Tail Ratio in Explorer

C2 Explorer
9

Hello!

All fields from the C2ExplorerDB.c2ex_publicsystems database table are accessible from the IC2TradingSystem interface now.

A documentation is not yet updated - a list of fields is here:
See https://collective2.com/c2explorer_help/html/T_C2ExplorerDB_c2ex_publicsystems.htm

It means you can modify the Tail Ratio code like this (for example):

    object trdata = new
    {
      Name = system.Name,
      Id = system.Id,
      Started = system.Started,
      Trades = system.Trades.Count(),
      Percentile5 = Math.Round((decimal)percentile5, 4),
      Percentile95 = Math.Round((decimal)percentile95, 4),
      TailRatio = Math.Round((decimal)tailRatio, 2),
      
      // --------------- New fields -------------
      AvgWin = system.AvgWin,
      AvgLoss = system.AvgLoss,
      WinPercent = (decimal)Math.Round((double)system.NumWins / (double)system.NumTrades , 4) * 100
    };

Other info (Sharpe,…) is not so easy and need to be added from the database.

Here is an example how to get Sharpe:

TABLE = from item in C2STATS 
        where systems.Contains(item.SystemId)
        where item.StatName == "jSharpe"
        select item;

Based on this example, you can add the following code:

 // Get Sharpe
    var sharpe = (from item in C2STATS 
        where item.SystemId == system.Id
        where item.StatName == "jSharpe"
        select item.StatValueVal).FirstOrDefault();

and use the result in object trdata = new { ... }

Here is a new code with those modifications:

// Your systems selection.
// For example - last week most popular systems.
var popularLastWeek = from stat in C2STATS
  where stat.StatName == "popular10080"
  orderby stat.StatValueVal descending
  select stat.SystemId;

// Get 10 most popular systems Ids
Int64[] systems = popularLastWeek.Take(10).ToArray();

// A list for results.
List<object> result = new List<object>();

// And something for fun.
IColumnChart chart = new ColumnChart("Tail Ratio - last week most popular systems", "Systems", "Tail Ratio");

foreach (var systemId in systems)
{
  // Get a system for Name, Started date, ...
  IC2TradingSystem system = GetC2SYSTEM(systemId);

  // Create a TimeSheet object. It calculates daily returns.
  ITimeSheet timeSheet = TimeSheetFactory(systemId, TimeInterval.Day, EquityType.Rets);

  // Let TimeSheet run for this system. 
  timeSheet.EquitiesSheet();

  // Get the Returns column for statistics.
  Series<DateTime, Double> returnsColumn = timeSheet.GetColumnAsDouble(systemId, EquityType.Rets);

  // Percentiles
  double percentile5 = Statistics.Percentile(returnsColumn.Values, 5);
  double percentile95 = Statistics.Percentile(returnsColumn.Values, 95);

  double tailRatio = 0.0;
  if (percentile5 != 0.0)
  {
    // Calculate Tail Ratio
    tailRatio = percentile95 / Math.Abs(percentile5);

    // Get Sharpe
    var sharpe = (from item in C2STATS 
        where item.SystemId == system.Id
        where item.StatName == "jSharpe"
        select item.StatValueVal).FirstOrDefault();
    
    // Prepare data for output
    object trdata = new
    {
      Name = system.Name,
      Id = system.Id,
      Started = system.Started,
      Trades = system.Trades.Count(),
      Percentile5 = Math.Round((decimal)percentile5, 4),
      Percentile95 = Math.Round((decimal)percentile95, 4),
      TailRatio = Math.Round((decimal)tailRatio, 2),
      AvgWin = system.AvgWin,
      AvgLoss = system.AvgLoss,
      WinPercent = (decimal)Math.Round((double)system.NumWins / (double)system.NumTrades , 4) * 100,
      Sharpe = (decimal)sharpe
    };

    // Add to the results list
    result.Add(trdata);
    // add to the chart
    chart.Add(system.Name, Math.Round((decimal)tailRatio, 2));
  }
}

CHART = chart;

HR();

H3 = "Tail Ratio - last week most popular systems";
TABLE = result;

// H3 = "Daily returns visualized";
// TABLE = GetEquitiesSheet(systems, TimeInterval.Day, EquityType.Rets);

1 Like