public SimulationResult Get(string start, string end, int interval, [FromUri] StrategyParameters parameters)
{
var startDate = DateTime.ParseExact(start, "yyyyMMdd", CultureInfo.InvariantCulture);
var endDate = DateTime.ParseExact(end, "yyyyMMdd", CultureInfo.InvariantCulture);
var intervalInMinutes = interval;
var result = Simulate(startDate, endDate, intervalInMinutes, parameters);
return(result);
}
private void BollingerBandStrategy(OHLC ohlc, DateTime date, StrategyParameters parameters)
{
if (DataPoints.Count < 200)
{
return;
}
var rsiPeriod = parameters.RsiPeriod;
var rsiThreshold = parameters.RsiThreshold;
var stopLossRatio = parameters.StopLossRatio;
//Calculate indicators
var direction = CalculateMovingAverage(200);
var sellSignal = CalculateMovingAverage(5);
var rsi = CalculateRelativeStrengthIndex(rsiPeriod);
var bb = CalculateBollingerBands(20, 2);
var percentB = bb.PercentB;
var bandwidth = bb.Bandwidth;
//Long Entry
//When the price candle closes or is already above 200 day MA and RSI closes below 5 buy
//Sell when closes above 5-period moving average
if (State == TradingState.Initial)
{
if (ohlc.High > direction && percentB > 100)
{
CreateOrder(ohlc, date, "Buy", $"<br/> %b {percentB:N0} <br/> bandwidth {bandwidth:N0} <br/> upper {bb.UpperBand:N0} <br/> lower {bb.LowerBand:N0}");
State = TradingState.MonitoringDownTrend;
}
}
else if (State == TradingState.MonitoringDownTrend || State == TradingState.WaitingToSell)
{
//Stop loss when BUY order loses more than 2% of its value
var buyOrder = Orders.Last();
if ((double)((buyOrder.Price - ohlc.Close) / buyOrder.Price) > stopLossRatio)
{
CreateOrder(ohlc, date, "Sell", $"Stop Loss <br/> %b {percentB:N0} <br/> bandwidth {bandwidth:N0} <br/> upper {bb.UpperBand:N0} <br/> lower {bb.LowerBand:N0}");
State = TradingState.Initial;
return;//Otherwise might sell twice
}
//Limit profit on downward swing
if (percentB < 0)
{
CreateOrder(ohlc, date, "Sell", $"%b hit over 100 <br/> %b {percentB:N0} <br/> bandwidth {bandwidth:N0} <br/> upper {bb.UpperBand:N0} <br/> lower {bb.LowerBand:N0}");
State = TradingState.Initial;
return;
}
}
}
private void DonchienBreakoutStrategy(OHLC ohlc, DateTime date, StrategyParameters parameters)
{
if (DataPoints.Count < 55)
{
return;
}
//Calculate indicators
var dca = CalculateDonchianChannel(55);
//Long Entry
//When closes at DC upper limit
if (State == TradingState.Initial)
{
if (ohlc.Close >= dca.UpperBand)
{
CreateOrder(ohlc, date, "Buy", $"<br/> Close {ohlc.Close:N0} > Upper {dca.UpperBand:N0}");
State = TradingState.WaitingToSell;
}
}
else if (State == TradingState.WaitingToSell)
{
//Stop loss when BUY order loses 70 EUR
var buyOrder = Orders.Last();
var loss = buyOrder.Price - ohlc.Close;
if (loss > 70)
{
CreateOrder(ohlc, date, "Sell", $"Stop Loss <br/> at loss {loss:N0}");
State = TradingState.Initial;
return;//Otherwise might sell twice
}
//Exit when closes at mid point
if (ohlc.Close <= (dca.UpperBand - dca.LowerBand) / 2 + dca.LowerBand)
{
CreateOrder(ohlc, date, "Sell", $"Closes at mid point");
State = TradingState.Initial;
return;
}
}
}
public IHttpActionResult Get(string start, string end, int interval, [FromUri] StrategyParameters parameters)
{
var startDate = DateTime.ParseExact(start, "yyyyMMdd", CultureInfo.InvariantCulture);
var endDate = DateTime.ParseExact(end, "yyyyMMdd", CultureInfo.InvariantCulture);
var intervalInMinutes = interval;
var exportLines = Export(startDate, endDate, intervalInMinutes, parameters);
var export = exportLines.Aggregate((sum, s) => sum + Environment.NewLine + s);
var result = new HttpResponseMessage(HttpStatusCode.OK);
result.Content = new StringContent(export);
result.Content.Headers.ContentDisposition = new ContentDispositionHeaderValue("attachment")
{
FileName = $"marketdata.export.{DateTime.Now:yyyMMddHHmmss}.csv"
};
result.Content.Headers.ContentType = new MediaTypeHeaderValue("application/octet-stream");
var response = ResponseMessage(result);
return(response);
}
private void RelativeVigorIndexStrategy(OHLC ohlc, DateTime date, StrategyParameters parameters)
{
if (DataPoints.Count < 40)
{
return;
}
//Calculate indicators
var rvi = CalculateRelativeVigorIndex(22);
var rviBase = CalculateRelativeVigorIndex(10);
var percentK = CalculateSlowStochasticOscillatorsPercentK(DataPoints, 17, 6);
var percentD = CalculateSlowStochasticOscillatorsPercentD(DataPoints, 13, 17, 6);
var envelopeLowerBand = CalculateEnvelopeLowerBand(DataPoints, 10, 0.97);
//Long Entry
//When the RVI is greater than the signal and
//percent K is higher than percent D
if (State == TradingState.Initial)
{
if (rvi > rviBase && percentK > percentD)
{
CreateOrder(ohlc, date, "Buy", $"<br/> %b {rvi:N0} <br/> > {rviBase:N0} <br/> and {percentK:N0} <br/> > {percentD:N0}");
State = TradingState.WaitingToSell;
}
}
else if (State == TradingState.WaitingToSell || State == TradingState.MonitoringDownTrend)
{
//Stop loss when BUY order loses 70 EUR
var buyOrder = Orders.Last();
//var loss = buyOrder.Price - ohlc.Close;
//if (loss > 70)
//{
// CreateOrder(ohlc, date, "Sell", $"Stop Loss <br/> at loss {loss:N0}");
// State = TradingState.Initial;
// return;//Otherwise might sell twice
//}
//Exit when it closes over envelope lower band
//after closing under envelope lower band
if (State == TradingState.WaitingToSell)
{
if (ohlc.Close < envelopeLowerBand)
{
State = TradingState.MonitoringDownTrend;
}
}
else if (State == TradingState.MonitoringDownTrend)
{
if (ohlc.Close > envelopeLowerBand)
{
CreateOrder(ohlc, date, "Sell", $"Closes over envelope lower band after closing under");
State = TradingState.Initial;
return;
}
}
//Limit profit
//by selling the asset when it brings in 200 EUR
var profit = ohlc.Close - buyOrder.Price;
var profitLimit = 200;
if (ohlc.Close - buyOrder.Price >= profitLimit)
{
CreateOrder(ohlc, date, "Sell", $"Profit {profit:N0} exceeded {profitLimit} EUR limit");
State = TradingState.Initial;
return;
}
}
}
public SimulationResult Simulate(DateTime start, DateTime end, int interval, StrategyParameters parameters)
{
//Read the OHLC from database
var connectionName = ConfigurationManager.AppSettings["ConnectionName"];
var connectionString = ConfigurationManager.ConnectionStrings[connectionName].ConnectionString;
List <OHLC> ohlcList = new List <OHLC>();
try
{
using (SqlConnection connection = new SqlConnection(connectionString))
{
connection.Open();
using (SqlCommand command = new SqlCommand("", connection))
{
command.CommandType = System.Data.CommandType.Text;
command.CommandText = "SELECT o.Id, o.[Open], o.High, o.Low, o.[Close], Start, Volume FROM dbo.OHLC o " +
"WHERE o.[Start] >= @start AND o.[End] < @end ORDER BY o.Id ASC";
command.Parameters.Add(new SqlParameter("start", start));
command.Parameters.Add(new SqlParameter("end", end));
using (SqlDataReader reader = command.ExecuteReader())
{
while (reader.Read())
{
var ohlc = new OHLC();
ohlc.Open = reader.GetDecimal(1);
ohlc.High = reader.GetDecimal(2);
ohlc.Low = reader.GetDecimal(3);
ohlc.Close = reader.GetDecimal(4);
ohlc.Start = reader.GetDateTime(5);
var volume = reader.GetDecimal(6);
ohlc.Volume = (volume * 1000);
ohlcList.Add(ohlc);
}
}
}
}
}
catch (Exception ex)
{
throw ex;
}
//Set the trading state
State = TradingState.Initial;
Orders = new List <Order>();
Account = new Account()
{
Euro = 10000
};
//l h o c
//Find the first trade
//Find all trades within the next 5 minutes
//If there are any trade
//Calculate low, high, open, close
if (ohlcList.Any())
{
start = ohlcList.First().Start > start?ohlcList.First().Start : start;
for (DateTime i = start; i < end; i = i.AddMinutes(interval))
{
var windowStart = i;
var windowEnd = windowStart.AddMinutes(interval);
var ohlcInTheSameWindow = ohlcList.Where(o => o.Start >= windowStart && o.Start < windowEnd).ToList();
if (ohlcInTheSameWindow.Any())
{
var low = ohlcInTheSameWindow.Select(t => t.Low).Min();
var high = ohlcInTheSameWindow.Select(t => t.High).Max();
var open = ohlcInTheSameWindow.First().Open;
var close = ohlcInTheSameWindow.Last().Close;
var volume = ohlcInTheSameWindow.Sum(t => t.Volume);
var ohlc = new OHLC {
Open = open, High = high, Low = low, Close = close, Volume = volume, Start = windowStart, End = windowEnd
};
DataPoints.Insert(0, ohlc);
//Check for indicators and make trading decisions
DonchienBreakoutStrategy(ohlc, windowEnd, parameters);
//Add Donchian Channels
var dca = CalculateDonchianChannel(55);
UpperBand.Add((double)dca.UpperBand);
LowerBand.Add((double)dca.LowerBand);
}
}
}
//Stats after simulation
var stats = new Stats(Orders, Account, DataPoints)
{
Market = DataPoints.First().Close - DataPoints.Last().Close,
MarketRiskAdjustedReturn = (double)((DataPoints.First().Close - DataPoints.Last().Close) / DataPoints.Last().Close) * 100,
Target = (end - start).Days * 80, //80 EUR profit per day
};
return(new SimulationResult()
{
Dates = DataPoints.OrderBy(dp => dp.Start).Select(dp => dp.End).ToList(),
Values = DataPoints.OrderBy(dp => dp.Start).Select(dp => dp.Close).ToList(),
Volumes = DataPoints.OrderBy(dp => dp.Start).Select(dp => dp.Volume).ToList(),
Upper = UpperBand,
Lower = LowerBand,
Orders = Orders,
Events = Events,
Stats = stats
});
}
public List <string> Export(DateTime start, DateTime end, int interval, StrategyParameters parameters)
{
//Read the OHLC from database
var connectionString = ConfigurationManager.ConnectionStrings["marketdata-local"].ConnectionString;
List <OHLC> ohlcList = new List <OHLC>();
try
{
using (SqlConnection connection = new SqlConnection(connectionString))
{
connection.Open();
using (SqlCommand command = new SqlCommand("", connection))
{
command.CommandType = System.Data.CommandType.Text;
command.CommandText = "SELECT o.Id, o.[Open], o.High, o.Low, o.[Close], Start, Volume FROM dbo.OHLC o " +
"WHERE o.[Start] >= @start AND o.[End] < @end ORDER BY o.Id ASC";
command.Parameters.Add(new SqlParameter("start", start));
command.Parameters.Add(new SqlParameter("end", end));
using (SqlDataReader reader = command.ExecuteReader())
{
while (reader.Read())
{
var ohlc = new OHLC();
ohlc.Open = reader.GetDecimal(1);
ohlc.High = reader.GetDecimal(2);
ohlc.Low = reader.GetDecimal(3);
ohlc.Close = reader.GetDecimal(4);
ohlc.Start = reader.GetDateTime(5);
var volume = reader.GetDecimal(6);
ohlc.Volume = (volume * 1000);
ohlcList.Add(ohlc);
}
}
}
}
}
catch (Exception ex)
{
throw ex;
}
//l h o c
//Find the first trade
//Find all trades within the next 5 minutes
//If there are any trade
//Calculate low, high, open, close
if (ohlcList.Any())
{
start = ohlcList.First().Start > start?ohlcList.First().Start : start;
for (DateTime i = start; i < end; i = i.AddMinutes(interval))
{
var windowStart = i;
var windowEnd = windowStart.AddMinutes(interval);
var ohlcInTheSameWindow = ohlcList.Where(o => o.Start >= windowStart && o.Start < windowEnd).ToList();
if (ohlcInTheSameWindow.Any())
{
var low = Math.Round(ohlcInTheSameWindow.Select(t => t.Low).Min(), 2);
var high = Math.Round(ohlcInTheSameWindow.Select(t => t.High).Max(), 2);
var open = Math.Round(ohlcInTheSameWindow.First().Open, 2);
var close = Math.Round(ohlcInTheSameWindow.Last().Close, 2);
var volume = Math.Round(ohlcInTheSameWindow.Sum(t => t.Volume), 2);
var ohlc = new OhlcIndicators(open, high, low, close)
{
Volume = volume,
Start = windowStart,
End = windowEnd,
};
DataPoints.Add(ohlc);
var prices = DataPoints.Select(d => d.Close).ToList();
ohlc.Mva10 = Math.Round(CalculateMovingAverage(prices, 10), 2);
ohlc.Mva200 = Math.Round(CalculateMovingAverage(prices, 200), 2);
ohlc.Rsi2 = Math.Round(CalculateRelativeStrengthIndex(prices, 3), 2);
ohlc.Rsi14 = Math.Round(CalculateRelativeStrengthIndex(prices, 15), 2);
var bb = CalculateBollingerBands(prices, 20, 2);
ohlc.PercentB = Math.Round(bb.PercentB, 2);
ohlc.Bandwidth = Math.Round(bb.Bandwidth, 2);
}
}
}
//Annotate
//Calculate action - looking backward and forward
//which is obviously not possible in real time trading
CalculateAction(10, 4);
//var balanced = OverSample(10);
var normalized = Normalize(DataPoints);
var exportLines = normalized.Select(d => $"{d.Start:M/d/yyyy H:mm},{d.Open},{d.High},{d.Low},{d.Close},{d.Volume},{d.Mva10},{d.Mva200},{d.Rsi2},{d.Rsi14},{d.PercentB},{d.Bandwidth},{d.Action}").ToList();
exportLines.Insert(0, "Date,Open,High,Low,Close,Volume,Mva10,Mva200,Rsi2,Rsi14,PercentB,Bandwidth,Action");
return(exportLines);
}
