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TZ,
do you think to make some improvement for the system tester
- fixed equity
- fixed shares depend of percentage of the capital ( 2% of my capital
is 1000, 1 entryprice for 1 share is 10, my stoploss price is 9, my
risk is to lose 1$/1 Share, I can buy n shares= 1000(risk of my
capital) /1 (risk of my trade = 1000 shares)
- monte carlo analysis
code source available at
#include <iostream.h>
#include <fstream.h>
#include <stdlib.h>
#include <sys/types.h>
#include <time.h>
#include <math.h>
#include <String.h>
//DEFINES
//number of bins (in x direction)
#define BINS 200
//maximum number of photoelectrons considered
#define MAX_PE 30
//how many events to simulate
#define NUM_EVENTS 40000
//FUNCTION PROTOTYPES
//return a random integer between lower and upper
int myRandInt(int lower, int upper);
//return a random double between lower and upper
double myRandDouble(double lower, double upper);
//return the value of the poisson distribution with
//average value at x
double myPoisson(int x, double avg);
//return value of gauss distribution with mean,
//standard deviation at x
double myGauss(double x, double mean, double stdev);
//return x! (return is a double to be able to handle
//large numbers)
double factorial(int x);
//return a random value conforming to a poisson
//distribution
int poissonBin(double avg, int xMax, double yMax);
//return a random value conforming to a gauss
//distribution
double gaussBin(double mean, double stdev, double lc);
//calculates unattenuated mean from voltage
double myMean(double voltage);
//calculates unattenuated stdev from voltage
double myStdev(double voltage);
//calculates low charge events for a gauss with mean
double myLowC(double mean);
//returns the value attenuated by att
double myAtt(double value, double att);
//Converts an integer to a String
String myIntToString(int x);
//Converts a double to string, accurate to tenths place
String myTenthsToString(double x);
//Converts a String to a double
double myStringToDouble(String num);
//for optimization calculates the highest x value to
//guess in the poisson
int maxPoissonX(double avg);
//for optimization calculates the highest y value to
//guess in the poisson
double maxPoissonY(double avg);
//rounding integer routine
int myRound(double x);
//MAIN
/*This is the main part of the program. There are 3
required command line parameters and one optional.
They are [voltage] [attenuation] [average number of
photoelectrons] [editor mode (non zero value)](opt.)
If the last parameter is omitted a default value of
zero is used.
*/
void main(int argc, char *argv[]) {
if(argc < 4) {
cerr << "Error: too few parameters\n";
exit(-1);
}
srand48(time(NULL));
/*make 2 D array to hold all of the info to be written
to files (spectra) there are MAX_PE+1 different spectra
(one for the combined spectra) and each has BINS number
of bins
*/
int spectra[MAX_PE+1][BINS];
for(int i=0; i<MAX_PE+1; i++)
for(int j=0; j<BINS; j++)
spectra[i][j]=0;
/*
gf is gain factor, gain factor scales the average and
stdev. linearly in an attempt to account for variations
in the gain of the tubes.
*/
double voltage, att, avgpe, opt;
opt=0;
voltage = myStringToDouble(argv[1]);
att = myStringToDouble(argv[2]);
while(att <= 0) {
cout << "Please enter a positive attenuation factor: ";
cin >> att;
}
avgpe = myStringToDouble(argv[3]);
if(argc > 4)
opt=myStringToDouble(argv[4]);
double thresh=0,gf=0;
if(opt !=0){
cout << "\n***Entering Option Editing Mode***\n\n"
<< "Enter the threshold (ADC Channel/10)(default=0):";
cin >> thresh;
cout << "Enter the gain factor(default=0):";
cin >> gf;
}
double stdev = myStdev(voltage);
double mean = myMean(voltage);
int poissonX = maxPoissonX(avgpe);
double poissonY = maxPoissonY(avgpe);
/*adjust mean and stdev*/
mean = mean + gf*mean;
stdev = stdev + 0.34*gf*stdev;
/*get Low Charge Fraction before mean is attenuated*/
double lc=myLowC(mean);
/*attenuate mean and stdev*/
mean=myAtt(mean,att);
stdev=myAtt(stdev,att);
for(int i=0; i<NUM_EVENTS;) {
int numPE = poissonBin(avgpe, poissonX, poissonY);
double tmpGauss=0.0;
for(int j=0; j<numPE; j++) {
tmpGauss += gaussBin(mean,stdev,lc);
}
if(tmpGauss>=thresh) {
int gauss = myRound(tmpGauss);
if(gauss > BINS-1)
gauss=BINS-1;
spectra[numPE][gauss]++;
i++;
}
}
for(int i=0; i<BINS; i++)
for(int j=1; j<MAX_PE+1; j++)
spectra[0][i] += spectra[j][i];
//output is "newspec/[voltage]_[attenuation]_[avgPE]"
//all to tenths place
for(int i=0; i<MAX_PE+1; i++) {
ofstream file_out;
String name;
name = "newspec/";
name += myTenthsToString(voltage);
name += "_";
name += myTenthsToString(att);
name += "_";
name += myTenthsToString(avgpe);
name +="_";
name += myIntToString(i);
file_out.open(name);
for(int j=0; j<BINS; j++)
file_out << spectra[i][j] << endl;
file_out.close();
}
}
int myRandInt(int lower, int upper) {
int done=0;
int result;
while(!done) {
result = int((upper+1-lower)*drand48() + lower);
if(result != upper+1)
done=1;
}
return result;
}
double myRandDouble(double lower, double upper) {
return (upper-lower)*drand48() + lower;
}
double myPoisson(int x, double avg) {
return pow(avg,x)*exp(-avg)/factorial(x);
}
double myGauss(double x, double mean, double stdev) {
return exp(-0.5*pow((mean-x)/(stdev),2));
}
double factorial(int x) {
double result=1;
for(int i=x; i>1; i--)
result = result*i;
return result;
}
int poissonBin(double avg, int xMax, double yMax) {
int done=0;
int x;
while(!done) {
double y = myRandDouble(0,yMax);
x = myRandInt(0,xMax);
if(y < myPoisson(x,avg))
done=1;
}
return x;
}
double gaussBin(double mean, double stdev, double lc) {
int done=0;
double x;
while(!done) {
double y = myRandDouble(0,1);
x = myRandDouble(0,mean+6*stdev);
if((x<mean) && (y<lc))
done=1;
if(y < myGauss(x,mean,stdev))
done=1;
}
return x;
}
//fit from data
double myMean(double voltage) {
return exp(0.00379*voltage-6.45);
}
//fit from data
double myStdev(double voltage) {
return exp(0.0034*voltage-7.05);
}
//fit to data
double myLowC(double mean) {
return (0.35 - 0.024*exp(0.0091*mean));
}
double myAtt(double value, double att) {
return value/att;
}
String myIntToString(int x) {
String result;
if(x/10==0) {
result = char('0'+x);
}
else {
result = myIntToString(x/10);
result += char('0' + x%10);
}
return result;
}
String myTenthsToString(double x) {
int tmp = int(x*10);
String result = myIntToString(tmp);
char last = result[result.length()-1];
result[result.length()-1]='.';
result += last;
return result;
}
double myStringToDouble(String num) {
int decimalq=0;
int power=-1;
double result=0;
for(int i=0; i<num.length(); i++) {
if(num[i]=='.')
decimalq=1;
else if(!decimalq)
result=10*result + double(num[i]-'0');
else {
result=result + double(num[i]-'0')*pow(10,power);
power--;
}
}
return result;
}
int maxPoissonX(double avg) {
double maxY = maxPoissonY(avg);
int i=0;
for(i = int(avg)+1; (myPoisson(i,avg) > 0.001*maxY)
&& (i<MAX_PE); i++);
return i;
}
double maxPoissonY(double avg) {
int tmp = int(avg);
double max = 0.0;
int i=tmp-1;
if(i < 0)
i=0;
for(i; i<=tmp+1; i++)
if(myPoisson(i,avg) > max)
max = myPoisson(i,avg);
return max;
}
int myRound(double x) {
int result = int(x);
if( (x - result) > 0.5 )
result++;
return result;
}
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