public ReverseDTD(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
requireOrdered("exitShortLevel", "triggerShort");
requireOrdered("triggerLong", "exitLongLevel");
requireOrdered("triggerLong", "exitShortLevel");
requireOrdered("exitLongLevel", "triggerShort");
if (!isActive())
{
return;
}
richCheap = symbol.relatedSuffixFromFirstDot(".DTD.EQUITY.RICHCHEAP").doubles(bars);
dtd = symbol.relatedSuffixFromFirstDot(".DTD.EQUITY").doubles(bars);
stockPrice = symbol.relatedSuffixFromFirstDot(".UNADJSTOCKPRICE").doubles(bars);
lengthZScore = parameter <int>("lengthZScore");
zScore = new ZScoreSpud(richCheap, lengthZScore, true);
triggerLong = parameter <double>("triggerLong");
triggerShort = parameter <double>("triggerShort");
exitShort = parameter <double>("exitShortLevel");
exitLong = parameter <double>("exitLongLevel");
stopLoss = parameter <double>("stopLoss");
timeStopBars = parameter <double>("timeStopBars");
trailingStopFlag = parameter <double>("trailingStopFlag");
minPrice = parameter <double>("minPrice");
tradeSize = parameter <double>("tradeSize");
atr = new AverageTrueRangeEW(bars, parameter <int>("ATRLen"));
trailingStop = 0;
deactivate(() => dtd.hasContent() && richCheap.count() >= lengthZScore);
addToPlot(dtd, "DTD", Color.Red, "dtd");
addToPlot(richCheap, "Rich / Cheap", Color.Blue, "richCheap");
}
public NBarFade(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
atrLen = parameter <int>("ATRLen");
nDays = parameter <int>("nDays");
nATREntry = parameter <double>("nATRentry");
stopAfStep = parameter <double>("stopAfStep");
stopAfMax = parameter <double>("stopAfMax");
entryBarWindow = parameter <double>("entryBarWindow");
closeBetter = parameter <bool>("closeBetter");
riskDollars = parameter <double>("riskDollars");
atr = new AverageTrueRangeEW(bars, atrLen); // this should be a daily spud
nATRStopStart = nATREntry * parameter <double>("exitATRmultiple");
entryHighestHigh = bars.high.highest(nDays);
entryLowestLow = bars.low.lowest(nDays);
var halfNDays = (int)Math.Round(nDays * 0.5, 0);
exitHighestHigh = bars.high.highest(halfNDays);
exitLowestLow = bars.low.lowest(halfNDays);
inConfirm = false;
//Plot methods
parabolicStop = null;
stopIndicator = new RootSpud <double>(bars.manager);
addToPlot(stopIndicator, "ParabolicStop", Color.Red);
addToPlot(entryHighestHigh, "entryHighestHigh", Color.LightBlue);
addToPlot(entryLowestLow, "entryLowestLow", Color.Blue);
addToPlot(exitHighestHigh, "exitHighestHigh", Color.Pink);
addToPlot(exitLowestLow, "exitLowestLow", Color.Salmon);
addToPlot(bars.close, "price", Color.Purple);
addToPlot(atr, "ATR", Color.Blue, "ATRPane");
}
public SwingMA(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
entryATRMargin = parameter <double>("EntryATRMargin");
exitATRMargin = 2 * entryATRMargin;
stopATRs = parameter <int>("StopATRs");
riskDollars = parameter <double>("RiskDollars");
atr = new AverageTrueRangeEW(bars, parameter <int>("ATRLen"));
maSlow = new Average(bars.close, parameter <int>("MASlow"));
//Set up raw moving average
switch (parameter <int>("MAType"))
{
case 1:
maSlow = new Average(bars.close, parameter <int>("MASlow"));
maFast = new Average(bars.close, parameter <int>("MAFast"));
break;
case 2:
maSlow = new KAMA(bars.close, 2, 30, parameter <int>("MASlow"));
maFast = new KAMA(bars.close, 2, 30, parameter <int>("MAFast"));
break;
default:
Bomb.toss("Not valid MAType");
break;
}
addToPlot(maSlow, "maSlow", Color.Blue);
addToPlot(maFast, "maFast", Color.Red);
addToPlot(atr, "ATR", Color.Blue, "ATRPane");
}
public RSITargets(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
atr = new AverageTrueRangeEW(bars, parameter <int>("ATRLen"));
rsiSpud = new RSI(bars.close, parameter <int>("HalfLife"));
entryLevel = parameter <double>("EntryLevel");
exitLevel = parameter <double>("ExitLevel");
stoppedFlag = false;
lastDirection = 0;
lastStop = 0;
}
public FadeWeekEndPush(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
atr = new AverageTrueRangeEW(bars, parameter <int>("ATRLen"));
nDays = parameter <int>("NDays");
multiple = parameter <double>("Multiple");
risk = parameter <double>("Risk");
initialEquity = parameter <double>("InitEquity");
fixEquity = parameter <bool>("FixEquity");
exitDay = parameter <int>("ExitDay");
stopLossMultiple = parameter <double>("StopLossMultiple");
bars.close.prepare();
}
protected NDayBreakBase(QREBridgeBase bridge, Symbol symbol,
Converter <BarSpud, ComparableSpud <double> > high,
Converter <BarSpud, ComparableSpud <double> > low
) : base(bridge, symbol)
{
atr = new AverageTrueRangeEW(bars, parameter <int>("ATRLen"));
breakDays = parameter <int>("BreakDays") - 1;
breakOutHigh = high(bars).highest(breakDays);
breakOutLow = low(bars).lowest(breakDays);
breakDownHigh = high(bars).highest(breakDays / 2);
breakDownLow = low(bars).lowest(breakDays / 2);
risk = parameter <double>("Risk");
addToPlot(breakOutHigh, "breakout high", Color.Red);
addToPlot(breakOutLow, "breakout low", Color.Blue);
addToPlot(breakDownHigh, "breakdown high", Color.DeepPink);
addToPlot(breakDownLow, "breakdown low", Color.DeepSkyBlue);
}
public ITrend(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
atrLength = parameter <int>("atrLength");
sizeScaleSwitch = parameter <int>("sizeScaleSwitch");
nATRStop = parameter <double>("nATRStop");
nATRTrigger = parameter <double>("nATRTrigger");
dailyATRSwitch = parameter <int>("useDailyATR");
risk = parameter <int>("risk");
timeStampClose = parameter <double>("timeStampClose");
timeStampMark = parameter <double>("timeStampMark");
atr = new AverageTrueRangeEW(
dailyATRSwitch == 1 ? (Spud <Bar>) new IntervalSpud(bars, Interval.DAILY) : bars,
atrLength);
scaleWeights = new double[10];
zeroTo(scaleWeights.Length, i => scaleWeights[i] = 1.5 - (double)i / 9);
scaleWins = new double[10];
initializeWinScale();
financialCenter = FinancialCenterTable.CENTER.name(39);
}
public FadeMonthEndPush(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
atr = new AverageTrueRangeEW(bars, parameter <int>("ATRLen"));
financialCenter = tsdb.FinancialCenterTable.CENTER.name(parameter <int>("financialCalendar"));
}
