protected override void CalcBar()
{
Ratio.Value = Bars.CloseValue / BarsOfData(2).CloseValue;
if (Bars.CurrentBar < Length)
{
return;
}
double contracts = this.PortfolioEquity() * PercentEquity / 100;
if (Bars.CurrentBar > 1)
{
if (PublicFunctions.DoubleLess(m_expAvgRatioVal + m_stdDevRatioVal, Ratio.Value))
{
if (!PublicFunctions.DoubleEquals(m_cur_pos, -1))
{
m_cur_pos = -1;
m_short.Send((int)contracts);
}
}
else
if (PublicFunctions.DoubleGreater(m_expAvgRatioVal - m_stdDevRatioVal, Ratio.Value))
{
if (!PublicFunctions.DoubleEquals(m_cur_pos, 1))
{
m_cur_pos = 1;
m_long.Send((int)contracts);
}
}
else
{
m_cur_pos = 0;
m_lx.Send();
m_sx.Send();
}
}
m_expAvgRatioVal = m_expAvgRatio.Value;
m_stdDevRatioVal = Ratio.StandardDeviationCustom(Length, 1);
if (Environment.ApplicationCode == EApplicationCode.Portfolio)
{
int slaveIdx = this.GetFirstStrategyIndexBySymbolName(BarsOfData(2).Info.Name);
if (slaveIdx < 0)
{
ExecControl.Abort(@"specified slave trader on instrument ""{0}"" not found", BarsOfData(2).Info.Name);
}
double money = Math.Abs(m_cur_pos * contracts) * Bars.CloseValue * Bars.Info.BigPointValue;
if (PublicFunctions.DoubleGreater(money, 0))
{
money = this.FromSymbolToPortfolioCurrency(money);
}
PortfolioStrategies[slaveIdx].PortfolioData[MasterMoney] = -m_cur_pos * money;
}
}
protected override void CalcBar()
{
deviation.Value = Bars.Close[0] - current_regression[0];
double standard_deviation = deviation.StandardDeviationCustom(length, 1);
if (standard_deviation > 0.01)
{
double z_score = deviation.Value / standard_deviation;
bool close_long, close_short, open_long, open_short;
if (contrarian)
{
open_short = z_score > trigger;
open_long = z_score < -1 * trigger;
close_long = z_score > 0;
close_short = z_score < 0;
}
else
{
open_long = z_score > trigger;
open_short = z_score < -1 * trigger;
close_short = z_score > 0;
close_long = z_score < 0;
}
if (StrategyInfo.MarketPosition == 0)
{
if (open_long)
{
long_order.Send();
}
if (open_short)
{
short_order.Send();
}
}
else if (StrategyInfo.MarketPosition < 0)
{
if (close_short)
{
close_short_order.Send();
}
}
else if (StrategyInfo.MarketPosition > 0)
{
if (close_long)
{
close_long_order.Send();
}
}
}
}
protected override void CalcBar()
{
this.StrategiesDenyEntriesAll();
int strategiesCount = PortfolioStrategies.Count;
avgReturn.Value = 0;
var ranks = new Dictionary <int, double>();
for (int idx = 0; idx < strategiesCount; idx++)
{
ranks[idx] = PortfolioStrategies[idx].PortfolioData["RankStrategyR"].safe_cast2double();
avgReturn.Value += ranks[idx];
}
avgReturn.Value /= strategiesCount;
double standardDeviation = avgReturn.StandardDeviationCustom(StdDevLength, 1);
if (standardDeviation == 0)
{
standardDeviation = 1;
}
ranks = ranks.ToDictionary(x => x.Key, y => (y.Value - avgReturn.Value) / standardDeviation);
ranks = ranks.OrderByDescending(elem => elem.Value).ToDictionary(x => x.Key, y => y.Value);
List <int> strategies = new List <int>();
int inLong = this.StrategiesInLong(ref strategies);
for (int idx = 0; idx < BuyBestX - inLong; idx++)
{
PortfolioStrategies[ranks.Keys.ElementAt(idx)].AllowEntriesLong = true;
if (UsePercentFromPortfolioForEntry)
{
PortfolioStrategies[ranks.Keys.ElementAt(idx)].EntryContracts =
this.CalcContractsForEntry(PortfolioBalancePercent, ranks.Keys.ElementAt(idx));
}
if (TraceOutput)
{
Output.WriteLine("CurrentBar = {0}. Allow LONG for symbol {1}, Contracts = {2}",
Bars.CurrentBar, PortfolioStrategies[ranks.Keys.ElementAt(idx)].Signals[0].Bars.Info.Name,
PortfolioStrategies[ranks.Keys.ElementAt(idx)].EntryContracts);
}
}
int inShort = this.StrategiesInShort(ref strategies);
for (int idx = strategiesCount - 1; idx > strategiesCount - SellWorstY + inShort + 1; idx--)
{
PortfolioStrategies[ranks.Keys.ElementAt(idx)].AllowEntriesShort = true;
if (UsePercentFromPortfolioForEntry)
{
PortfolioStrategies[ranks.Keys.ElementAt(idx)].EntryContracts =
this.CalcContractsForEntry(PortfolioBalancePercent, ranks.Keys.ElementAt(idx));
}
if (TraceOutput)
{
Output.WriteLine("CurrentBar = {0}. Allow SHORT for symbol {1}, Contracts = {2}",
Bars.CurrentBar, PortfolioStrategies[ranks.Keys.ElementAt(idx)].Signals[0].Bars.Info.Name,
PortfolioStrategies[ranks.Keys.ElementAt(idx)].EntryContracts);
}
}
}
