public TradeStrategy(List<Price> Prices, Parameter_General parameter, DateTime startPeriod, Triggers_Delegate Triggers, Triggers_Delegate Triggers2)
{
_p.StopLoss = parameter.StopLoss;
_p.TakeProfit = parameter.TakeProfit;
_Trigger = Triggers;
_Trigger2 = Triggers2;
_p.CloseEndofDay = parameter.CloseEndofDay;
foreach (Price s in Prices)
{
if (s.TimeStamp >= startPeriod)
{
TradeStrategy st = new TradeStrategy
{
TimeStamp = s.TimeStamp,
Price_Open = s.Open,
Price_Close = s.Close,
Price_High = s.High,
Price_Low = s.Low,
InstrumentName = s.InstrumentName
};
_ST.Add(st);
}
}
// GetDynamicStopLoss(Prices, parameter.StoplossFactor ,parameter.TakeProfitFactor);
}
public static List<Trade> EmaScalp(Parameter_EMA_Scalp P, List<Price> price, bool tradeOnly)
{
A_1 = Factory_Indicator.createEMA(P.A_EMA1, price);
A_6 = Factory_Indicator.createEMA(P.A_EMA2, price);
B_1 = Factory_Indicator.createEMA(P.B_EMA1, price);
B_6 = Factory_Indicator.createEMA(P.B_EMA2, price);
E1 = Factory_Indicator.createEMA(P.C_EMA, price);
DateTime sd = E1[0].TimeStamp;
CutToSize(sd);
TradeStrategy _strategy = new TradeStrategy(price, P, B_6[0].TimeStamp, CalcTriggers,CalcTriggers2 );
_strategy.Calculate();
_T = _strategy.getStrategyList();
//for (int x = 0; x < _T.Count; x++) DP(x);
// _strategy.ClearList(); //FOR SIMULATOR
return GetTradeData(tradeOnly); // REAL TRADING
// Clear();//FOR SIMULATOR
return new List<Trade>();
}
public static List <Trade> EmaSar(Parameter_EMA_SAR P, List <Price> price, bool tradeOnly)
{
A_1 = Factory_Indicator.createEMA(P.A_EMA1, price);
A_6 = Factory_Indicator.createEMA(P.A_EMA2, price);
B_1 = Factory_Indicator.createEMA(P.B_EMA1, price);
B_6 = Factory_Indicator.createEMA(P.B_EMA2, price);
E1 = Factory_Indicator.createEMA(P.C_EMA, price);
SAR = Factory_Indicator.createSAR(P.SAR_STEP, P.SAR_MAXP, price);
DateTime sd = E1[0].TimeStamp;
CutToSize(sd);
TradeStrategy _strategy = new TradeStrategy(price, P, B_6[0].TimeStamp, CalcTriggers, CalcTriggers2);
_strategy.Calculate();
_T = _strategy.getStrategyList();
//for (int x = 0; x < _T.Count; x++) DP(x);
// _strategy.ClearList(); //FOR SIMULATOR
return(GetTradeData(tradeOnly)); // REAL TRADING
// Clear();//FOR SIMULATOR
return(new List <Trade>());
}
public TradeStrategy(List <Price> Prices, Parameter_General parameter, DateTime startPeriod, Triggers_Delegate Triggers, Triggers_Delegate Triggers2)
{
_p.StopLoss = parameter.StopLoss;
_p.TakeProfit = parameter.TakeProfit;
_Trigger = Triggers;
_Trigger2 = Triggers2;
_p.CloseEndofDay = parameter.CloseEndofDay;
foreach (Price s in Prices)
{
if (s.TimeStamp >= startPeriod)
{
TradeStrategy st = new TradeStrategy
{
TimeStamp = s.TimeStamp,
Price_Open = s.Open,
Price_Close = s.Close,
Price_High = s.High,
Price_Low = s.Low,
InstrumentName = s.InstrumentName
};
_ST.Add(st);
}
}
// GetDynamicStopLoss(Prices, parameter.StoplossFactor ,parameter.TakeProfitFactor);
}
private static int GetVolume(TradeStrategy T)
{
int vol = 0;
if (T.ActualTrade != Trade.Trigger.None)
{
vol = 1;
}
return(vol);
}
public static List <Trade> GetTradeData(bool TradesOnly)
{
List <Trade> trades = new List <Trade>();
for (int x = 0; x < _T.Count; x++)
{
var t = new Trade()
{
InstrumentName = _T[x].InstrumentName,
BuyorSell = TradeStrategy.GetBuySell(_T[x].ActualTrade),
CurrentDirection = _T[x].TradeDirection,
Position = _T[x].Position,
RunningProfit = _T[x].RunningProfit,
TimeStamp = _T[x].TimeStamp,
TotalPL = _T[x].TotalProfit,
TradedPrice = _T[x].Price_Close,
Reason = _T[x].ActualTrade,
CurrentPrice = _T[x].Price_Close,
TradeVolume = GetVolume(_T[x]),
IndicatorNotes = "A1:" + Math.Round(A_1[x].Ema, 2) + " A2:" + Math.Round(A_6[x].Ema, 2) + " B1:" + Math.Round(B_1[x].Ema, 2) + " B2:" + Math.Round(B_6[x].Ema, 2) + " C:" + Math.Round(E1[x].Ema, 2)
};
if (TradesOnly)
{
if (_T[x].ActualTrade != Trade.Trigger.None)
{
trades.Add(t);
}
}
else
{
trades.Add(t);
}
// Debug.WriteLine(t.TimeStamp + "," + t.BuyorSell + "," + t.CurrentDirection + "," + _T[x].TradeTrigger + "," + _T[x].ActualTrade + "," + _T[x].TradedPrice );
}
Clear();
return(trades);
}
public static List<Trade> MAMAScalp(Parameter_MAMA P, List<Price> price, bool tradeOnly)
{
A_1 = Factory_Indicator.createEMA(P.A_EMA1, price);
A_6 = Factory_Indicator.createEMA(P.A_EMA2, price);
B_1 = Factory_Indicator.createEMA(P.B_EMA1, price);
B_6 = Factory_Indicator.createEMA(P.B_EMA2, price);
E1 = Factory_Indicator.createEMA(P.C_EMA, price);
MA = Factory_Indicator.createAdaptiveMA_MAMA(P.Fast, P.Slow, price);
//StreamWriter sr = new StreamWriter(@"d:\MAMA.txt");
//foreach (var m in MA.Skip(1000))
//{
// sr.WriteLine(m.TimeStamp + "," + m.Price_Close + "," + m.Mama + "," + m.Fama);//+","+E1.Where(z=>z.TimeStamp==m.TimeStamp).First().Ema );
//}
//sr.Close();
//Environment.Exit(0);
DateTime sd = E1[0].TimeStamp;
CutToSize(sd);
TradeStrategy _strategy = new TradeStrategy(price, P, B_6[0].TimeStamp, CalcTriggers,CalcTriggers2 );
_strategy.Calculate();
_T = _strategy.getStrategyList();
//for (int x = 0; x < _T.Count; x++) DP(x);
// _strategy.ClearList(); //FOR SIMULATOR
return GetTradeData(tradeOnly); // REAL TRADING
// Clear();//FOR SIMULATOR
return new List<Trade>();
}
public static List <Trade> MAMAScalp(Parameter_MAMA P, List <Price> price, bool tradeOnly)
{
A_1 = Factory_Indicator.createEMA(P.A_EMA1, price);
A_6 = Factory_Indicator.createEMA(P.A_EMA2, price);
B_1 = Factory_Indicator.createEMA(P.B_EMA1, price);
B_6 = Factory_Indicator.createEMA(P.B_EMA2, price);
E1 = Factory_Indicator.createEMA(P.C_EMA, price);
MA = Factory_Indicator.createAdaptiveMA_MAMA(P.Fast, P.Slow, price);
//StreamWriter sr = new StreamWriter(@"d:\MAMA.txt");
//foreach (var m in MA.Skip(1000))
//{
// sr.WriteLine(m.TimeStamp + "," + m.Price_Close + "," + m.Mama + "," + m.Fama);//+","+E1.Where(z=>z.TimeStamp==m.TimeStamp).First().Ema );
//}
//sr.Close();
//Environment.Exit(0);
DateTime sd = E1[0].TimeStamp;
CutToSize(sd);
TradeStrategy _strategy = new TradeStrategy(price, P, B_6[0].TimeStamp, CalcTriggers, CalcTriggers2);
_strategy.Calculate();
_T = _strategy.getStrategyList();
//for (int x = 0; x < _T.Count; x++) DP(x);
// _strategy.ClearList(); //FOR SIMULATOR
return(GetTradeData(tradeOnly)); // REAL TRADING
// Clear();//FOR SIMULATOR
return(new List <Trade>());
}
private static int GetVolume(TradeStrategy T)
{
int vol = 0;
if (T.ActualTrade != Trade.Trigger.None) vol = 1;
return vol;
}
private static void Apply_2nd_AlgoLayer(int EMA)
{
List <VariableIndicator> _st = new List <VariableIndicator>();
foreach (var t in _ST)
{
if (t.TotalProfit != 0)
{
VariableIndicator v = new VariableIndicator()
{
TimeStamp = t.TimeStamp,
Value = t.TotalProfit,
};
_st.Add(v);
}
}
var ema = Factory_Indicator.createEMA(EMA, _st);
double newprof = ema[0].CustomValue;
TradeStrategy mt = null;
bool cantradeA = false;
bool cantradeB = false;
bool closepos = false;
bool first = true;
int count = 0;
foreach (var v in ema)
{
count++;
// if (count > 30) break;
if (first)
{
;
}
mt = _ST.Where(z => z.TimeStamp == v.TimeStamp).First();
if (!first)
{
closepos = (mt.ActualTrade == Trade.Trigger.CloseShort || mt.ActualTrade == Trade.Trigger.CloseLong);
}
if (closepos && cantradeA)
{
cantradeB = true;
}
else
{
cantradeB = false;
}
cantradeA = (v.CustomValue > v.Ema);
if (!first && closepos && cantradeB)
{
newprof += mt.RunningProfit;
}
//Debug.WriteLine(((cantradeA) ? "**" : "") + ((cantradeB) ? "**" : "") + v.Timestamp + " " + v.CustomValue + " " + v.Ema +
// " TradeA :" + cantradeA + " TradeB :" + cantradeB + " Prof " + newprof +
// " " + ((!first && mt != null) ? mt.ActualTrade.ToString() : ""));
first = false;
}
Debug.WriteLine(EMA + " " + newprof);
Debug.WriteLine("----------------------------------------------");
}
