/// <summary>
///
/// </summary>
/// <param name="clazz">identificativo (nome) della classe</param>
/// <returns></returns>
public static Analyze Create(string clazz)
{
var C = MainConfiguration.Configuration;
switch (clazz)
{
case "AnalyzeWithCommands":
return(new AnalyzeWithCommands()
{
//MacdList = MainConfiguration.Configuration.MacdList,
// EmaDiff = MainConfiguration.Configuration.EmaDiff, // ema buoni: 10,20 10,21, 8,20
EmaDiff = EmaDiff.Create(C.EmaDiff[0], C.EmaDiff[1]), // ema buoni: 10,20 10,21, 8,20
StopLoss = new CStopLoss()
{
Percent = C.StopLossPercent
}
});
break;
default:
return(null);
break;
}
}
public static CMarket Create()
{
var analyzer15m = new EvaluationAnalyze()
{
Name = "15m",
timeUnit = 15,
//MacdList = MainConfiguration.Configuration.MacdList,
// EmaDiff = MainConfiguration.Configuration.EmaDiff, // ema buoni: 10,20 10,21, 8,20
EmaDiff = EmaDiff.Create(MainConfiguration.Configuration.EmaDiff[0], MainConfiguration.Configuration.EmaDiff[1]), // ema buoni: 10,20 10,21, 8,20
StopLoss = new CStopLoss()
{
Percent = MainConfiguration.Configuration.StopLossPercent
}
};
var analyzer1h = new EvaluationAnalyze()
{
Name = "1h",
timeUnit = 60,
//MacdList = MainConfiguration.Configuration.MacdList,
// EmaDiff = MainConfiguration.Configuration.EmaDiff, // ema buoni: 10,20 10,21, 8,20
EmaDiff = EmaDiff.Create(MainConfiguration.Configuration.EmaDiff[0], MainConfiguration.Configuration.EmaDiff[1]), // ema buoni: 10,20 10,21, 8,20
StopLoss = new CStopLoss()
{
Percent = MainConfiguration.Configuration.StopLossPercent
}
};
var candleMaker = new CandleMaker()
{
GenerateFile = false, //MainConfiguration.Configuration.GenerateCandleFile,
CandleWidth = MainConfiguration.Configuration.CandleWidthInSeconds,
Analyze = analyzer15m
};
var market = new CMarketEvaluator()
{
UseMtGox = MainConfiguration.Configuration.MarketSimulatorUseMtgox,
UseFile = MainConfiguration.Configuration.MarketSimulatorUseCandleFile,
FileName = MainConfiguration.Configuration.MarketSimulatorCandleFileName,
DeltaTime = MainConfiguration.Configuration.MarketSimulatorSqLiteDeltaTime,
StartTime = MainConfiguration.Configuration.MarketSimulatorSqLiteStartDate,
EndTime = MainConfiguration.Configuration.MarketSimulatorSqLiteEndDate,
CandleMaker = candleMaker,
CandleMakerHourly = new CandleMaker()
{
GenerateFile = false,
CandleWidth = 60 * 15 * 4,
Analyze = analyzer1h
}
};
return(market);
}
public bool IsValid()
{
var result = EmaDiff.IsValid(); //&& (CandlePredictor == null || CandlePredictor.IsValid());
result = result & Ema20.IsValid() && Ema50.IsValid() && Sma200.IsValid();
result = result & Roc.IsValid();
if (result)
{
return(this.Macd122609.IsValid()); //this.MacdList.All(item => item.Macd.IsValid());
}
return(false);
}
protected TradeAction EvalPoll(CMarket market, TradeAction result)
{
var poll = new Poll();
this.Macd122609.Tolerance = MainConfiguration.Configuration.Tolerance;
this.EmaDiff.Tolerance = MainConfiguration.Configuration.Tolerance;
var macdSuggestion = this.Macd122609.SuggestedAction(this.CurrentMacdValue, this.CurrentTrend);
poll.Add(macdSuggestion);
var emadiffSuggestion = EmaDiff.SuggestedAction(CurrentEmaDiff, this.CurrentTrend);
poll.Add(emadiffSuggestion);
var moneySuggestion = this.Values.SuggestedAction(CoinValue, this.CurrentTrend);
poll.Add(moneySuggestion);
return(poll.Result());
}
public override void Customize(TestParam testParam)
{
/***************************************
* MODIFICHE ALLA CONFIGURAZIONE STANDARD
**************************************/
// filenames
//const string filename = @"data\mtgox-hourly-candles-USD.csv"; // 3,4,2 macd
//const string filename = @"data\mtgoxcandlesMonth-15m"; //macd 2,4,-5
//const string filename = @"data\mtgoxcandles10days-5mins";
//const string filename = @"data\mtgoxcandles2013-6hrs"; //3,4,-3 macd
//const string filename = @"data\mtgoxcandles2013-12hrs";
//const string filename = @"data\mtgoxcandles2days-1m";
//const string filename = @"data\mtgoxcandlesAug2013-15m";
//const string filename = @"data\mtgox-augdec2013-15m.csv"; //0,3,-5
//const string filename = @"data\mtgox-complete2013.csv";
//const string filename = @"data\candles-2013-5m.csv";
//const string filename = @"data\candles-2013-jan-apr-5m.csv";
//const string filename = @"data\candles-btce-complete-15m.csv";
const string filename = @"data\candles-2013-jun-dec-5m.csv";
//const string filename = @"data\candles-2013-1m.csv";
//const string filename = @"data\candles-septdec2013-15m.csv";
//const string filename = @"data\candles-mtgox-jan2014-15m";
//const string filename = @"data\candles-jan2014-15m";
// indicatore Ema con rapporto
MainConfiguration.Configuration.StartWalletCoins = 14M;// 0.33M;//0.33M * 1;
MainConfiguration.Configuration.StartWalletMoney = 0;
MainConfiguration.Configuration.QueueLength = 200;
MainConfiguration.Configuration.EmaDiff = EmaDiff.Create(10, 21);
/*
* MainConfiguration.Configuration.MacdList = new List<MacdItem>()
* {
* new MacdItem() {Macd = Macd.Create(12, 26, 9)}
* };
*/
MainConfiguration.Configuration.GenerateOutputTradeHistory = true;
// effettuo un test senza greedyness
var gain = 15M / 10M;// 1.2M; //2;
if (false)
{
MainConfiguration.Configuration.GreedyWithLongTermTrend = false;
MainConfiguration.Configuration.GreedyWithCoinsGain = 1 + 0.1M * gain;
MainConfiguration.Configuration.GreedyWithMoneyGain = 1 + 0.1M * gain;
}
if (true)
{
// greedy baby ;-)
MainConfiguration.Configuration.GreedyWithCoinsGain = 1 + 0.1M * gain;
MainConfiguration.Configuration.GreedyWithMoneyGain = 1 + 0.1M * gain;
}
MainConfiguration.Configuration.MarketSimulatorCandleFileName = filename;
MainConfiguration.Configuration.CandleWidthInSeconds = 60 * 15;
MainConfiguration.Configuration.AlarmStrongSellBuyRocLimit = 4;
MainConfiguration.Configuration.AlarmStrongSellMacdLimit = 8;
// aggiunti per fare un test con tanti valori ma in realtà sono parametri da non utlizare normalmente
MainConfiguration.Configuration.EnableStopLoss = true;
MainConfiguration.Configuration.StopLossPercent = 0.1M * 3;
MainConfiguration.Configuration.ZeroFilterSequenceLen = 10;
// MainConfiguration.Configuration.TestNumber = testParam.I;
// MainConfiguration.Configuration.TestNumber = testParam.I;
MainConfiguration.Configuration.Tolerance = 0.001M * 2; //{1..4} meglio 2
MainConfiguration.Configuration.SecurityLimit = 1.0M + 0.1M * 1; //*2;
//MainConfiguration.Configuration.UndervalueAllowed = true;
//MainConfiguration.Configuration.UndervalueTolerance = 0M;
//MainConfiguration.Configuration.AlarmStrongSellBuyLimit = 1.0M + 0.1M*7; // 8 è meglio testParam.I;
// disabilito il noise per vedere se cambiano i numeri
MainConfiguration.Configuration.MarketSimulatorEnableNoise = false;
MainConfiguration.Configuration.Commands = new string[] { "stoplossvalue", "stoploss", "alarm", "poll", "derivative", "expensivecheap" };
//MainConfiguration.Configuration.ManagerIsConservative = true;
//MainConfiguration.Configuration.ManagerConservativeMaxMoneyToInvest = 10000;
if (false)
{
// gioco con i valori reali
MainConfiguration.Configuration.QueueLength = 200;
MainConfiguration.Configuration.StartWalletCoins = 0.33M;
MainConfiguration.Configuration.StartWalletMoney = 0;
MainConfiguration.Configuration.GenerateCandleFile = true;
MainConfiguration.Configuration.GenerateOutputTradeHistory = true;
MainConfiguration.Configuration.MarketSimulatorUseMtgox = true;
MainConfiguration.Configuration.MarketSimulatorUseCandleFile = false;
MainConfiguration.Configuration.RealTimeHeartBeat = true;
MainConfiguration.Configuration.RealTimeHeartBeatEveryMinutes = 1;
}
MainConfiguration.Configuration.Market = CMarketSimulator.Create();
MainConfiguration.Configuration.Manager = new CManagerTrading()
{
Conservative = MainConfiguration.Configuration.ManagerIsConservative, // cerca sempre di investire la quantità di capitale
PercCapital = MainConfiguration.Configuration.ManagerInvestCapitalPercent, // quantità di capitale da investire
Market = MainConfiguration.Configuration.Market //market
};
}
public void OnNewCandle(Candle candle)
{
_lastCoinValue = CoinValue;
CoinValue = candle.Close;
this.CurrentTrend = Trend();
EmaDiff.Add(CoinValue);
if (EmaDiff.IsValid())
{
// _emadiff = EmaDiff.Calculate();
_emadiff = EmaDiff.CurrentValue;
}
Roc.Add(CoinValue);
if (Roc.IsValid())
{
Rocdiff = Roc.CurrentValue; //Roc.Calculate();
}
Values.Add(CoinValue);
if (Values.IsValid())
{
}
/*
* foreach (MacdItem item in this.MacdList)
* {
* item.Macd.Add(_coinValue);
* if (item.Macd.IsValid())
* {
* item.CurrentValue = item.Macd.Calculate();
* }
* }*/
//this.Macd122609.Calculate();
/*
* if (StopLoss != null) StopLoss.Add(_coinValue);
* if (StopLossReverse != null) StopLossReverse.Add(1/_coinValue);
*/
if (StopLoss != null)
{
StopLoss.Add(CoinValue);
}
if (StopLossReverse != null)
{
StopLossReverse.Add(1 / CoinValue);
}
/*
* _macd031001.Add(_coinValue);
* if (_macd031001.IsValid())
* {
* _macd031001Value = _macd031001.Calculate();
* }
*/
Macd122609.Add(CoinValue);
if (Macd122609.IsValid())
{
CurrentMacdValue = Macd122609.CurrentValue; //Macd122609.Calculate();
}
// calcolo trend
Ema20.Add(candle.Close);
Ema50.Add(candle.Close);
Sma200.Add(candle.Close);
}
