add PowerShell page

.gitignore

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+**/*.xlsx

PowerShell/Get-StrategyReportCsvStatistics.ps1

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+<#
+.SYNOPSIS
+Output statistics from a thinkorswim strategy file exported as csv.
+
+.PARAMETER File
+Name or of csv file to process.
+
+.PARAMETER ShowFileContents
+If true, will output the contents of the csv file and calculated properties.
+
+.NOTES
+Author Kory Gill, @korygill
+
+.LINK
+https://github.com/korygill/technical-analysis
+#>
+
+[CmdletBinding()]
+param (
+    [string]
+    $File = '..\FGMR\FGMR-StrategyReports-SPX.csv',
+
+    [switch]
+    $ShowFileContents
+)
+
+#
+# functions
+#
+function Convert-CurrencyStringToDecimal ([string]$input)
+{
+    ((($input -replace '\$') -replace '[)]') -replace '\(', '-') -replace '[^-0-9.]'
+}
+
+function Add-Statistic ([string]$statistic, [double]$data)
+{
+    $dbl = [math]::Round($data, 2)
+    $dblStr = "{0:N2}" -f $dbl
+
+    #Write-Information "$statistic $dblStr"
+
+    $null = $outData.Add(
+        [PSCustomObject]@{
+            'Statistic'=$statistic
+            'DblData'=$dbl
+            'Data'=$dblStr
+            }
+        )
+}
+
+function Write-Header
+{
+    Write-Output "$("="*78)"
+}
+
+
+#
+# start of main script
+#
+
+# Makes debugging from ISE easier.
+if ($PSScriptRoot -eq "")
+{
+    $root = Split-Path -Parent $psISE.CurrentFile.FullPath
+}
+else
+{
+    $root = $PSScriptRoot
+}
+
+Set-Location $root
+
+if (-not (Test-Path $File))
+{
+    throw "Cannot open file '$File'."
+}
+
+# read csv file
+$outData = [System.Collections.ArrayList]::new()
+$content = Get-Content -Path $File
+$csvdata = $content | ? {$_ -match ";.*;"} | ConvertFrom-Csv -Delimiter ';'
+
+# convert currency strings to decimal
+# calculate properties
+foreach ($item in $csvdata)
+{
+    $item.Amount = [double]($item.Amount | Convert-CurrencyStringToDecimal)
+    $item.Price = $item.Price | Convert-CurrencyStringToDecimal
+    $tpl = [double]($item.'Trade P/L' | Convert-CurrencyStringToDecimal)
+    $item.'Trade P/L' = if ($tpl -eq 0) {""} else {$tpl}
+    $pl = [double]($item.'P/L' | Convert-CurrencyStringToDecimal)
+    $item.'P/L' = if ($pl -eq 0) {""} else {$pl}
+
+    if ($tpl -eq 0)
+    {
+        $item | Add-Member -MemberType NoteProperty -Name "Points" -Value 0
+    }
+    else
+    {
+        $apl = [math]::Abs($item.Amount)
+        $item | Add-Member -MemberType NoteProperty -Name "Points" -Value ($tpl/$apl*($apl/50))
+    }
+}
+
+if ($ShowFileContents)
+{
+    $csvdata | ft -AutoSize
+}
+
+#
+# stats!
+#
+Add-Statistic "Total trades:" $($csvdata.Count)
+
+# get only lines that have Trade P/L
+$tradepl = $csvdata | ? {$_.'Trade P/L'}
+Add-Statistic "Total orders:" $($tradepl.Count)
+
+$n = $tradepl.'Trade P/L' | Measure-Object -Maximum -Minimum -Sum -Average
+Add-Statistic "Total P/L:" $($n.Sum)
+Add-Statistic "Min Trade P/L:" $($n.Minimum)
+Add-Statistic "Max Trade P/L:" $($n.Maximum)
+
+$winners = $tradepl | ? {$_.'Trade P/L' -ge 0}
+Add-Statistic "Winners:" $($winners.Count)
+
+$losers = $tradepl | ? {$_.'Trade P/L' -lt 0}
+Add-Statistic "Losers:" $($losers.Count)
+
+$n = $winners.'Trade P/L' | Measure-Object -Maximum -Minimum -Sum -Average
+Add-Statistic "Winner Total P/L:" $($n.Sum)
+Add-Statistic "Winner Min Trade P/L:" $($n.Minimum)
+Add-Statistic "Winner Max P/L:" $($n.Maximum)
+
+$n = $losers.'Trade P/L' | Measure-Object -Maximum -Minimum -Sum -Average
+Add-Statistic "Loser Total P/L:" $($n.Sum)
+Add-Statistic "Loser Min Trade P/L:" $($n.Minimum)
+Add-Statistic "Loser Max P/L:" $($n.Maximum)
+
+<#
+$max = ($tradepl.'P/L' | Measure-Object -Maximum).Maximum
+$maxTrade = $tradepl | ? {$_.'P/L' -eq $max}
+
+$min = ($tradepl.'P/L' | Measure-Object -Minimum).Minimum
+$minTrade = $tradepl | ? {$_.'P/L' -eq $min}
+#>
+
+$points = $tradepl.Points | Measure-Object -Sum -Average -Maximum -Minimum
+Add-Statistic "Average Points:" $points.Average
+Add-Statistic "Maximum Points:" $points.Maximum
+Add-Statistic "Minimum Points:" $points.Minimum
+
+$shortTrades = $tradepl | ? {$_.Amount -lt 0}
+$longTrades = $tradepl | ? {$_.Amount -gt 0}
+
+Add-Statistic "Short Trades:" $shortTrades.Count
+Add-Statistic "Long Trades:" $longTrades.Count
+
+$points = $shortTrades.Points | Measure-Object -Sum -Average -Maximum -Minimum
+Add-Statistic "Short Average Points:" $points.Average
+Add-Statistic "Short Maximum Points:" $points.Maximum
+Add-Statistic "Short Minimum Points:" $points.Minimum
+
+$points = $longTrades.Points | Measure-Object -Sum -Average -Maximum -Minimum
+Add-Statistic "Long Average Points:" $points.Average
+Add-Statistic "Long Maximum Points:" $points.Maximum
+Add-Statistic "Long Minimum Points:" $points.Minimum
+
+Write-Header
+Write-Output "Statistics for '$($tradepl[0].Strategy)' from '$File'."
+Write-Output "From: $($tradepl[0].'Date/Time')"
+Write-Output "  To: $($tradepl[-1].'Date/Time')"
+$outData | Select Statistic, Data | ft
+
+Write-Header
+Write-Output "Trade distribution by size (1 ES == 50 units)"
+$tradepl | Group Amount | Sort {[int]$_.Name} | Select @{n='Trades'; e={$_.Count}}, @{n='TradeSize';e={$_.Name}} | ft
+
+# calc trade length stats
+$openCloseTrade = [System.Collections.ArrayList]::new()
+$firstOpen = $false
+$openTrade = $null
+$closeTrade = $null
+
+foreach ($item in $csvdata)
+{
+    if ($item.Side -match "to Open" -and $firstOpen -eq $false)
+    {
+        $firstOpen = $true
+        $openTrade = $item
+    }
+    elseif ($item.Side -match "to Close")
+    {
+        $firstOpen = $false
+        $closeTrade = $item
+
+        $null = $openCloseTrade.Add(
+            [PSCustomObject]@{
+                'FirstOpenTrade'=$openTrade
+                'CloseTrade'=$closeTrade
+                }
+            )
+    }
+}
+
+# all trades
+$tradeDuration = [System.Collections.ArrayList]::new()
+
+foreach ($trade in $openCloseTrade)
+{
+    $openDate = [datetime]::Parse($trade.FirstOpenTrade.'Date/Time')
+    $closeDate = [datetime]::Parse($trade.CloseTrade.'Date/Time')
+    $numDays = $closeDate - $openDate
+    $null = $tradeDuration.Add($numDays)
+}
+
+Write-Header
+Write-Output "Trade Size by Duration"
+$tradeDuration.TotalDays | group | sort {[int]$_.Count}, {[int]$_.Name} | Select @{n='TradeSize'; e={$_.Count}}, @{n='Days';e={$_.Name}} | ft
+
+# buys only
+$buys = $openCloseTrade | ? {$_.FirstOpenTrade.Side -match "Buy to Open"}
+$tradeDuration = [System.Collections.ArrayList]::new()
+
+foreach ($trade in $buys)
+{
+    $openDate = [datetime]::Parse($trade.FirstOpenTrade.'Date/Time')
+    $closeDate = [datetime]::Parse($trade.CloseTrade.'Date/Time')
+    $numDays = $closeDate - $openDate
+    $null = $tradeDuration.Add($numDays)
+}
+
+Write-Header
+Write-Output "Long Trade Size by Duration"
+$tradeDuration.TotalDays | group | sort {[int]$_.Count}, {[int]$_.Name} | Select @{n='TradeSize'; e={$_.Count}}, @{n='Days';e={$_.Name}} | ft
+
+# sells only
+$sells = $openCloseTrade | ? {$_.FirstOpenTrade.Side -match "Sell to Open"}
+$tradeDuration = [System.Collections.ArrayList]::new()
+
+foreach ($trade in $sells)
+{
+    $openDate = [datetime]::Parse($trade.FirstOpenTrade.'Date/Time')
+    $closeDate = [datetime]::Parse($trade.CloseTrade.'Date/Time')
+    $numDays = $closeDate - $openDate
+    $null = $tradeDuration.Add($numDays)
+}
+
+Write-Header
+Write-Output "Short Trade Size by Duration"
+$tradeDuration.TotalDays | group | sort {[int]$_.Count}, {[int]$_.Name} | Select @{n='TradeSize'; e={$_.Count}}, @{n='Days';e={$_.Name}} | ft
+
+
+

PowerShell/PowerShell.md

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+# PowerShell Scripts
+
+## Output statistics from a thinkorswim strategy file exported as csv.
+
+[Get-StrategyReportCsvStatistics.ps1](Get-StrategyReportCsvStatistics.ps1)
+

README.md

@@ -15,4 +15,8 @@ This is a long/short strategy based on the work of [@kerberos007](https://twitte
 
 [VIX_FGMR](/VIX_FGMR/VIX_FGMR.md)
 
-This is a long/short strategy based on the work of [@kerberos007](https://twitter.com/kerberos007). If you look at his feed, you will see lots of work regarding this strategy using Bollinger Bands, Percent B (%B), and some initial parameters that give good back testing results.
+This is a long/short strategy based on the work of [@kerberos007](https://twitter.com/kerberos007). If you look at his feed, you will see lots of work regarding this strategy using Bollinger Bands, Percent B (%B), and some initial parameters that give good back testing results.
+
+# PowerShell Scripts
+
+[PowerShell Scripts](/PowerShell/PowerShell.md)