exsan_hft_3702
1
2 |ExSan| C++ |ExSan| MSVSC2019_V16_11.19@09.14
3 Tue Oct 18 09:37:02 2022
4
5
6 exsan.plusplus@gmail.com https://twitter.com/#!/ExSan_com
7 JOB: hft3702
8 GLUTo Mon May 15, 2023
9 License Grant for: 165 days more StockCounterDB Number of files: 16
10
11 Read From File myInvestment: 2152 Savings: 21
12
13 stFrom : 7 <---> 131.511 stTo = .55 * myInvestment / minDB : 1183.6 / 9 III
14 pp_lastIN 0 ppnt_time 1 ppnt_data 2 ... -> prev 1, last 0
15 ... -> prev 1, last 0
16
17 stockCounterDB: 16 mu: 0.33 Limit Trading / Savings: 10000 FactoRun: 2
18 ******************
19 <--------E-x-S-a-n---------->
20 Generate Exsan ( 21 , 21 )
21
22 Total Number of assets allocated: 20
23
24 PARAMETERS
25 Investment: 2152 min Inv/Stock: 30 # Ticks -cols-: 10 beta: 0.02 ep(little ball): 0.0001
26 HedgeBand 0.15 <-- 0.7 --> 0.85 R( 0.459134 ; 0.378978 )r Lineal #Ticks: 3
27 Expected Return: 3.3 % minDB: 5 timesLapse: 1 timeZoomFactor: 1 retFactor: 1.5
28 Trigger Check Counter: 5 Number of times dice is thrown: 1432199 EndLess: 0
29 Run: 3 onlyInteger 0 hedge: 1 ntNodes: 1 limitWeightFactor: 0.53 tickLimitToClear: 33
30 dbFile: c:\\exsan\\exsan_data\\stocki.txt
31 |<--------E-x-S-a-n---HFT------->|
32 :2787: before hedge checking count: 8
33
34 :2792: countAssetMinus: 7 <- 3 : 4 +>
35 :2804: BEFORE do
36 :2892OK: Final + hdplus: 0.01 -hdminus: 0.98 hdsum: 1.00 %hdsum = hdpus/hdsum = 0.01
37 :2894: NO HEDGING, NOT in range 0.15 < 0.01 < 0.85
38 :2787: before hedge checking count: 6
39
40 :2792: countAssetMinus: 5 <- 3 : 2 +>
41 :2804: BEFORE do
42 :2892OK: Final + hdplus: 0.76 -hdminus: 0.18 hdsum: 0.94 %hdsum = hdpus/hdsum = 0.81
43 :2893: YES HEDGING, In range 0.15 < 0.81 < 0.85
44 :2910: -----------------------------------------------
45 :2911: HEDGING (hdplus/hdsum) Ok! In range 0.15 < 0.81 < 0.85 hdplus: 0.76 hdminus: 0.18 hdsum: 0.94
46 :2793: run: 3 counter: 5
47 :2828: w updated Portfolio, availability $myInvestment: 2152.00 minDB: 5 ppCorr
48 WORKSHEET 8 H[13, 15] FLOAT
49 L M N O
50 >------------------------------------<
51 1 0.0000000FQVLFi 3: 843.47 44.21 19.08 0.39
52 1 0.0000000 GETYi 5: 906.82 29.02 31.25 0.42
53 1 0.0000000CGEMYi 10: -237.19 6.31 37.60 -0.11
54 1 0.0000000 NOVi 11: -67.39 3.81 17.68 -0.03
55 1 0.0000000 PGYi 13: -97.11 3.25 29.92 -0.05
56 <------------------------------------>
57 12 13 14 15
58 $ n price Wi
59 :2870: Before if - Stock counter: 5 <---=> 5 <-: minDB
60 :2871: Not invested fraction %deltaPrice: 0.02/ 2152.00 = -0.0000100
61 EXECUTE PORTFOLIO myInvestment: 2152.0000000 TickToClearPortfolio: 1000 #TicksPerStock: 33 RUN: 3
62 R: 0.4591339 r: 0.3789777 beta: 0.0200000 %r: 3.3000000 timesLaspse: 1.0000000
63 0.1500000 0.8500000 fabs(negSum): 0.0000000 posSum 0.9380235 Stock Counter: 5
64 :2893: VALID PORTFOLIO initialInvestment 2151.9784800 Not invested fraction: 0.0010000% is less than 10%, OK
65 :2904: AT THE BEGINING Remaining Stocks to beat: 5 geNSTOCKS: 0 expectedReturn: 0.3300000
66
67
68
285
286 :3392: RUN 3 COL 7 Portfolio remaining after closing position pre-Final Portfolio Report ppDataIn
287 WORKSHEET 9 I[13, 9] FLOAT
288 A B C D E F G H I
289 >---------------------------------------------------------------<
290 5 3.0000000FQVLFi 3: 19.08 19.04 -0.04 -0.21 -1.77 -0.10 1817.68 44.21 -1.00
291 10 4.0000000 GETYi 5: 31.25 31.26 0.01 0.05 0.43 0.04 974.21 29.02 1.00
292 4 3.0000000CGEMYi 10: -37.60 38.25 -0.65 -1.73 -4.10 -0.20 2054.87 6.31 -1.00
293 10 3.0000000 NOVi 11: -17.68 17.67 0.01 0.06 0.04 0.06 67.39 3.81 1.00
294 4 4.0000000 PGYi 13: -29.92 31.20 -1.28 -4.27 -4.15 -0.19 2151.98 3.25 -1.00
295 <--------------------------------------------------------------->
296 1 2 3 4 5 6 7 8 9
297 nTick badTicks Vo Vf d %r R=(Vf-Vo)*n %R Portf nhit/miss
298 :3394: geNSTOCKS:-> 1002 <--->1000 <-:geNSTOCKSlimit
299 :3395: *****Abs Ret: -9.55 al final SHUT DOWN Portfolio because overflow of allowed ticks? :3397: Portfolio counter: 5
300 :3503: NOTHING TO CLEAR --- all stocks processed
301 :3559: ok dbDataSumOnRowCol 5 RETURN $: -9.55 %R = -9.55 / 2151.98 = -0.44% compare with last AbsRet: -9.55
302 :3560: Transaction costs tc * nStocks 5*0.00 = 0.00
303 :3551: Transaction costs tshort * nStocks 2*0.00 = 0.00
304 :3562: Net Return -9.55 - 0.00 - 0.00 = -9.55
305 :3464: Net Return -9.55
306 :3615: NOT GOOD PORTFOLIO, KEEP PREVIOUS INVESTMENT 2142.00
307 :3619: next investment ok dbDataSumOnRowCol 2149.00
308 counter: 5 Total Ticks: 1002 Mean Tick: 200
309
326
327 :2792: countAssetMinus: 6 <- 3 : 3 +>
328 :2804: BEFORE do
329 :2892OK: Final + hdplus: 0.45 -hdminus: 0.50 hdsum: 0.95 %hdsum = hdpus/hdsum = 0.48
330 :2893: YES HEDGING, In range 0.15 < 0.48 < 0.85
331 :2910: -----------------------------------------------
332 :2911: HEDGING (hdplus/hdsum) Ok! In range 0.15 < 0.48 < 0.85 hdplus: 0.45 hdminus: 0.50 hdsum: 0.95
333 :2793: run: 2 counter: 6
334 :2828: w updated Portfolio, availability $myInvestment: 2152.00 minDB: 6 ppCorr
335 WORKSHEET 8 H[13, 15] FLOAT
336 L M N O
337 >------------------------------------<
338 1 0.0000000 ENVXi 4: -508.85 23.80 21.38 -0.24
339 1 0.0000000 GFSi 6: 861.32 14.93 57.68 0.40
340 1 0.0000000 PGYi 8: -580.62 27.87 20.83 -0.27
341 1 0.0000000CGEMYi 9: 121.31 3.15 38.56 0.06
342 1 0.0000000FQVLFi 10: 40.43 2.26 17.85 0.02
343 1 0.0000000 CLFi 13: -39.46 0.43 91.99 -0.02
344 <------------------------------------>
345 12 13 14 15
346 $ n price Wi
347 :2870: Before if - Stock counter: 6 <---=> 6 <-: minDB
348 :2871: Not invested fraction %deltaPrice: 0.02/ 2152.00 = -0.0000100
349 EXECUTE PORTFOLIO myInvestment: 2152.0000000 TickToClearPortfolio: 1000 #TicksPerStock: 33 RUN: 2
350 R: 0.4591339 r: 0.3789777 beta: 0.0200000 %r: 3.3330000 timesLaspse: 1.0000000
351 0.1500000 0.8500000 fabs(negSum): 0.2792992 posSum 0.6745032 Stock Counter: 6
352 :2893: VALID PORTFOLIO initialInvestment 2151.9784800 Not invested fraction: 0.0010000% is less than 10%, OK
353 :2904: AT THE BEGINING Remaining Stocks to beat: 6 geNSTOCKS: 0 expectedReturn: 0.3333000
354
355
356
550 :2924: Tick:-> 32 row: 10 FQVLFi(4) -*-*-> 18.1952
551 :3135: noSHORT assetRet: 0.00 from previous tick discount previous AbsRet-> -12.98 - 0.32 current AbsRet: -13.30
552 :3145: AbsRet: -13.30 + 0.78 = -12.52 = -13.30 + 2.26 * (18.20 - 17.85) :3147: deltaPrice: 0.35 / 18.20 = 0.02
553 :3148: Abs Ret: -12.52 retPortCurrent: -1.39% current Portfolio: 901.75 expected retPortfolio: 0.33% overall portRet : -0.01
554 :3203: pivot val now is: 18.20 :3212: #No change -remains in ZERO- in badTickerCounter: 0.00
555
556 :2924: Tick:-> 34 row: 6 GFSi(6) -*-*-> 57.81
557 :3135: noSHORT assetRet: 0.00 from previous tick discount previous AbsRet-> -12.52 - 1.94 current AbsRet: -14.46
558 :3145: AbsRet: -14.46 + 1.87 = -12.59 = -14.46 + 14.93 * (57.81 - 57.68) :3147: deltaPrice: 0.12 / 57.81 = 0.00
559 :3148: Abs Ret: -12.59 retPortCurrent: -1.40% current Portfolio: 901.75 expected retPortfolio: 0.33% overall portRet : -0.01
560 :3184: opposite direction, ticker counter was: 1 :3186: becomes: 2
561 :3187: #current 57.81 < 57.81 <--:less than previous; bad_tick_counter: 2.00 :3188: no change in pivot: 57.88
562
563 :2924: Tick:-> 35 row: 10 FQVLFi(5) -*-*-> 18.17
564 :3135: noSHORT assetRet: 0.00 from previous tick discount previous AbsRet-> -12.59 - 0.78 current AbsRet: -13.37
565 :3145: AbsRet: -13.37 + 0.72 = -12.65 = -13.37 + 2.26 * (18.17 - 17.85) :3147: deltaPrice: 0.32 / 18.17 = 0.02
566 :3148: Abs Ret: -12.65 retPortCurrent: -1.40% current Portfolio: 901.75 expected retPortfolio: 0.33% overall portRet : -0.01
567 :3184: opposite direction, ticker counter was: 0 :3186: becomes: 1
568 :3187: #current 18.17 < 18.20 <--:less than previous; bad_tick_counter: 1.00 :3188: no change in pivot: 18.20
569
570 :2924: Tick:-> 43 row: 10 FQVLFi(6) -*-*-> 18.08
571 :3135: noSHORT assetRet: 0.00 from previous tick discount previous AbsRet-> -12.65 - 0.72 current AbsRet: -13.37
572 :3145: AbsRet: -13.37 + 0.52 = -12.85 = -13.37 + 2.26 * (18.08 - 17.85) :3147: deltaPrice: 0.23 / 18.08 = 0.01
573 :3148: Abs Ret: -12.85 retPortCurrent: -1.43% current Portfolio: 901.75 expected retPortfolio: 0.33% overall portRet : -0.01
574 :3184: opposite direction, ticker counter was: 1 :3186: becomes: 2
575 :3187: #current 18.08 < 18.17 <--:less than previous; bad_tick_counter: 2.00 :3188: no change in pivot: 18.20
576 :3193: Abrupt Jump respect Pivot, assetRet: 0.00 datum: 18.08 rStockPivot = (18.08 - 18.20) / 18.20 = -0.01 <<< -0.00 return is less than 1.50 * 0.00
577 :3196: bad_tick_counter was: 2 :3199: becomes: 3
578 :3230: Clear this stock -badTick reached the limit: 3 1
579
580 :2924: Tick:-> 47 row: 6 GFSi(7) -*-*-> 58
581 :3135: noSHORT assetRet: 0.00 from previous tick discount previous AbsRet-> -12.85 - 1.87 current AbsRet: -14.72
582 :3145: AbsRet: -14.72 + 1.72 = -13.00 = -14.72 + 14.93 * (57.79 - 57.68) :3147: deltaPrice: 0.11 / 57.79 = 0.00
583 :3148: Abs Ret: -13.00 retPortCurrent: -1.51% current Portfolio: 861.32 expected retPortfolio: 0.33% overall portRet : -0.02
584 :3184: opposite direction, ticker counter was: 2 :3186: becomes: 3
585 :3187: #current 57.79 < 57.81 <--:less than previous; bad_tick_counter: 3.00 :3188: no change in pivot: 57.88
586 :3230: Clear this stock -badTick reached the limit: 3.00 1
587 :3390: AT THE END Remaining Stocks to beat: 0 geNSTOCKS: 1002 expectedReturn: 0.33
588
589 :3392: RUN 2 COL 7 Portfolio remaining after closing position pre-Final Portfolio Report ppDataIn
590 WORKSHEET 9 I[13, 9] FLOAT
591 A B C D E F G H I
592 >---------------------------------------------------------------<
593 4 4.0000000 ENVXi 4: -21.38 21.62 -0.24 -1.12 -5.71 -0.27 2151.98 23.80 -1.00
594 8 3.0000000 GFSi 6: 57.68 57.79 0.11 0.20 1.72 0.20 861.32 14.93 1.00
595 5 3.0000000 PGYi 8: -20.83 21.17 -0.34 -1.62 -9.39 -0.63 1482.36 27.87 -1.00
596 4 4.0000000CGEMYi 9: 38.56 38.50 -0.06 -0.16 -0.19 -0.01 1603.67 3.15 -1.00
597 7 3.0000000FQVLFi 10: 17.85 18.08 0.23 1.29 0.52 0.06 901.75 2.26 1.00
598 8 3.0000000 CLFi 13: -91.99 91.87 0.12 0.13 0.05 0.00 1643.13 0.43 1.00
599 <--------------------------------------------------------------->
600 1 2 3 4 5 6 7 8 9
601 nTick badTicks Vo Vf d %r R=(Vf-Vo)*n %R Portf nhit/miss
602 :3394: geNSTOCKS:-> 1002 <--->1000 <-:geNSTOCKSlimit
603 :3395: *****Abs Ret: -13.00 al final SHUT DOWN Portfolio because overflow of allowed ticks? :3397: Portfolio counter: 6
604 :3503: NOTHING TO CLEAR --- all stocks processed
605 :3559: ok dbDataSumOnRowCol 5 RETURN $: -13.00 %R = -13.00 / 2151.98 = -0.60% compare with last AbsRet: -13.00
606 :3560: Transaction costs tc * nStocks 6*0.00 = 0.00
607 :3551: Transaction costs tshort * nStocks 3*0.00 = 0.00
608 :3562: Net Return -13.00 - 0.00 - 0.00 = -13.00
609 :3464: Net Return -13.00
610 :3615: NOT GOOD PORTFOLIO, KEEP PREVIOUS INVESTMENT 2138.00
611 :3619: next investment ok dbDataSumOnRowCol 2148.00
612 counter: 6 Total Ticks: 1002 Mean Tick: 167
613
614 :4058: Starts a New Round, run: 1 reset geNSTOCKS: 1432199
615 :3809: minDB: 169.09 stTo = .55 * myInvestment / minDB : 1183.60 / 7 III
616 :3834: ??????CLOSES if (!(posSum > 7. || fabs(negSum) > 7.) && counter > 1) {
617 :2787: before hedge checking count: 8
618
619 :2792: countAssetMinus: 7 <- 3 : 4 +>
620 :2804: BEFORE do
621 :2892OK: Final + hdplus: 0.88 -hdminus: 0.08 hdsum: 0.95 %hdsum = hdpus/hdsum = 0.92
622 :2894: NO HEDGING, NOT in range 0.15 < 0.92 < 0.85
623 :2787: before hedge checking count: 10
624
625 :2792: countAssetMinus: 9 <- 4 : 5 +>
626 :2804: BEFORE do
627 :2892OK: Final + hdplus: 0.65 -hdminus: 0.31 hdsum: 0.96 %hdsum = hdpus/hdsum = 0.68
628 :2893: YES HEDGING, In range 0.15 < 0.68 < 0.85
629 :2910: -----------------------------------------------
630 :2911: HEDGING (hdplus/hdsum) Ok! In range 0.15 < 0.68 < 0.85 hdplus: 0.65 hdminus: 0.31 hdsum: 0.96
631 :2793: run: 1 counter: 9
632 :2870: Before if - Stock counter: 1 <---=> 7 <-: minDB
633 :2871: Not invested fraction %deltaPrice: 235.95/ 2152.00 = -0.1096439
634
635 :3927: Normal exit geNSTOCKS:-> 0
636
637 :4282: Beep ExSan has been killed
638 1 action ---> copy C:\\exsan\\exsan_data\\balanceSheeTest.txt d:\exsan\IB\exsan_hft_3702.txt
639
640 2 action ---> copy C:\\exsan\\exsan_data\\balanceSheeTest.txt d:\Mis Documentos\Google Drive\exsan_hft_3702.txt
641
642 hft3702 Elapsed Time: 276 sec CHRONO START: Tue Oct 18 09:37:02 2022
643 STOP: Tue Oct 18 09:41:38 2022
644
645
646 Boost version: 1.80.0
647
648 EXIT FROM EXSAN
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