Number of trades from WF Matrix

Remarque – il existe une version mise à jour pour SQX Build 140 et versions ultérieures – voir le snippet joint.

Ce snippet Java ajoute une nouvelle fonctionnalité de colonne de databank et vous permet de calculer le nombre de transactions de toutes les combinaisons d'une matrice WF.

/*
 * Copyright (c) 2017-2018, StrategyQuant - All rights reserved.
 *
 * Code in this file was made in a good faith that it is correct and does what it should.
 * If you found a bug in this code OR you have an improvement suggestion OR you want to include
 * your own code snippet into our standard library please contact us at:
 * https://roadmap.strategyquant.com
 *
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package SQ.Columns.Databanks;
import com.strategyquant.lib.L;
import com.strategyquant.tradinglib.DatabankColumn;
import com.strategyquant.tradinglib.ResultsGroup;
import com.strategyquant.tradinglib.SettingsKeys;
import com.strategyquant.tradinglib.ValueTypes;
import com.strategyquant.tradinglib.WalkForwardResult;
import com.strategyquant.tradinglib.optimization.WalkForwardMatrixResult;
public class NumberOfTradeWF extends DatabankColumn {
	public NumberOfTradeWF() {
		super(L.tsq("# of trades WF"), DatabankColumn.Integer, ValueTypes.Aproximate, 0, 0, 100);
		setWidth(70);
		setTooltip(L.tsq("Number of trades WF"));
		// this means that value depends on number of trading days 
		// and has to be normalized by days when comparing with another
		// result with different number of trading days
		setDependentOnTradingPeriod(true); 
	}
	//------------------------------------------------------------------------
	@Override
	public String getValue(ResultsGroup results, String resultKey, byte direction, byte plType, byte sampleType) throws Exception {		
		/*
		 * Sample code to obtain the stat value of the WF result
		 * ----------------------------------------------------
		 * ----------------------------------------------------
		 * ----------------------------------------------------
		 */
		//Retrieve the WF matrix results
		WalkForwardMatrixResult mwfResult = (WalkForwardMatrixResult) results.mainResult().get(SettingsKeys.WalkForwardResult);
		if(mwfResult==null) {
			return "NA";
		}
		/*
		 *  WalkForwardMatrixResult opt params
		 * 	public int start1;
			public int stop1;
			public int increment1;
			public int start2;
			public int stop2;
			public int increment2;
			for(int j=mwfResult.start2; j<=mwfResult.stop2; j+=mwfResult.increment2) {
				for(int i=mwfResult.start1; i<=mwfResult.stop1; i+=mwfResult.increment1) {
					WalkForwardResult wfResult = mwfResult.getWFResult(i, j);
				}
			}
		 */
		int param1 = mwfResult.start1; //oos		
		int param2 = mwfResult.start2; //run
		//Obtain a specific WF result from the matrix
		WalkForwardResult wfResult = mwfResult.getWFResult(param1, param2);
		/*
		 * WalkForwardResult calculated stats
		 * public SQStats stats = null; //Full Sample stats
		 * public SQStats statsOOS = null; //OOS stats
		 * public SQStats statsStability = null; //The stats stability
		 * public SQStats statsScore = null; //The stats score
		 * public SQStats statsSpecial = null; //The stats special
		 */
		//Return the calculated value of stats
		return wfResult.stats.getInt("NumberOfTrades")+"";
	}
}