List <decimal> GetState(string s)
{
//pfe, pfe_inc, eit, eit_inc, PerfScoreLong, PerfScoreShort, successRatio
//pfe, eit, PerfScore, successRatio
var list = new List <decimal>();
list.Add(pfe[s]);
list.Add(eit[s]);
list.Add(TradeMonitor.GetAveragePerfForDays(s, Time, stockPickingPeriod));
list.Add(TradeMonitor.GetAveragePerfForDays(s, Time, longPeriod));
return(list);
}
void BuyRatio(Slice data, Symbol s, decimal ratio)
{
var sr = TradeMonitor.GetSuccessRatio(s);
TradeMonitor.AddTrade(s, Securities[s].Price, GetState(s));
//if (sr < 0.0 && !s.ToString().StartsWith("VXX")) return;
if (!tradableSymbols.Contains(s))
{
return;
}
if (IsWarmingUp)
{
return;
}
if (Portfolio[s].Quantity == 0)
{
SetHoldings(s, ratio);
}
}
public override void OnEndOfDay()
{
//Transactions.CancelOpenOrders();
//_pfeStrategy.Update(new TradeBar(Time, symbols.FirstOrDefault(), Portfolio.TotalPortfolioValue, Portfolio.TotalPortfolioValue, Portfolio.TotalPortfolioValue, Portfolio.TotalPortfolioValue, Portfolio.TotalPortfolioValue));_pfeStrategy
_pfeStrategy.Update(new IndicatorDataPoint(Time, Portfolio.TotalPortfolioValue));
Plot("PFE", "Strategy", _pfeStrategy.Current.Value);
if (jitter < 1000)
{
Plot("Jitter", "Jitter", (decimal)jitter);
jitterSma.Update(Time, jitter);
jitterSmaL.Update(Time, jitter);
Plot("Jitter", "JitterSMA", jitterSma.Current.Value);
Plot("Jitter", "JitterLong", jitterSmaL.Current.Value);
}
jitter = 0;
var perf = new Dictionary <string, decimal>();
var perfS = new Dictionary <string, decimal>();
var bull1 = 0;
var bull2 = 0;
var bull3 = 0;
foreach (var s in symbols)
{
// if (riskProtectSymbols.Contains(s))
// {
// UpdateReference(s);
// _pfeReference[s].Update(new TradeBar(Time, s, reference[s], reference[s], reference[s], reference[s], reference[s]));
// }
if (eit[s] > 0)
{
bull1++;
}
if (pfe[s] > 0)
{
bull2++;
}
if (pfe[s] > ppfe[s] && pfe[s] > -50)
{
bull3++;
}
Plot("BULLISH", "EIT", (decimal)bull1);
Plot("BULLISH", "PFE", (decimal)bull2);
Plot("BULLISH", "PFE+", (decimal)bull2);
perf[s] = TradeMonitor.GetAveragePerfForDays(s, Time, stockPickingPeriod);
perfS[s] = TradeMonitor.GetAveragePerfForDays(s, Time, longPeriod);
ppfe[s] = pfe[s];
}
tradableSymbols.Clear();
if (!IsWarmingUp)
{
var l1 = (from entry in perf where perf[entry.Key] > 0 orderby perf[entry.Key] descending select entry.Key).Take(MAX_POS * 2);
var l2 = (from entry in l1 where perfS[entry] > 0 orderby perfS[entry] descending select entry).Take(MAX_POS * 2);
var lr = l2; //l1.Intersect(l2);
foreach (var s in lr)
{
tradableSymbols.Add(s);
}
//tradableSymbols.Add("QQQ");
// tradableSymbols.Add("VXX");
// tradableSymbols.Add("VXX.1");
}
}
public override void OnData(Slice data)
{
if (!IsWarmingUp && Time.Month != pmonth && VOL_PROTECT)
{
SetHoldings("VIXM", 0.1m);
pmonth = Time.Month;
}
if (Time.Minute != 0)
{
return;
}
foreach (var s in symbols)
{
if (!Securities.ContainsKey(s))
{
continue;
}
TradeMonitor.RecordPerf(s, Securities[s].Price);
if (pvalue[s] > 50 & pfe[s] < 50 || pfe[s] < -50)
{
if (activate[s])
{
jitter++;
}
activate[s] = false;
}
else if (pvalue[s] < -50 & pfe[s] > -50 || pfe[s] > 0 && pfe[s] > pvalue[s])
{
if (!activate[s])
{
jitter++;
}
activate[s] = true;
}
pvalue[s] = pfe[s];
if (eit[s].IsReady)
{
if (Securities.ContainsKey(s) && data.Bars.ContainsKey(s))
{
var ratio = 1.0m / MAX_POS; ///(symbols.Contains("VXX.1")) ? 1.0/(symbols.Count()-1) : 1.0 / (symbols.Count());
//if (POS_COUNT >= 10) ratio = 0.1;
if (activate[s] && Portfolio[s].Quantity == 0)
{
if (eit[s] > 0 && data[s].Close > Math.Max(eit[s].Lag, eit[s].InstantaneousTrend))
{
BuyRatio(data, s, ratio);
}
}
if (eit[s] < 0 || data[s].Close < Math.Min(eit[s].Lag, eit[s].InstantaneousTrend))
{
UpdateReference(s);
if (Securities.ContainsKey(s))
{
TradeMonitor.CloseAt(s, Securities[s].Price, Time);
}
if (Portfolio.ContainsKey(s) && Portfolio[s].Quantity != 0 && !IsWarmingUp)
{
SetHoldings(s, 0); //, tag:TradeMonitor.GetPerfReport(s));
}
}
else if (!activate[s] && data.Bars.ContainsKey(s) && data.Bars[s].Close < eit[s].Lag) //tightening the grip when trend slowing down according to PFE
{
UpdateReference(s);
TradeMonitor.CloseAt(s, Securities[s].Price, Time);
if (Portfolio[s].Quantity != 0 && !IsWarmingUp)
{
SetHoldings(s, 0); //, tag:TradeMonitor.GetPerfReport(s));
}
}
//risk mgmt kinda redundant with algo so little impact on DD
// else //if (data.Bars.ContainsKey(s))
// {
// // if (stopLoss.ContainsKey(s) && data[s].Close < stopLoss[s])
// // {
// // UpdateReference(s);
// // TradeMonitor.CloseAt(s, Securities[s].Price, Time);
// // if (Portfolio[s].Quantity != 0)
// // SetHoldings(s, 0, tag:TradeMonitor.GetPerfReport(s));
// // }
// // else if (takeProfit.ContainsKey(s) && data[s].Close >= takeProfit[s])
// // {
// // if (Portfolio[s].Quantity != 0)
// // MarketOrder(s, -0.5m * Portfolio[s].Quantity);
// // takeProfit.Remove(s);
// // }
// // else if (!takeProfit.ContainsKey(s) && data[s].Close < Portfolio[s].AveragePrice)
// // {
// // UpdateReference(s);
// // TradeMonitor.CloseAt(s, Securities[s].Price, Time);
// // if (Portfolio[s].Quantity != 0)
// // SetHoldings(s, 0, tag:TradeMonitor.GetPerfReport(s));
// // }
// }
}
}
}
}
