public static List <Trade> RegressionAnalysis_OnPL(int N, List <Trade> Trades)
{
List <VariableIndicator> V = new List <VariableIndicator>();
var tradeonlyList = Trades.Where(z => z.Reason == Trade.Trigger.CloseLong || z.Reason == Trade.Trigger.CloseShort);
foreach (var v in tradeonlyList)
{
var varindicator = new VariableIndicator()
{
TimeStamp = v.TimeStamp,
Value = v.TotalPL,
};
V.Add(varindicator);
}
var reg = Factory_Indicator.createRegression(N, V);
// var avg= reg.Sum(z => z.Slope) / reg.Count;
// Debug.WriteLine(avg);
foreach (var t in tradeonlyList)
{
foreach (var e in reg)
{
if (e.TimeStamp == t.TimeStamp)
{
t.Extention.Regression = e.Regression;
t.Extention.Slope = e.Slope;
t.Extention.OrderVol = 1;
}
}
}
return(tradeonlyList.ToList());
}
private void SetRegressionSlopes()
{ //cannot use linq, too slow
var FTL = _FullTradeList.Where(z => z.StopLoss_CenterLine != 0).ToList();
var Ftl_Count = FTL.Count;
#region Regression Calcs-Regression of MAMA
var varList1 = new List <VariableIndicator>();
foreach (var x in FTL.Where(z => z.Mama != null))
{
var v = new VariableIndicator()
{
TimeStamp = x.TimeStamp,
Value = x.Mama.Mama,
};
varList1.Add(v);
}
var reg1 = Factory_Indicator.createRegression(_reg1, varList1);
var varList2 = new List <VariableIndicator>();
foreach (var rr in reg1)
{
var q = new VariableIndicator()
{
TimeStamp = rr.TimeStamp,
Value = rr.Slope,
};
varList2.Add(q);
}
var reg2 = Factory_Indicator.createRegression(_reg2, varList2);
var varList3 = new List <VariableIndicator>();
foreach (var rr in reg2)
{
var qq = new VariableIndicator()
{
TimeStamp = rr.TimeStamp,
Value = rr.Slope,
};
varList3.Add(qq);
}
var reg3 = Factory_Indicator.createRegression(_reg3, varList3);
#endregion
#region Populate TakeProfitTrade object
int ftl_Start_Index;
//REG_1_SLOPE
ftl_Start_Index = 0;
//find start for reg1
var reg1_Count = reg1.Count;
//find first reg1.Time=FTL.Time
var Ftl_Time_Equal_Reg1_Time = FTL.Where(f => f.TimeStamp == reg1[0].TimeStamp).First().TimeStamp;
foreach (var Ft in FTL)
{
if (Ft.TimeStamp == Ftl_Time_Equal_Reg1_Time)
{
break;
}
ftl_Start_Index++;
}
for (int x = 0; x < Ftl_Count - ftl_Start_Index; x++)
{
FTL[ftl_Start_Index + x].Reg1_Slope = reg1[x].Slope;
}
//REG_2_SLOPE
ftl_Start_Index = 0;
//find start for reg2
var reg2_Count = reg2.Count;
//find first reg1.Time=FTL.Time
var Ftl_Time_Equal_Reg2_Time = FTL.Where(f => f.TimeStamp == reg2[0].TimeStamp).First().TimeStamp;
foreach (var Ft in FTL)
{
if (Ft.TimeStamp == Ftl_Time_Equal_Reg2_Time)
{
break;
}
ftl_Start_Index++;
}
for (int x = 0; x < Ftl_Count - ftl_Start_Index; x++)
{
FTL[ftl_Start_Index + x].Reg2_Slope = reg2[x].Slope * 10;
}
//REG_3_SLOPE
ftl_Start_Index = 0;
//find start for reg3
var reg3_Count = reg3.Count;
//find first reg1.Time=FTL.Time
var Ftl_Time_Equal_Reg3_Time = FTL.Where(f => f.TimeStamp == reg3[0].TimeStamp).First().TimeStamp;
foreach (var Ft in FTL)
{
if (Ft.TimeStamp == Ftl_Time_Equal_Reg3_Time)
{
break;
}
ftl_Start_Index++;
}
for (int x = 0; x < Ftl_Count - ftl_Start_Index; x++)
{
FTL[ftl_Start_Index + x].Reg3_Slope = reg3[x].Slope * 100;
}
#endregion
}
