protected override void Create() {
// 初始化下單物件，Contracts.UserSpecified 可指定規模，OrderExit.FromAll 可一次全平
BUY = OrderCreator.MarketThisBar(new SOrderParameters(Contracts.UserSpecified, EOrderAction.Buy, OrderExit.FromAll));
SELL = OrderCreator.MarketThisBar(new SOrderParameters(Contracts.UserSpecified, EOrderAction.SellShort, OrderExit.FromAll));
BUY_C = OrderCreator.MarketThisBar(new SOrderParameters(Contracts.Default, EOrderAction.Sell, OrderExit.FromAll));
SELL_C = OrderCreator.MarketThisBar(new SOrderParameters(Contracts.Default, EOrderAction.BuyToCover, OrderExit.FromAll));
__cKD = new KD(this);
__cMACD = new MACD(this);
}
protected override void Create()
{
m_MACD = new MACD(this);
m_XAverage = new XAverage(this);
m_my_MACD = new VariableSeries<Double>(this);
m_MACD_diff = new VariableSeries<Double>(this);
m_MacdSE =
OrderCreator.MarketNextBar(new SOrderParameters(Contracts.Default, "MacdSE",
EOrderAction.SellShort));
}
public void MACD()
{
//MACD macd = new MACD();
MACD macd = new MACD(true);
macd.Load(csvPath);
MACDSerie serie = macd.Calculate();
Assert.NotNull(serie);
Assert.True(serie.Signal.Count > 0);
Assert.True(serie.MACDLine.Count > 0);
Assert.True(serie.MACDHistogram.Count > 0);
}
public void MACD()
{
//MACD macd = new MACD();
MACD macd = new MACD(true);
macd.Load(Directory.GetCurrentDirectory() + "\\table.csv");
MACDSerie serie = macd.Calculate();
Assert.IsNotNull(serie);
Assert.IsTrue(serie.Signal.Count > 0);
Assert.IsTrue(serie.MACDLine.Count > 0);
Assert.IsTrue(serie.MACDHistogram.Count > 0);
}
public ThoseFourIndicators(BarItemType barType)
{
this.barType = barType;
this.identityCode = string.Format("{0}({1})", IDENTITY_CODE, barType.Code);
cci = new CCI(barType, 14);
stoch = new Stochastics(barType, 14, 2, 2);
macd = new MACD(barType, 8, 40, 8);
adx = new ADX(barType, 14);
Register(cci, stoch, macd, adx);
}
public BOTTOM(kdata data)
{
var macd = new MACD(data.close());
var lows = new PEAK(data, PEAK_TYPE.low).Select(p => new { p.Date, p.Value, type = PEAK_TYPE.low }).ToArray();
var highs = new PEAK(data, PEAK_TYPE.high).Select(p => new { p.Date, p.Value, type = PEAK_TYPE.high }).ToArray();
var peaks = lows.Concat(highs).OrderBy(p => p.Date).ToArray();
for (var i = 0; i < peaks.Length - 3; ++i)
{
var a = peaks[i];
var b = peaks[i + 1];
var c = peaks[i + 2];
var d = peaks[i + 3];
if (a.type == PEAK_TYPE.low &&
b.type == PEAK_TYPE.high &&
c.type == PEAK_TYPE.low &&
d.type == PEAK_TYPE.high &&
b.Value > a.Value &&
c.Value < b.Value &&
c.Value >= a.Value &&
d.Value > b.Value)
{
//var next = macd.Where(p => p.Date > d.Date).ToArray();
//for(var k = 2; k < next.Length; ++k)
//{
// if (next[k].DIF < 0 &&
// next[k - 1].DIF < 0 &&
// next[k - 2].DIF < 0 &&
// next[k].DIF > next[k - 1].DIF &&
// next[k].DIF > next[k - 2].DIF)
// {
// var v = data.FirstOrDefault(p=>p.date == next[k].Date);
// if (v != null)
// {
// if (!this.Any(p => p.Date == next[k].Date))
// {
// Add(next[k].Date, v.high);
// }
// }
// break;
// }
//}
var next = macd.cross_gold().Where(p => p.Date > d.Date).ToArray();
if (next.Any())
{
Add(next.First().Date, 0);
}
}
}
}
public void SeriesTest()
{
DataSeries ds = null; // TODO: Initialize to an appropriate value
double fastPeriod = 0F; // TODO: Initialize to an appropriate value
double slowPeriod = 0F; // TODO: Initialize to an appropriate value
double signalPeriod = 0F; // TODO: Initialize to an appropriate value
string name = string.Empty; // TODO: Initialize to an appropriate value
MACD expected = null; // TODO: Initialize to an appropriate value
MACD actual;
actual = MACD.Series(ds, fastPeriod, slowPeriod, signalPeriod, name);
Assert.AreEqual(expected, actual);
Assert.Inconclusive("Verify the correctness of this test method.");
}
public void SignalSeriesTest()
{
//application.MarketData market = new application.MarketData(AppTypes.TimeRanges.Y1, AppTypes.TimeScaleFromType(AppTypes.TimeScaleTypes.Day),"SSI");
application.MarketData stockData = new application.MarketData(AppTypes.TimeRanges.Y1, AppTypes.TimeScaleFromCode("D1"));
DataSeries ds = null; // TODO: Initialize to an appropriate value
double fastPeriod = 12;
double slowPeriod = 26;
double signalPeriod = 9;
string name = string.Empty; // TODO: Initialize to an appropriate value
MACD target = new MACD(ds, fastPeriod, slowPeriod, signalPeriod, name); // TODO: Initialize to an appropriate value
DataSeries actual;
actual = target.SignalSeries;
Assert.Inconclusive("Verify the correctness of this test method.");
}
public void Run(string downloadTime)
{
DateTime date = DateTime.Now;
DownloadEngine download = new DownloadEngine();
Formatting formatting = new Formatting();
PeregrineOperation peregrine = new PeregrineOperation();
MACD macd = new MACD();
Stochastic stochastic = new Stochastic();
TechnicalIndicators indicators = new TechnicalIndicators();
Transactions transactions = new Transactions();
WebClient web = new WebClient(); // provides the ability to download from the internet
WebURIs uRIs = new WebURIs(); // refers to an instance of the Wall Street Journal URL
DownloadTimer(download, formatting, peregrine, macd, stochastic, indicators, transactions, web, uRIs, Database, downloadTime);
}
public QUOTATION(kdata data)
{
var close = data.close();
var macd = new MACD(close);
var ma120 = new MA(close, 120);
var q = (from a in data
join m in macd on a.date equals m.Date
select new { date = a.date, price = a, macd = m, ma120 = ma120[m.Date] }).ToArray();
for (var i = 0; i < q.Length; ++i)
{
var item = q[i];
var state = quotationstate.None;
if (item.macd.MACD < 0)
{
state = quotationstate.调整;
if (item.price.close >= item.price.open)
{
state = quotationstate.反弹;
}
}
else
{
state = quotationstate.升;
if (i - 1 > 0)
{
if (this[i - 1].state == quotationstate.回调 ||
this[i - 1].state == quotationstate.调整)
{
state = quotationstate.回升;
}
}
if (item.price.close < item.price.open)
{
state = quotationstate.回调;
}
}
Add(new quotation
{
date = item.date,
state = state,
position = judgePosition(state, item.price, item.ma120),
strategy = judgeStrategy(state, item.price, item.ma120)
});
}
}
public static MACD GetMACD(List <float> input, int fastLength, int slowLength)
{
int maxLength = fastLength > slowLength ? fastLength : slowLength;
List <float> emaFast = GetEMA(input, fastLength);
List <float> emaSlow = GetEMA(input, slowLength);
MACD output = new MACD();
output.Macd = Enumerable.Repeat(0f, maxLength - 1).ToList();
output.Macd.AddRange(emaFast.GetRange(maxLength - 1, emaFast.Count - maxLength + 1).Zip(emaSlow.GetRange(maxLength - 1, emaSlow.Count - maxLength + 1), (x, y) => x - y).ToList());
output.Signal = Enumerable.Repeat(0f, maxLength - 1).ToList();
output.Signal.AddRange(GetEMA(output.Macd.GetRange(maxLength - 1, output.Macd.Count - maxLength + 1), 9));
output.Histogram = Enumerable.Repeat(0f, maxLength + 9 - 2).ToList();
output.Histogram.AddRange(output.Macd.GetRange(maxLength + 9 - 2, output.Macd.Count - maxLength - 7).Zip(output.Signal.GetRange(maxLength + 9 - 2, output.Macd.Count - maxLength - 7), (x, y) => x - y).ToList());
return(output);
}
public void MACDTest()
{
BacktestBroker backtestBroker = new BacktestBroker();
BrokerAccount brokerAccount = new BrokerAccount();
backtestBroker.LoadAccount(new BrokerAccount(), Guid.Empty);
BacktestSession backtestSession = backtestBroker.CreateSession(brokerAccount.AccountId, SpotForex.EURUSD, Timeframes.M1, @"data\EURUSD-M1.bar", Guid.Empty);
MACD macd = new MACD(Timeframes.M1, 12, 26, 9);
backtestSession.Indicators.Add(macd);
backtestSession.Start();
}
//Тест проверяет правильно ли срабатывает TradingRule
public void test_TradingRule()
{
//Входные данные
//Создать 2 условия
int index1 = 0, index2 = 0;
int curIndex = 60;
ParameterCondition par1 = ParameterCondition.PriceMax;
ParameterCondition par2 = ParameterCondition.PriceMin;
Predicate predicate = Predicate.Less;
Condition cond = new Condition(index1, index2, par1, par2, null, null, 0.0, 0.0, predicate);
int index1_ = 1, index2_ = 1;
ParameterCondition par1_ = ParameterCondition.Indicator;
ParameterCondition par2_ = ParameterCondition.Indicator;
Predicate predicate_ = Predicate.MoreEqual;
Indicator ind1 = new SMA(14);
Indicator ind2 = new MACD(28);
Condition cond2 = new Condition(index1_, index2_, par1_, par2_, ind1, ind2, 0.0, 0.0, predicate_);
//Накопить данные для индикаторов
for (int i = 0; i < curIndex; i++)
{
ind1.update_value(i, instrument);
ind2.update_value(i, instrument);
}
//Создать правило
TradingRule rule = new TradingRule(Signal.Buy);
rule.add_condition(cond);
rule.add_condition(cond2);
bool expected = instrument.get_interval(curIndex, index1).ClosingPrice <
instrument.get_interval(curIndex, index1).OpeningPrice&&
ind1.get_value(curIndex, index1_) >= ind2.get_value(curIndex, index2_);
Assert.AreEqual(expected, rule.check(curIndex, instrument));
}
static void Main(string[] args)
{
DownloadAllStockFiles();
string[] stockNames = ConfigurationManager.AppSettings["StockNames"].Split(',');
foreach (var stockName in stockNames)
{
MACD macd = new MACD(false);
MACDSerie macdSeries = GetMacdSeries(macd, stockName);
RSI rsi = new RSI(14);
RSISerie rsiSeries = GetRsiSeries(rsi, stockName);
SMAV2 shortTermSma = new SMAV2(14);
SingleDoubleSerieV2 shorttermSingleDoubleSerieV2 = GetSingleDoubleSeriesV2(shortTermSma, stockName);
SMAV2 longTermSma = new SMAV2(60);
SingleDoubleSerieV2 longtermSingleDoubleSerieV2 = GetSingleDoubleSeriesV2(longTermSma, stockName);
ExcelUtilities.WriteMacdhistogramDataToExcel(macdSeries, rsiSeries, shorttermSingleDoubleSerieV2, longtermSingleDoubleSerieV2, stockName);
}
}
static macd[] cross(MACD k, Func <macd, macd, bool> cmp)
{
var cross = new List <macd>();
for (var i = 1; i < k.Count; ++i)
{
if (cmp(k[i - 1], k[i]))
{
if (Math.Abs(k[i - 1].DEA - k[i - 1].DIF) <
Math.Abs(k[i].DEA - k[i].DIF))
{
cross.Add(k[i - 1]);
}
else
{
cross.Add(k[i]);
}
}
}
return(cross.ToArray());
}
override protected void StrategyExecute()
{
MACD macd = Indicators.MACD.Series(data.Close,
parameters[0], parameters[1],
parameters[2], "");
ADX adx = new ADX(data.Bars, parameters[3], "");
int cutlosslevel = (int)parameters[4];
int takeprofitlevel = (int)parameters[5];
double delta = 0, lastDelta = 0;
for (int idx = 1; idx < macd.Values.Length; idx++)
{
delta = (macd.HistSeries[idx] - macd.HistSeries[idx - 1]);
//If there is a trend
if (adx[idx] > 25)
{
if (delta > 0 && lastDelta < 0)
{
BuyAtClose(idx);
}
}
if (delta < 0 && lastDelta > 0)
{
SellAtClose(idx);
}
if (is_bought && CutLossCondition(data.Close[idx], buy_price, cutlosslevel))
{
SellCutLoss(idx);
}
if (is_bought && TakeProfitCondition(data.Close[idx], buy_price, takeprofitlevel))
{
SellTakeProfit(idx);
}
lastDelta = delta;
}
}
public void TestCalculate()
{
TickerBLL tbll = new TickerBLL(_unit);
List <Ticker> tList = tbll.GetTickerListByShareDB(1585, 0, 21100000);
double[] inputData = new double[tList.Count];
var i = 0;
foreach (var t in tList)
{
inputData[i] = t.Close;
i++;
}
double?[] m = new double?[tList.Count];
double?[] s = new double?[tList.Count];
double?[] h = new double?[tList.Count];
Result res = MACD.Calculate(inputData, 26, 12, 9, m, s, h);
}
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"Enter the description for your new custom Strategy here.";
Name = "DrawOnIndicatorPanels";
Calculate = Calculate.OnBarClose;
EntriesPerDirection = 1;
EntryHandling = EntryHandling.AllEntries;
IsExitOnSessionCloseStrategy = true;
ExitOnSessionCloseSeconds = 30;
IsFillLimitOnTouch = false;
MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
OrderFillResolution = OrderFillResolution.Standard;
Slippage = 0;
StartBehavior = StartBehavior.WaitUntilFlat;
TimeInForce = TimeInForce.Gtc;
TraceOrders = false;
RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
StopTargetHandling = StopTargetHandling.PerEntryExecution;
BarsRequiredToTrade = 20;
DrawOnPricePanel = false;
// Disable this property for performance gains in Strategy Analyzer optimizations
// See the Help Guide for additional information
IsInstantiatedOnEachOptimizationIteration = true;
}
else if (State == State.DataLoaded)
{
MACD1 = MACD(12, 26, 9);
AddChartIndicator(MACD1);
MACD1.DrawOnPricePanel = false;
MACD1.IsOverlay = false;
MACD2 = MACD(13, 26, 9);
AddChartIndicator(MACD2);
MACD2.DrawOnPricePanel = false;
MACD2.IsOverlay = false;
}
}
protected override void OnCalculate()
{
MACD macd = MACD(8, 17, 9);
StochasticsFast stoc = StochasticsFast(5, 14);
EMA ema = EMA(10);
//if (macd[0] > macd.Avg[0]) {
// //AddChartArrowUp("ArrowLong_MACD" + +Bars[0].Time.Ticks, this.IsAutoAdjustableScale, 0, Bars[0].Low, Color.Green);
//}
//if (stoc.K[0] > stoc.D[0])
//{
// //AddChartArrowUp("ArrowLong_STOC" + +Bars[0].Time.Ticks, this.IsAutoAdjustableScale, 0, Bars[0].High, Color.DarkMagenta);
//}
//if (Bars[0].Close > ema[0])
//{
// //AddChartArrowUp("ArrowLong_EMA" + +Bars[0].Time.Ticks, this.IsAutoAdjustableScale, 0, Bars[0].High - (Bars[0].Range/2), Color.DarkGoldenrod);
//}
if (macd[0] > macd.Avg[0] && stoc.K[0] > stoc.D[0] && Bars[0].Close > ema[0])
{
AddChartArrowUp("ArrowLong_philtown" + +Bars[0].Time.Ticks, this.IsAutoAdjustableScale, 0, Bars[0].Low, Color.Green);
MyPlot1[0] = 1;
}
else if (macd[0] < macd.Avg[0] && stoc.K[0] < stoc.D[0] && Bars[0].Close < ema[0])
{
AddChartArrowDown("ArrowShort_philtown" + +Bars[0].Time.Ticks, this.IsAutoAdjustableScale, 0, Bars[0].High, Color.Red);
MyPlot1[0] = -1;
}
else
{
MyPlot1[0] = 0;
}
}
static void Intraday()
{
SubscribeEvents();
var ticks = mainProvider.GetTicks(symbols, 121, 30, GooglePoints);
#region Main Symbol Loop
foreach (var tick in ticks.Where(t => t.TickGroup.Count() > 0))
{
notificationsList.Add(tick.Symbol, mainProvider.GenerateTickReportData(tick));
#region Intraday Ticks Indicators Events
var twoMinutesFiveDaysClosePrices = tick.TickGroup2Minutes5Days.Select(x => x.Close).ToList();
if (twoMinutesFiveDaysClosePrices.Count() > 0)
{
RelativeStrengthIndex.GetRSI(10, twoMinutesFiveDaysClosePrices, tick.Symbol, Periods.TwoMinutesFiveDays);
MACD.GetMACDInfo(12, 26, 9, twoMinutesFiveDaysClosePrices, 5, tick.Symbol, Periods.TwoMinutesFiveDays);
}
#endregion
}
#endregion
NotifSender.SendTickReportData(notificationsList, Delivery.FTP);
}
protected override void OnCalculate()
{
Bollinger bol = Bollinger(this.Bollinger_stddev, this.Bollinger_Period);
if (Close[0] < bol.Lower[0])
{
longsignalbb = true;
}
else if (Close[0] > bol.Upper[0])
{
shortsignalbb = true;
}
else
{
//nothing
}
MACD macd = MACD(this.MACD_Fast, this.MACD_Slow, this.MACD_Smooth);
if (longsignalbb && CrossAbove(macd.Default, macd.Avg, 0))
{
AddChartArrowUp(Time[0].ToString() + "long", 0, Low[0], this.ColorLongSignal);
MyPlot1.Set(1);
longsignalbb = false;
}
else if (shortsignalbb && CrossBelow(macd.Default, macd.Avg, 0))
{
AddChartArrowDown(Time[0].ToString() + "short", 0, High[0], this.ColorShortSignal);
MyPlot1.Set(-1);
shortsignalbb = false;
}
else
{
MyPlot1.Set(0);
}
}
public override universe Pass(IEnumerable <string> stocks)
{
var client = new kdatadb();
log.Info("query D");
var D = stocks
.AsParallel()
.Select(code => client.kdata(code, "D"))
.Where(p => p != null && p.Any())
.ToArray();
log.InfoFormat("D total {0}", D.Count());
var codes = D
.Where(p =>
{
if (!p.Any())
{
return(false);
}
var close = p.close();
var cross = new MACD(p.volume()).cross();
return(cross.Any() &&
cross.Last().type == Interface.Data.crosstype.gold &&
cross.Last().value.Date.Date == DateTime.Today);
})
.Select(p => p.Code)
.Distinct()
.ToArray();
log.InfoFormat("selected {0}", codes.Count());
return(new universe("volume", codes));
}
public override void Run(Account account)
{
var client = new kdatadb();
log.InfoFormat("total {0}", account.universe.Count);
foreach (var stock in account.universe.AsParallel())
{
log.InfoFormat("run {0}", stock.Code);
var k = client.kdata(stock.Code, "15");
var kdj = new MACD(k.close());
var crossup = kdj.cross_gold();
var crossdown = kdj.cross_dead();
if (crossup.Any())
{
var s = crossup.Last();
if (s.Date == k.Last().date&& s.Date.Date == DateTime.Today)
{
Buy(account, stock.Code, s.Date);
continue;
}
}
if (crossdown.Any())
{
var s = crossdown.Last();
if (s.Date == k.Last().date&& s.Date.Date == DateTime.Today)
{
Sell(account, stock.Code, s.Date);
continue;
}
}
log.InfoFormat("no signal {0}", stock.Code);
}
}
public void MACD()
{
//File.Delete(@"MacdHData.xlsx");
//MACD macd = new MACD();
MACD macd = new MACD(false);
//https://au.finance.yahoo.com/quote/VAS.AX/
//https://au.finance.yahoo.com/quote/STW.AX/
//https://au.finance.yahoo.com/quote/APT.AX
//MACDSerie serie = GenerateMacdHistogramData(macd, "vas"); q q
//macd = new MACD(false);
//serie = GenerateMacdHistogramData(macd, "stw");
//macd = new MACD(false);
//serie = GenerateMacdHistogramData(macd, "apt");
macd.Load(Directory.GetCurrentDirectory() + "\\" + "table" + ".csv");
MACDSerie serie = macd.Calculate();
Assert.IsNotNull(serie);
Assert.IsTrue(serie.Signal.Count > 0);
Assert.IsTrue(serie.MACDLine.Count > 0);
Assert.IsTrue(serie.MACDHistogramDataList.Count > 0);
//serie.MACDHistogram.Select((x,i) => new {i, value = x.GetValueOrDefault(),Consider = x != null && x.Value < 0 && x.Value >-1 }).Where(x => x.Consider)
//serie.MACDHistogram.ElementAt(i-1) if its negative and > current negative value between 0 and -1 , good time to buy
}
private void button11_Click(object sender, EventArgs e)
{
if (repository == null)
{
repository = new IndicatorRepository(textBox2.Text);
repository.Initilization();
}
SecurityPropertiesSet securities = repository.Securities;
List <String> codes = securities.Codes;
int num = 0;
foreach (String code in codes)
{
if (code == null || code == "")
{
continue;
}
TimeSerialsDataSet tsd = repository[code];
if (tsd == null)
{
continue;
}
KLine dayLine = tsd.DayKLine;
if (dayLine == null)
{
continue;
}
MACD macd = (MACD)tsd.Create("macd", TimeUnit.day, false);
if (macd == null)
{
continue;
}
}
}
private void DownloadTimer(DownloadEngine download, Formatting formatting, PeregrineOperation peregrine, MACD macd, Stochastic stochastic,
TechnicalIndicators indicators, Transactions transactions, WebClient web, WebURIs uRIs, string Database, string downloadTime)
{
var DailyTime = downloadTime; //Time when method needs to be called
var timeParts = DailyTime.Split(new char[1] {
':'
});
var dateNow = DateTime.Now;
var date = new DateTime(dateNow.Year, dateNow.Month, dateNow.Day,
int.Parse(timeParts[0]), int.Parse(timeParts[1]), int.Parse(timeParts[2]));
TimeSpan ts;
if (date > dateNow)
{
ts = date - dateNow;
}
else
{
date = date.AddDays(1);
ts = date - dateNow;
}
while (date != dateNow)
{
Console.WriteLine($"Waiting for {downloadTime}");
//waits certan time and run the code
Task.Delay(ts).ContinueWith((x) => Download(date, download, formatting, peregrine, macd, stochastic, indicators, transactions, web, uRIs, Database));
Console.Read();
}
}
protected override void Create() {
// 初始化下單物件，Contracts.UserSpecified 可指定規模，OrderExit.FromAll 可一次全平
多單 = OrderCreator.MarketThisBar(new SOrderParameters(Contracts.UserSpecified, EOrderAction.Buy));
空單 = OrderCreator.MarketThisBar(new SOrderParameters(Contracts.UserSpecified, EOrderAction.SellShort));
多沖 = OrderCreator.MarketThisBar(new SOrderParameters(Contracts.Default, EOrderAction.Sell, OrderExit.FromAll));
空沖 = OrderCreator.MarketThisBar(new SOrderParameters(Contracts.Default, EOrderAction.BuyToCover, OrderExit.FromAll));
__cService = OrderCreator as AbstractOrderService;
__cTimer = new Timer(1);
__cTimer.AutoReset = false;
__cTimer.Elapsed += Timer_onElapsed;
//__cTimer.Start();
//bbb = BarsOfData(2);
cBuilder.AppendLine("[F000]");
__cKDSum = new VariableSeries<double>(this);
__cMACD = new MACD(this);
__cMACD.FastPeriod = 5;
__cMACD.SlowPeriod = 10;
__cMACD.MACDPeriod = 10;
__cKD = new KD(this);
__cKD.Length = 5;
}
public override void Calculate(IDataSet dataSet)
{
DataSet = dataSet;
// Reading the parameters
var basePrice = (BasePrice)IndParam.ListParam[2].Index;
var referencePeriod = (int)IndParam.NumParam[3].Value;
int previous = IndParam.CheckParam[0].Checked ? 1 : 0;
// Calculation
// ---------------------------------------------------------
var macd = new MACD();
macd.Initialize(SlotType);
macd.IndParam.ListParam[1].Index = IndParam.ListParam[1].Index;
macd.IndParam.ListParam[2].Index = IndParam.ListParam[2].Index;
macd.IndParam.ListParam[3].Index = 0;
macd.IndParam.NumParam[0].Value = IndParam.NumParam[0].Value;
macd.IndParam.NumParam[1].Value = IndParam.NumParam[1].Value;
macd.IndParam.NumParam[2].Value = IndParam.NumParam[2].Value;
macd.IndParam.CheckParam[0].Checked = IndParam.CheckParam[0].Checked;
macd.Calculate(DataSet);
double[] indicatorMa = MovingAverage(referencePeriod, previous, MAMethod.Simple, macd.Component[0].Value);
double[] marketMa = MovingAverage(referencePeriod, previous, MAMethod.Simple, Price(basePrice));
// ----------------------------------------------------------
int firstBar = macd.Component[0].FirstBar + referencePeriod + 2;
var cd = new double[Bars];
if (IndParam.ListParam[0].Text == "Convergence")
{
for (int bar = firstBar; bar < Bars; bar++)
{
cd[bar] = IsConvergence(indicatorMa, marketMa, bar);
}
}
else if (IndParam.ListParam[0].Text == "Divergence")
{
for (int bar = firstBar; bar < Bars; bar++)
{
cd[bar] = IsDivergence(indicatorMa, marketMa, bar);
}
}
// Saving the components
Component = new IndicatorComp[4];
Component[0] = new IndicatorComp
{
CompName = "MACD Histogram",
DataType = IndComponentType.IndicatorValue,
ChartType = IndChartType.Line,
ChartColor = Color.RoyalBlue,
FirstBar = firstBar,
Value = macd.Component[0].Value
};
Component[1] = new IndicatorComp
{
CompName = "MACD MA",
DataType = IndComponentType.IndicatorValue,
ChartType = IndChartType.Line,
ChartColor = Color.Red,
FirstBar = firstBar,
Value = indicatorMa
};
Component[2] = new IndicatorComp
{
ChartType = IndChartType.NoChart,
FirstBar = firstBar,
Value = cd
};
Component[3] = new IndicatorComp
{
ChartType = IndChartType.NoChart,
FirstBar = firstBar,
Value = cd
};
// Sets the Component's type
if (SlotType == SlotTypes.OpenFilter)
{
Component[2].DataType = IndComponentType.AllowOpenLong;
Component[2].CompName = "Is long entry allowed";
Component[3].DataType = IndComponentType.AllowOpenShort;
Component[3].CompName = "Is short entry allowed";
}
else if (SlotType == SlotTypes.CloseFilter)
{
Component[2].DataType = IndComponentType.ForceCloseLong;
Component[2].CompName = "Close out long position";
Component[3].DataType = IndComponentType.ForceCloseShort;
Component[3].CompName = "Close out short position";
}
}
public override TradeRecords Execute(String code, Properties strategyParam, BacktestParameter backtestParam, ISeller seller = null)
{
IndicatorRepository repository = (IndicatorRepository)backtestParam.Get <Object>("repository");
if (repository == null)
{
return(null);
}
//取得策略参数
double buy_mainlow = strategyParam.Get <double>("buy_mainlow"); //主力线低位买入
int buy_cross = strategyParam.Get <int>("buy_cross");
GetInMode p_getinMode = (GetInMode)strategyParam.Get <GetInMode>("getinMode");
//取得行情数据
TradeRecords tr = new TradeRecords(code);
TimeSerialsDataSet ds = repository[code];
if (ds == null)
{
return(null);
}
KLine kline = ds.DayKLine;
if (kline == null)
{
return(null);
}
MACD macd = (MACD)ds.Create("macd", TimeUnit.day, false);
if (macd == null)
{
return(null);
}
//买入条件判定
for (int i = 0; i < macd.Count; i++)
{
MACDItem macdItem = macd[i];
if (macdItem.Date < backtestParam.BeginDate || macdItem.Date >= backtestParam.EndDate)
{
continue;
}
if (macdItem.CROSS <= 0)
{
continue;
}
if (macdItem.DIF > buy_mainlow)
{
continue;
}
DateTime d = macdItem.Date;
KLineItem klineItem = kline[d];
if (klineItem == null)
{
continue;
}
TradeBout bout = new TradeBout(code);
bout.RecordTrade(1, d, TradeDirection.Buy, klineItem.CLOSE, (int)(p_getinMode.Value / klineItem.CLOSE), backtestParam.Volumecommission, backtestParam.Stampduty, "低位金叉" + macdItem.DIF.ToString("F2"));
tr.Bouts.Add(bout);
}
return(tr);
}
public override void Initialize()
{
macd = this.MACD(this.Close, 13, 26, 9);
}
/// Download and save to Database
private void Download(DateTime date, DownloadEngine download, Formatting formatting, PeregrineOperation peregrine, MACD macd, Stochastic stochastic, TechnicalIndicators indicators, Transactions transactions, WebClient web, WebURIs uRIs, string Database)
{
List <string> Symbols = transactions.DatabaseSymbolListQuery(Database, stocks);
transactions.TruncateStockTable(Database, "Clean Data"); // clears data from the clean data table.
int count = 1;
foreach (var stock in Symbols)
{
Console.Clear();
Console.WriteLine($"Downloading {stock} || {count} of {Symbols.Count}");
download.ToDatabase(date, formatting, peregrine, transactions, web, uRIs, stock, Database);
count++;
}
Console.WriteLine("I'm Done");
//count = 1;
//calls the list of stocks that have been data verified
//List<string> CleanData = transactions.DatabaseSymbolListQuery(Database, stocks);
//foreach (var stock in CleanData)
//{
// Console.Clear();
// Console.WriteLine($"Doing Math {stock} || {count} of {CleanData.Count}");
// List<Results> results = MathPredictsTheFuture(download, macd, stochastic, transactions, indicators, stock);
// transactions.SaveToTableResult(Database, results); // saves the calculations to the Results table in the database
// count++;
//}
//// calls the stocks from the results list
//List<PeregrineResults> todaysResults = transactions.DailyResultsQuery(peregrine.Database);
//transactions.TruncateStockTable(database, peregrineresults); // clears the web results table. This table feeds the model for the ASP.Net interface.
//transactions.SaveToTableWebResult(peregrine.Database, todaysResults);
//Console.WriteLine("Peregrine Results Updated");
}
public override void OnBar(Bar bar)
{
{
macd = new MACD(_1mlist);
mv5 = new MA(_1mlist, BarData.Volume, 5);
ma5 = new MA(_1mlist, 5);;
AddIndicator(macd);
AddIndicator(ma5);
AddIndicator(mv5);
/* Print("k:" + _1mlist.Ago(0).ToString());
* Print("ma: " + macd.Ago(0).ToString());
* Print("vma: " + mv5.Ago(0).ToString());
* Print("ma: " + ma5.Ago(0).ToString());
* Print("dif:" + macd.DIF(0).ToString() + "dea" + macd.DEA(0).ToString());*/
// Print(klist(0).)
生成(_1mlist);
/*
* Print("onbar bars[0]: " + bars[0].ToString());
* Print("onbar bars.Count: " + bars.Count.ToString());
* Print("onbar blist1.Count: " + blist1.Count.ToString());*/
for (int j = 0; j < blist1.Count; j++)
{
if (blist1[j].zd == 结构.顶)
{
Print("blist1" + "^|" + blist1[j].high.ToString() + "|" + blist1[j].ba.BeginTime.ToString());
}
else
{
Print("blist1" + "v|" + blist1[j].low.ToString() + "|" + blist1[j].ba.EndTime.ToString());
}
}
}
var 当前多头持仓 = GetPosition(EnumMarket.期货, DefaultAccount, DefaultFutureCode, EnumPositionDirection.多头);
var 当前空头持仓 = GetPosition(EnumMarket.期货, DefaultAccount, DefaultFutureCode, EnumPositionDirection.空头);
if (blist1.Last().zd == 结构.底)
{
if (当前空头持仓 != null)
{
Print(当前空头持仓.ToString());
if (当前空头持仓.YdPosition > 0)
{
order = LimitOrder(当前空头持仓.Volume, blist1.Last().ba.Close, EnumBuySell.买入, EnumOpenClose.平仓);
}
if (当前空头持仓.TodayPosition > 0)
{
order = LimitOrder(当前空头持仓.Volume, blist1.Last().ba.Close, EnumBuySell.买入, EnumOpenClose.平今仓);
}
}
if (当前多头持仓 != null)
{
return;
}
else
{
order = LimitOrder(1, blist1.Last().ba.Close, EnumBuySell.买入, EnumOpenClose.开仓);
}
}
if (blist1.Last().zd == 结构.顶)
{
if (当前多头持仓 != null)
{
Print(当前多头持仓.ToString());
if (当前多头持仓.YdPosition > 0)
{
order = LimitOrder(当前多头持仓.Volume, blist1.Last().ba.Close, EnumBuySell.卖出, EnumOpenClose.平仓);
}
if (当前多头持仓.TodayPosition > 0)
{
order = LimitOrder(当前多头持仓.Volume, blist1.Last().ba.Close, EnumBuySell.卖出, EnumOpenClose.平今仓);
}
}
if (当前空头持仓 != null)
{
return;
}
else
{
order = LimitOrder(1, blist1.Last().ba.Close, EnumBuySell.卖出, EnumOpenClose.开仓);
}
}
}
private void CalculateDaily(string code)
{
if (string.IsNullOrEmpty(code))
{
return;
}
var scripts = Config.Instance.INFO.ScriptSetting.Scripts;
var macdsetting = Config.Instance.INFO.MACDSetting;
var rsisetting = Config.Instance.INFO.RSISetting;
// Delete MACD, RSI values
if ((CheckTable <DBStkMACDEntity>() && scripts.ContainsKey("DEL_MACD_BY_CD")) &&
(CheckTable <DBStkRSIEntity>() && scripts.ContainsKey("DEL_RSI_BY_CD")))
{
var lprm_macd = accessor.CreateParameter("CODE", code);
var lcmd_macd = accessor.CreateCommand(scripts["DEL_MACD_BY_CD"], new List <DbParameter>()
{
lprm_macd
});
var lprm_rsi = accessor.CreateParameter("CODE", code);
var lcmd_rsi = accessor.CreateCommand(scripts["DEL_RSI_BY_CD"], new List <DbParameter>()
{
lprm_rsi
});
if (accessor.ExecuteSQLCommand(new List <DbCommand>()
{
lcmd_macd, lcmd_rsi
}) < 0)
{
logger.Write(TYPE.ERROR, string.Format("delete MACD and RSI data failed.({0})", code));
logger.Write(TYPE.ERROR, accessor.LastError);
return;
}
}
else
{
return;
}
// Retrieve Stocks
var page = new EntityPage <DBTStkDailyEntity>(
new Clause("Code = {Code}").AddParam("Code", code),
new Sort().Add("ID", Sort.Orientation.asc), 100, accessor);
List <DBTStkDailyEntity> lst_daily = null; DateTime ldt_date = DateTime.Today;
MACD macd = null; RSI rsi = null; AverageValue daily30 = null;
#region Cache For MACD
SegCache <LinearList <KeyValuePair <DateTime, decimal> >, KeyValuePair <DateTime, decimal> > cache1 = null;
SegCache <LinearList <KeyValuePair <DateTime, decimal> >, KeyValuePair <DateTime, decimal> > cache2 = null;
LinearList <KeyValuePair <DateTime, decimal> > list1 = null;
LinearList <KeyValuePair <DateTime, decimal> > list2 = null;
#endregion
#region Cache For AVG
SegCache <LinearList <KeyValuePair <DateTime, decimal> >, KeyValuePair <DateTime, decimal> > cache3 = null;
SegCache <LinearList <KeyValuePair <DateTime, decimal> >, KeyValuePair <DateTime, decimal> > cache4 = null;
LinearList <KeyValuePair <DateTime, decimal> > list3 = null;
LinearList <KeyValuePair <DateTime, decimal> > list4 = null;
#endregion
Func <KeyValuePair <DateTime, decimal>, decimal> fValue = (pair) => { return(pair.Value); };
Func <KeyValuePair <DateTime, decimal>, KeyValuePair <DateTime, decimal>, LinearList <KeyValuePair <DateTime, decimal> >, bool> fSwitch1 = (v1, v2, segment) => {
switch (segment.Orietion)
{
case 0:
return(false);
case 1:
if (v2.Value >= v1.Value)
{
return(false);
}
break;
case -1:
if (v2.Value <= v1.Value)
{
return(false);
}
break;
}
return(true);
};
Func <LinearList <KeyValuePair <DateTime, decimal> >, LinearList <KeyValuePair <DateTime, decimal> >, bool> fSwitch2 = (values, segment) =>
{
if (segment.Orietion == 0 || segment.Orietion == values.Orietion)
{
return(false);
}
return(values.Count >= 10);
};
int pageno = 0; var count = 0;
while ((lst_daily = page.Retrieve(++pageno)).Count > 0)
{
for (int i = 0; i < lst_daily.Count; i++, count++)
{
try
{
var daily = lst_daily[i];
ldt_date = daily.Date;
if (pageno == 1 && i == 0)
{
macd = new MACD(daily.Close);
rsi = new RSI(rsisetting.N1, rsisetting.N2, rsisetting.N3, daily.Close);
daily30 = new AverageValue(30, 4);
daily30.Add(daily.Close);
cache1 = new SegCache <LinearList <KeyValuePair <DateTime, decimal> >, KeyValuePair <DateTime, decimal> >(
new LinearList <KeyValuePair <DateTime, decimal> >[] { new LinearList <KeyValuePair <DateTime, decimal> >(fValue), new LinearList <KeyValuePair <DateTime, decimal> >(fValue) },
fSwitch1, null);
cache2 = new SegCache <LinearList <KeyValuePair <DateTime, decimal> >, KeyValuePair <DateTime, decimal> >(
new LinearList <KeyValuePair <DateTime, decimal> >[] { new LinearList <KeyValuePair <DateTime, decimal> >(fValue), new LinearList <KeyValuePair <DateTime, decimal> >(fValue) },
null, fSwitch2);
cache3 = new SegCache <LinearList <KeyValuePair <DateTime, decimal> >, KeyValuePair <DateTime, decimal> >(
new LinearList <KeyValuePair <DateTime, decimal> >[] { new LinearList <KeyValuePair <DateTime, decimal> >(fValue), new LinearList <KeyValuePair <DateTime, decimal> >(fValue) },
fSwitch1, null);
cache4 = new SegCache <LinearList <KeyValuePair <DateTime, decimal> >, KeyValuePair <DateTime, decimal> >(
new LinearList <KeyValuePair <DateTime, decimal> >[] { new LinearList <KeyValuePair <DateTime, decimal> >(fValue), new LinearList <KeyValuePair <DateTime, decimal> >(fValue) },
null, fSwitch2);
}
else
{
macd.Add(daily.Close);
rsi.Add(daily.Close);
daily30.Add(daily.Close);
if (cache1.Add(new KeyValuePair <DateTime, decimal>(daily.Date, macd.DEA), out list1))
{
cache2.Add(list1, out list2);
}
if (cache3.Add(new KeyValuePair <DateTime, decimal>(daily.Date, daily30.Average), out list3))
{
cache4.Add(list3, out list4);
}
}
var lent_macd = new DBStkMACDEntity(daily.ID);
lent_macd.EMA12 = macd.EMA12;
lent_macd.EMA26 = macd.EMA26;
lent_macd.DIFF = macd.DIFF;
lent_macd.DEA = macd.DEA;
lent_macd.BAR = macd.BAR;
var lent_rsi = new DBStkRSIEntity(daily.ID);
lent_rsi.RSI1 = rsi.RSI1;
lent_rsi.RSI2 = rsi.RSI2;
lent_rsi.RSI3 = rsi.RSI3;
lent_rsi.RSI1MaxEma = rsi.RSI1MaxEma;
lent_rsi.RSI1ABSEma = rsi.RSI1ABSEma;
lent_rsi.RSI2MaxEma = rsi.RSI2MaxEma;
lent_rsi.RSI2ABSEma = rsi.RSI2ABSEma;
lent_rsi.RSI3MaxEma = rsi.RSI3MaxEma;
lent_rsi.RSI3ABSEma = rsi.RSI3ABSEma;
accessor.SaveEntity(lent_macd, lent_rsi);
accessor.Commit();
}
catch { }
}
}
if (count > 120)
{
cache2.Add(cache1.Segment, out list2);
cache4.Add(cache3.Segment, out list4);
var lent_sum = new DBStkSummaryResultEntity();
lent_sum.Code = code;
lent_sum.Time = DateTime.Now;
lent_sum.PAVG30_ORIENT = cache4.Segment.Orietion;
lent_sum.PAVG30_DAYS = cache4.Segment.Count;
lent_sum.PAVG30_VALUE = cache4.Segment.Slope;
lent_sum.PAVG30_Date1 = cache4.Segment[0].Key;
lent_sum.PAVG30_Date2 = cache4.Segment[cache4.Segment.Count - 1].Key;
lent_sum.DEA_ORIENT = cache2.Segment.Orietion;
lent_sum.DEA_DAYS = cache2.Segment.Count;
lent_sum.DEA_VALUE = cache2.Segment.Slope;
lent_sum.DEA_Date1 = cache2.Segment[0].Key;
lent_sum.DEA_Date2 = cache2.Segment[cache2.Segment.Count - 1].Key;
lent_sum.RSI_Date = ldt_date;
lent_sum.RSI_VALUE1 = rsi.RSI1;
lent_sum.RSI_VALUE2 = rsi.RSI2;
lent_sum.RSI_VALUE3 = rsi.RSI3;
if (CheckTable <DBStkSummaryResultEntity>())
{
accessor.SetDBAccessor2(lent_sum);
lent_sum.GenerateID();
lent_sum.Save();
}
}
if (page != null)
{
page.Dispose();
}
if (cache1 != null)
{
cache1.Dispose();
}
if (cache2 != null)
{
cache2.Dispose();
}
if (cache3 != null)
{
cache3.Dispose();
}
if (cache4 != null)
{
cache4.Dispose();
}
if (daily30 != null)
{
daily30.Dispose();
}
}
