public List <Signal> GenerateOnClose(DateTime ts, int leadingIndex, SystemState systemState)
{
List <Signal> res = new List <Signal>();
if (leadingIndex <= _statBB.BackBufferLength)
{
return(res);
}
StockPricesData data = _dataLoader.Get(_stock.FullName, _dataRange, 0, ts, ts);
_currentTrend = BBTrendRecognizer.BBTrendRecognizer.RecognizeTrend(data, (StatBB)_statBB, leadingIndex, _currentTrend, out _);
BBTrendExpectation expectation = BBTrendRecognizer.BBTrendRecognizer.GetExpectation(data, (StatBB)_statBB, leadingIndex, _currentTrend);
if (systemState.PositionsActive.Count > 0)
{
if (systemState.PositionsActive.Count > 1)
{
throw new Exception("More than 1 active position");
}
if ((expectation == BBTrendExpectation.DownAndFalling) || (expectation == BBTrendExpectation.DownButPossibleChange))
{
systemState.PositionsActive[0].CloseMode = PositionCloseMode.OnOpen;
}
}
else
{
if ((expectation == BBTrendExpectation.UpAndRaising) || (expectation == BBTrendExpectation.UpButPossibleChange))
{
res.Add(CreateSignal(PositionDir.Long, systemState, data.C[leadingIndex]));
}
}
return(res);
}
public void GetExpectation__RecognizesCorrectly(float currSMA, float currC,
BBTrendType currTrend, BBTrendExpectation expectedTrend)
{
_statBBMock.SMA[1] = currSMA;
_pricesData.C[bbPeriod] = currC;
SystemDefs.BBTrendRecognizer.BBTrendRecognizer.GetExpectation(_pricesData, _statBBMock, bbPeriod, currTrend).ShouldBe(expectedTrend);
}
[TestCase(104.96f, 114.14f, 123.32f, 106.44f, 113.22f, 119.99f, 108.88f, 105.22f, 113.05f, 114.64f, BBTrendType.Up, BBTrendType.Down)] //test cases from stock data
public void RecognizeTrend__RecognizesCorrectly(float prevBBL, float prevSMA, float prevBBH,
float currBBL, float currSMA, float currBBH,
float prevL, float currL,
float prevH, float currH,
BBTrendType currTrend, BBTrendType expectedTrend)
{
_statBBMock.BBL[0] = prevBBL;
_statBBMock.BBL[1] = currBBL;
_statBBMock.SMA[0] = prevSMA;
_statBBMock.SMA[1] = currSMA;
_statBBMock.BBH[0] = prevBBH;
_statBBMock.BBH[1] = currBBH;
_pricesData.L[bbPeriod - 1] = prevL;
_pricesData.L[bbPeriod] = currL;
_pricesData.H[bbPeriod - 1] = prevH;
_pricesData.H[bbPeriod] = currH;
SystemDefs.BBTrendRecognizer.BBTrendRecognizer.RecognizeTrend(_pricesData, _statBBMock, bbPeriod, currTrend, out _).ShouldBe(expectedTrend);
}
public static void CalculateTrendsAndExpectations(BBTrendFundsData data, DateTime ts, StockDataRange dataRange, ISystemDataLoader dataLoader)
{
for (int i = 0; i < data.Stocks.Length; i++)
{
if (!dataLoader.GetWithIndex(data.Stocks[i].FullName, dataRange, ts, data.StatsBB[i].BackBufferLength, out StockPricesData spData, out int dataIndex))
{
continue;
}
BBTrendType lastTrend = data.CurrentTrends[i];
data.CurrentTrends[i] = BBTrendRecognizer.BBTrendRecognizer.RecognizeTrend(spData, data.StatsBB[i], dataIndex, data.CurrentTrends[i], out float trendStartLevel);
if (lastTrend != data.CurrentTrends[i])
{
data.UpTrendStartValues[i] = trendStartLevel;// spData.H[dataIndex];
data.TrendLength[i] = 0;
}
data.TrendLength[i]++;
BBTrendExpectation lastExpectation = data.CurrentExpectations[i];
data.CurrentExpectations[i] = BBTrendRecognizer.BBTrendRecognizer.GetExpectation(spData, data.StatsBB[i], dataIndex, data.CurrentTrends[i]);
data.ExpectationChanged[i] = (lastExpectation != data.CurrentExpectations[i]);
}
}
public static BBTrendExpectation GetExpectation(StockPricesData data, StatBB statBB, int leadingIndex, BBTrendType currentTrend)
{
if (currentTrend == BBTrendType.Up)
{
return(data.C[leadingIndex] > statBB.Data(StatBBData.SMA)[leadingIndex - statBB.BackBufferLength + 1]
? BBTrendExpectation.UpAndRaising
: BBTrendExpectation.UpButPossibleChange);
}
if (currentTrend == BBTrendType.Down)
{
return(data.C[leadingIndex] <= statBB.Data(StatBBData.SMA)[leadingIndex - statBB.BackBufferLength + 1]
? BBTrendExpectation.DownAndFalling
: BBTrendExpectation.DownButPossibleChange);
}
return(BBTrendExpectation.Unknown);
}
public static BBTrendType RecognizeTrend(StockPricesData data, StatBB statBB, int leadingIndex, BBTrendType currentTrend, out float trendStartLevel)
{
trendStartLevel = 0;
if (((currentTrend == BBTrendType.Unknown) || (currentTrend == BBTrendType.Up)) &&
((data.L[leadingIndex] < statBB.Data(StatBBData.BBL)[leadingIndex - statBB.BackBufferLength + 1]) || (data.L[leadingIndex] < statBB.Data(StatBBData.BBL)[leadingIndex - statBB.BackBufferLength])))
{
trendStartLevel = Math.Max(statBB.Data(StatBBData.BBL)[leadingIndex - statBB.BackBufferLength + 1], statBB.Data(StatBBData.BBL)[leadingIndex - statBB.BackBufferLength]);
return(BBTrendType.Down);
}
if (((currentTrend == BBTrendType.Unknown) || (currentTrend == BBTrendType.Down)) &&
((data.H[leadingIndex] > statBB.Data(StatBBData.BBH)[leadingIndex - statBB.BackBufferLength + 1]) || (data.H[leadingIndex] > statBB.Data(StatBBData.BBH)[leadingIndex - statBB.BackBufferLength])))
{
trendStartLevel = Math.Min(statBB.Data(StatBBData.BBH)[leadingIndex - statBB.BackBufferLength + 1], statBB.Data(StatBBData.BBH)[leadingIndex - statBB.BackBufferLength]);
return(BBTrendType.Up);
}
return(currentTrend);
}