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Alemán¿Hay algún bloque mejor que otro? ¿Podemos encontrar mejores bloques para nuestra configuración, nuestros instrumentos y nuestro marco temporal? V2
Contenido de la página
1/ ¿Qué hay de nuevo en esta versión?
- Ahora tenemos Nombre de los bloques en lugar del nombre de las variables. es más fácil comprender qué bloques de construcción son más eficientes en Periodo fuera de la muestra.
- El Código analiza la Entrada y Señal de salida.
- Este nuevo fragmento analiza los bloques por nombre de señal. Ahora puede elegir por su nombre la señal que desea analizar.
- Eligiendo el nombre de la señal, puede seleccionar una señal de Entrada o de Salida, una señal Larga o Corta analizar
- Esto es muy práctico si plantillaspuede tener varias señales con distinto nombre. Puede introducir el nombre de la señal de su plantilla
- Solemos utilizar este fragmento sólo con la posición de Entrada, Larga o Corta para tener claridad en los resultados Sin embargo, no siempre es posible cuando se está plantillas. Su plantilla puede tener Largo y Corto, indicador de entrada e indicador de salida. Este fragmento le permite hacer estadísticas por señal.
- Puede añadir dos señales de trading o más de su plantilla, o hacer sólo un análisis de señal.
- Puede ampliar este fragmento a cualquier métrica de StrategyQuant. En realidad, hay 10 métricas disponibles.
- Este fragmento puede crear una cartera de operaciones a partir de su selección de filtros OOS en la última base de datos. Entonces puede ver los resultados Fuera de Muestra en la pestaña de resultados de StrategyQuant.
- Este fragmento de código crea una estadística para cada banco de datos y una lista de Building Blocks que se ajustan a los criterios. en la carpeta 'C:\temp\'
- este fragmento escribe un 'grupos aleatorios para cada banco de datos , para tener una selección más precisa para el próximo periodo Fuera de Muestra.
2/ Cómo instalarlo
- en el Editor de código : Importar "SQExtension RankStratsParameters 15052022 V2 04" (y "SQExtension_SortinoRatio"si no está ya instalado en su SQX)
- Compile
- Reinicie SQX
- (ver vídeo adjunto, "Instalación de 1 Snippets")
- Crea una carpeta C:\Temp\
- Crear los directorios como se describe en la imagen de abajo , C:Resultados P1 etc. (puede descomprimir los archivos "Directorios.rar" en "C:Temp" para ayudarte)
- Importar proyecto personalizado "I 1176 Bouillant Investigación Proyecto personalizado EURUSD Ent 1i Ex 1i I" (Creará sus estrategias)
- Importar proyecto personalizado "I 1177 Análisis Bouillant Proyecto personalizado" (analizará sus estrategias si tiene más de 20000 estrategias en su proyecto)
- Importar proyecto personalizado "I 1177 Análisis Bouillant Más Proyecto Personalizado" (analizará sus estrategias si tiene menos de 20000 estrategias en su proyecto)
3/ ¿Cómo podemos probar los Building Blocks?
Una forma es crear estrategias en un Análisis personalizado y analice la Entrada Larga, Entrada Corta, Salida Larga, Salida Corta de sus resultados Fuera de Muestra en otro análisis personalizado:
El proyecto Custom "I 1176 Bouillant Investigación Proyecto personalizado EURUSD Ent 1i Ex 1i I" voluntad crear sus estrategias, y el proyecto personalizado "I 1177 Análisis Bouillant Proyecto a medida" se analizar sus estrategias.
Funciona de la siguiente manera : (Esquema.docx)
4/ ¿Hay algún Edificio ¿bloques mejores que los otros?
Sobre los resultados de 3 Instrumentos, más de 21 años Fuera de Muestra total, He descubierto que algunos Building Blocks son mucho mejores que otros :
si abre el archivo adjunto "Resultados ordenados por NetProfit de P1 R", (puede ver el vídeo adjunto "2 El bloque es mejor que el otro")
Puede ver en "Resultados1″ que algunos Bloques de construcción tienen un beneficio neto de 4959 $ al año y el " Resultados2" otros Building block tienen una pérdida de -4977 $
Sí, algunos bloques de construcción dan más beneficios que otrosdepende de su instrumento, su estrategia
No olvides que unos pocos bloques pueden confundir tus resultados.
5/ ¿Cómo se ejecuta el fragmento en One Databank?
Sólo tienes que
- añadir un Tarea de análisis personalizada a su proyecto personalizado
- seleccione "RankStrategiesParameters" en el buzón
- seleccione el fuente Banco de datos (P1R en este ejemplo)
- ejecutar la tarea
- Entre en 1 como número de DataBanks en la primera casilla de entrada
- A continuación, introduzca 10 como número mínimo de Estrategias por Building blocks (Más es mejor, esto depende del número de estrategias disponibles en su base de datos)
(Puede ver el "3 Cómo ejecutar los fragmentos en Single DataBank". vídeo adjunto también)
6/ ¿Podemos ir más allá, analizando múltiples bancos de datos? ¿Seleccionar los mejores componentes de un periodo de validación cruzada y aplicarlos al periodo siguiente?
Gracias a Mark y a las Sesiones de codificación, este fragmento puede leer varios bancos de datos.
Si selecciona varios bancos de datos, los analizará uno por uno y seleccionará los bloques de construcción en función de sus criterios.
7/ ¿Cómo se ejecutan los fragmentos en varios bancos de datos?
He creado un ejemplo de flujo de trabajo, puede descargarlo : "I 1172 USDCHF H1 10YP1" (Adjunto un vídeo "4 Cómo ejecutar los fragmentos en varios bancos de datos")
Su período dentro de la muestra es de 10 años, el período fuera de la muestra es de un año. Es H1.
En Flujo de trabajo es a lo largo de 7 periodos de un año. Este fragmento está ajustado para 7 bancos de datos : (Puede ajustarlo)
input = JOptionPane.showInputDialog("Introduzca el número de bancos de datos"); // Opción posible
NbDataBanks = Integer.parseInt(input);
if (NbDataBanks 7) {NbDataBanks = 7;}
Para su flujo de trabajo, también puede cambiar el nombre del banco de datos:
String DatabankName1 = "P1 R"; // Si está trabajando con múltiples bancos de datos, tiene que establecer el número de banco de datos aquí, el nombre de los bancos de datos aquí. String DatabankName2 = "P2 R"; // Si está trabajando con múltiples bancos de datos, tiene que establecer el número de banco de datos aquí, el nombre de los bancos de datos aquí. String DatabankName3 = "P3 R"; // Si está trabajando con múltiples bancos de datos, debe establecer el número de banco de datos aquí y el nombre de los bancos de datos aquí. String DatabankName4 = "P4 R"; // Si está trabajando con múltiples bancos de datos, debe establecer el número de banco de datos aquí y el nombre de los bancos de datos aquí. String DatabankName5 = "P5 R"; // Si está trabajando con múltiples bancos de datos, debe establecer el número de banco de datos aquí y el nombre de los bancos de datos aquí. String DatabankName6 = "P6 R"; // Si está trabajando con múltiples bancos de datos, debe establecer el número de banco de datos aquí y el nombre de los bancos de datos aquí. String DatabankName7 = "P7 R"; // Si está trabajando con múltiples bancos de datos, tiene que establecer el número de banco de datos aquí, el nombre de los bancos de datos aquí. String DatabankName8 = "P8 R"; // Si está trabajando con múltiples bancos de datos, tiene que establecer el número de banco de datos aquí, el nombre de los bancos de datos aquí. String DatabankName9 = "P9 R"; // Si está trabajando con múltiples bancos de datos, tiene que establecer el número de banco de datos aquí, el nombre de los bancos de datos aquí. String DatabankName10 = "P10 R"; // Si está trabajando con múltiples bancos de datos, debe establecer el número de banco de datos aquí y el nombre de los bancos de datos aquí. String DatabankName11 = "P11 R"; // Si está trabajando con múltiples bancos de datos, debe establecer el número de banco de datos aquí y el nombre de los bancos de datos aquí. String DatabankName12 = "P12 R"; // Si está trabajando con múltiples bancos de datos, tiene que establecer el número de banco de datos aquí, el nombre de los bancos de datos aquí.
En Análisis personalizado es la última tarea.
Para este flujo de trabajo : (He adjuntado un video "4 Cómo ejecutar los fragmentos en múltiples DataBanks")
- Su entrada 7 como el número de bancos de datos
- Su entrada 10 como el Estrategias mínimas por Building blocks
- Su entrada 1porque desea una cartera de operaciones CV basada en sus criterios de selección de bloques
- Introduzca los criterios , 2 para el beneficio neto
- Se introduce el importe por encima del cual sus bloques de construcción son aceptables.
8/ ¿Puede mejorar los resultados?
Al final de este proceso, este snippet está creando una cartera en los últimos Databanks. Podemos tener una visión global de todas las operaciones de los periodos Fuera de Muestra
En esta prueba, pude obtener mejoras Out Of Sample en dos instrumentos, y evitar la pérdida de 2020Vea el vídeo adjunto "5 Algunos resultados"
EURUSD sin filtro de Bloques :
CHFUSD sin filtro de bloques :
EURUSD con filtro de bloques :
CHFUSD con filtro de bloques :
Mi único criterio era sólo el beneficio neto ¿pero qué pasa con el ratio de Sharpe y el índice Ulcer? Qué pasaría si seleccionamos Beneficio neto y Ratio de Sharpe?
Hasta ahora, He filtrado las estrategias sólo por el nombre del bloque¿cuáles serían los resultados si búsqueda en cada periodo a partir de un Grupo Aleatorio con ajustes precisos en cada bloque. Los resultados serían sin duda aún mejores.
Podemos hacer más pruebas con otras métricas. Tenemos 10 métricas disponibles en el snippet, y podemos añadir más. El snippet es fácil de desarrollar y ajustar.
StrategyQuant tiene un montón de métricas útiles. Es preciso y fiable, hecho para los operadores. Es fácil de desarrollar con la ayuda de las sesiones de codificación y los miembros de la comunidad.
Los snippets son una buena forma de unir a desarrolladores y comerciantes, una idea de uno puede ayudar a muchos. Por favor, comparte tus snippets porque está ayudando a los miembros de la comunidad.
9/ El código Snippet :
Visión general del código :
Puede contraer el código por #Region para tener una visión general del código :
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
}
Fuentes :
https://strategyquant.com/doc/programming-for-sq/viewing-and-changing-strategy-parameters-version-2/
Me llamo Emmanuel Bouillant-Evrard, Ingeniero especializado en Finanzas. He trabajado en Investigación y Desarrollo en Finanzas en EE.UU., Canadá y Francia durante 24 años.
¿Por qué no construir una vez, es decir, P1 largo, P1 corto en db P1 y luego usar eso como base para cada P1-P7 deslizamiento volver a probar?
Gracias Michael por tus comentarios. Las primeras tareas de construcción P1 Largo y P1 Corto, es buscar estrategias en el período IS solamente. La tarea restest es tener resultados IS más período de OOS. Hice dos tareas separadas para evitar cualquier riesgo de contaminación IS / OOS. Si utilizamos sólo una tarea para IS y OOS, la última operación de la muestra puede cerrar en el período fuera de la muestra. Esto daría estadísticas poco fiables sobre IS y podría ser engañoso. Se solicita la opción de cerrar cualquier operación al final del periodo.... Leer más "
Por lo tanto, competí mi 1 ª carrera, tomando los 5 primeros resultados de entrada / salida, saltando a Algo Wizard para crear grupos separados al azar para cada.... Amigo, estoy emocionado de nuevo.
-gracias
Muchas gracias Michael , tu comentario me motiva a producir más código e idea. ¡¡¡Y tengo un montón de ideas más !!!
Hola,
gracias por el buen trabajo.
¿Se implementará esta función automáticamente en una versión de SQX (en caso afirmativo, cuál?)?