Financial Trading Expert System (FETS)

 Abstract of FETS 'C' Programming Code

/*

* Authors   : Francis Lim

* Course   : Master of Science in Information Studies

* System   : Financial Trading Expert System

* Progamming Language : Metrowerks IDE v 4.0, Macintosh Platform OS 9.1

* Description  : Data Flow Diagrams

* FileName   : stocks_finmkt_model.cpp

* Created   :  01 September 2000

* Last Modified  : 31 June 2001

*/

class MovingAverage{

 public:

  double  MA1;

  double  MA2;

  double  MA3; };

class  MovAvgSpread{

 public:

  double  S1;

  double  S2;

  double  S3;};

class TrendMover{

 public:

  int  UpTrend;

  int  DownTrend;

  double  Lowest;

  double  Highest;

  double  ChgInPrice;

};

class StopLossProfit{

 public:

  double  StopLoss;

  double  StopProfit;};

class NetworkWeights{

 public:

  bool  MAvgEntry;

  bool  MAvgExit;

  bool  UpTrend;

  bool  DownTrend;

  bool  StopProfit;

  bool  StopLoss;

  bool  EntrySignal;

  bool  ExitSignal;

  bool  HoldSignal;

  char  BuySignal;

  char  SellSignal;

  double  BuyPrice;

  double  SellPrice;

  double  Profit;};

class NetWorkBuySellSignal{

 public:

  bool  BSSignal;

  long  BSRec;};

class FinModelndicators{

 public:

  MovingAverage  MAvg;

  MovAvgSpread  MASpread;

  TrendMover   TMov;

  StopLossProfit  SLP;

  NetworkWeights  NW;

  TimeSeriesData  Eq;};

class EquitySummaryRpt{

 public:

  char  StockSymbol[32];

  char  Market[25];

  char  Sector[25];

  long  TDFromDate;

  long  TDToDate;

  long  ContractSize;

  double  PLPosition;    // Profit and Loss Account

  double  NetPL;

  double  GrossProfit;

  double  GrossLoss;

  double  PercProfitTD;  // Percent Profitable Trade

  long  TotalTD;       // Total Trades Invested

  long  WinTD;   // Number of Winning Trades

  long  LossTD;   // Number of Losing Trades

  double  LWinTD;   // Largest Winning Trade

  double  LLossTD;  // Largest Losing Trade

  double  AvgWinTD;  // Average Winning Trade

  double  AvgLossTD;  // Average Losing Trade

  double  RAvgWinLossTD; // Ratio Average Winning and Losing Trade

  double  PercReturnAcc; // Percent Return On Account;

  double  InitMktCapital; // Initial Market Capital;};

class SimulateEquityTrading{

 public:

  char     StockSymbol[31];

  long     EqRec, BufferLen;

  char     DataBuffer[DATABUFFER];

  char     EqTradeDir[CHRSTR256];

  char     EqTradeRptDir[CHRSTR256];

  char     EqSimuFName[CHRSTR256];

  char     EqFName[CHRSTR256];

  EquitySummaryRpt  ESR;

  FinModelndicators  FMI[10000];

  NetWorkBuySellSignal NBS;};

SimulateEquityTrading SEQT;

FinModelndicators init_FinModelndicators (FinModelndicators FMI);

double normalize_MovingAverage (int maPeriod, long rec);

double normalize_MA_Spread (int maPeriod, long rec, double maValA, double maValB);

double percentage_Change_In_lastprice (long rec, double prValA, double prValB);

double normalize_HighestHigh (int hiPeriod, long rec);

double normalize_LowestLow (int loPeriod, long rec);

bool moving_Average_UpSignal (int maPeriod, long rec, MovingAverage MAvg);

bool moving_Average_DownSignal (int maPeriod, long rec, MovingAverage MAvg);

bool train_BuySignal (int maPeriod, long rec, int hiPeriod, int tmovUp, bool maEntryState, NetWorkBuySellSignal NBS);

bool train_StopProfitSignal (int maPeriod, long rec, double stopProfitPerc, NetWorkBuySellSignal NBS, TimeSeriesData T1, TimeSeriesData T2);

bool train_StopLossSignal (int maPeriod, long rec, double stopLossPerc, NetWorkBuySellSignal NBS, TimeSeriesData T1, TimeSeriesData T2);

bool train_SellSignal (int maPeriod, long rec, int tmovDown, bool maExitState, NetWorkBuySellSignal NBS);

bool train_HoldSignal (int maPeriod, long rec, TimeSeriesData Eq, TrendMover TMov, NetWorkBuySellSignal NBS);

bool train_HoldSignal_Ext (int maPeriod, long rec, TimeSeriesData Eq, TrendMover TMov1, TrendMover TMov2, NetWorkBuySellSignal NBS);

bool train_HoldSignal_Ext1 (int maPeriod, long rec, TrendMover TMov1, TrendMover TMov2, NetWorkBuySellSignal NBS);

bool train_HoldSignal_Ext2 (int maPeriod, long rec, TimeSeriesData Eq, TrendMover TMov1, TrendMover TMov2, NetWorkBuySellSignal NBS);

NetWorkBuySellSignal rec_Network_EntrySignal (int maPeriod, long rec, double avgPrice, double priceRatio, bool sigEntryState, NetWorkBuySellSignal NBS);

NetWorkBuySellSignal rec_Network_ExitSignal (int maPeriod, long rec, bool sigExitState, NetWorkBuySellSignal NBS);

void write_simu_equity_stats (char *filename);

EquitySummaryRpt init_Equity_Performance_Report (EquitySummaryRpt ESR);

EquitySummaryRpt equity_Performance_Report (char *filename, bool initStatus, EquitySummaryRpt ESR);