public List <Signal> GenerateOnClose(DateTime ts, int leadingIndex, SystemState systemState)
{
List <Signal> res = new List <Signal>();
if (leadingIndex <= _statBB.BackBufferLength)
{
return(res);
}
StockPricesData data = _dataLoader.Get(_stock.FullName, _dataRange, 0, ts, ts);
_currentTrend = BBTrendRecognizer.BBTrendRecognizer.RecognizeTrend(data, (StatBB)_statBB, leadingIndex, _currentTrend, out _);
BBTrendExpectation expectation = BBTrendRecognizer.BBTrendRecognizer.GetExpectation(data, (StatBB)_statBB, leadingIndex, _currentTrend);
if (systemState.PositionsActive.Count > 0)
{
if (systemState.PositionsActive.Count > 1)
{
throw new Exception("More than 1 active position");
}
if ((expectation == BBTrendExpectation.DownAndFalling) || (expectation == BBTrendExpectation.DownButPossibleChange))
{
systemState.PositionsActive[0].CloseMode = PositionCloseMode.OnOpen;
}
}
else
{
if ((expectation == BBTrendExpectation.UpAndRaising) || (expectation == BBTrendExpectation.UpButPossibleChange))
{
res.Add(CreateSignal(PositionDir.Long, systemState, data.C[leadingIndex]));
}
}
return(res);
}
public void GetExpectation__RecognizesCorrectly(float currSMA, float currC,
BBTrendType currTrend, BBTrendExpectation expectedTrend)
{
_statBBMock.SMA[1] = currSMA;
_pricesData.C[bbPeriod] = currC;
SystemDefs.BBTrendRecognizer.BBTrendRecognizer.GetExpectation(_pricesData, _statBBMock, bbPeriod, currTrend).ShouldBe(expectedTrend);
}
private float CalculateBalanceForExpectation(BBTrendExpectation expectation)
{
switch (expectation)
{
case BBTrendExpectation.UpAndRaising: return(0.8f);
case BBTrendExpectation.UpButPossibleChange: return(0.2f);
case BBTrendExpectation.DownButPossibleChange: return(0.2f);
case BBTrendExpectation.DownAndFalling: return(0f);
case BBTrendExpectation.Unknown: return(0f);
default: return(0f);
}
}
public static void CalculateTrendsAndExpectations(BBTrendFundsData data, DateTime ts, StockDataRange dataRange, ISystemDataLoader dataLoader)
{
for (int i = 0; i < data.Stocks.Length; i++)
{
if (!dataLoader.GetWithIndex(data.Stocks[i].FullName, dataRange, ts, data.StatsBB[i].BackBufferLength, out StockPricesData spData, out int dataIndex))
{
continue;
}
BBTrendType lastTrend = data.CurrentTrends[i];
data.CurrentTrends[i] = BBTrendRecognizer.BBTrendRecognizer.RecognizeTrend(spData, data.StatsBB[i], dataIndex, data.CurrentTrends[i], out float trendStartLevel);
if (lastTrend != data.CurrentTrends[i])
{
data.UpTrendStartValues[i] = trendStartLevel;// spData.H[dataIndex];
data.TrendLength[i] = 0;
}
data.TrendLength[i]++;
BBTrendExpectation lastExpectation = data.CurrentExpectations[i];
data.CurrentExpectations[i] = BBTrendRecognizer.BBTrendRecognizer.GetExpectation(spData, data.StatsBB[i], dataIndex, data.CurrentTrends[i]);
data.ExpectationChanged[i] = (lastExpectation != data.CurrentExpectations[i]);
}
}
