private void OpenPosition(PositionDirection direction, DataSample sample, string ticker, decimal amount)
{
Position = new Position
{
OpenPrice = sample.Candle.Close,
Direction = direction,
OpenTimestamp = sample.Candle.Timestamp,
Ticker = ticker,
Amount = amount
};
this.OnOpenPosition(Position);
}
public SignalResult SellSignal(IList <DataSample> samples, DataSample sample, Position position)
{
var localMinimums = ExtremumArea.FindLocalMinimums(samples);
var localMaximums = ExtremumArea.FindLocalMaximums(samples);
localMinimums = ExtremumArea.FillMinimumsArea(localMinimums, localMaximums);
localMaximums = ExtremumArea.FillMaximumsArea(localMaximums, localMinimums);
// Проверяем, не сработал ли кастомный стоплосс с учетом максимального процента потерь
if (position != null)
{
var lastExtremumForPrice = ExtremumArea.GetLastExtremumForPriceBeforeSample(localMinimums, sample, position.OpenPrice, PositionDirection.Long);
if (lastExtremumForPrice != null)
{
var stopLossExtremumPrice = lastExtremumForPrice.CurrentExtremum.Candle.Close;
if (sample.Candle.Close < stopLossExtremumPrice - stopLossExtremumPrice * (MaxLoosePercentage / 100))
{
//Console.WriteLine($"##Sell Signal triggered because sample.Candle.Close({sample.Candle.Close}) < stopLossExtremumPrice({stopLossExtremumPrice}) - stopLossExtremumPrice({stopLossExtremumPrice}) * (MaxLoosePercentage({MaxLoosePercentage}) / 100)");
return(new SignalResult()
{
SignalTriggered = true,
ByStopLoss = true
});
}
}
}
var lastLocalMinimumPassed = false;
var lastLocalMaximumPassed = false;
var lastMaximumBeforeSample = ExtremumArea.GetLastMaximumBeforeAndWithSample(localMaximums, sample);
var lastMinimumBeforeSample = ExtremumArea.GetLastMinimumBeforeAndWithSample(localMinimums, sample);
if (lastMaximumBeforeSample != null && lastMinimumBeforeSample != null)
{
lastLocalMaximumPassed = lastMinimumBeforeSample.CurrentExtremum.Candle.Timestamp >
lastMaximumBeforeSample.CurrentExtremum.Candle.Timestamp;
//lastLocalMinimumPassed = sample.Candle.Close < lastMinimumBeforeSample.CurrentExtremum.Candle.Low;
lastLocalMinimumPassed = sample.Candle.Close < lastMinimumBeforeSample.CurrentExtremum.Candle.Low;
}
//if (lastLocalMaximumPassed && lastLocalMinimumPassed)
//Console.WriteLine($"##Sell Signal (stoploss) triggered for sample.Candle.Timestamp({sample.Candle.Timestamp}) because lastLocalMaximumPassed(minimum.Low is {lastMaximumBeforeSample.CurrentExtremum.Candle.High} maximum high is {lastMinimumBeforeSample.CurrentExtremum.Candle.Low}) and lastLocalMinimumPassed(sample.Candle.Close({sample.Candle.Close}) < lastMinimumBeforeSample.CurrentExtremum.Candle.Close({lastMinimumBeforeSample.CurrentExtremum.Candle.Close}))");
return(new SignalResult()
{
ByStopLoss = false,
SignalTriggered = lastLocalMaximumPassed && lastLocalMinimumPassed
});
}
public SignalResult SellSignal(IList <DataSample> samples, DataSample sample, Position position)
{
// Проверяем, не сработал ли кастомный стоплосс с учетом максимального процента потерь
if (position != null && sample.Candle.Close < position.OpenPrice - position.OpenPrice * (MaxLoosePercentage / 100))
{
return(new SignalResult()
{
SignalTriggered = true,
ByStopLoss = true
});
}
// Если MFI выходит из зоны перепроданности
var mfiCheckPassed = false;
var currentSampleIndex = samples.IndexOf(sample);
if (currentSampleIndex != 0) // Будем сверяться с предыдущим сэмплом. Для самого первого сверять не с чем, поэтому нужна такая проверка
{
// Проверяем, что MFI пересек 80ку
if (((MFIIndicator)samples[currentSampleIndex - 1].Indicators["mfi"]).MFI > 80 &&
((MFIIndicator)sample.Indicators["mfi"]).MFI < 80)
{
mfiCheckPassed = true;
}
}
// Дополнительно проверяем, что MACD гистограмма ниже, чем на прошлом сэмпле
var macdCheckPassed = false;
if (currentSampleIndex != 0
) // Будем сверяться с предыдущим сэмплом. Для самого первого сверять не с чем, поэтому нужна такая проверка
{
if (((MACDIndicator)samples[currentSampleIndex].Indicators["macd"]).Histogram <
((MACDIndicator)samples[currentSampleIndex - 1].Indicators["macd"]).Histogram)
{
macdCheckPassed = true;
}
}
return(new SignalResult()
{
SignalTriggered = mfiCheckPassed && macdCheckPassed,
ByStopLoss = false
});
}
public decimal GetStopLossPrice(IList <DataSample> samples, DataSample sample, Position position)
{
var maximums = ExtremumArea.FindLocalMaximums(samples);
var minimums = ExtremumArea.FindLocalMinimums(samples);
ExtremumArea lastExtremum;
decimal stopLossPrice = 0;
if (position.Direction == PositionDirection.Long)
{
lastExtremum = ExtremumArea.GetLastMinimumBeforeAndWithSample(minimums, sample);
stopLossPrice = lastExtremum.CurrentExtremum.Candle.Low - (position.OpenPrice - lastExtremum.CurrentExtremum.Candle.Low) * 10; //TODO убрать хардкод
}
else if (position.Direction == PositionDirection.Short)
{
lastExtremum = ExtremumArea.GetLastMaximumBeforeAndWithSample(maximums, sample);
stopLossPrice = lastExtremum.CurrentExtremum.Candle.High + (lastExtremum.CurrentExtremum.Candle.High - position.OpenPrice) * 10; //TODO убрать хардкод
}
return(stopLossPrice);
}
private double Calculate(IList <DataSample> samples, DataSample sample)
{
var result = 0d;
double p1 = Period + 1;
double EMAMultiplier = Convert.ToDouble(2 / p1);
var indexOfCandle = samples.IndexOf(sample);
if (indexOfCandle >= Period - 1)
{
EMA lastEMA = null;
switch (Kind)
{
case EMAKind.Short:
lastEMA = samples[indexOfCandle - 1].EMAshort;
break;
case EMAKind.Long:
lastEMA = samples[indexOfCandle - 1].EMAlong;
break;
case EMAKind.Smoothing:
lastEMA = ((MACDIndicator)samples[indexOfCandle - 1].Indicators["macd"]).EMAForMACD;
break;
}
if (indexOfCandle == Period - 1)
{
// This is our seed EMA, using SMA of EMA1 Period for EMA 1
result = samples.Where(a => a.Candle.Timestamp <= sample.Candle.Timestamp).OrderByDescending(a => a.Candle.Timestamp)
.Take(Period).Average(a => Convert.ToDouble(a.Candle.Close));
}
else
{
result = (Convert.ToDouble(sample.Candle.Close) - lastEMA.Value) * EMAMultiplier + lastEMA.Value;
}
}
return(result);
}
public static ExtremumArea GetLastExtremumForPriceBeforeSample(IList <ExtremumArea> extremums, DataSample sample, decimal price, PositionDirection direction)
{
return(extremums.LastOrDefault(m =>
m.CurrentExtremum.Candle.Timestamp < sample.Candle.Timestamp && direction == PositionDirection.Long ? m.CurrentExtremum.Candle.High < price : m.CurrentExtremum.Candle.Low < price));
}
public static ExtremumArea GetLastMaximumBeforeAndWithSample(IList <ExtremumArea> extremums, DataSample sample)
{
return(extremums.LastOrDefault(m => m.CurrentExtremum.Candle.Timestamp <= sample.Candle.Timestamp));
}
/// <summary>
/// Экспоненциальная скользящая средняя
/// </summary>
/// <param name="period">Период</param>
/// <param name="candles">Набор свечей для расчета</param>
/// <param name="candle">Свеча, для которой рассчитываем EMA</param>
/// <param name="seedEMA">Флаг, указывающий, что высчитываем первоначальный EMA</param>
/// <param name="kind">Тип EMA</param>
public EMA(int period, IList <DataSample> samples, DataSample sample, EMAKind kind)
{
Period = period;
Kind = kind;
Value = Calculate(samples, sample);
}
public MFIIndicator(DataSample sample, IList <DataSample> samples, int mfiPeriod)
{
Sample = sample;
Samples = samples;
MFIPeriod = mfiPeriod;
}