private void CollapseAll_Click(object sender, System.Windows.Input.MouseButtonEventArgs e)
{
if (TabGeneral.IsSelected)
{
General.CollapseAllGroups();
}
else if (TabCroissance.IsSelected)
{
Croissance.CollapseAllGroups();
}
else if (TabValorisation.IsSelected)
{
Valorisation.CollapseAllGroups();
}
else if (TabMomentum.IsSelected)
{
Momentum.CollapseAllGroups();
}
else if (TabQuality.IsSelected)
{
Quality.CollapseAllGroups();
}
else if (TabSynthese.IsSelected)
{
Synthese.CollapseAllGroups();
}
}
/// <summary>
/// Initializes a new instance of the <see cref="ITrendStrategy"/> class.
/// </summary>
/// <param name="period">The period of the Instantaneous trend.</param>
public MultiSymbolStrategy(Indicator price, int period, decimal tolerance = 0.001m, decimal revetPct = 1.0015m,
RevertPositionCheck checkRevertPosition = RevertPositionCheck.vsTrigger)
{
_price = price;
sma = new SimpleMovingAverage(period).Of(price);
SMAMomentum = new Momentum(2).Of(sma);
MomentumWindow = new RollingWindow <decimal>(2);
Position = StockState.noInvested;
EntryPrice = null;
ActualSignal = OrderSignal.doNothing;
_tolerance = tolerance;
_revertPCT = revetPct;
_checkRevertPosition = checkRevertPosition;
SMAMomentum.Updated += (object sender, IndicatorDataPoint updated) =>
{
if (SMAMomentum.IsReady)
{
MomentumWindow.Add(SMAMomentum.Current.Value);
}
if (MomentumWindow.IsReady)
{
CheckSignal();
}
};
}
} // true - если объект успешно добавлен, false - в противном случае
// Конструктор класса окна добавления объекта.
// Принимает как аргумент окно демонстрации
public AddObject(Momentum momentum)
{
InitializeComponent();
this.momentum = momentum;
InitCharacteristics();
InitTextBoxes();
}
private Stock_Report GetStockReportData(Stock stock)
{
try
{
List <Candel> candels = stock.Stock_Quote.Select(sq => new Candel()
{
Date = sq.date_round,
Close = sq.closing,
Maximun = sq.maximun,
Minimun = sq.minimun,
Open = sq.opening,
Visible = true,
Volume = (double)sq.volume
}).ToList();
if (candels.Any())
{
MA ma20 = new MA(candels, 20, "");
MA ma50 = new MA(candels, 50, "");
MA ma200 = new MA(candels, 200, "");
EMA ema12 = new EMA(candels, 12, "", false);
EMA ema20 = new EMA(candels, 20, "", false);
EMA ema26 = new EMA(candels, 26, "", false);
RSI rsi14 = new RSI(candels, 14, 0, 0, "", "");
Momentum momentum12 = new Momentum(candels, 12, "", "");
StochasticOscillatorFast soFast = new StochasticOscillatorFast(candels, 14, 0, 0, "", "", "");
MACD macd1226 = new MACD(candels, 12, 26, 9, "", "");
BoolingerBands boolinger20 = new BoolingerBands(candels, 20, "");
WilliansR williansr14 = new WilliansR(candels, 14, 0, 0, "", "", "");
Stock_Report result = new Stock_Report();
result.Stock_ID = stock.Id;
result.Price = stock.Stock_Quote.Last().closing;
result.Date_Round = stock.Stock_Quote.Last().date_round;
result.MA20 = ma20.Series[0].Data.Last().Value;
result.MA50 = ma50.Series[0].Data.Last().Value;
result.MA200 = ma200.Series[0].Data.Last().Value;
result.RSI14 = rsi14.Series[0].Data.Last().Value;
result.Momentum12 = momentum12.Series[0].Data.Last().Value;
result.SOFast_k14 = (soFast.Series[0].Data.Any()) ? soFast.Series[0].Data.Last().Value : 0;
result.SOFast_d3 = (soFast.Series[1].Data.Any()) ? soFast.Series[1].Data.Last().Value : 0;
result.EMA12 = ema12.Series[0].Data.Last().Value;
result.EMA26 = ema26.Series[0].Data.Last().Value;
result.MACD2612 = macd1226.Series[0].Data.Last().Value;
result.MA9 = macd1226.Series[1].Data.Last().Value;
result.EMA20 = ema20.Series[0].Data.Last().Value;
result.BoolUP = boolinger20.Series[1].Data.Last().Value;
result.BoolLOW = boolinger20.Series[2].Data.Last().Value;
result.WilliansR = (williansr14.Series[0].Data.Any()) ? williansr14.Series[0].Data.Last().Value : 0;
return(result);
}
return(null);
}
catch (Exception ex)
{
throw ex;
}
}
public void VerifyAllEnums()
{
var acceleration = new Acceleration(1, AccelerationUnit.BaseUnit);
var angle = new Angle(1, AngleUnit.BaseUnit);
var angularAcceleration = new AngularAcceleration(1, AngularAccelerationUnit.BaseUnit);
var area = new Area(1, AreaUnit.BaseUnit);
var density = new MassDensity(1, MassDensityUnit.BaseUnit);
var electricCurrent = new ElectricCurrent(1, ElectricCurrentUnit.BaseUnit);
var electricResistance = new ElectricResistance(1, ElectricResistanceUnit.BaseUnit);
var electricVoltage = new ElectricPotential(1, ElectricPotentialUnit.BaseUnit);
var energy = new Energy(1, EnergyUnit.BaseUnit);
var force = new Force(1, ForceUnit.BaseUnit);
var frequency = new Frequency(1, FrequencyUnit.BaseUnit);
var jerk = new Jerk(1, JerkUnit.BaseUnit);
var length = new Length(1, LengthUnit.BaseUnit);
var mass = new Mass(1, MassUnit.BaseUnit);
var massFlowRate = new MassFlowRate(1, MassFlowRateUnit.BaseUnit);
var momentum = new Momentum(1, MomentumUnit.BaseUnit);
var numeric = new Numeric(1, NumericUnit.BaseUnit);
var power = new Power(1, PowerUnit.BaseUnit);
var pressure = new Pressure(1, PressureUnit.BaseUnit);
var speed = new Speed(1, SpeedUnit.BaseUnit);
var temperature = new Temperature(1, TemperatureUnit.BaseUnit);
var time = new Time(1, TimeUnit.BaseUnit);
var torque = new Torque(1, TorqueUnit.BaseUnit);
var volume = new Volume(1, VolumeUnit.BaseUnit);
var volumetricFlowRate = new VolumetricFlowRate(1, VolumetricFlowRateUnit.BaseUnit);
}
public override Advice GetActionForBuckets(List <TradeBucket> tradeBuckets)
{
Advice advice = new Advice();
advice.AlgorithmName = Name;
advice.Confidence = 0;
advice.Group = Group;
advice.Time = tradeBuckets[tradeBuckets.Count - 1].Time;
List <TradeBucket> buckets = tradeBuckets;
Momentum rsi = new Momentum();
TIOutput output = rsi.GetCurrentValue(buckets);
advice.Price = buckets[buckets.Count - 1].Close;
advice.Confidence = (decimal)output.Value;
if (output.Value > 2)
{
advice.Action = TradeAction.Sell;
}
else if (output.Value < -2.5)
{
advice.Action = TradeAction.Buy;
}
else
{
advice.Action = TradeAction.Hold;
}
return(advice);
}
/// <summary>
/// In this function we do all the work and send back the OrderAction.
/// </summary>
/// <param name="data"></param>
/// <returns></returns>
public OrderAction?calculate(IDataSeries data, IDataSeries open, IDataSeries high, IOrder longorder, IOrder shortorder, int bollinger_period, double bollinger_standarddeviation, int momentum_period, int rsi_period, int rsi_smooth, int rsi_level_low, int rsi_level_high, int momentum_level_low, int momentum_level_high)
{
//Calculate BB
Bollinger bb = Bollinger(data, bollinger_standarddeviation, bollinger_period);
Momentum mom = Momentum(data, momentum_period);
RSI rsi = RSI(data, rsi_period, rsi_smooth);
bb_lower = bb.Lower[0];
bb_middle = bb.Middle[0];
bb_upper = bb.Upper[0];
//if (high[0] > open[1])
//{
if (mom[0] >= momentum_level_high && rsi[0] <= rsi_level_low && data[0] <= bb.Lower[0] && data[1] <= bb.Lower[1] && data[2] <= bb.Lower[2])
{
return(OrderAction.Buy);
}
else if (mom[0] <= momentum_level_low && rsi[0] >= rsi_level_high && data[0] >= bb.Upper[0] && data[1] >= bb.Upper[1] && data[2] >= bb.Upper[2])
{
return(OrderAction.SellShort);
}
else if (data[0] >= bb.Upper[0] && longorder != null)
{
//currently we left the building on the upper band, is it better if we switch to a stop?
return(OrderAction.Sell);
}
else if (data[0] <= bb.Lower[0] && shortorder != null)
{
return(OrderAction.BuyToCover);
}
//}
return(null);
}
public void CreateMomentum(string cultureName, SourceType sourceType, MomentumType momentumType, ExtendedDate tempus, string[] resourceKeys)
{
Momentum newMomentum = new Momentum();
newMomentum.SourceType = sourceType;
newMomentum.Tempus = tempus;
newMomentum.Type = momentumType;
//newMomentum.Resources = resources;
List <MomentumResource> resourceList = new List <MomentumResource>();
foreach (string key in resourceKeys)
{
//_resourceService.CreateOrUpdate()
resourceList.Add(new MomentumResource()
{
CulturedMediaKey = key
});
}
newMomentum.Resources = resourceList;
//newMomentum.State = Infrastructure.Domain.Models.EntityState.Added;
_unitOfWork.MomentumRepository.Add(newMomentum);
_unitOfWork.Commit();
}
public MomentumProFunctionChart(ChartView BaseChart)
{
line1 = new Line();
line2 = new Line();
momentum = new Momentum();
var = new Variables.Variables();
BaseChart.Chart.Title.Text = "Momentum";
BaseChart.Chart.Axes.Left.Automatic = true;
BaseChart.Chart.Axes.Bottom.Automatic = true;
BaseChart.Chart.Axes.Left.Ticks.Transparency = 100;
FillSampleValues(line1, 30, 600);
line1.Color = var.GetPaletteBasic[0];
line1.LinePen.Width = 3;
line1.Pointer.Visible = true;
line1.Title = "Data Source";
line2.LinePen.Width = 3;
line2.DataSource = line1;
line2.Function = momentum;
line2.Title = "Momentum";
line2.Color = var.GetPaletteBasic[1];
momentum.Period = 10;
BaseChart.Chart.Series.Add(line1);
BaseChart.Chart.Series.Add(line2);
}
protected void CalculateIndicators()
{
// Init indicators
momentumSeries = Momentum.Series(Close, momentumPeriod.ValueInt);
DataSeries stochDSeries = StochD.Series(Bars, stochDSmooth.ValueInt, stochDPeriod.ValueInt);
DataSeries stochKSeries = StochK.Series(Bars, stochKPeriod.ValueInt);
}
/// <summary>
/// Writes this layer as XML
/// </summary>
/// <param name="writer">The XML writer</param>
public void WriteTo(XmlWriter writer)
{
writer.WriteStartElement("layer");
writer.WriteAttributeString("input-size", InputSize.ToString());
writer.WriteAttributeString("output-size", OutputSize.ToString());
writer.WriteAttributeString("activation", Activation.ToString());
writer.WriteAttributeString("weight-init", WeightInitialisation.ToString());
writer.WriteAttributeString("regularisation", Regularisation.ToString());
writer.WriteAttributeString("weight-update", WeightUpdate.ToString());
writer.WriteAttributeString("trainer", LayerTrainer.ToString());
writer.WriteAttributeString("lambda", Lambda.ToString());
writer.WriteAttributeString("momentum", Momentum.ToString());
writer.WriteAttributeString("decay-rate", DecayRate.ToString());
writer.WriteAttributeString("decay-rate2", DecayRate2.ToString());
writer.WriteAttributeString("dropout", Dropout.ToString());
if (Bias != null)
{
Bias.WriteTo("bias", writer);
}
if (Weight != null)
{
writer.WriteStartElement("weight");
foreach (var item in Weight)
{
item.WriteTo("row", writer);
}
writer.WriteEndElement();
}
writer.WriteEndElement();
}
/// <summary>
/// Updates the Physics of the entity.
/// </summary>
/// <param name="gameTime"></param>
public override void Update(GameTime gameTime)
{
//ITEM: c) Implementou corretamente o cálculo de deslocamento da bala, levando em conta a inércia e fazendo uso de vetores;
Vector2 forces = Vector2.Zero;
Vector2 instantForces = Vector2.Zero;
float secs = (float)gameTime.ElapsedGameTime.TotalSeconds;
#region Calculate Forces
//Constant forces
foreach (Vector2 force in ConstantForces.Values)
{
forces += force;
}
//Forces applied once
while (Forces.Count > 0)
{
instantForces += (Forces.Pop() / Mass); //Since it will be applied only once, must do a BIG BOOM.
}
#endregion Calculate Forces
Vector2 acceleration = (forces / Mass) + Gravity;
Vector2 accelSecs = acceleration * secs;
Entity.Position += GlobalForces.MetersToPixels((Momentum + accelSecs / 2) * secs);
Momentum += (accelSecs + instantForces);
Momentum *= (Vector2.One - Friction);
if (Rotate)
{
Entity.Rotation = Momentum.GetAngle();
}
}
public void MergeFrom(OptimizableVector other)
{
if (other == null)
{
return;
}
if (other.value_ != null)
{
if (value_ == null)
{
Value = new global::NetworkData.Vector();
}
Value.MergeFrom(other.Value);
}
if (other.momentum_ != null)
{
if (momentum_ == null)
{
Momentum = new global::NetworkData.Vector();
}
Momentum.MergeFrom(other.Momentum);
}
if (other.velocity_ != null)
{
if (velocity_ == null)
{
Velocity = new global::NetworkData.Vector();
}
Velocity.MergeFrom(other.Velocity);
}
_unknownFields = pb::UnknownFieldSet.MergeFrom(_unknownFields, other._unknownFields);
}
/// <summary>
/// Initializes a new instance of the <see cref="ITrendStrategy"/> class.
/// </summary>
/// <param name="period">The period of the Instantaneous trend.</param>
public ITrendStrategy(Indicator price, int period, decimal tolerance = 0.001m, decimal revetPct = 1.0015m,
RevertPositionCheck checkRevertPosition = RevertPositionCheck.vsTrigger)
{
_price = price;
ITrend = new InstantaneousTrend(period).Of(price);
ITrendMomentum = new Momentum(2).Of(ITrend);
MomentumWindow = new RollingWindow <decimal>(2);
Position = StockState.noInvested;
EntryPrice = null;
ActualSignal = OrderSignal.doNothing;
_tolerance = tolerance;
_revertPCT = revetPct;
_checkRevertPosition = checkRevertPosition;
//Sig9 sig9 = new Sig9();
ITrendMomentum.Updated += (object sender, IndicatorDataPoint updated) =>
{
if (ITrendMomentum.IsReady)
{
MomentumWindow.Add(ITrendMomentum.Current.Value);
}
if (MomentumWindow.IsReady)
{
CheckSignal();
}
};
}
void Update()
{
Momentum.Set(0, 0);
MomentumDown.Set(0, 0);
_temp = Input.GetAxisRaw("HorizontalPegi");
if (_temp != 0)
{
Momentum += _temp * Vector2.right;
}
_temp = Input.GetAxisRaw("Vertical");
if (_temp != 0)
{
Momentum += _temp * Vector2.up;
}
if (Input.GetKeyDown(KeyCode.LeftArrow) || Input.GetKeyDown(KeyCode.A))
{
MomentumDown.Set(-1, MomentumDown.y);
}
else if (Input.GetKeyDown(KeyCode.RightArrow) || Input.GetKeyDown(KeyCode.D))
{
MomentumDown.Set(1, MomentumDown.y);
}
else if (Input.GetKeyDown(KeyCode.UpArrow) || Input.GetKeyDown(KeyCode.W))
{
MomentumDown.Set(MomentumDown.x, 1);
}
else if (Input.GetKeyDown(KeyCode.DownArrow) || Input.GetKeyDown(KeyCode.S))
{
MomentumDown.Set(MomentumDown.x, -1);
}
}
/// <summary>
/// Creates a new Momentum indicator. This will compute the absolute n-period change in the security.
/// The indicator will be automatically updated on the given resolution.
/// </summary>
/// <param name="symbol">The symbol whose momentumwe want</param>
/// <param name="period">The period over which to compute the momentum</param>
/// <param name="resolution">The resolution</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)</param>
/// <returns>The momentum indicator for the requested symbol over the specified period</returns>
public Momentum MOM(string symbol, int period, Resolution?resolution = null, Func <BaseData, decimal> selector = null)
{
string name = CreateIndicatorName(symbol, "MOM" + period, resolution);
var momentum = new Momentum(name, period);
RegisterIndicator(symbol, momentum, resolution, selector);
return(momentum);
}
public override string ToString()
{
var strValue = $"|Type:{LearnerType} |LRate:{LearningRate.ToString(CultureInfo.InvariantCulture)} " +
$"|Momentum:{Momentum.ToString(CultureInfo.InvariantCulture)} |Loss:{LossFunction}" +
$"|Eval:{EvaluationFunction}" + $"|L1:{L1Regularizer}" + $"|L2:{L2Regularizer}";
return(strValue);
}
public void OpAddition()
{
var momentum1 = new Momentum(300000, MomentumUnit.GramCentimetersPerSecond);
var momentum2 = new Momentum(1, MomentumUnit.KilogramMetersPerSecond);
var expected = new Momentum(400000, MomentumUnit.GramCentimetersPerSecond);
(momentum1 + momentum2).ShouldEqual(expected);
(momentum2 + momentum1).ShouldEqual(expected);
}
/// <summary>
/// Creates a new Momentum indicator. This will compute the absolute n-period change in the security.
/// The indicator will be automatically updated on the given resolution.
/// </summary>
/// <param name="symbol">The symbol whose momentumwe want</param>
/// <param name="period">The period over which to compute the momentum</param>
/// <param name="resolution">The resolution</param>
/// <returns>The momentum indicator for the requested symbol over the specified period</returns>
public Momentum MOM(string symbol, int period, Resolution?resolution = null)
{
string name = CreateIndicatorName(symbol, "MOM" + period, resolution);
var momentum = new Momentum(name, period);
RegisterIndicator(symbol, momentum, resolution);
return(momentum);
}
public void ComputesCorrectly()
{
var mom = new Momentum(5);
foreach (var data in TestHelper.GetDataStream(5))
{
mom.Update(data);
Assert.AreEqual(data.Value, mom.Current.Value);
}
}
public void Momentum()
{
Momentum momentum = new Momentum();
momentum.Load(Directory.GetCurrentDirectory() + "\\table.csv");
SingleDoubleSerie serie = momentum.Calculate();
Assert.IsNotNull(serie);
Assert.IsTrue(serie.Values.Count > 0);
}
public void OpDivision()
{
var momentum1 = new Momentum(300000, MomentumUnit.GramCentimetersPerSecond);
var momentum2 = new Momentum(3, MomentumUnit.KilogramMetersPerSecond);
(momentum1 / momentum2).ShouldBeWithinEpsilonOf(1);
(momentum2 / momentum1).ShouldBeWithinEpsilonOf(1);
(momentum1 / 2).ShouldEqual(new Momentum(150000, MomentumUnit.GramCentimetersPerSecond));
(momentum2 / 2).ShouldEqual(new Momentum(1.5, MomentumUnit.KilogramMetersPerSecond));
}
public void OpGreaterThanOrEqual()
{
var momentum1 = new Momentum(300000, MomentumUnit.GramCentimetersPerSecond);
var momentum2 = new Momentum(3, MomentumUnit.KilogramMetersPerSecond);
var momentum3 = new Momentum(4, MomentumUnit.KilogramMetersPerSecond);
(momentum1 >= momentum3).ShouldBeFalse();
(momentum3 >= momentum1).ShouldBeTrue();
(momentum1 >= momentum2).ShouldBeTrue();
(momentum2 >= momentum1).ShouldBeTrue();
}
public void OpInverseEquals()
{
var momentum1 = new Momentum(300000, MomentumUnit.GramCentimetersPerSecond);
var momentum2 = new Momentum(3, MomentumUnit.KilogramMetersPerSecond);
var momentum3 = new Momentum(4, MomentumUnit.KilogramMetersPerSecond);
(momentum1 != momentum2).ShouldBeFalse();
(momentum2 != momentum1).ShouldBeFalse();
(momentum1 != momentum3).ShouldBeTrue();
(momentum3 != momentum1).ShouldBeTrue();
}
protected override void Init()
{
_ma1B = GetIndicator <MovingAverage>(Instrument.Id, Timeframe, _maPeriod1B, _maShift1B, _maMethod1B, _priceMode1B);
_ma2B = GetIndicator <MovingAverage>(Instrument.Id, Timeframe, _maPeriod2B, _maShift2B, _maMethod2B, _priceMode2B);
_momentInd = GetIndicator <Momentum>(Instrument.Id, Timeframe);
_momentInd.Period = 100;
_ma1R = GetIndicator <MovingAverage>(Instrument.Id, Timeframe, _maPeriod1R, _maShift1R, _maMethod1R, _priceMode1R);
//_ma2R = GetIndicator<MovingAverage>(Instrument.Id, Timeframe,_maPeriod2R, _maShift2R, _maMethod2R, _priceMode2R);
}
public void ComputesCorrectly()
{
var mom = new Momentum(5);
foreach (var data in TestHelper.GetDataStream(5))
{
mom.Update(data);
Assert.AreEqual(data.Value, mom.Current.Value);
}
}
public void Momentum()
{
Momentum momentum = new Momentum();
momentum.Load(csvPath);
SingleDoubleSerie serie = momentum.Calculate();
Assert.NotNull(serie);
Assert.True(serie.Values.Count > 0);
}
/// <summary>
/// Initializes a new instance of the <see cref="ITrendStrategy"/> class.
/// </summary>
/// <param name="period">The period of the Instantaneous trend.</param>
public ITrendSignal(int period, decimal tolerance = 0.001m, decimal revetPct = 1.0015m,
RevertPositionCheck checkRevertPosition = RevertPositionCheck.vsTrigger)
{
ITrend = new InstantaneousTrend(period);
ITrendMomentum = new Momentum(2).Of(ITrend);
MomentumWindow = new RollingWindow <decimal>(2);
_tolerance = tolerance;
_revertPCT = revetPct;
_checkRevertPosition = checkRevertPosition;
}
/// <summary>
/// Initializes a new instance of the <see cref="ITrendStrategy"/> class.
/// </summary>
/// <param name="period">The period of the Instantaneous trend.</param>
public ITrendSignal(int period, decimal tolerance = 0.001m, decimal revetPct = 1.0015m,
RevertPositionCheck checkRevertPosition = RevertPositionCheck.vsTrigger)
{
ITrend = new InstantaneousTrend(period);
ITrendMomentum = new Momentum(2).Of(ITrend);
MomentumWindow = new RollingWindow<decimal>(2);
_tolerance = tolerance;
_revertPCT = revetPct;
_checkRevertPosition = checkRevertPosition;
}
public void Momentum()
{
Momentum momentum = new Momentum();
momentum.Load(OhlcList);
SingleDoubleSerie serie = momentum.Calculate();
Assert.IsNotNull(serie);
Assert.IsTrue(serie.Values.Count > 0);
}
/// <summary>
/// Called on every new bar of data.
/// </summary>
/// <param name="currentBar">The current bar of the simulation</param>
protected override void OnBarUpdate(int currentBar)
{
base.OnBarUpdate(currentBar);
Momentum ind = (Momentum)Dependents[0];
if (DataSeries.IsAboutToCrossAbove(ind.Value, 0, currentBar) == true)
{
WasFound[currentBar] = true;
}
}
/// <summary>
/// Called on every new bar of data.
/// </summary>
/// <param name="currentBar">The current bar of the simulation</param>
protected override void OnBarUpdate(int currentBar)
{
base.OnBarUpdate(currentBar);
Momentum ind = (Momentum)Dependents[0];
if (DataSeries.CrossBelow(ind.Value, 0, currentBar, 0) != -1)
{
WasFound[currentBar] = true;
}
}
public override void Initialize()
{
SetStartDate(2016, 01, 01); //Set Start Date
SetEndDate(2016, 06, 30); //Set End Date
SetCash(100000); //Set Strategy Cash
AddEquity(symbol, Resolution.Daily);
rsi = RSI(symbol, 14, MovingAverageType.Simple, Resolution.Daily);
mom = MOM(symbol, 10, Resolution.Daily, Field.Close);
engine = new FuzzyEngine();
}
public override void Initialize()
{
SetStartDate(2015, 01, 01); //Set Start Date
SetEndDate(2015, 06, 30); //Set End Date
SetCash(100000); //Set Strategy Cash
AddEquity(_symbol, Resolution.Daily);
_rsi = RSI(_symbol, 14, MovingAverageType.Simple, Resolution.Daily);
_mom = MOM(_symbol, 10, Resolution.Daily, Field.Close);
_engine = new FuzzyEngine();
}
public void WarmsUpProperly()
{
var mom = new Momentum(5);
var period = ((IIndicatorWarmUpPeriodProvider)mom).WarmUpPeriod;
var dataStream = TestHelper.GetDataStream(period).ToArray();
for (var i = 0; i < period; i++)
{
mom.Update(dataStream[i]);
Assert.AreEqual(i == period - 1, mom.IsReady);
}
}
// МЕТОДЫ ВЫЗЫВАЕМЫЕ В ГЛАВНОМ МЕНЮ
// Открывает страницу демонстрации "Сохранение импульса"
private void OpenMomentum()
{
momentum = new Momentum();
frame.Navigate(momentum);
HideMenuButtons(); // Скрываем кнопки меню
ShowDemoButtons(); // Показываем кнопки демонстрации
this.listBox.Items.Clear(); // Очищаем список в листбоксе от возможных предыдущих значений
playBtn.IsEnabled = false; // Делаем кнопку "Старт" неактивной
stopBtn.IsEnabled = false; // Делаем кнопку "Стоп" неактивной
}
public IList <BaseIndicatorValue> ComputeMomentum(IList <Candle> candles, int period)
{
var indicator = new Momentum(candles.Select(candle => candle.ToInnerModel()), period);
var innerValues = indicator.Compute();
var outputValues = new List <BaseIndicatorValue>();
outputValues.AddRange(innerValues
.Where(value => value.DateTime.HasValue)
.Select(value => value.ToOuterModel()));
return(outputValues);
}
public BackPropagation GetLearningMethod(object owner, IContextLookup globalVars, BasicNetwork theNetwork,
IList <BasicData> data)
{
double theLearningRate = LearningRate.GetValue(owner, globalVars);
double theMomentum = Momentum.GetValue(owner, globalVars);
var theL1 = L1.GetValue(owner, globalVars);
var theL2 = L2.GetValue(owner, globalVars);
var toReturn = new BackPropagation(theNetwork, data, theLearningRate, theMomentum);
toReturn.L1 = theL1;
toReturn.L2 = theL2;
return(toReturn);
}
public void ResetsProperly()
{
var mom = new Momentum(5);
foreach (var data in TestHelper.GetDataStream(6))
{
mom.Update(data);
}
Assert.IsTrue(mom.IsReady);
mom.Reset();
TestHelper.AssertIndicatorIsInDefaultState(mom);
}
public void OpEquals()
{
var momentum1 = new Momentum(300000, MomentumUnit.GramCentimetersPerSecond);
var momentum2 = new Momentum(3, MomentumUnit.KilogramMetersPerSecond);
var momentum3 = new Momentum(4, MomentumUnit.KilogramMetersPerSecond);
(momentum1 == momentum2).ShouldBeTrue();
(momentum2 == momentum1).ShouldBeTrue();
(momentum1 == momentum3).ShouldBeFalse();
(momentum3 == momentum1).ShouldBeFalse();
momentum1.Equals(momentum2)
.ShouldBeTrue();
momentum1.Equals((object)momentum2)
.ShouldBeTrue();
momentum2.Equals(momentum1)
.ShouldBeTrue();
momentum2.Equals((object)momentum1)
.ShouldBeTrue();
}
/// <summary>
/// Initializes a new instance of the <see cref="ITrendStrategy"/> class.
/// </summary>
/// <param name="period">The period of the Instantaneous trend.</param>
public ITrendStrategyJJ(Indicator price, int period, decimal tolerance = 0.001m, decimal revetPct = 1.0015m,
RevertPositionCheck checkRevertPosition = RevertPositionCheck.vsTrigger)
{
_price = price;
ITrend = new InstantaneousTrend(period).Of(price);
ITrendMomentum = new Momentum(2).Of(ITrend);
MomentumWindow = new RollingWindow<decimal>(2);
Position = StockState.noInvested;
EntryPrice = null;
ActualSignal = OrderSignal.doNothing;
_tolerance = tolerance;
_revertPCT = revetPct;
_checkRevertPosition = checkRevertPosition;
ITrendMomentum.Updated += (object sender, IndicatorDataPoint updated) =>
{
if (ITrendMomentum.IsReady) MomentumWindow.Add(ITrendMomentum.Current.Value);
if (MomentumWindow.IsReady) CheckSignal();
};
}
/// <summary>
/// Initializes a new instance of the <see cref="ITrendStrategy"/> class.
/// </summary>
/// <param name="period">The period of the Instantaneous trend.</param>
public MultiSymbolStrategy(Indicator price, int period, decimal tolerance = 0.001m, decimal revetPct = 1.0015m,
RevertPositionCheck checkRevertPosition = RevertPositionCheck.vsTrigger)
{
_price = price;
sma = new SimpleMovingAverage(period).Of(price);
SMAMomentum = new Momentum(2).Of(sma);
MomentumWindow = new RollingWindow<decimal>(2);
Position = StockState.noInvested;
EntryPrice = null;
ActualSignal = OrderSignal.doNothing;
_tolerance = tolerance;
_revertPCT = revetPct;
_checkRevertPosition = checkRevertPosition;
SMAMomentum.Updated += (object sender, IndicatorDataPoint updated) =>
{
if (SMAMomentum.IsReady) MomentumWindow.Add(SMAMomentum.Current.Value);
if (MomentumWindow.IsReady) CheckSignal();
};
}
protected virtual void OnMaxValueChanged(Momentum? oldValue, Momentum? newValue)
{
this.SetScalarValue(ScalarMaxValueProperty, newValue);
}
public void OpMultiplicationScaler()
{
var momentum = new Momentum(1, MomentumUnit.KilogramMetersPerSecond);
var expected = new Momentum(2, MomentumUnit.KilogramMetersPerSecond);
(momentum * 2).ShouldEqual(expected);
(2 * momentum).ShouldEqual(expected);
}
public void OpSubtraction()
{
var momentum1 = new Momentum(700000, MomentumUnit.GramCentimetersPerSecond);
var momentum2 = new Momentum(3, MomentumUnit.KilogramMetersPerSecond);
(momentum1 - momentum2).ShouldEqual(new Momentum(400000, MomentumUnit.GramCentimetersPerSecond));
(momentum2 - momentum1).ShouldEqual(new Momentum(-4, MomentumUnit.KilogramMetersPerSecond));
}
public static Momentum operator *(Speed speed, Mass mass)
{
Momentum momentum = new Momentum();
momentum.Value = mass.Value * speed.Value;
return momentum;
}
public void OpLessThan()
{
var momentum1 = new Momentum(300000, MomentumUnit.GramCentimetersPerSecond);
var momentum2 = new Momentum(3, MomentumUnit.KilogramMetersPerSecond);
var momentum3 = new Momentum(4, MomentumUnit.KilogramMetersPerSecond);
(momentum1 < momentum3).ShouldBeTrue();
(momentum3 < momentum1).ShouldBeFalse();
(momentum1 < momentum2).ShouldBeFalse();
(momentum2 < momentum1).ShouldBeFalse();
}
protected void SetScalarValue(DependencyProperty property, Momentum? quantity)
{
// we set this flag to prevent from setting scalar value changing quantity values.
this.isUpdatingScalarValue = true;
var value = quantity != null
? this.Unit.GetScalarValue(quantity.Value)
: (double?)null;
this.SetCurrentValue(property, value);
this.isUpdatingScalarValue = false;
}
public Sig10Strategy(SecurityHolding sym, Indicator priceIdentity, int trendPeriod, decimal lossThreshhold, decimal tolerance, decimal revertPct)
{
trendArray = new decimal[trendPeriod + 1]; // initialized to 0. Add a period for Deserialize to make IsReady true
symbol = sym.Symbol;
_holding = sym;
_price = priceIdentity;
_period = trendPeriod;
_lossThreshhold = lossThreshhold;
_tolerance = tolerance;
RevPct = revertPct;
Trend = new InstantaneousTrend(sym.Symbol.Value, 7, .24m).Of(priceIdentity);
TrendMomentum = new Momentum(2).Of(Trend);
MomentumWindow = new RollingWindow<decimal>(2);
ActualSignal = OrderSignal.doNothing;
Trend.Updated += (object sender, IndicatorDataPoint updated) =>
{
Barcount++;
UpdateTrendArray(Trend.Current.Value);
nTrig = Trend.Current.Value;
if (Trend.IsReady)
{
TrendMomentum.Update(Trend.Current);
}
if (TrendMomentum.IsReady)
MomentumWindow.Add(TrendMomentum.Current.Value);
if (MomentumWindow.IsReady)
CheckSignal();
};
}
