static void Main(string[] args)
{
string symbol = YSQSymbol.YSQIndex.SNP;
DateTime begin = new DateTime(2003, 12, 1);
DateTime end = new DateTime(2004, 2, 1);
ISamplePackage samplePackage = new YSQProvider().GetHistory(new Asset(symbol, AssetType.Index), begin, end, null);
IBarPackage barPackage = (IBarPackage)samplePackage;
List <IBar> bars = barPackage.Samples;
TaResult ema13 = bars.EMA(13);
BullPower bullPower = new BullPower(bars, 13);
//var sampleValues = new List<IInstantValue<double>>();
//sampleValues.Add(new InstantValue<double>(new DateTime(2004, 1, 1), 1.0));
//sampleValues.Add(new InstantValue<double>(new DateTime(2004, 1, 2), -1.0));
//sampleValues.Add(new InstantValue<double>(new DateTime(2004, 1, 3), 1.0));
//sampleValues.Add(new InstantValue<double>(new DateTime(2004, 1, 4), -1.0));
ChartPool.CreateChart();
ChartPool.ClearSeries();
ChartPool.AddSeries(
new List <Series> {
new Series("Prices", ChartType.Lines, Colors.Black, bars.Select(x => new Sample(x.DateTime, (double)x.Close))),
new Series("EMA(13)", ChartType.Lines, Colors.Red, ema13.InstantValues.Select(x => new Sample(x.DateTime, x.Value))),
new Series("BullPower(13)", ChartType.Columns, Colors.Blue, bullPower.InstantValues.Select(x => new Sample(x.DateTime, x.Value))),
}
);
Console.WriteLine("Press a key to exit...");
Console.ReadKey(true);
}
static void Main(string[] args)
{
var socks = Provider.GetStocks();
socks.ForEach(stock => {
stock.Update();
var symbol = stock.Symbol;
var begin = new DateTime(2014, 12, 1);
var end = new DateTime(2014, 12, 31);
var asset = new Asset(symbol, AssetType.Stock);
try {
ISamplePackage samplePackage = new YSQProvider().GetHistory(asset, begin, end, null);
IBarPackage barPackage = (IBarPackage)samplePackage;
stock.Update(barPackage);
var samples = barPackage.Samples;
int samplesCount = samples.Count;
if (samplesCount > 0)
{
var lastValue = samples.Last().Close;
Console.WriteLine("Stock: {0} - Samples: {1} - LastValue: {2}", symbol, samplesCount, lastValue);
}
else
{
Console.WriteLine("Stock: {0} - Samples: {1}", symbol, samplesCount);
}
}
catch {
Console.WriteLine("Stock: {0} - NO DATA FOUND", symbol);
}
stock.Save();
});
Console.ReadKey(true);
}
static void Main(string[] args)
{
var symbol = YSQSymbol.YSQIndex.SNP;
var begin = new DateTime(2000, 1, 1);
var end = new DateTime(2015, 1, 1);
var samplePackage = new YSQProvider().GetHistory(new Asset(symbol, AssetType.Index), begin, end, null);
var barPackage = (IBarPackage)samplePackage;
var bars = barPackage.Samples;
//bars.ForEach(x => Console.WriteLine(x));
IBar lastBar = null;
List <double> deltas = new List <double>();
foreach (var bar in bars)
{
if (lastBar != null)
{
var delta = lastBar.Close - bar.Open;
deltas.Add((double)delta);
}
lastBar = bar;
}
// TODO solve this
//var smoothDeltas = deltas.ToArray().SMA(6);
//Console.WriteLine("Press a key to exit...");
//Console.ReadKey(true);
}
static void Main(string[] args)
{
string symbol = YSQSymbol.YSQIndex.SNP;
DateTime begin = new DateTime(2013, 1, 1);
DateTime end = new DateTime(2014, 1, 1);
ISamplePackage samplePackage = new YSQProvider().GetHistory(new Asset(symbol, AssetType.Index), begin, end, null);
IBarPackage barPackage = (IBarPackage)samplePackage;
List <IBar> bars = barPackage.Samples;
// simulation
ISimulation bestSimulation = default(ISimulation);
TaResult bestSimulationSmallEma = default(TaResult);
TaResult bestSimulationBigEma = default(TaResult);
ChartPool.CreateChart();
int configurationsCount = 0;
DateTime simulationsBegin = DateTime.Now;
for (int small = 2; small < 14; small += 1)
{
for (int big = 30; big < 80; big += 1)
{
for (int take = 10; take < 50; take += 2)
{
for (int stop = 10; stop < 50; stop += 2)
{
configurationsCount++;
var simulation = SmaSimulation.CreateLongOnly(2, take, stop);
simulation.SimulationInfo = string
.Format("EMA_SMALL: {0}, EMA_BIG: {1}, TakeProfit: {2}, StopLoss: {3}",
small, big, take, stop);
SimulationRunner simulationRunner = new SimulationRunner(bars, simulation);
var smallEma = bars.EMA(small);
var bigEma = bars.EMA(big);
simulationRunner.AddSerie("EMA_SMALL", smallEma);
simulationRunner.AddSerie("EMA_BIG", bigEma);
simulationRunner.Execute();
Console.WriteLine(simulation.GetReport());
if (bestSimulation == default(ISimulation) || simulation.Earnings > bestSimulation.Earnings)
{
bestSimulation = simulation;
bestSimulationSmallEma = smallEma;
bestSimulationBigEma = bigEma;
}
//ShowSimulation(simulation, bars, smallEma, bigEma);
//Console.ReadKey(true);
}
}
}
}
Console.WriteLine("{0} configurations tested in {1}", configurationsCount, DateTime.Now - simulationsBegin);
Console.WriteLine("Best simulation");
ShowSimulation(bestSimulation, bars, bestSimulationSmallEma, bestSimulationBigEma);
Console.ReadKey(true);
}
public void TestActualPrice()
{
ISample sample = new YSQProvider().GetPrice(new Asset("MSFT", AssetType.Stock));
Assert.IsTrue(sample is IQuote);
IQuote quote = (IQuote)sample;
Assert.IsNotNull(quote.Asset);
Assert.IsNotNull(quote.Source);
Assert.IsNotNull(quote.DateTime);
Assert.IsTrue(quote.Ask > 0);
}
public void TestHistoricalPrices()
{
ISamplePackage samplePackage = new YSQProvider().GetHistory(new Asset("MSFT", AssetType.Stock), new DateTime(2014, 1, 1), new DateTime(2014, 7, 1), null);
Assert.IsTrue(samplePackage is ISamplePackage <IBar>, "samplePackage no es instancia de ISamplePackage<IBar>");
IBarPackage barPackage = (IBarPackage)samplePackage;
Assert.IsNotNull(barPackage.Samples);
Assert.IsTrue(barPackage.Samples.Count > 0);
Assert.IsNotNull(barPackage.Asset);
Assert.IsNotNull(barPackage.Source);
Assert.IsNotNull(barPackage.Period);
}
public void TestMethod()
{
// data
string symbol = YSQSymbol.YSQIndex.SNP;
DateTime begin = new DateTime(2000, 1, 1);
DateTime end = new DateTime(2015, 1, 1);
ISamplePackage samplePackage = new YSQProvider()
.GetHistory(new Asset(symbol, AssetType.Index), begin, end, null);
IBarPackage barPackage = (IBarPackage)samplePackage;
List <IBar> bars = barPackage.Samples;
// simulation
var simulation = new TestSimulation(10, 5, true);
SimulationRunner simulationRunner = new SimulationRunner(bars, simulation);
simulationRunner.AddSerie("EMA_SMALL", bars.EMA(10));
simulationRunner.AddSerie("EMA_BIG", bars.EMA(20));
simulationRunner.Execute();
Debug.WriteLine(simulation.GetReport());
}
static void TrainWithIndexData()
{
List <double[]> data = new List <double[]>();
var symbol = YSQSymbol.YSQIndex.SNP;
var begin = new DateTime(2004, 1, 1);
var end = new DateTime(2008, 1, 1);
var samplePackage = new YSQProvider().GetHistory(new Asset(symbol, AssetType.Index), begin, end, null);
var barPackage = (IBarPackage)samplePackage;
var bars = barPackage.Samples;
TaResult indicator0 = bars.SMA(7);
TaResult indicator1 = bars.SMA(14);
TaResult indicator2 = bars.SMA(24);
TaResult indicator3 = bars.SMA(60);
List <TaResult> indicatorsList = new List <TaResult> {
indicator0, indicator1, indicator2, indicator3
};
// discard bars and indicators previous to valid series
int firstValidSampleOnSeries = TaResult.GetFirstValidSample(indicatorsList);
Console.WriteLine("First valid sample on series: {0}", firstValidSampleOnSeries);
bars.RemoveRange(0, firstValidSampleOnSeries);
TaResult.DiscardFirstSamples(indicatorsList, firstValidSampleOnSeries);
Console.WriteLine("Invalid samples removed");
// possible answers
var stay = new double[] { 1, 0, 0 };
var goLong = new double[] { 0, 1, 0 };
var goShort = new double[] { 0, 0, 1 };
var deltaPrices = bars.Select(x => x.Close - x.Open).ToList();
var action = deltaPrices.Select(deltaPrice => {
var abs = Math.Abs(deltaPrice);
if (abs < 5)
{
return(stay);
}
if (deltaPrice < 0)
{
return(goShort);
}
return(goLong);
}).ToList();
Console.WriteLine("Times to stay: {0}", action.Count(x => x == stay));
Console.WriteLine("Times to go long: {0}", action.Count(x => x == goLong));
Console.WriteLine("Times to go short: {0}", action.Count(x => x == goShort));
int samplesCount = bars.Count;
for (int i = 0; i < samplesCount; i++)
{
var entry = new double[] {
indicator0.InstantValues[i].Value,
indicator1.InstantValues[i].Value,
indicator2.InstantValues[i].Value,
indicator3.InstantValues[i].Value,
action[i][0],
action[i][1],
action[i][2]
};
data.Add(entry);
}
NeuralNetwork neuralNetwork = Trainer.Execute(data);
ChartPool.CreateChart();
int takeProfitPoints = 15;
int stopLossPoints = 10;
decimal intensityThreshold = 0.0m;
indicator0.Normalize();
indicator1.Normalize();
indicator2.Normalize();
indicator3.Normalize();
var simulation = new NNSimulation(neuralNetwork, intensityThreshold, takeProfitPoints, stopLossPoints, true);
SimulationRunner simulationRunner = new SimulationRunner(bars, simulation);
simulationRunner.AddSerie("INDICATOR_0", indicator0);
simulationRunner.AddSerie("INDICATOR_1", indicator1);
simulationRunner.AddSerie("INDICATOR_2", indicator2);
simulationRunner.AddSerie("INDICATOR_3", indicator3);
simulationRunner.Execute();
ShowSimulation(simulation, bars, indicator0, indicator1, indicator2, indicator3);
}
