public void Update(Prices prices)
{
var closes = prices[Price.Close];
if (closes.Count >= Period)
{
int start = closes.Count - Period;
var lastCloses = closes.GetRange(start, Period);
var avg = lastCloses.Average();
var meanChange = closes.Last() * MEAN_CHANGE;
UpperBand.Add(avg + meanChange);
LowerBand.Add(avg - meanChange);
}
}
public void Update(Prices prices)
{
var closes = prices[Price.Close];
if (closes.Count >= Period)
{
int start = closes.Count - Period;
var lastCloses = closes.GetRange(start, Period);
var avg = lastCloses.Average();
var variance = lastCloses.Sum(p => p * p) / Period - avg * avg;
var stdev = Math.Sqrt(variance);
UpperBand.Add(avg + Width * stdev);
LowerBand.Add(avg - Width * stdev);
}
}
public void Update(Prices prices)
{
var closes = prices[Price.Close];
if (closes.Count >= Period + 1)
{
int start = closes.Count - Period - 1;
var lastLows = prices[Price.Low].GetRange(start, Period + 1);
var lastHighs = prices[Price.High].GetRange(start, Period + 1);
var lastCloses = closes.GetRange(start, Period + 1);
var avg = lastCloses.Skip(1).Average();
var ranges = new List <double>();
for (int i = 0; i < lastCloses.Count; i++)
{
var lowRange = Math.Abs(lastCloses[i] - lastLows[i]);
var highRange = Math.Abs(lastCloses[i] - lastHighs[i]);
var range = Math.Max(lowRange, highRange);
ranges.Add(range);
}
var atr = ranges.Average();
UpperBand.Add(avg + Width * atr);
LowerBand.Add(avg - Width * atr);
}
}
public SimulationResult Simulate(DateTime start, DateTime end, int interval, StrategyParameters parameters)
{
//Read the OHLC from database
var connectionName = ConfigurationManager.AppSettings["ConnectionName"];
var connectionString = ConfigurationManager.ConnectionStrings[connectionName].ConnectionString;
List <OHLC> ohlcList = new List <OHLC>();
try
{
using (SqlConnection connection = new SqlConnection(connectionString))
{
connection.Open();
using (SqlCommand command = new SqlCommand("", connection))
{
command.CommandType = System.Data.CommandType.Text;
command.CommandText = "SELECT o.Id, o.[Open], o.High, o.Low, o.[Close], Start, Volume FROM dbo.OHLC o " +
"WHERE o.[Start] >= @start AND o.[End] < @end ORDER BY o.Id ASC";
command.Parameters.Add(new SqlParameter("start", start));
command.Parameters.Add(new SqlParameter("end", end));
using (SqlDataReader reader = command.ExecuteReader())
{
while (reader.Read())
{
var ohlc = new OHLC();
ohlc.Open = reader.GetDecimal(1);
ohlc.High = reader.GetDecimal(2);
ohlc.Low = reader.GetDecimal(3);
ohlc.Close = reader.GetDecimal(4);
ohlc.Start = reader.GetDateTime(5);
var volume = reader.GetDecimal(6);
ohlc.Volume = (volume * 1000);
ohlcList.Add(ohlc);
}
}
}
}
}
catch (Exception ex)
{
throw ex;
}
//Set the trading state
State = TradingState.Initial;
Orders = new List <Order>();
Account = new Account()
{
Euro = 10000
};
//l h o c
//Find the first trade
//Find all trades within the next 5 minutes
//If there are any trade
//Calculate low, high, open, close
if (ohlcList.Any())
{
start = ohlcList.First().Start > start?ohlcList.First().Start : start;
for (DateTime i = start; i < end; i = i.AddMinutes(interval))
{
var windowStart = i;
var windowEnd = windowStart.AddMinutes(interval);
var ohlcInTheSameWindow = ohlcList.Where(o => o.Start >= windowStart && o.Start < windowEnd).ToList();
if (ohlcInTheSameWindow.Any())
{
var low = ohlcInTheSameWindow.Select(t => t.Low).Min();
var high = ohlcInTheSameWindow.Select(t => t.High).Max();
var open = ohlcInTheSameWindow.First().Open;
var close = ohlcInTheSameWindow.Last().Close;
var volume = ohlcInTheSameWindow.Sum(t => t.Volume);
var ohlc = new OHLC {
Open = open, High = high, Low = low, Close = close, Volume = volume, Start = windowStart, End = windowEnd
};
DataPoints.Insert(0, ohlc);
//Check for indicators and make trading decisions
DonchienBreakoutStrategy(ohlc, windowEnd, parameters);
//Add Donchian Channels
var dca = CalculateDonchianChannel(55);
UpperBand.Add((double)dca.UpperBand);
LowerBand.Add((double)dca.LowerBand);
}
}
}
//Stats after simulation
var stats = new Stats(Orders, Account, DataPoints)
{
Market = DataPoints.First().Close - DataPoints.Last().Close,
MarketRiskAdjustedReturn = (double)((DataPoints.First().Close - DataPoints.Last().Close) / DataPoints.Last().Close) * 100,
Target = (end - start).Days * 80, //80 EUR profit per day
};
return(new SimulationResult()
{
Dates = DataPoints.OrderBy(dp => dp.Start).Select(dp => dp.End).ToList(),
Values = DataPoints.OrderBy(dp => dp.Start).Select(dp => dp.Close).ToList(),
Volumes = DataPoints.OrderBy(dp => dp.Start).Select(dp => dp.Volume).ToList(),
Upper = UpperBand,
Lower = LowerBand,
Orders = Orders,
Events = Events,
Stats = stats
});
}
