public override void OnBar_UserCode(Simulation.Shared.IBarContext context)
{
IBar bar = context.Bar;
var seriesValues = context.SeriesValues;
IInstantValue <double> indicator0 = seriesValues["INDICATOR_0"];
IInstantValue <double> indicator1 = seriesValues["INDICATOR_1"];
IInstantValue <double> indicator2 = seriesValues["INDICATOR_2"];
IInstantValue <double> indicator3 = seriesValues["INDICATOR_3"];
var values = new double[] {
indicator0.NormalizedValue,
indicator1.NormalizedValue,
indicator2.NormalizedValue,
indicator3.NormalizedValue,
};
double[] output = NeuralNetwork.ComputeOutputs(values);
Console.WriteLine("{0}, {1}, {2}, {3} => {4}, {5}, {6}",
indicator0.NormalizedValue,
indicator1.NormalizedValue,
indicator2.NormalizedValue,
indicator3.NormalizedValue,
output[0], output[1], output[2]);
int maxIndex = NeuralNetwork.MaxIndex(output);
Operation operation = (Operation)maxIndex;
decimal intensity = (decimal)output[maxIndex];
TryToOpenLongPositions(bar, operation, intensity);
TryToOpenShortPositions(bar, operation, intensity);
ManageSideways(bar, operation, intensity);
}
private void TryToOpenShortPositions(IBar bar, IInstantValue <double> smallEma, IInstantValue <double> bigEma)
{
// down trend detected
if (bigEma.Value > (smallEma.Value + _threshold))
{
// is trend change
if (_trend != Trend.Down)
{
_trend = Trend.Down;
if (_shortEnabled && ShortPositions.Count == 0)
{
CreatePosition(PositionSide.Short, bar.DateTime, bar.Close, 1);
}
}
}
}
private void TryToOpenLongPositions(IBar bar, IInstantValue <double> smallEma, IInstantValue <double> bigEma)
{
// up trend detected
if (smallEma.Value > (bigEma.Value + _threshold))
{
// is trend change
if (_trend != Trend.Up)
{
_trend = Trend.Up;
if (_longEnabled && LongPositions.Count == 0)
{
CreatePosition(PositionSide.Long, bar.DateTime, bar.Close, 1);
}
}
}
}