void VIXTrader::run(void) throw(TraderException)
{
TA ta;
_invested_days = days(0);
Series::EODSeries::const_iterator vix_iter(_vix_db.begin());
advance(vix_iter, 100); // Skip first 100 bars to give enough room too BBANDS calculation
for( ; vix_iter != _vix_db.end(); ++vix_iter ) {
try {
// Calculate current invested days
if( ! _miPositions.open().empty() )
_invested_days = _invested_days + days(1);
// Calculate VIX BBANDS
TA::BBRes resBBANDS3 = ta.BBANDS(_vix_db.close(vix_iter, 100), 100, 3, 3);
TA::BBRes resBBANDS1 = ta.BBANDS(_vix_db.close(vix_iter, 100), 100, 1, 1);
// Check buy signal
if( _miPositions.open().empty() && vix_iter->second.close > resBBANDS3.upper_band[0] ) {
// Buy tomorrow's close
Series::EODSeries::const_iterator iter_entry = _spx_db.after(vix_iter->first);
if( iter_entry == _spx_db.end() ) {
cerr << "Can't open position after " << vix_iter->first << endl;
continue;
}
buy(_spx_db.name(), iter_entry->first, Price(iter_entry->second.open));
}
// Check sell signal
if( ! _miPositions.open().empty() && vix_iter->second.close < resBBANDS1.upper_band[0] ) {
// Get next bar
Series::EODSeries::const_iterator iter_exit = _spx_db.after(vix_iter->first);
if( iter_exit == _spx_db.end() ) {
cerr << "Can't close position after " << vix_iter->first << endl;
continue;
}
// Close all open positions at tomorrow's close
PositionSet ps = _miPositions.open();
for( PositionSet::const_iterator pos_iter = ps.begin(); pos_iter != ps.end(); ++pos_iter ) {
PositionPtr pPos = (*pos_iter);
close(pPos->id(), iter_exit->first, Price(iter_exit->second.open));
} // end of all open positions
}
} catch( std::exception& e ) {
cerr << e.what() << endl;
continue;
}
} // for each bar
}
void Report::max_cons_neg( void ) const
{
if( _rf.num() == 0 )
return; // avoid exception during report
PositionSet pset = _rf.max_cons_neg();
cout << "Max cons neg: ";
if( pset.empty() ) {
cout << 0 << endl;
return;
}
cout << (int)pset.size();
_begin_end(pset);
}
void Report::max_dd( void ) const
{
if( _rf.num() == 0 )
return; // avoid exception during report
PositionSet pset = _rf.dd();
cout << "Max drawdown: ";
if( pset.empty() ) {
cout << 0 << endl;
return;
}
ReturnFactors ddrf(pset);
cout << ddrf.roi()*100 << '%';
_begin_end(pset);
}
bool operator()(const PositionSet& pset1, const PositionSet& pset2) const { return pset1.realized() < pset2.realized(); }
bool operator()(const PositionSet& pset1, const PositionSet& pset2) const { return pset1.size() < pset2.size(); }
