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AllemandY a-t-il des blocs de construction meilleurs que d'autres ? Peut-on trouver des blocs mieux adaptés à nos paramètres, à nos instruments et à notre horizon temporel ? V2
Contenu des pages
1/ Quelles sont les nouveautés de cette version ?
- Nous avons maintenant Nom des blocs de construction au lieu du nom de la variable. il est plus facile de comprendre quels sont les blocs de construction les plus efficaces dans le cadre d'un projet. Période hors échantillon.
- Le code analyse les Entrée et Signal de sortie.
- Ce nouvel extrait analyse les blocs par nom de signal.. Vous pouvez maintenant choisir le nom du signal que vous voulez analyser.
- En choisissant le nom du signal, vous pouvez sélectionner un signal d'entrée ou un signal de sortie, un signal long ou un signal court d'analyser
- C'est très pratique si vous êtes modélisationIl se peut que vous ayez plusieurs signaux avec des noms différents. Vous pouvez saisir le nom du signal de votre modèle
- Nous utilisons généralement cet extrait avec seulement la position d'entrée, longue ou courte, pour que les résultats soient clairs. Cependant, cela n'est pas toujours possible lorsque l'on se trouve à l'étranger. modélisation. Votre modèle peut comporter un Long et un Short, un indicateur d'entrée et un indicateur de sortie. Ce snippet vous permet de faire des statistiques par signal.
- Vous pouvez ajouter deux signaux de trading ou plus à partir de votre modèle, ou ne faire qu'une seule analyse de signal.
- Vous pouvez étendre ce snippet à n'importe quelle mesure de StrategyQuant. En fait, il y a 10 mesures disponibles.
- Cet extrait permet de créer un portefeuille de transactions à partir de votre sélection de filtres OOS dans la dernière banque de données.. Ensuite vous pouvez voir les résultats hors échantillon dans l'onglet des résultats de StrategyQuant.
- Cet extrait crée une statistique pour chaque banque de données, ainsi qu'une liste de Building Blocks correspondant aux critères. dans le dossier 'C:\n-temp\n-temp\n-temp\n-temp'
- ce snippet écrit un 'groupes aléatoires pour chaque banque de données, afin d'obtenir une sélection plus précise pour la période suivante.
2/ Comment l'installer
- dans le Éditeur de code : Importation "SQExtension RankStratsParameters 15052022 V2 04"(et "SQExtension_SortinoRatio"s'il n'est pas déjà installé dans votre SQX)
- Compiler
- Redémarrage SQX
- (voir la vidéo ci-jointe, "1 Snippets installation")
- Créer un dossier C:\NTemp\N
- Créer les répertoires comme décrit sur l'image ci-dessous, C:\Temp\Résultats P1 etc. (vous pouvez décompresser les fichiers "Annuaires.rar" dans "C:\NTemp" pour vous aider)
- Importer un projet personnalisé "I 1176 Bouillant Research Custom Project EURUSD Ent 1i Ex 1i I" (Il créera vos stratégies)
- Importer un projet personnalisé "I 1177 Analyse de Bouillant Projet personnalisé" (il analysera vos stratégies si vous avez plus de 20000 stratégies dans votre projet)
- Importer un projet personnalisé "I 1177 Analyse de Bouillant Plus Projet Personnalisé" (il analysera vos stratégies si vous avez moins de 20000 stratégies dans votre projet)
3/ Comment tester les Building Blocks ?
L'une des solutions consiste à créer des stratégies dans un Analyse personnalisée et analyser l'entrée longue, l'entrée courte, la sortie longue, la sortie courte à partir de leurs résultats hors échantillon. dans une autre analyse personnalisée :
Le projet personnalisé "I 1176 Bouillant Research Custom Project EURUSD Ent 1i Ex 1i I" sera créer vos stratégies, et le projet personnalisé "I 1177 Analyse de Bouillant Projet personnalisé" volonté analyser vos stratégies.
Il fonctionne comme suit : (Schema.docx)
4/ Y a-t-il des Bâtiment blocs plus performants que les autres ?
Sur les résultats de 3 instruments, plus de 21 ans Sur le total de l'échantillon, J'ai constaté que certains blocs de construction sont bien meilleurs que d'autres :
si vous ouvrez le fichier joint "Résultats triés par Bénéfice net de P1 R"(vous pouvez regarder la vidéo ci-jointe "2 Les blocs sont-ils meilleurs que les autres ?")
Vous pouvez voir sur "Résultats1″. que certains Blocs de construction ont un bénéfice net de 4959 $ par an et sur "Résultats2" les autres blocs de construction ont une perte de -4977 $
Oui, certains blocs de construction sont plus rentables que d'autresCela dépend de votre instrument, de votre stratégie
N'oubliez pas que quelques blocs peuvent fausser vos résultats.
5/ Comment exécuter le snippet sur une banque de données ?
Il vous suffit de
- ajouter un Tâche d'analyse personnalisée à votre projet personnalisé
- sélectionner "RankStrategiesParameters"dans la boîte de dépôt
- sélectionner le source Databank (P1R dans cet exemple)
- exécuter la tâche
- Entrer 1 comme nombre de banques de données dans le premier champ de saisie
- Saisir ensuite 10 en tant que nombre minimum de stratégies par blocs de construction (Plus c'est mieux, cela dépend du nombre de stratégies disponibles dans votre banque de données).
(Vous pouvez voir le "3 Comment exécuter les snippets sur Single DataBank" ? vidéo jointe également)
6/ Peut-on aller plus loin, en analysant plusieurs banques de données ? Sélectionner les meilleurs éléments d'une période de validation croisée et les appliquer à la période suivante ?
Grâce à Mark et aux Coding Sessions, cet extrait peut lire plusieurs banques de données.
Si vous sélectionnez plusieurs banques de données, il les analysera une à une et sélectionnera les éléments de construction en fonction de vos critères.
7/ Comment exécuter les snippets sur plusieurs banques de données ?
J'ai créé un exemple de workflow, vous pouvez le télécharger : "I 1172 USDCHF H1 10YP1"(J'ai joint une vidéo "4 Comment exécuter les snippets sur plusieurs banques de données ?")
Sa période d'inclusion dans l'échantillon est de 10 ans, la période hors échantillon est d'un an. Il s'agit de H1.
Les Flux de travail est réparti sur 7 périodes d'un an. Ce snippets est ajusté pour 7 banques de données : (Vous pouvez l'ajuster)
input = JOptionPane.showInputDialog("Entrez le nombre de banques de données") ; // Option possible
NbDataBanks = Integer.parseInt(input) ;
if (NbDataBanks 7) {NbDataBanks = 7;}
Pour votre workflow, vous pouvez également modifier le nom de la banque de données :
String DatabankName1 = "P1 R" ; // Si vous travaillez sur plusieurs banques de données, vous devez définir ici le numéro de la banque de données et le nom des banques de données. String DatabankName2 = "P2 R" ; // Si vous travaillez sur plusieurs banques de données, vous devez définir ici le numéro de la banque de données et le nom des banques de données. String DatabankName3 = "P3 R" ; // Si vous travaillez sur plusieurs banques de données, vous devez définir le nombre de banques de données ici, le nom des banques de données ici. String DatabankName4 = "P4 R" ; // Si vous travaillez sur plusieurs banques de données, vous devez définir ici le nombre de banques de données et le nom des banques de données. String DatabankName5 = "P5 R" ; // Si vous travaillez sur plusieurs banques de données, vous devez définir ici le nombre de banques de données et le nom des banques de données. String DatabankName6 = "P6 R" ; // Si vous travaillez sur plusieurs banques de données, vous devez définir ici le numéro de la banque de données et le nom de la banque de données. String DatabankName7 = "P7 R" ; // Si vous travaillez sur plusieurs banques de données, vous devez définir ici le numéro de la banque de données et le nom de la banque de données. String DatabankName8 = "P8 R" ; // Si vous travaillez sur plusieurs banques de données, vous devez définir ici le numéro de la banque de données et le nom de la banque de données. String DatabankName9 = "P9 R" ; // Si vous travaillez sur plusieurs banques de données, vous devez définir ici le numéro de la banque de données et le nom de la banque de données. String DatabankName10 = "P10 R" ; // Si vous travaillez sur plusieurs banques de données, vous devez définir ici le nombre de banques de données et le nom des banques de données. String DatabankName11 = "P11 R" ; // Si vous travaillez sur plusieurs banques de données, vous devez définir ici le nombre de banques de données et le nom des banques de données. String DatabankName12 = "P12 R" ; // Si vous travaillez sur plusieurs banques de données, vous devez définir ici le numéro de la banque de données et le nom de la banque de données.
Les Analyse personnalisée est une dernière tâche.
Pour ce flux de travail : (J'ai joint une vidéo "4 Comment exécuter les snippets sur plusieurs banques de données")
- Votre entrée 7 en tant que nombre de banques de données
- Votre entrée 10 en tant que Stratégies minimales par blocs de construction
- Votre entrée 1parce que vous voulez un portefeuille de CV basé sur vos blocs de critères de sélection
- Vous saisissez les critères, 2 pour le bénéfice net
- Vous entrez dans le montant au-delà de laquelle vos éléments de construction sont acceptables.
8/ Peut-il améliorer les résultats ?
A la fin de ce processus, ce snippet crée un portefeuille dans les dernières banques de données. Nous pouvons avoir une vue d'ensemble de toutes les périodes de transactions hors échantillon.
Dans ce test, j'ai pu obtenir des améliorations de l'échantillonnage sur deux instruments, et éviter la perte de 2020., veuillez regarder la vidéo ci-jointe "5 Quelques résultats"
EURUSD sans filtre de blocs :
CHFUSD sans filtre de blocs :
EURUSD avec filtre de blocs :
CHFUSD avec filtre de blocs :
Mon seul critère était le bénéfice net Mais qu'en est-il du ratio de Sharpe ? et de l'indice Ulcer ? Que se passerait-il si nous sélectionnions le bénéfice net et le ratio de Sharpe ?
Jusqu'à présent, J'ai filtré les stratégies uniquement par nom de blocQuels seraient les résultats si nous étions recherche à chaque période d'un groupe aléatoire avec des paramètres précis dans chaque bloc. Les résultats seraient certainement encore meilleurs.
Nous pouvons effectuer d'autres tests avec d'autres indicateurs. Nous avons 10 métriques disponibles dans le snippet, et nous pouvons en ajouter d'autres. Le snippet est facile à développer et à ajuster.
StrategyQuant dispose d'un grand nombre d'indicateurs utiles. Il est précis et fiable, conçu pour les traders. Il est facile à développer avec l'aide des sessions de codage et des membres de la communauté.
Les snippets sont un bon moyen d'unir les développeurs et les commerçants, l'idée d'un seul peut en aider beaucoup. N'hésitez pas à partager vos snippets car cela aide les membres de la communauté.
9/ Le code de l'extrait :
Aperçu du code :
Vous pouvez réduire le code par #Region pour avoir une vue d'ensemble du code :
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
}
Sources :
https://strategyquant.com/doc/programming-for-sq/viewing-and-changing-strategy-parameters-version-2/
Je m'appelle Emmanuel Bouillant-Evrard, ingénieur spécialisé en finance. J'ai travaillé dans la recherche et le développement en finance aux Etats-Unis, au Canada et en France pendant 24 ans.
Pourquoi ne construirais-je pas une fois, c'est-à-dire P1 Long, P1 Short dans le db P1 et ne l'utiliserais-je pas comme base pour chaque retest de glissement P1-P7 ?
Merci Michael pour vos commentaires. Les premières tâches P1 Long et P1 Short ont pour but de rechercher des stratégies sur la période IS uniquement. La tâche restest a pour but d'obtenir des résultats sur la période IS et OOS. J'ai créé deux tâches distinctes pour éviter tout risque de contamination IS / OOS. Si nous utilisons une seule tâche pour IS et OOS, la dernière transaction de l'échantillon peut être clôturée dans la période hors de l'échantillon. Cela donnerait des statistiques peu fiables sur l'IS et pourrait être trompeur. Une demande de fonctionnalité est faite pour l'option de fermeture de toute transaction à la fin de la période d'échantillonnage.... Lire la suite "
J'ai donc effectué mon premier run, en prenant les 5 meilleurs résultats Entry/Exit, et en passant à Algo Wizard pour créer des groupes Random séparés pour chaque..... Mec, je suis à nouveau excité.
-Merci
Merci beaucoup Michael, votre commentaire me motive à produire plus de code et d'idées. Et j'ai encore plein d'idées ! !!
Bonjour,
Merci pour ce beau travail.
Cette fonctionnalité sera-t-elle mise en œuvre automatiquement dans une version du SQX (si oui, laquelle ?)?