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 DTDRichCheapV2(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
requireOrdered("exitShortLevel", "triggerShort");
requireOrdered("triggerLong", "exitLongLevel");
requireOrdered("triggerLong", "exitShortLevel");
requireOrdered("exitLongLevel", "triggerShort");
if (!isActive())
{
return;
}
richCheap = symbol.relatedSuffix("RICHCHEAP").doubles(bars);
dtd = symbol.relatedSuffix("DTD").doubles(bars);
spread = symbol.relatedSuffix("SPREAD").doubles(bars);
lengthZScore = parameter <int>("lengthZScore");
zScore = new ZScoreSpud(richCheap, lengthZScore, true);
dv01 = symbol.relatedSuffix("DV01").doubles(bars);
triggerLong = parameter <double>("triggerLong");
triggerShort = parameter <double>("triggerShort");
exitShort = parameter <double>("exitShortLevel");
exitLong = parameter <double>("exitLongLevel");
stopLoss = parameter <double>("lossStopLevel");
timeStopBars = parameter <double>("timeStopBars");
trailingStopFlag = parameter <double>("trailingStopFlag");
maxSpread = parameter <double>("maxSpread");
profitObjectiveMultiple = parameter <double>("profitObjectiveMultiple");
trailingStop = 0;
deactivate(() => dtd.hasContent() && richCheap.count() >= lengthZScore);
addToPlot(dtd, "DTD", Color.Red, "dtd");
addToPlot(richCheap, "Rich / Cheap", Color.Blue, "richCheap");
}
public DTDRichCheap(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
requireOrdered("exitShortLevel", "triggerShort");
requireOrdered("triggerLong", "exitLongLevel");
requireOrdered("triggerLong", "exitShortLevel");
requireOrdered("exitLongLevel", "triggerShort");
if (!isActive())
{
return;
}
richCheap = symbol.relatedSuffix("RICHCHEAP").doubles(bars);
dtd = symbol.relatedSuffix("DTD").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>("lossStopLevel");
deactivate(() => dtd.hasContent() && richCheap.count() >= lengthZScore);
addToPlot(dtd, "DTD", Color.Red, "dtd");
addToPlot(richCheap, "Rich / Cheap", Color.Blue, "richCheap");
}
public CommodityCarry(QREBridgeBase bridge, Pair pair) : base(bridge, pair)
{
leftPrior = prior(pair.left).bars(bars[pair.left]);
rightPrior = prior(pair.right).bars(bars[pair.right]);
spread = new Minus(bars[pair.left].close, bars[pair.right].close);
vol = new StdDeviationOfSample(spread, parameter <int>("volWindow"));
cutoff = parameter <double>("payoutRatioCutoff");
payoutRatio = new RootSpud <double>(bridge.manager);
}
public override void setUp()
{
base.setUp();
nextBarDate = date("2009/05/05");
if (arguments().runInNativeCurrency)
{
return;
}
fxSpud = bridge().fxRates.get(symbol());
fxSpud.enterTestMode();
}
public FXCarry(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
payoutRatio = payoutRatioSymbol(symbol).doubles(bars);
atr = new AverageTrueRange(bars, 100);
tradeSizeParameter = parameter <double>("TradeSize");
recoveryAmount = parameter <double>("RecoveryAmount") * tradeSizeParameter;
recoveryPeriod = parameter <int>("RecoveryPeriod");
trigger = parameter <double>("Trigger");
maxTrigger = parameter <double>("MaxTrigger");
triggerCushion = parameter <double>("TriggerCushion");
addToPlot(payoutRatio, "payoutRatio", Color.Red, "payoutRatio");
bars.close.prepare();
stoppedOut();
}
public CouponSwap(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
//Set up signal data
string tickerHeader;
if (symbol.name.Substring(symbol.name.Length - 3, 3) == "TRS")
{
tickerHeader = symbol.name.Substring(0, 5);
}
else if (Regex.IsMatch(symbol.name, @"....\.\d"))
{
var tickerParts = symbol.name.Split(Convert.ToChar("."));
tickerHeader = (tickerParts[0] == "FNCL" ? "F" : "D");
tickerHeader = tickerHeader + tickerParts[1] + tickerParts[2];
tickerHeader = tickerHeader + tickerParts[3] + tickerParts[4];
}
else
{
throw Bomb.toss("Bad symbol name, not able to figure out the signal data.");
}
modelPrice = new Symbol(tickerHeader + "MDL").doubles(bars);
actualPrice = new Symbol(tickerHeader + "ACT").doubles(bars);
rollDecimal = new Symbol(tickerHeader + "WRL").doubles(bars);
rollTicks = new Times(rollDecimal, rollDecimal.manager.constant(32.0));
tradeSize = parameter <long>("TradeSize");
maxSize = parameter <long>("MaxPyramid") * tradeSize;
entryTicks = parameter <double>("EntryTicks");
stopTicks = parameter <double>("StopTicks");
richCheap = new RichCheapSpud(modelPrice, actualPrice);
longEntryCross = new CrossOverSpud <double>(richCheap, entryTicks);
shortEntryCross = new CrossOverSpud <double>(richCheap, -entryTicks);
longExitCross = new CrossOverSpud <double>(richCheap, parameter <double>("ExitTicks"));
shortExitCross = new CrossOverSpud <double>(richCheap, -parameter <double>("ExitTicks"));
longMA = new EWMA(richCheap, parameter <double>("HalfLife"));
rollCutOff = parameter <double>("RollCutOff");
rollCutOffMargin = parameter <double>("RollCutOff.Margin");
longRollCross = new CrossOverSpud <double>(rollDecimal, -(rollCutOff - rollCutOffMargin) / 32);
shortRollCross = new CrossOverSpud <double>(rollDecimal, (rollCutOff - rollCutOffMargin) / 32);
//Add Plots
addToPlot(modelPrice, "Model Price", Color.Red, "Coupon Swap");
addToPlot(actualPrice, "Actual Price", Color.Blue, "Coupon Swap");
addToPlot(rollTicks, "Weighted Roll", Color.Green, "Roll");
}
public LiqInjT(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
beta = symbol.relatedPrefix("LIB" + "10").doubles(bars);
betaShort = symbol.relatedPrefix("LIO" + "10").doubles(bars);
residual = symbol.relatedPrefix("LIV" + "10").doubles(bars);
zScore = symbol.relatedPrefix("LIZ" + "10").doubles(bars, 0);
tc = symbol.relatedPrefix("LIC" + "10").doublesNoLive(bars);
acf = new EWAcf(zScore, parameter <double>("acfHalfLife"), parameter <int>("acfLag"));
zScoreMin = parameter <double>("zScoreMin");
pScoreMin = parameter <double>("pScoreMin");
betaMin = parameter <double>("betaMin");
betaMax = parameter <double>("betaMax");
acfTrigger = parameter <double>("acfTrigger");
risk = parameter <long>("risk");
stopMultiple = parameter <double>("stopMultiple");
targetNetProfit = stopMultiple * risk;
}
public LiqInj(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
version = symbol.name.Substring(3, 2);
residual = symbol.relatedPrefix("PTV" + version).doubles(bars);
tc = symbol.relatedPrefix("PTC" + version).doublesNoLive(bars);
rSquare = symbol.relatedPrefix("PTR" + version).doubles(bars);
hedge = symbol.relatedPrefix("PTH" + version).doubles(bars);
scale = symbol.relatedPrefix("PTS" + version).doublesNoLive(bars, 0);
var atrLength = parameter <int>("ATRLength");
nATR = parameter <double>("nATR");
if (nATR != 0 && atrLength != 0)
{
atr = new AverageTrueRange(bars, atrLength);
}
zScore = symbol.relatedPrefix("PTZ" + version).doubles(bars, 0);
acf = new EWAcf(zScore, parameter <double>("acfHalfLife"), parameter <int>("acfLag"));
zScoreMin = parameter <double>("zScoreMin");
pScoreMin = parameter <double>("pScoreMin");
rSquareMin = parameter <double>("rSquareMin");
hedgeSwitch = parameter <int>("hedgeSwitch");
hedgeMin = parameter <double>("hedgeMin");
hedgeMax = parameter <double>("hedgeMax");
acfTrigger = parameter <double>("acfTrigger");
scaleMin = parameter <double>("scaleMin");
startSize = parameter <long>("startSize");
stopMultiple = parameter <double>("stopMultiple");
bridge.manager.onLive += () => {
if (startOfDayPosition != null)
{
livePosition = startOfDayPosition;
}
if (startOfDayTargetNetProfit.HasValue)
{
liveTargetNetProfit = startOfDayTargetNetProfit;
}
};
addToPlot(zScore, "zScore", Color.Red, "zScore");
}
public FXCarryV2(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
payoutRatioLong = payoutRatioSymbol(symbol, "Long").doubles(bars).allowStaleTicks();
payoutRatioShort = payoutRatioSymbol(symbol, "Short").doubles(bars).allowStaleTicks();
nATR = parameter <int>("nATR");
atrLen = parameter <int>("ATRLen");
atr = new AverageTrueRange(bars, atrLen);
riskDollars = parameter <double>("RiskDollars");
bollingerBandBarsBack = parameter <int>("BollingerBandBarsBack");
ma = new Average(bars.close, bollingerBandBarsBack);
bollingerBandDeviations = parameter <double>("BollingerBandDeviations");
trigger = parameter <double>("Trigger");
maxTrigger = parameter <double>("MaxTrigger");
triggerCushion = parameter <double>("TriggerCushion");
addToPlot(payoutRatioLong, "payoutRatioLong", Color.Red, "payoutRatioLong");
addToPlot(payoutRatioShort, "payoutRatioShort", Color.Red, "payoutRatioShort");
upperBand = new BollingerBand(bars.close, bollingerBandBarsBack, bollingerBandDeviations);
lowerBand = new BollingerBand(bars.close, bollingerBandBarsBack, -bollingerBandDeviations);
addToPlot(upperBand, "upperBand", Color.Blue);
addToPlot(lowerBand, "lowerBand", Color.Blue);
bars.close.prepare();
stoppedOut = true;
}
public SymbolSpud <double> doublesNoLive(BarSpud spud, double defalt)
{
return(SymbolSpud <double> .doubles(this, spud, defalt, true));
}
public SymbolSpud <double> doubles(BarSpud spud, double defalt)
{
return(SymbolSpud <double> .doubles(this, spud, defalt));
}
public SymbolSpud <double> doubles(BarSpud spud)
{
return(SymbolSpud <double> .doubles(this, spud));
}
public SymbolSpud <Bar> bars(BarSpud spud)
{
return(SymbolSpud <Bar> .bars(this, spud));
}
public CdsSlippage(Symbol symbol, BarSpud bars) : base(symbol, bars)
{
spreads = symbol.relatedSuffix("SPREAD").doubles(bars);
dv01 = symbol.relatedSuffix("DV01").doubles(bars);
}
