Need Help Plotting the average of a queue

August 31st, 2012, 10:20 PM

I have a project I have been working on that I just got stuck on. My goal is to track multiple automated strategies inside an indicator and to plot the average profit of the last trades stored in memory(queues). The goal is to track 24 strategies based on 8 indicators (8 based on one indy, 16 based on two indy combos). Right now I think I have most of the information being stored correctly for the single indicator strategies (MAE, MFE, Profit), but can't figure out how to plot the average of the profit queue. All strategies are broken into Long Trades - L at the end- and Short trades-S at the end. I have attached what I have so far, and here is the method I am using:

Code

for(int i = 0; i < 8; i++)
			{
				if(LongCount[i] < 20)
				{
					double tp=0;
					double[] profitArray = new double[LongProfit[i].Count];
					LongProfit[i].CopyTo(profitArray,0);
					
					for(int j = 0; j < LongCount[i]; j++)
					{
						//Print(profitArray[0]);
						tp+= profitArray[0];
					}
					myPlotLd[i][0] = tp / (double)LongCount[i];
					Print("Plot"+i+":"+Values[i][0]);
				}
			}
			myStrategy0L.Set(myPlotLd[0][0]);

Any help would be appreciated. There are 48 plots because I plan on splitting everything into Long and short.

September 1st, 2012, 04:43 AM

@Xav1029

In your loop you have fixed 0 index for the profitArray. Change it to j:

Code

for(int j = 0; j < LongCount[i]; j++)
{
	//Print(profitArray[j]);
	tp+= profitArray[j];
}

Alternatively you could also use foreach loop, something like this:

Code

foreach (var q in LongProfit[i].ToList())
{
	tp += q
}

September 1st, 2012, 06:19 AM

Once again THANK YOU @gregid. You know its time to get some sleep when you miss something so simple. LongProfit[i] is actually a queue, so I don't know if you can do do tolist()??
I plan on removing the max and min values values before finding the average, so I will be using linq. Thanks again

September 1st, 2012, 07:43 AM

@Xav1029

ToList is an extension method of IEnumerable and since Queue:

Code

                            
public class Queue<T> : IEnumerable<T>, ICollection, IEnumerable

You are able to use extension method of IEnumerables for the Queue as well

September 1st, 2012, 10:09 AM

So I got all the single indicator strategies to track correctly. Since this will be a discretionary indicator based on MFE/MAE for PT/SL targets, the plots are Average MFE/Average MAE stored in memory, excluding the minimum and maximums (I don't want a homerun to skew targets). Also if avg MFE is less than MinMFE, the plots are transparent (Minimum PT).

The dash style and color combinations will allow you to distinguish the strategies.

Here is what I have so far with a picture of default indicators, MinMFE 20, and TradeMemory 15.

Now its time to drive up to Gainesville for the Gators Football Game.
GO GATORS!!!

Need Help Plotting the average of a queue

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Need Help Plotting the average of a queue