/// <summary>
/// Calculate the normalized Maximum Favorable Excursion and Maximum Adversed Excursion for a given point
/// </summary>
/// <param name="bars"></param>
/// <param name="barIndex"></param>
/// <returns></returns>
public static void CalculateNormalizedMfeAndMae(Bar[] bars, int barIndex, out double[] mfe, out double[] mae)
{
AverageTrueRange atr = new AverageTrueRange(ERatioAtrWindowSize);
int startIndex = Math.Max(0, barIndex - ERatioAtrWindowSize);
for (int i = startIndex; i < barIndex; ++i)
{
atr.Update(bars[i]);
}
double initialPrice = bars[barIndex].ClosePrice;
mfe = new double[ERatioWindowSizes.Length];
mae = new double[ERatioWindowSizes.Length];
for (int i = 0; i < ERatioWindowSizes.Length; ++i)
{
var windowSize = ERatioWindowSizes[i];
var highestPrice = Enumerable
.Range(barIndex, Math.Min(bars.Length - barIndex, windowSize))
.Max(index => bars[index].ClosePrice);
var lowestPrice = Enumerable
.Range(barIndex, Math.Min(bars.Length - barIndex, windowSize))
.Min(index => bars[index].ClosePrice);
mfe[i] = (highestPrice - initialPrice) / atr.Value;
mae[i] = (initialPrice - lowestPrice) / atr.Value;
}
}
public void TrueRangePropertyIsReadyAfterOneSample()
{
var atr = new AverageTrueRange(14, MovingAverageType.Simple);
Assert.IsFalse(atr.TrueRange.IsReady);
atr.Update(DateTime.Today, new TradeBarValue {
Open = 1d,
High = 3d,
Low = .5d,
Close = 2.75d,
Volume = 1234567890
});
Assert.IsTrue(atr.TrueRange.IsReady);
}
public void ResetsProperly()
{
var atr = new AverageTrueRange(14, MovingAverageType.Simple);
atr.Update(DateTime.Today, new TradeBarValue {
Open = 1d,
High = 3d,
Low = .5d,
Close = 2.75d,
Volume = 1234567890
});
atr.Reset();
TestHelper.AssertIndicatorIsInDefaultState(atr);
TestHelper.AssertIndicatorIsInDefaultState(atr.TrueRange);
}
public override void ResetsProperly()
{
var atr = new AverageTrueRange(14, MovingAverageType.Simple);
atr.Update(new TradeBar
{
Time = DateTime.Today,
Open = 1m,
High = 3m,
Low = .5m,
Close = 2.75m,
Volume = 1234567890
});
atr.Reset();
TestHelper.AssertIndicatorIsInDefaultState(atr);
TestHelper.AssertIndicatorIsInDefaultState(atr.TrueRange);
}
public void TrueRangePropertyIsReadyAfterOneSample()
{
var atr = new AverageTrueRange(14, MovingAverageType.Simple);
Assert.False(atr.TrueRange.IsReady);
atr.Update(new TradeBar
{
Occured = DateTime.Today,
Open = 1m,
High = 3m,
Low = .5m,
Close = 2.75m,
Volume = 1234567890,
TimeZone = TimeZone.Utc
});
Assert.True(atr.TrueRange.IsReady);
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
public override void Initialize()
{
// initialize algorithm level parameters
SetStartDate(2013, 10, 07);
SetEndDate(2013, 10, 11);
//SetStartDate(2014, 01, 01);
//SetEndDate(2014, 06, 01);
SetCash(100000);
// leverage tradier $1 traders
SetBrokerageModel(BrokerageName.TradierBrokerage);
// request high resolution equity data
AddSecurity(SecurityType.Equity, symbol, Resolution.Second);
// save off our security so we can reference it quickly later
Security = Securities[symbol];
// Set our max leverage
Security.SetLeverage(MaximumLeverage);
// define our longer term indicators
ADX14 = ADX(symbol, 28, Resolution.Hour);
STD14 = STD(symbol, 14, Resolution.Daily);
ATR14 = ATR(symbol, 14, resolution: Resolution.Daily);
PSARMin = new ParabolicStopAndReverse(symbol, afStart: 0.0001m, afIncrement: 0.0001m);
// smooth our ATR over a week, we'll use this to determine if recent volatilty warrants entrance
var oneWeekInMarketHours = (int)(5 * 6.5);
SmoothedATR14 = new ExponentialMovingAverage("Smoothed_" + ATR14.Name, oneWeekInMarketHours).Of(ATR14);
// smooth our STD over a week as well
SmoothedSTD14 = new ExponentialMovingAverage("Smoothed_" + STD14.Name, oneWeekInMarketHours).Of(STD14);
// initialize our charts
var chart = new Chart(symbol);
chart.AddSeries(new Series(ADX14.Name, SeriesType.Line, 0));
chart.AddSeries(new Series("Enter", SeriesType.Scatter, 0));
chart.AddSeries(new Series("Exit", SeriesType.Scatter, 0));
chart.AddSeries(new Series(PSARMin.Name, SeriesType.Scatter, 0));
AddChart(chart);
var history = History(symbol, 20, Resolution.Daily);
foreach (var bar in history)
{
ADX14.Update(bar);
ATR14.Update(bar);
STD14.Update(bar.EndTime, bar.Close);
}
// schedule an event to run every day at five minutes after our symbol's market open
Schedule.Event("MarketOpenSpan")
.EveryDay(symbol)
.AfterMarketOpen(symbol, minutesAfterOpen: OpeningSpanInMinutes)
.Run(MarketOpeningSpanHandler);
Schedule.Event("MarketOpen")
.EveryDay(symbol)
.AfterMarketOpen(symbol, minutesAfterOpen: -1)
.Run(() => PSARMin.Reset());
}
