arrays2ShortXml[i2][0] < arrays2ShortXml[i1][7] / arrays2ShortXml[i1][0]) || (SortType == 8 && arrays2ShortXml[i2][8] / arrays2ShortXml[i2][0] < arrays2ShortXml[i1][8] / arrays2ShortXml[i1][0]) || (SortType == 9 && arrays2ShortXml[i2][9] / arrays2ShortXml[i2][0] < arrays2ShortXml[i1][9] / arrays2ShortXml[i1][0]) || (SortType == 10 && arrays2ShortXml[i2][10] / arrays2ShortXml[i2][0] < arrays2ShortXml[i1][10] / arrays2ShortXml[i1][0]))
{
Element Element0 = arrays1XmlShortb[i1];
String StringTemp0 = arrays1XmlShort[i1];
String StringTemp0b = arrays2ShortXmlName[i1];
double DoubleTemp0 = arrays2ShortXml[i1][0];
double DoubleTemp1 = arrays2ShortXml[i1][1];
double DoubleTemp2 = arrays2ShortXml[i1][2];
double DoubleTemp3 = arrays2ShortXml[i1][3];
double DoubleTemp4 = arrays2ShortXml[i1][4];
double DoubleTemp5 = arrays2ShortXml[i1][5];
double DoubleTemp6 = arrays2ShortXml[i1][6];
double DoubleTemp7 = arrays2ShortXml[i1][7];
double DoubleTemp8 = arrays2ShortXml[i1][8];
double DoubleTemp9 = arrays2ShortXml[i1][9];
double DoubleTemp10 = arrays2ShortXml[i1][10];
double DoubleTemp11 = arrays2ShortXml[i1][11];
arrays1XmlShortb[i1] = arrays1XmlShortb[i2];
arrays1XmlShort[i1] = arrays1XmlShort[i2];
arrays2ShortXmlName[i1] = arrays2ShortXmlName[i2];
arrays2ShortXml[i1][0] = arrays2ShortXml[i2][0];
arrays2ShortXml[i1][1] = arrays2ShortXml[i2][1];
arrays2ShortXml[i1][2] = arrays2ShortXml[i2][2];
arrays2ShortXml[i1][3] = arrays2ShortXml[i2][3];
arrays2ShortXml[i1][4] = arrays2ShortXml[i2][4];
arrays2ShortXml[i1][5] = arrays2ShortXml[i2][5];
arrays2ShortXml[i1][6] = arrays2ShortXml[i2][6];
arrays2ShortXml[i1][7] = arrays2ShortXml[i2][7];
arrays2ShortXml[i1][8] = arrays2ShortXml[i2][8];
arrays2ShortXml[i1][9] = arrays2ShortXml[i2][9];
arrays2ShortXml[i1][10] = arrays2ShortXml[i2][10];
arrays2ShortXml[i1][11] = arrays2ShortXml[i2][11];
arrays1XmlShortb[i2] = Element0;
arrays1XmlShort[i2] = StringTemp0;
arrays2ShortXmlName[i2] = StringTemp0b;
arrays2ShortXml[i2][0] = DoubleTemp0;
arrays2ShortXml[i2][1] = DoubleTemp1;
arrays2ShortXml[i2][2] = DoubleTemp2;
arrays2ShortXml[i2][3] = DoubleTemp3;
arrays2ShortXml[i2][4] = DoubleTemp4;
arrays2ShortXml[i2][5] = DoubleTemp5;
arrays2ShortXml[i2][6] = DoubleTemp6;
arrays2ShortXml[i2][7] = DoubleTemp7;
arrays2ShortXml[i2][8] = DoubleTemp8;
arrays2ShortXml[i2][9] = DoubleTemp9;
arrays2ShortXml[i2][10] = DoubleTemp10;
arrays2ShortXml[i2][11] = DoubleTemp11;
}
}
}
}
//#endregion
//#region ************************************************************************ File Output : results of this period and Filter for the next period **************
// #region **************************************************************** OUTPUT file compleat StrategyXML *****************************************************
if (outputXmlStrategyFile)
{
FileWriter FilterWriter4 = new FileWriter("temp.xml" , true);
for(ResultsGroup strategyRG : databankRG) // Read each values strategy from the databank
{
Result mainResult = strategyRG.subResult( strategyRG.getMainResultKey());
if(mainResult == null) break;
String strName = strategyRG.getName();
if(strName.startsWith("Filtered portfolio"))
{
continue;
}
Bouillant BouilltParaObj1 = new Bouillant();
Bouillant BouilltParaObj2 = new Bouillant();
FilterWriter4 = new FileWriter(OutputPath1 + databankName + " Bull " + strName+ ".txt" , true);
String BuildingBlocksName1 = BouilltParaObj1.toXMLStrategyString(strategyRG, false);
FilterWriter4.write(BuildingBlocksName1);
FilterWriter4.close();
FilterWriter4 = new FileWriter(OutputPath1 + databankName + " Bear " + strName+ ".txt" , true);
BuildingBlocksName1 = BouilltParaObj2.toXMLStrategyString(strategyRG, false);
FilterWriter4.write(BuildingBlocksName1);
FilterWriter4.close();
}
}
//#endregion
// #region **************************************************************** File Output **************************************************************************
//File myObj;// = new File(OutputPath);
/*if (myObj.exists()) // Delete previous file
{
if (myObj.delete())
{
System.out.println("Deleted the file: " + myObj.getName());
}
else
{
System.out.println("Failed to delete the file.");
}
}*/
FileWriter FilterWriter = new FileWriter("temp1.txt" , true);
FileWriter FilterWriter2 = new FileWriter("temp2.txt" , true);
FileWriter FilterWriterLong = new FileWriter("temp3.txt" , true);
FileWriter FilterWriter2Long = new FileWriter("temp4.txt" , true);
FileWriter FilterWriterShort = new FileWriter("temp5.txt" , true);
FileWriter FilterWriter2Short = new FileWriter("temp6.txt" , true);
File theDir = new File(OutputPath1); // Creation of directory if the path does not exist
if (!theDir.exists()) theDir.mkdirs(); // Creation of directory if the path does not exist
myObj = new File(OutputPath); // Specify the Path and filename
if (!myObj.exists())
{
if (myObj.createNewFile())
{
System.out.println("File created: " + myObj.getName());
}
else
{
System.out.println("File already exists.");
}
}
FileWriter myWriter = new FileWriter(OutputPath , true);
if (ChoiceFilterNextOOS == SortType) // OutPut Filter for the next period
{
if (SignalType == 1)
{
FilterFile = new File(OutputPath1+"Entry Filter File.txt");
if (FilterFile.exists()){FilterFile.delete();}
FilterFile.createNewFile();
FilterWriter = new FileWriter(OutputPath1 + "Entry Filter File.txt" , true);
FilterFile2 = new File(OutputPath1+"Entry Filter File of " + databankName + ".txt");
if (FilterFile2.exists()){FilterFile2.delete();}
FilterFile2.createNewFile();
FilterWriter2 = new FileWriter(OutputPath1 + "Entry Filter File of " + databankName + ".txt" , true);
FilterFileLong = new File(OutputPath1+"Entry Long Filter File.txt");
if (FilterFileLong.exists()){FilterFileLong.delete();}
FilterFileLong.createNewFile();
FilterWriterLong = new FileWriter(OutputPath1 + "Entry Long Filter File.txt" , true);
FilterFile2Long = new File(OutputPath1+"Entry Long Filter File of " + databankName + ".txt");
if (FilterFile2Long.exists()){FilterFile2Long.delete();}
FilterFile2Long.createNewFile();
FilterWriter2Long = new FileWriter(OutputPath1 + "Entry Long Filter File of " + databankName + ".txt" , true);
FilterFileShort = new File(OutputPath1+"Entry Short Filter File.txt");
if (FilterFileShort.exists()){FilterFileShort.delete();}
FilterFileShort.createNewFile();
FilterWriterShort = new FileWriter(OutputPath1 + "Entry Short Filter File.txt" , true);
FilterFile2Short = new File(OutputPath1+"Entry Short Filter File of " + databankName + ".txt");
if (FilterFile2Short.exists()){FilterFile2Short.delete();}
FilterFile2Short.createNewFile();
FilterWriter2Short = new FileWriter(OutputPath1 + "Entry Short Filter File of " + databankName + ".txt" , true);
}
else if (SignalType == 2)
{
FilterFile = new File(OutputPath1+"Exit Filter File.txt");
if (FilterFile.exists()){FilterFile.delete();}
FilterFile.createNewFile();
FilterWriter = new FileWriter(OutputPath1 + "Exit Filter File.txt" , true);
FilterFile2 = new File(OutputPath1+"Exit Filter File of " + databankName + ".txt");
if (FilterFile2.exists()){FilterFile2.delete();}
FilterFile2.createNewFile();
FilterWriter2 = new FileWriter(OutputPath1 + "Exit Filter File of " + databankName + ".txt" , true);
FilterFileLong = new File(OutputPath1+"Exit Long Filter File.txt");
if (FilterFileLong.exists()){FilterFileLong.delete();}
FilterFileLong.createNewFile();
FilterWriterLong = new FileWriter(OutputPath1 + "Exit Long Filter File.txt" , true);
FilterFile2Long = new File(OutputPath1+"Exit Long Filter File of " + databankName + ".txt");
if (FilterFile2Long.exists()){FilterFile2Long.delete();}
FilterFile2Long.createNewFile();
FilterWriter2Long = new FileWriter(OutputPath1 + "Exit Long Filter File of " + databankName + ".txt" , true);
FilterFileShort = new File(OutputPath1+"Exit Short Filter File.txt");
if (FilterFileShort.exists()){FilterFileShort.delete();}
FilterFileShort.createNewFile();
FilterWriterShort = new FileWriter(OutputPath1 + "Exit Short Filter File.txt" , true);
FilterFile2Short = new File(OutputPath1+"Exit Short Filter File of " + databankName + ".txt");
if (FilterFile2Short.exists()){FilterFile2Short.delete();}
FilterFile2Short.createNewFile();
FilterWriter2Short = new FileWriter(OutputPath1 + "Exit Short Filter File of " + databankName + ".txt" , true);
}
}
myWriter.write("\r\n");
myWriter.write("Minimum : " + String.format("%10d",minimum) + " IsOos : " + String.format("%10d",IsOos) + " LongShort : " + String.format("%10d",LongShort) + " SortType : " + String.format("%10d",SortType) + "\r\n");
myWriter.write("\r\n");
for(int i1 = 0; i1 < NbVariable; i1++) // For each Variables
{
if ((arrays2[i1][0] >= minimum && !NbTotalOnNbTradeOrNbStrategies) || (arrays2[i1][11] >= minimum && NbTotalOnNbTradeOrNbStrategies)) // s.substring(0, Math.min(s.length(), 10))
{
String s = arrays1[i1];
s = s.substring(0, Math.min(s.length(), 50));
myWriter.write("Block Name : " + String.format("%-50s", s) + "\t" + "Total Strategies : " + String.format("%10.0f",arrays2[i1][0]) + "\t" + stratMetric1 + " : " + String.format("%10.3f",(arrays2[i1][1] / arrays2[i1][0]))+ "\t" + stratMetric2 + " : " + String.format("%15.3f",(arrays2[i1][2] / arrays2[i1][0])) + "\t" + stratMetric3 + " : " + String.format("%10.3f",(arrays2[i1][3] / arrays2[i1][0])) + "\t" + stratMetric4 + " : " + String.format("%10.3f",(arrays2[i1][4] / arrays2[i1][0]))+ "\t" + stratMetric5 + " : " + String.format("%10.3f",(arrays2[i1][5] / arrays2[i1][0]))+ "\t" + stratMetric6 + " : " + String.format("%10.3f",(arrays2[i1][6] / arrays2[i1][0]))+ "\t" + stratMetric7 + " : " + String.format("%10.3f",(arrays2[i1][7] / arrays2[i1][0]))+ "\t" + stratMetric8 + " : " + String.format("%10.3f",(arrays2[i1][8] / arrays2[i1][0]))+ "\t" + stratMetric9 + " : " + String.format("%10.3f",(arrays2[i1][9] / arrays2[i1][0]))+ "\t" + stratMetric10 + " : " + String.format("%10.3f",(arrays2[i1][10] / arrays2[i1][0]))+ "\r\n");
if (ChoiceFilterNextOOS == SortType) // OutPut Filter for the next period
{
if (AboveUnder == 1)
{
if (ChoiceFilterNextOOS == 0 || (ChoiceFilterNextOOS == 1 && (arrays2[i1][1] / arrays2[i1][0]) >= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 2 && (arrays2[i1][2] / arrays2[i1][0]) >= MinimumLevelFilterNextOOS) || (ChoiceFilterNextOOS == 3 && (arrays2[i1][3] / arrays2[i1][0]) >= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 4 && (arrays2[i1][4] / arrays2[i1][0]) >= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 5 && (arrays2[i1][5] / arrays2[i1][0]) >= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 6 && (arrays2[i1][6] / arrays2[i1][0]) >= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 7 && (arrays2[i1][7] / arrays2[i1][0]) >= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 8 && (arrays2[i1][8] / arrays2[i1][0]) >= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 9 && (arrays2[i1][9] / arrays2[i1][0]) >= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 10 && (arrays2[i1][10] / arrays2[i1][0]) >= MinimumLevelFilterNextOOS))
{
if (AboveUnder2 == 1)
{
if (ChoiceFilterNextOOS2 == 0 || (ChoiceFilterNextOOS2 == 1 && (arrays2[i1][1] / arrays2[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 2 && (arrays2[i1][2] / arrays2[i1][0]) >= MinimumLevelFilterNextOOS2) || (ChoiceFilterNextOOS2 == 3 && (arrays2[i1][3] / arrays2[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 4 && (arrays2[i1][4] / arrays2[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 5 && (arrays2[i1][5] / arrays2[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 6 && (arrays2[i1][6] / arrays2[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 7 && (arrays2[i1][7] / arrays2[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 8 && (arrays2[i1][8] / arrays2[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 9 && (arrays2[i1][9] / arrays2[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 10 && (arrays2[i1][10] / arrays2[i1][0]) >= MinimumLevelFilterNextOOS2))
{
FilterWriter.write(arrays1[i1] + "\r\n");
FilterWriter2.write(arrays1[i1] + "\r\n");
}
}
if (AboveUnder2 == 2)
{
if (ChoiceFilterNextOOS2 == 0 || (ChoiceFilterNextOOS2 == 1 && (arrays2[i1][1] / arrays2[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 2 && (arrays2[i1][2] / arrays2[i1][0]) <= MinimumLevelFilterNextOOS2) || (ChoiceFilterNextOOS2 == 3 && (arrays2[i1][3] / arrays2[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 4 && (arrays2[i1][4] / arrays2[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 5 && (arrays2[i1][5] / arrays2[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 6 && (arrays2[i1][6] / arrays2[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 7 && (arrays2[i1][7] / arrays2[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 8 && (arrays2[i1][8] / arrays2[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 9 && (arrays2[i1][9] / arrays2[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 10 && (arrays2[i1][10] / arrays2[i1][0]) <= MinimumLevelFilterNextOOS2))
{
FilterWriter.write(arrays1[i1] + "\r\n");
FilterWriter2.write(arrays1[i1] + "\r\n");
}
}
}
}
if (AboveUnder == 2)
{
if (ChoiceFilterNextOOS == 0 || (ChoiceFilterNextOOS == 1 && (arrays2[i1][1] / arrays2[i1][0]) <= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 2 && (arrays2[i1][2] / arrays2[i1][0]) <= MinimumLevelFilterNextOOS) || (ChoiceFilterNextOOS == 3 && (arrays2[i1][3] / arrays2[i1][0]) <= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 4 && (arrays2[i1][4] / arrays2[i1][0]) <= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 5 && (arrays2[i1][5] / arrays2[i1][0]) <= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 6 && (arrays2[i1][6] / arrays2[i1][0]) <= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 7 && (arrays2[i1][7] / arrays2[i1][0]) <= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 8 && (arrays2[i1][8] / arrays2[i1][0]) <= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 9 && (arrays2[i1][9] / arrays2[i1][0]) <= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 10 && (arrays2[i1][10] / arrays2[i1][0]) <= MinimumLevelFilterNextOOS))
{
if (AboveUnder2 == 1)
{
if (ChoiceFilterNextOOS2 == 0 || (ChoiceFilterNextOOS2 == 1 && (arrays2[i1][1] / arrays2[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 2 && (arrays2[i1][2] / arrays2[i1][0]) >= MinimumLevelFilterNextOOS2) || (ChoiceFilterNextOOS2 == 3 && (arrays2[i1][3] / arrays2[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 4 && (arrays2[i1][4] / arrays2[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 5 && (arrays2[i1][5] / arrays2[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 6 && (arrays2[i1][6] / arrays2[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 7 && (arrays2[i1][7] / arrays2[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 8 && (arrays2[i1][8] / arrays2[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 9 && (arrays2[i1][9] / arrays2[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 10 && (arrays2[i1][10] / arrays2[i1][0]) >= MinimumLevelFilterNextOOS2))
{
FilterWriter.write(arrays1[i1] + "\r\n");
FilterWriter2.write(arrays1[i1] + "\r\n");
}
}
if (AboveUnder2 == 2)
{
if (ChoiceFilterNextOOS2 == 0 || (ChoiceFilterNextOOS2 == 1 && (arrays2[i1][1] / arrays2[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 2 && (arrays2[i1][2] / arrays2[i1][0]) <= MinimumLevelFilterNextOOS2) || (ChoiceFilterNextOOS2 == 3 && (arrays2[i1][3] / arrays2[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 4 && (arrays2[i1][4] / arrays2[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 5 && (arrays2[i1][5] / arrays2[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 6 && (arrays2[i1][6] / arrays2[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 7 && (arrays2[i1][7] / arrays2[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 8 && (arrays2[i1][8] / arrays2[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 9 && (arrays2[i1][9] / arrays2[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 10 && (arrays2[i1][10] / arrays2[i1][0]) <= MinimumLevelFilterNextOOS2))
{
FilterWriter.write(arrays1[i1] + "\r\n");
FilterWriter2.write(arrays1[i1] + "\r\n");
}
}
}
}
}
}
}
//#endregion
//#region ***************************************************************** Long and Short stats results *********************************************************
if (LongShort == 3)
{
myWriter.write("\r\n");
myWriter.write("\r\n");
myWriter.write("Details Full, Long, Short : \r\n");
myWriter.write("\r\n");
for(int i1 = 0; i1 < NbVariable; i1++) // For each Variables
{
if ((arrays2[i1][0] > minimum && !NbTotalOnNbTradeOrNbStrategies) || (arrays2[i1][11] >= minimum && NbTotalOnNbTradeOrNbStrategies))
{
double stratMetricLongDbl1;
if (arrays2Long[i1][0] > 0) {stratMetricLongDbl1 = (arrays2Long[i1][1] / arrays2Long[i1][0]);}
else {stratMetricLongDbl1 = 0;}
double stratMetricShortDbl1;
if (arrays2Short[i1][0] > 0) {stratMetricShortDbl1 = (arrays2Short[i1][1] / arrays2Short[i1][0]);}
else{stratMetricShortDbl1 = 0;}
double stratMetricLongDbl2;
if (arrays2Long[i1][0] > 0) {stratMetricLongDbl2 = (arrays2Long[i1][2] / arrays2Long[i1][0]);}
else {stratMetricLongDbl2 = 0;}
double stratMetricShortDbl2;
if (arrays2Short[i1][0] > 0) {stratMetricShortDbl2 = (arrays2Short[i1][2] / arrays2Short[i1][0]);}
else{stratMetricShortDbl2 = 0;}
double stratMetricLongDbl3;
if (arrays2Long[i1][0] > 0) {stratMetricLongDbl3 = (arrays2Long[i1][3] / arrays2Long[i1][0]);}
else {stratMetricLongDbl3 = 0;}
double stratMetricShortDbl3;
if (arrays2Short[i1][0] > 0) {stratMetricShortDbl3 = (arrays2Short[i1][3] / arrays2Short[i1][0]);}
else{stratMetricShortDbl3 = 0;}
double stratMetricLongDbl4;
if (arrays2Long[i1][0] > 0) {stratMetricLongDbl4 = (arrays2Long[i1][4] / arrays2Long[i1][0]);}
else {stratMetricLongDbl4 = 0;}
double stratMetricShortDbl4;
if (arrays2Short[i1][0] > 0) {stratMetricShortDbl4 = (arrays2Short[i1][4] / arrays2Short[i1][0]);}
else{stratMetricShortDbl4 = 0;}
double stratMetricLongDbl5;
if (arrays2Long[i1][0] > 0) {stratMetricLongDbl5 = (arrays2Long[i1][5] / arrays2Long[i1][0]);}
else {stratMetricLongDbl5 = 0;}
double stratMetricShortDbl5;
if (arrays2Short[i1][0] > 0) {stratMetricShortDbl5 = (arrays2Short[i1][5] / arrays2Short[i1][0]);}
else{stratMetricShortDbl5 = 0;}
double stratMetricLongDbl6;
if (arrays2Long[i1][0] > 0) {stratMetricLongDbl6 = (arrays2Long[i1][6] / arrays2Long[i1][0]);}
else {stratMetricLongDbl6 = 0;}
double stratMetricShortDbl6;
if (arrays2Short[i1][0] > 0) {stratMetricShortDbl6 = (arrays2Short[i1][6] / arrays2Short[i1][0]);}
else{stratMetricShortDbl6 = 0;}
double stratMetricLongDbl7;
if (arrays2Long[i1][0] > 0) {stratMetricLongDbl7 = (arrays2Long[i1][7] / arrays2Long[i1][0]);}
else {stratMetricLongDbl7 = 0;}
double stratMetricShortDbl7;
if (arrays2Short[i1][0] > 0) {stratMetricShortDbl7 = (arrays2Short[i1][7] / arrays2Short[i1][0]);}
else{stratMetricShortDbl7 = 0;}
double stratMetricLongDbl8;
if (arrays2Long[i1][0] > 0) {stratMetricLongDbl8 = (arrays2Long[i1][8] / arrays2Long[i1][0]);}
else {stratMetricLongDbl8 = 0;}
double stratMetricShortDbl8;
if (arrays2Short[i1][0] > 0) {stratMetricShortDbl8 = (arrays2Short[i1][8] / arrays2Short[i1][0]);}
else{stratMetricShortDbl8 = 0;}
double stratMetricLongDbl9;
if (arrays2Long[i1][0] > 0) {stratMetricLongDbl9 = (arrays2Long[i1][9] / arrays2Long[i1][0]);}
else {stratMetricLongDbl9 = 0;}
double stratMetricShortDbl9;
if (arrays2Short[i1][0] > 0) {stratMetricShortDbl9 = (arrays2Short[i1][9] / arrays2Short[i1][0]);}
else{stratMetricShortDbl9 = 0;}
double stratMetricLongDbl10;
if (arrays2Long[i1][0] > 0) {stratMetricLongDbl10 = (arrays2Long[i1][10] / arrays2Long[i1][0]);}
else {stratMetricLongDbl10 = 0;}
double stratMetricShortDbl10;
if (arrays2Short[i1][0] > 0) {stratMetricShortDbl10 = (arrays2Short[i1][10] / arrays2Short[i1][0]);}
else{stratMetricShortDbl10 = 0;}
String s = arrays1[i1];
s = s.substring(0, Math.min(s.length(), 50));
myWriter.write("Block Name : " + String.format("%-50s", s) + "\t" + "Total Strategies : " + String.format("%10.0f",arrays2[i1][0]) + "\t"+ String.format("%10.0f",arrays2Long[i1][0])+ "\t" + String.format("%10.0f",arrays2Short[i1][0])+ "\t" + stratMetric1 + " : " + String.format("%10.3f",(arrays2[i1][1] / arrays2[i1][0]))+ "\t" + String.format("%10.3f",stratMetricLongDbl1)+ "\t"+ String.format("%10.3f",stratMetricShortDbl1)+ "\t"+ stratMetric2 + " : " + String.format("%15.3f",(arrays2[i1][2] / arrays2[i1][0]))+ "\t"+ String.format("%15.3f",stratMetricLongDbl2)+ "\t"+ String.format("%15.3f",stratMetricShortDbl2)+ "\t" + stratMetric3 + " : " + String.format("%10.3f",(arrays2[i1][3] / arrays2[i1][0])) + "\t" + String.format("%10.3f",stratMetricLongDbl3)+ "\t" + String.format("%10.3f",stratMetricShortDbl3)+ "\t" + stratMetric4 + " : " + String.format("%10.3f",(arrays2[i1][4] / arrays2[i1][0]))+ "\t" + String.format("%10.3f",stratMetricLongDbl4)+ "\t"+ String.format("%10.3f",stratMetricShortDbl4)+ "\t" + stratMetric5 + " : " + String.format("%10.3f",(arrays2[i1][5] / arrays2[i1][0]))+ "\t" + String.format("%10.3f",stratMetricLongDbl5)+ "\t" + String.format("%10.3f",stratMetricShortDbl5)+ "\t" + stratMetric6 + " : " + String.format("%10.3f",(arrays2[i1][6] / arrays2[i1][0]))+ "\t" + String.format("%10.3f",stratMetricLongDbl6)+ "\t" + String.format("%10.3f",stratMetricShortDbl6)+ "\t" + stratMetric7 + " : " + String.format("%10.3f",(arrays2[i1][7] / arrays2[i1][0]))+ "\t" + String.format("%10.3f",stratMetricLongDbl7)+ "\t"+ String.format("%10.3f",stratMetricShortDbl7)+ "\t" + stratMetric8 + " : " + String.format("%10.3f",(arrays2[i1][8] / arrays2[i1][0]))+ "\t" + String.format("%10.3f",stratMetricLongDbl8) + "\t"+ String.format("%10.3f",stratMetricShortDbl8)+ "\t"+ stratMetric9 + " : " + String.format("%10.3f",(arrays2[i1][9] / arrays2[i1][0]))+ "\t" + String.format("%10.3f",stratMetricLongDbl9)+ "\t"+ String.format("%10.3f",stratMetricShortDbl9)+ "\t" + stratMetric10 + " : " + String.format("%10.3f",(arrays2[i1][10] / arrays2[i1][0]))+ "\t" + String.format("%10.3f",stratMetricLongDbl10)+ "\t" + String.format("%10.3f",stratMetricShortDbl10)+ "\r\n");
}
}
}
for(int i1 = 0; i1 < NbVariable; i1++) // For each Variables Long
{
if (ChoiceFilterNextOOS == SortType && ((arrays2Long[i1][0] > minimum && !NbTotalOnNbTradeOrNbStrategies) || (arrays2Long[i1][11] >= minimum && NbTotalOnNbTradeOrNbStrategies)))
{
if (AboveUnder == 1)
{
if (ChoiceFilterNextOOS == 0 || (ChoiceFilterNextOOS == 1 && (arrays2Long[i1][1] / arrays2Long[i1][0]) >= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 2 && (arrays2Long[i1][2] / arrays2Long[i1][0]) >= MinimumLevelFilterNextOOS) || (ChoiceFilterNextOOS == 3 && (arrays2Long[i1][3] / arrays2Long[i1][0]) >= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 4 && (arrays2Long[i1][4] / arrays2Long[i1][0]) >= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 5 && (arrays2Long[i1][5] / arrays2Long[i1][0]) >= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 6 && (arrays2Long[i1][6] / arrays2Long[i1][0]) >= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 7 && (arrays2Long[i1][7] / arrays2Long[i1][0]) >= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 8 && (arrays2Long[i1][8] / arrays2Long[i1][0]) >= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 9 && (arrays2Long[i1][9] / arrays2Long[i1][0]) >= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 10 && (arrays2Long[i1][10] / arrays2Long[i1][0]) >= MinimumLevelFilterNextOOS))
{
if (AboveUnder2 == 1)
{
if (ChoiceFilterNextOOS2 == 0 || (ChoiceFilterNextOOS2 == 1 && (arrays2Long[i1][1] / arrays2Long[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 2 && (arrays2Long[i1][2] / arrays2Long[i1][0]) >= MinimumLevelFilterNextOOS2) || (ChoiceFilterNextOOS2 == 3 && (arrays2Long[i1][3] / arrays2Long[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 4 && (arrays2Long[i1][4] / arrays2Long[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 5 && (arrays2Long[i1][5] / arrays2Long[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 6 && (arrays2Long[i1][6] / arrays2Long[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 7 && (arrays2Long[i1][7] / arrays2Long[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 8 && (arrays2Long[i1][8] / arrays2Long[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 9 && (arrays2Long[i1][9] / arrays2Long[i1][0]) >= MinimumLevelFilterNextOOS2) || (ChoiceFilterNextOOS2 == 10 && (arrays2Long[i1][10] / arrays2Long[i1][0]) >= MinimumLevelFilterNextOOS2))
{
FilterWriterLong.write(arrays1[i1] + "\r\n");
FilterWriter2Long.write(arrays1[i1] + "\r\n");
}
}
if (AboveUnder2 == 2)
{
if (ChoiceFilterNextOOS2 == 0 || (ChoiceFilterNextOOS2 == 1 && (arrays2Long[i1][1] / arrays2Long[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 2 && (arrays2Long[i1][2] / arrays2Long[i1][0]) <= MinimumLevelFilterNextOOS2) || (ChoiceFilterNextOOS2 == 3 && (arrays2Long[i1][3] / arrays2Long[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 4 && (arrays2Long[i1][4] / arrays2Long[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 5 && (arrays2Long[i1][5] / arrays2Long[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 6 && (arrays2Long[i1][6] / arrays2Long[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 7 && (arrays2Long[i1][7] / arrays2Long[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 8 && (arrays2Long[i1][8] / arrays2Long[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 9 && (arrays2Long[i1][9] / arrays2Long[i1][0]) <= MinimumLevelFilterNextOOS2) || (ChoiceFilterNextOOS2 == 10 && (arrays2Long[i1][10] / arrays2Long[i1][0]) <= MinimumLevelFilterNextOOS2))
{
FilterWriterLong.write(arrays1[i1] + "\r\n");
FilterWriter2Long.write(arrays1[i1] + "\r\n");
}
}
}
}
if (AboveUnder == 2)
{
if (ChoiceFilterNextOOS == 0 || (ChoiceFilterNextOOS == 1 && (arrays2Long[i1][1] / arrays2Long[i1][0]) <= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 2 && (arrays2Long[i1][2] / arrays2Long[i1][0]) <= MinimumLevelFilterNextOOS) || (ChoiceFilterNextOOS == 3 && (arrays2Long[i1][3] / arrays2Long[i1][0]) <= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 4 && (arrays2Long[i1][4] / arrays2Long[i1][0]) <= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 5 && (arrays2Long[i1][5] / arrays2Long[i1][0]) <= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 6 && (arrays2Long[i1][6] / arrays2Long[i1][0]) <= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 7 && (arrays2Long[i1][7] / arrays2Long[i1][0]) <= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 8 && (arrays2Long[i1][8] / arrays2Long[i1][0]) <= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 9 && (arrays2Long[i1][9] / arrays2Long[i1][0]) <= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 10 && (arrays2Long[i1][10] / arrays2Long[i1][0]) <= MinimumLevelFilterNextOOS))
{
if (AboveUnder2 == 1)
{
if (ChoiceFilterNextOOS2 == 0 || (ChoiceFilterNextOOS2 == 1 && (arrays2Long[i1][1] / arrays2Long[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 2 && (arrays2Long[i1][2] / arrays2Long[i1][0]) >= MinimumLevelFilterNextOOS2) || (ChoiceFilterNextOOS2 == 3 && (arrays2Long[i1][3] / arrays2Long[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 4 && (arrays2Long[i1][4] / arrays2Long[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 5 && (arrays2Long[i1][5] / arrays2Long[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 6 && (arrays2Long[i1][6] / arrays2Long[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 7 && (arrays2Long[i1][7] / arrays2Long[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 8 && (arrays2Long[i1][8] / arrays2Long[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 9 && (arrays2Long[i1][9] / arrays2Long[i1][0]) >= MinimumLevelFilterNextOOS2) || (ChoiceFilterNextOOS2 == 10 && (arrays2Long[i1][10] / arrays2Long[i1][0]) >= MinimumLevelFilterNextOOS2))
{
FilterWriterLong.write(arrays1[i1] + "\r\n");
FilterWriter2Long.write(arrays1[i1] + "\r\n");
}
}
if (AboveUnder2 == 2)
{
if (ChoiceFilterNextOOS2 == 0 || (ChoiceFilterNextOOS2 == 1 && (arrays2Long[i1][1] / arrays2Long[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 2 && (arrays2Long[i1][2] / arrays2Long[i1][0]) <= MinimumLevelFilterNextOOS2) || (ChoiceFilterNextOOS2 == 3 && (arrays2Long[i1][3] / arrays2Long[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 4 && (arrays2Long[i1][4] / arrays2Long[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 5 && (arrays2Long[i1][5] / arrays2Long[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 6 && (arrays2Long[i1][6] / arrays2Long[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 7 && (arrays2Long[i1][7] / arrays2Long[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 8 && (arrays2Long[i1][8] / arrays2Long[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 9 && (arrays2Long[i1][9] / arrays2Long[i1][0]) <= MinimumLevelFilterNextOOS2) || (ChoiceFilterNextOOS2 == 10 && (arrays2Long[i1][10] / arrays2Long[i1][0]) <= MinimumLevelFilterNextOOS2))
{
FilterWriterLong.write(arrays1[i1] + "\r\n");
FilterWriter2Long.write(arrays1[i1] + "\r\n");
}
}
}
}
}
}
for(int i1 = 0; i1 < NbVariable; i1++) // For each Variables Short
{
if (ChoiceFilterNextOOS == SortType && ((arrays2Short[i1][0] > minimum && !NbTotalOnNbTradeOrNbStrategies) || (arrays2Short[i1][11] >= minimum && NbTotalOnNbTradeOrNbStrategies)))
{
if (AboveUnder == 1)
{
if (ChoiceFilterNextOOS == 0 || (ChoiceFilterNextOOS == 1 && (arrays2Short[i1][1] / arrays2Short[i1][0]) >= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 2 && (arrays2Short[i1][2] / arrays2Short[i1][0]) >= MinimumLevelFilterNextOOS) || (ChoiceFilterNextOOS == 3 && (arrays2Short[i1][3] / arrays2Short[i1][0]) >= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 4 && (arrays2Short[i1][4] / arrays2Short[i1][0]) >= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 5 && (arrays2Short[i1][5] / arrays2Short[i1][0]) >= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 6 && (arrays2Short[i1][6] / arrays2Short[i1][0]) >= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 7 && (arrays2Short[i1][7] / arrays2Short[i1][0]) >= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 8 && (arrays2Short[i1][8] / arrays2Short[i1][0]) >= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 9 && (arrays2Short[i1][9] / arrays2Short[i1][0]) >= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 10 && (arrays2Short[i1][10] / arrays2Short[i1][0]) >= MinimumLevelFilterNextOOS))
{
if (AboveUnder2 == 1)
{
if (ChoiceFilterNextOOS2 == 0 || (ChoiceFilterNextOOS2 == 1 && (arrays2Short[i1][1] / arrays2Short[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 2 && (arrays2Short[i1][2] / arrays2Short[i1][0]) >= MinimumLevelFilterNextOOS2) || (ChoiceFilterNextOOS2 == 3 && (arrays2Short[i1][3] / arrays2Short[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 4 && (arrays2Short[i1][4] / arrays2Short[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 5 && (arrays2Short[i1][5] / arrays2Short[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 6 && (arrays2Short[i1][6] / arrays2Short[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 7 && (arrays2Short[i1][7] / arrays2Short[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 8 && (arrays2Short[i1][8] / arrays2Short[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 9 && (arrays2Short[i1][9] / arrays2Short[i1][0]) >= MinimumLevelFilterNextOOS2) || (ChoiceFilterNextOOS2 == 10 && (arrays2Short[i1][10] / arrays2Short[i1][0]) >= MinimumLevelFilterNextOOS2))
{
FilterWriterShort.write(arrays1[i1] + "\r\n");
FilterWriter2Short.write(arrays1[i1] + "\r\n");
}
}
if (AboveUnder2 == 2)
{
if (ChoiceFilterNextOOS2 == 0 || (ChoiceFilterNextOOS2 == 1 && (arrays2Short[i1][1] / arrays2Short[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 2 && (arrays2Short[i1][2] / arrays2Short[i1][0]) <= MinimumLevelFilterNextOOS2) || (ChoiceFilterNextOOS2 == 3 && (arrays2Short[i1][3] / arrays2Short[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 4 && (arrays2Short[i1][4] / arrays2Short[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 5 && (arrays2Short[i1][5] / arrays2Short[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 6 && (arrays2Short[i1][6] / arrays2Short[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 7 && (arrays2Short[i1][7] / arrays2Short[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 8 && (arrays2Short[i1][8] / arrays2Short[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 9 && (arrays2Short[i1][9] / arrays2Short[i1][0]) <= MinimumLevelFilterNextOOS2) || (ChoiceFilterNextOOS2 == 10 && (arrays2Short[i1][10] / arrays2Short[i1][0]) <= MinimumLevelFilterNextOOS2))
{
FilterWriterShort.write(arrays1[i1] + "\r\n");
FilterWriter2Short.write(arrays1[i1] + "\r\n");
}
}
}
}
if (AboveUnder == 2)
{
if (ChoiceFilterNextOOS == 0 || (ChoiceFilterNextOOS == 1 && (arrays2Short[i1][1] / arrays2Short[i1][0]) <= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 2 && (arrays2Short[i1][2] / arrays2Short[i1][0]) <= MinimumLevelFilterNextOOS) || (ChoiceFilterNextOOS == 3 && (arrays2Short[i1][3] / arrays2Short[i1][0]) <= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 4 && (arrays2Short[i1][4] / arrays2Short[i1][0]) <= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 5 && (arrays2Short[i1][5] / arrays2Short[i1][0]) <= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 6 && (arrays2Short[i1][6] / arrays2Short[i1][0]) <= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 7 && (arrays2Short[i1][7] / arrays2Short[i1][0]) <= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 8 && (arrays2Short[i1][8] / arrays2Short[i1][0]) <= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 9 && (arrays2Short[i1][9] / arrays2Short[i1][0]) <= MinimumLevelFilterNextOOS) ||(ChoiceFilterNextOOS == 10 && (arrays2Short[i1][10] / arrays2Short[i1][0]) <= MinimumLevelFilterNextOOS))
{
if (AboveUnder2 == 1)
{
if (ChoiceFilterNextOOS2 == 0 || (ChoiceFilterNextOOS2 == 1 && (arrays2Short[i1][1] / arrays2Short[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 2 && (arrays2Short[i1][2] / arrays2Short[i1][0]) >= MinimumLevelFilterNextOOS2) || (ChoiceFilterNextOOS2 == 3 && (arrays2Short[i1][3] / arrays2Short[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 4 && (arrays2Short[i1][4] / arrays2Short[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 5 && (arrays2Short[i1][5] / arrays2Short[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 6 && (arrays2Short[i1][6] / arrays2Short[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 7 && (arrays2Short[i1][7] / arrays2Short[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 8 && (arrays2Short[i1][8] / arrays2Short[i1][0]) >= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 9 && (arrays2Short[i1][9] / arrays2Short[i1][0]) >= MinimumLevelFilterNextOOS2) || (ChoiceFilterNextOOS2 == 10 && (arrays2Short[i1][10] / arrays2Short[i1][0]) >= MinimumLevelFilterNextOOS2))
{
FilterWriterShort.write(arrays1[i1] + "\r\n");
FilterWriter2Short.write(arrays1[i1] + "\r\n");
}
}
if (AboveUnder2 == 2)
{
if (ChoiceFilterNextOOS2 == 0 || (ChoiceFilterNextOOS2 == 1 && (arrays2Short[i1][1] / arrays2Short[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 2 && (arrays2Short[i1][2] / arrays2Short[i1][0]) <= MinimumLevelFilterNextOOS2) || (ChoiceFilterNextOOS2 == 3 && (arrays2Short[i1][3] / arrays2Short[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 4 && (arrays2Short[i1][4] / arrays2Short[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 5 && (arrays2Short[i1][5] / arrays2Short[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 6 && (arrays2Short[i1][6] / arrays2Short[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 7 && (arrays2Short[i1][7] / arrays2Short[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 8 && (arrays2Short[i1][8] / arrays2Short[i1][0]) <= MinimumLevelFilterNextOOS2) ||(ChoiceFilterNextOOS2 == 9 && (arrays2Short[i1][9] / arrays2Short[i1][0]) <= MinimumLevelFilterNextOOS2) || (ChoiceFilterNextOOS2 == 10 && (arrays2Short[i1][10] / arrays2Short[i1][0]) <= MinimumLevelFilterNextOOS2))
{
FilterWriterShort.write(arrays1[i1] + "\r\n");
FilterWriter2Short.write(arrays1[i1] + "\r\n");
}
}
}
}
}
}
FilterWriter.close();
FilterWriter2.close();
FilterWriterLong.close();
FilterWriter2Long.close();
FilterWriterShort.close();
FilterWriter2Short.close();
myWriter.close();
//#endregion
if (ChoiceFilterNextOOS == SortType)
{
//#region ************************************************************* Random groups Long *******************************************************************
// For more information : https://strategyquant.com/doc/strategyquant/random-groups/
Element Groups = new Element("Groups");
//org.jdom2.Document document = new Document(Groups);
Element Group = new Element("Group");
Attribute classe1 = new Attribute("id", getRandomHexString(32)); // "CB8DA07A5CE85161657363670D57E4F0"
if (!randomID) // New random ID implied creating a new template in SQX each time for each new group, keeping the same ID implied keeping the same template in SQX without templating each time
{
if (SignalType == 1)
{
switch (DatabanksNumber)
{
case 1:
classe1 = new Attribute("id", "9d9e22d91aaf4f9fad70f9856c2e81b3");
break;
case 2:
classe1 = new Attribute("id", "bfd879fe4e0ee8c570a86c58a5551b9d");
break;
case 3:
classe1 = new Attribute("id", "beecd1bb4434e7fe989488a946d5dc27");
break;
case 4:
classe1 = new Attribute("id", "6a3bf97cc5a1ee0bf50119e385564c7d");
break;
case 5:
classe1 = new Attribute("id", "95513b562c9602e9cdce33bee6b1644a");
break;
case 6:
classe1 = new Attribute("id", "b5116a5d5688b526d2233da87f41f1c6");
break;
case 7:
classe1 = new Attribute("id", "5705a12577d02f13ac6dfc72c1052cc9");
break;
case 8:
classe1 = new Attribute("id", "345be09fca86a21ffeba530f649f5273");
break;
case 9:
classe1 = new Attribute("id", "b9ed4aa8e4dbcbd9e850db1f234c9c82");
break;
case 10:
classe1 = new Attribute("id", "7e477b9830d0dd05fc536a38af7c4eaa");
break;
}
}
if (SignalType == 2)
{
switch (DatabanksNumber)
{
case 1:
classe1 = new Attribute("id", "427176d0bff1335714ca4a14601c6997");
break;
case 2:
classe1 = new Attribute("id", "9de42ef34ef44dbaf27e23429ddabdb0");
break;
case 3:
classe1 = new Attribute("id", "2a1f686ae08fa4e79412d845eaeb5fb9");
break;
case 4:
classe1 = new Attribute("id", "11ac56869c057b9694c0fd24b5f6a1cd");
break;
case 5:
classe1 = new Attribute("id", "a3f7d13df13a1f0f6752ff37da9d9547");
break;
case 6:
classe1 = new Attribute("id", "305c6f6e3efae11e57ac7ee3bf711da1");
break;
case 7:
classe1 = new Attribute("id", "a36d8820e37009bde4e7353530ac43e5");
break;
case 8:
classe1 = new Attribute("id", "21fd93a085af7bcd8487714e5dd895f2");
break;
case 9:
classe1 = new Attribute("id", "3bb2af23e3010a56dbe7ebb95a087e90");
break;
case 10:
classe1 = new Attribute("id", "61259b9234d37c79c6b7494c9e42b725");
break;
}
}
}
Group.setAttribute(classe1);
Attribute classe2 = new Attribute("name","Long " + databankName);
if (SignalType == 1)
{
classe2 = new Attribute("name","Entry Long " + databankName);
}
else if (SignalType == 2)
{
classe2 = new Attribute("name","Exit Long " + databankName);
}
Group.setAttribute(classe2);
Attribute classe3 = new Attribute("type","Conditions");
Group.setAttribute(classe3);
Attribute classe4 = new Attribute("category","No category");
Group.setAttribute(classe4);
for(int i1 = 0; i1 < NbVariableXmlLong; i1++) // For each Variables
{
if ((arrays2LongXml[i1][0] >= minimumXml && !NbTotalOnNbTradeOrNbStrategies) || (arrays2LongXml[i1][11] >= minimumXml && NbTotalOnNbTradeOrNbStrategies))
{
if (ChoiceFilterNextOOS == SortType) // OutPut Filter for the next period
{
if (AboveUnder == 1)
{
if ((ChoiceFilterNextOOS == 1 && (arrays2LongXml[i1][1] / arrays2LongXml[i1][0]) >= MinimumLevelFilterRandomGroups) ||(ChoiceFilterNextOOS == 2 && (arrays2LongXml[i1][2] / arrays2LongXml[i1][0]) >= MinimumLevelFilterRandomGroups) || (ChoiceFilterNextOOS == 3 && (arrays2LongXml[i1][3] / arrays2LongXml[i1][0]) >= MinimumLevelFilterRandomGroups) ||(ChoiceFilterNextOOS == 4 && (arrays2LongXml[i1][4] / arrays2LongXml[i1][0]) >= MinimumLevelFilterRandomGroups) ||(ChoiceFilterNextOOS == 5 && (arrays2LongXml[i1][5] / arrays2LongXml[i1][0]) >= MinimumLevelFilterRandomGroups) ||(ChoiceFilterNextOOS == 6 && (arrays2LongXml[i1][6] / arrays2LongXml[i1][0]) >= MinimumLevelFilterRandomGroups) ||(ChoiceFilterNextOOS == 7 && (arrays2LongXml[i1][7] / arrays2LongXml[i1][0]) >= MinimumLevelFilterRandomGroups) ||(ChoiceFilterNextOOS == 8 && (arrays2LongXml[i1][8] / arrays2LongXml[i1][0]) >= MinimumLevelFilterRandomGroups) ||(ChoiceFilterNextOOS == 9 && (arrays2LongXml[i1][9] / arrays2LongXml[i1][0]) >= MinimumLevelFilterRandomGroups) ||(ChoiceFilterNextOOS == 10 && (arrays2LongXml[i1][10] / arrays2LongXml[i1][0]) >= MinimumLevelFilterRandomGroups))
{
Element elemCopy = (Element)arrays1XmlLongb[i1].clone();
elemCopy.detach();
Group.addContent(elemCopy);
}
}
if (AboveUnder == 2)
{
if ((ChoiceFilterNextOOS == 1 && (arrays2LongXml[i1][1] / arrays2LongXml[i1][0]) <= MinimumLevelFilterRandomGroups) ||(ChoiceFilterNextOOS == 2 && (arrays2LongXml[i1][2] / arrays2LongXml[i1][0]) <= MinimumLevelFilterRandomGroups) || (ChoiceFilterNextOOS == 3 && (arrays2LongXml[i1][3] / arrays2LongXml[i1][0]) <= MinimumLevelFilterRandomGroups) ||(ChoiceFilterNextOOS == 4 && (arrays2LongXml[i1][4] / arrays2LongXml[i1][0]) <= MinimumLevelFilterRandomGroups) ||(ChoiceFilterNextOOS == 5 && (arrays2LongXml[i1][5] / arrays2LongXml[i1][0]) <= MinimumLevelFilterRandomGroups) ||(ChoiceFilterNextOOS == 6 && (arrays2LongXml[i1][6] / arrays2LongXml[i1][0]) <= MinimumLevelFilterRandomGroups) ||(ChoiceFilterNextOOS == 7 && (arrays2LongXml[i1][7] / arrays2LongXml[i1][0]) <= MinimumLevelFilterRandomGroups) ||(ChoiceFilterNextOOS == 8 && (arrays2LongXml[i1][8] / arrays2LongXml[i1][0]) <= MinimumLevelFilterRandomGroups) ||(ChoiceFilterNextOOS == 9 && (arrays2LongXml[i1][9] / arrays2LongXml[i1][0]) <= MinimumLevelFilterRandomGroups) ||(ChoiceFilterNextOOS == 10 && (arrays2LongXml[i1][10] / arrays2LongXml[i1][0]) <= MinimumLevelFilterRandomGroups))
{
Element elemCopy = (Element)arrays1XmlLongb[i1].clone();
elemCopy.detach();
Group.addContent(elemCopy);
}
}
}
}
}
Groups.addContent(Group);
Element GroupCopy = (Element)Group.clone();
if (DatabanksNumber < NbDataBanks){AllGroups.addContent(GroupCopy);}
String String1 = XMLUtil.elementToString(Groups);
if (SignalType == 1)
{
FileWriter FilterWriter4 = new FileWriter(OutputPath1 + "Entry Long Building Blocks File sorted by " + StringTemp +" Of "+ databankName + ".xml" , true);
FilterWriter4.write(String1);
FilterWriter4.close();
}
else if (SignalType == 2)
{
FileWriter FilterWriter4 = new FileWriter(OutputPath1 + "Exit Long Building Blocks File sorted by " + StringTemp +" Of "+ databankName + ".xml" , true);
FilterWriter4.write(String1);
FilterWriter4.close();
}
// #endregion
//#region ************************************************************* Random groups Short ******************************************************************
Groups = new Element("Groups");
//document = new Document(Groups);
Group = new Element("Group");
classe1 = new Attribute("id", getRandomHexString(32)); // "CB8DA07A5CE85161657363670D57E4F0"
if (!randomID) // New random ID implied creating a new template in SQX each time for each new group, keeping the same ID implied keeping the same template in SQX without templating each time
{
if (SignalType == 1)
{
switch (DatabanksNumber)
{
case 1:
classe1 = new Attribute("id", "982d6384fb01c950cd929869976e1a3a");
break;
case 2:
classe1 = new Attribute("id", "4b7900eab6c9f657154dacc7bd2b78a0");
break;
case 3:
classe1 = new Attribute("id", "36cd9ad64366fa7de45a4ed9a9a51786");
break;
case 4:
classe1 = new Attribute("id", "877f3d7389a85ccba12e836ce861cde7");
break;
case 5:
classe1 = new Attribute("id", "7f4818235ec22d997581b3f49bc6d945");
break;
case 6:
classe1 = new Attribute("id", "10bde31afc740bb669fbeb7c4b162d97");
break;
case 7:
classe1 = new Attribute("id", "c767b466d0beab44418018dc6c3b284f");
break;
case 8:
classe1 = new Attribute("id", "8822e445c98a4b3d6bf834f7825c9b73");
break;
case 9:
classe1 = new Attribute("id", "25a1bdfbb7029e8bf8832feb4cb8be16");
break;
case 10:
classe1 = new Attribute("id", "f4dbcc342a7dc4f2fc0641d7c872f64e");
break;
}
}
if (SignalType == 2)
{
switch (DatabanksNumber)
{
case 1:
classe1 = new Attribute("id", "ccfc79fe76a7851fab39aa2d21adf04f");
break;
case 2:
classe1 = new Attribute("id", "a39104f571d7f22357c5445bb1f4052c");
break;
case 3:
classe1 = new Attribute("id", "c255d39c891949e25db5caa879958947");
break;
case 4:
classe1 = new Attribute("id", "7fe22382d77a84ee41bbdc525ec57063");
break;
case 5:
classe1 = new Attribute("id", "d6cabb3158f08f6aa2d0710dc8acea39");
break;
case 6:
classe1 = new Attribute("id", "d849523fe05f4045ed78f29254e38299");
break;
case 7:
classe1 = new Attribute("id", "478fe992bff80299e463b57f3db82516");
break;
case 8:
classe1 = new Attribute("id", "ec554eb2ce6d2f4425df95d91d5e0328");
break;
case 9:
classe1 = new Attribute("id", "f52644d1abac82f45aa80a997aef5f5d");
break;
case 10:
classe1 = new Attribute("id", "a3bc2c45b41e6bef9c673db19081b1b3");
break;
}
}
}
Group.setAttribute(classe1);
classe2 = new Attribute("name", "Short " + databankName);
if (SignalType == 1)
{
classe2 = new Attribute("name","Entry Short " + databankName);
}
else if (SignalType == 2)
{
classe2 = new Attribute("name","Exit Short " + databankName);
}
Group.setAttribute(classe2);
classe3 = new Attribute("type","Conditions");
Group.setAttribute(classe3);
classe4 = new Attribute("category","No category");
Group.setAttribute(classe4);
for(int i1 = 0; i1 < NbVariableXmlShort; i1++) // For each Variables
{
if ((arrays2ShortXml[i1][0] >= minimumXml && !NbTotalOnNbTradeOrNbStrategies) || (arrays2ShortXml[i1][11] >= minimumXml && NbTotalOnNbTradeOrNbStrategies))
{
if (ChoiceFilterNextOOS == SortType) // OutPut Filter for the next period
{
if (AboveUnder == 1)
{
if ((ChoiceFilterNextOOS == 1 && (arrays2ShortXml[i1][1] / arrays2ShortXml[i1][0]) >= MinimumLevelFilterRandomGroups) ||(ChoiceFilterNextOOS == 2 && (arrays2ShortXml[i1][2] / arrays2ShortXml[i1][0]) >= MinimumLevelFilterRandomGroups) || (ChoiceFilterNextOOS == 3 && (arrays2ShortXml[i1][3] / arrays2ShortXml[i1][0]) >= MinimumLevelFilterRandomGroups) ||(ChoiceFilterNextOOS == 4 && (arrays2ShortXml[i1][4] / arrays2ShortXml[i1][0]) >= MinimumLevelFilterRandomGroups) ||(ChoiceFilterNextOOS == 5 && (arrays2ShortXml[i1][5] / arrays2ShortXml[i1][0]) >= MinimumLevelFilterRandomGroups) ||(ChoiceFilterNextOOS == 6 && (arrays2ShortXml[i1][6] / arrays2ShortXml[i1][0]) >= MinimumLevelFilterRandomGroups) ||(ChoiceFilterNextOOS == 7 && (arrays2ShortXml[i1][7] / arrays2ShortXml[i1][0]) >= MinimumLevelFilterRandomGroups) ||(ChoiceFilterNextOOS == 8 && (arrays2ShortXml[i1][8] / arrays2ShortXml[i1][0]) >= MinimumLevelFilterRandomGroups) ||(ChoiceFilterNextOOS == 9 && (arrays2ShortXml[i1][9] / arrays2ShortXml[i1][0]) >= MinimumLevelFilterRandomGroups) ||(ChoiceFilterNextOOS == 10 && (arrays2ShortXml[i1][10] / arrays2ShortXml[i1][0]) >= MinimumLevelFilterRandomGroups))
{
Element elemCopy = (Element)arrays1XmlShortb[i1].clone();
elemCopy.detach();
Group.addContent(elemCopy);
}
}
if (AboveUnder == 2)
{
if ((ChoiceFilterNextOOS == 1 && (arrays2ShortXml[i1][1] / arrays2ShortXml[i1][0]) <= MinimumLevelFilterRandomGroups) ||(ChoiceFilterNextOOS == 2 && (arrays2ShortXml[i1][2] / arrays2ShortXml[i1][0]) <= MinimumLevelFilterRandomGroups) || (ChoiceFilterNextOOS == 3 && (arrays2ShortXml[i1][3] / arrays2ShortXml[i1][0]) <= MinimumLevelFilterRandomGroups) ||(ChoiceFilterNextOOS == 4 && (arrays2ShortXml[i1][4] / arrays2ShortXml[i1][0]) <= MinimumLevelFilterRandomGroups) ||(ChoiceFilterNextOOS == 5 && (arrays2ShortXml[i1][5] / arrays2ShortXml[i1][0]) <= MinimumLevelFilterRandomGroups) ||(ChoiceFilterNextOOS == 6 && (arrays2ShortXml[i1][6] / arrays2ShortXml[i1][0]) <= MinimumLevelFilterRandomGroups) ||(ChoiceFilterNextOOS == 7 && (arrays2ShortXml[i1][7] / arrays2ShortXml[i1][0]) <= MinimumLevelFilterRandomGroups) ||(ChoiceFilterNextOOS == 8 && (arrays2ShortXml[i1][8] / arrays2ShortXml[i1][0]) <= MinimumLevelFilterRandomGroups) ||(ChoiceFilterNextOOS == 9 && (arrays2ShortXml[i1][9] / arrays2ShortXml[i1][0]) <= MinimumLevelFilterRandomGroups) ||(ChoiceFilterNextOOS == 10 && (arrays2ShortXml[i1][10] / arrays2ShortXml[i1][0]) <= MinimumLevelFilterRandomGroups))
{
Element elemCopy = (Element)arrays1XmlShortb[i1].clone();
elemCopy.detach();
Group.addContent(elemCopy);
}
}
}
}
}
Groups.addContent(Group);
GroupCopy = (Element)Group.clone();
if (DatabanksNumber < NbDataBanks){AllGroups.addContent(GroupCopy);}
String1 = XMLUtil.elementToString(Groups);
if (SignalType == 1)
{
FileWriter FilterWriter4 = new FileWriter(OutputPath1 + "Entry Short Building Blocks File sorted by " + StringTemp +" Of "+ databankName + ".xml" , true);
FilterWriter4.write(String1);
FilterWriter4.close();
}
else if (SignalType == 2)
{
FileWriter FilterWriter4 = new FileWriter(OutputPath1 + "Exit Short Building Blocks File sorted by " + StringTemp +" Of "+ databankName + ".xml" , true);
FilterWriter4.write(String1);
FilterWriter4.close();
}
// #endregion
}
//#endregion
}
//#endregion
if (DatabanksNumber == (NbDataBanks - 1) && SignalType == 2)
{
FileWriter FilterWriter4 = new FileWriter(OutputPath1 + "All Building Blocks File.xml" , true);
String String100 = XMLUtil.elementToString(AllGroups);
FilterWriter4.write(String100);
FilterWriter4.close();
}
}
}
return databankRG;
}
catch (Exception e) //IOException
{
Log.error("Error RankStratsParametersV1", e);
return databankRG;
}
}
//------------------------------------------------------------------------
/**
* creates a Portfolio result from all the existing sub-results in the ResultsGroup
* This is function from standard SQ library, with only exception that this works
* also on WF results - standard ResultsGroup.createPortfolioResult()
* ignores WF results when creating portfolio.
*
* @param portfolioRG
* @throws Exception
*/
public void createPortfolioResult(ResultsGroup portfolioRG) throws Exception
{
Result firstResult = null;
String tf = null;
int resultsInPortfolio = 0;
// go through all existing sub-results and get their initial capital and from-to dates
for(String existingResultKey : portfolioRG.getResultKeys()) {
Result result = portfolioRG.subResult(existingResultKey);
resultsInPortfolio++;
if(firstResult == null) {
firstResult = result;
}
}
if(resultsInPortfolio <= 1)
{
throw new Exception("ResultGroup doesn't contain more Results, cannot create a portfolio!");
}
if(firstResult == null)
{
throw new Exception("No Result in ResultGroup to create portfolio!");
}
SettingsMap settings = firstResult.getSettings();
Result portfolioResult = new Result(ResultsGroup.Portfolio, portfolioRG, settings);
portfolioRG.removeSubresult(ResultsGroup.Portfolio, true);
portfolioRG.addSubresult(ResultsGroup.Portfolio, settings, portfolioResult);
portfolioRG.specialValues().setString(SpecialValues.Symbol, ResultsGroup.Portfolio);
portfolioRG.specialValues().setString(SpecialValues.Timeframe, "N/A");
// for portfolio sort orders by their open time
OrdersList ordersList = portfolioRG.orders();
ordersList.sort(new OrderComparatorByOpenTime());
// compute all metrics on the portfolio
portfolioResult.computeAllStats(portfolioRG.specialValues(), portfolioRG.getOOS());
}
/** create random string for group ID
* @param numchars
*/
private String getRandomHexString(int numchars)
{
Random r = new Random();
StringBuffer sb = new StringBuffer();
while(sb.length() < numchars)
{
sb.append(Integer.toHexString(r.nextInt()));
// sb.append(Integer.toHexString(r.nextInt()));
}
return sb.toString().substring(0, numchars);
}
// Sources:
// https://strategyquant.com/doc/programming-for-sq/changing-strategy-parameters-programmatically/
// https://strategyquant.com/doc/programming-for-sq/viewing-and-changing-strategy-parameters-version-2/
// https://strategyquant.com/doc/programming-for-sq/working-with-resultsgroup/
// https://strategyquant.com/doc/programming-for-sq/example-per-strategy-custom-analysis/
// https://strategyquant.com/doc/programming-for-sq/save-databank-results-to-db/
// https://strategyquant.com/sqxapi/com/strategyquant/tradinglib/Databank.html
// http://www.jdom.org/docs/apidocs/org/jdom2/Element.html
// https://strategyquant.com/doc/strategyquant/random-groups/
// https://stackoverflow.com/questions/2430782/alternative-to-a-goto-statement-in-java
// https://stackoverflow.com/questions/14721397/checking-if-a-string-is-empty-or-null-in-java
// https://ecomputernotes.com/java/swing/joptionpane
}
Quellen:
https://strategyquant.com/doc/programming-for-sq/viewing-and-changing-strategy-parameters-version-2/
Mein Name ist Emmanuel Bouillant-Evrard, Ingenieur mit Spezialisierung auf Finanzen. Ich habe 24 Jahre lang in den USA, Kanada und Frankreich im Bereich Forschung und Entwicklung im Finanzwesen gearbeitet.
Warum sollte ich nicht einmal, d.h. P1 Long, P1 Short in db P1 bauen und das dann als Basis für jeden P1-P7 gleitenden Retest verwenden?
Vielen Dank, Michael, für deinen Kommentar. Die ersten Build-Aufgaben, P1 Long und P1 Short, dienen nur der Suche nach Strategien im IS-Zeitraum. Die Restest-Aufgabe soll Ergebnisse für den IS- und OOS-Zeitraum liefern. Ich habe zwei getrennte Aufgaben erstellt, um jedes Risiko einer IS/OOS-Kontamination zu vermeiden. Wenn wir nur eine Aufgabe für IS und OOS verwenden, kann der letzte In-Sample-Handel im Out-of-Sample-Zeitraum abgeschlossen werden. Dies würde zu unzuverlässigen Statistiken über IS führen und könnte irreführend sein. Die Option, jeden Handel am Ende zu schließen, ist ein Feature-Antrag.... Weiterlesen "
Also, ich habe meinen 1. Lauf gemacht, die Top 5 Ergebnisse Entry/Exit genommen und bin dann zum Algo Wizard gesprungen, um separate Zufallsgruppen für jeden.... zu erstellen. Kumpel, ich bin wieder aufgeregt.
-danke
Vielen Dank, Michael, dein Kommentar motiviert mich, mehr Code und Ideen zu produzieren. Und ich habe viele Ideen mehr !!!
Hallo,
danke für die gute Arbeit.
Wird diese Funktion in einer SQX-Version automatisch implementiert werden (wenn ja, in welcher?)?