Bump

bleunguts · Jan 29, 2024 · ce13638 · ce13638
1 parent 2fb3187
commit ce13638
Showing 1 changed file with 7 additions and 6 deletions.
diff --git a/ProjectX.GatewayAPI/Controllers/BacktestServiceController.cs b/ProjectX.GatewayAPI/Controllers/BacktestServiceController.cs
@@ -37,31 +37,31 @@ public string Get()
     public async Task<ActionResult<StrategyResults>> ComputeLongShortPnl(string ticker, DateTime fromDate, DateTime toDate, double notional, int movingWindow, double signalIn, double signalOut, MovingAverageImpl movingAverageImpl)
     {
         var strategy = new TradingStrategy(TradingStrategyType.MeanReversion, shouldReinvest: false);
-
         var smoothenedSignals = await _stockSignalService.GetSignalUsingMovingAverageByDefault(ticker, fromDate, toDate, movingWindow, movingAverageImpl);
         var strategyPnls = _backtestService.ComputeLongShortPnl(smoothenedSignals, notional, signalIn, signalOut, strategy);
         var yearlyPnls = _backtestService.GetYearlyPnl(strategyPnls);
         var drawdownPnls = _backtestService.CalculateDrawdown(strategyPnls, notional);
+
         return Ok(new StrategyResults(strategyPnls, yearlyPnls, drawdownPnls));
     }
 
     [HttpGet("ComputeLongShortPnlMatrix")]
     public async Task<ActionResult<IEnumerable<MatrixStrategyPnl>>> ComputeLongShortPnlMatrix(string ticker, DateTime fromDate, DateTime toDate, double notional)
     {
         var strategy = new TradingStrategy(TradingStrategyType.MeanReversion, shouldReinvest: false);
-
         var marketPrices = await _stockMarketSource.GetPrices(ticker, fromDate, toDate);
-        var pnls = _backtestService.ComputeLongShortPnlFull(marketPrices, notional, strategy);
-        return Ok(pnls);
+        var matrixPnls = _backtestService.ComputeLongShortPnlFull(marketPrices, notional, strategy);
+
+        return Ok(matrixPnls);
     }
 
     [HttpGet("ComputeLongShortPnlStrategyChartData")]
     public async Task<ActionResult<IEnumerable<StrategyChartData>>> ComputeLongShortPnlStrategyChartData(string ticker, DateTime fromDate, DateTime toDate, double notional, MovingAverageImpl movingAverageImpl = MovingAverageImpl.BollingerBandsImpl)
     {
-        var strategy = new TradingStrategy(TradingStrategyType.MeanReversion, shouldReinvest: false);
-
         try
         {
+            var strategy = new TradingStrategy(TradingStrategyType.MeanReversion, shouldReinvest: false);
+
             var marketPrices = await _stockMarketSource.GetPrices(ticker, fromDate, toDate);
             var pnlRanking = _backtestService.ComputeLongShortPnlFull(marketPrices, notional, strategy);
 
@@ -73,6 +73,7 @@ public async Task<ActionResult<IEnumerable<StrategyChartData>>> ComputeLongShort
             var smoothenedSignals = await _stockSignalService.GetSignalUsingMovingAverageByDefault(ticker, fromDate, toDate, movingWindow, movingAverageImpl);
             List<StrategyPnl> pnlForMaximumProfit = _backtestService.ComputeLongShortPnl(smoothenedSignals, notional, signalIn, signalOut, strategy).ToList();
             var data = pnlForMaximumProfit.Select(p => new StrategyChartData(p.Date.ToString("ddMMyy"), p.PnLCum, p.PnLCumHold));
+
             return Ok(data);
         }
         catch(Exception e) when (e.Message.Contains("TooManyRequests"))