public void Update(StockAnalysis.Share.Bar bar)
{
double price = BarPriceSelector.Select(bar, _priceSelector);
_highest.Update(price);
double newHighest = _highest.Value;
bool oldBreakout = Breakout;
Breakout = Math.Abs(newHighest - price) < 1e-6;
CurrentHighest = newHighest;
if (Breakout)
{
// rebreakout is always breakout
if (oldBreakout)
{
// continuous breakout is not rebreakout
Rebreakout = false;
_intervalSinceLastBreakout = 0;
}
else
{
// possible a rebreakout.
if (_intervalSinceLastBreakout > 0 &&
_intervalSinceLastBreakout <= _maxInterval &&
_intervalSinceLastBreakout >= _minInterval)
{
Rebreakout = true;
IntervalSinceLastBreakout = _intervalSinceLastBreakout;
_intervalSinceLastBreakout = 0;
}
else
{
Rebreakout = false;
_intervalSinceLastBreakout = 0;
}
}
}
else
{
// rebreakout is always breakout
Rebreakout = false;
if (oldBreakout)
{
_intervalSinceLastBreakout = 1;
}
else
{
if (_intervalSinceLastBreakout > 0)
{
_intervalSinceLastBreakout++;
}
}
}
}
protected override IMetricBooleanExpression BuildExpression()
{
return(new Comparison(
string.Format(
"{2}[{0}](BAR.{1}) == BAR.{1}",
BreakoutWindow,
BarPriceSelector.GetSelectorString(PriceSelector),
BreakoutDirection == 0 ? "LO" : "HI")));
}
protected override void ValidateParameterValues()
{
base.ValidateParameterValues();
if (!BarPriceSelector.IsValidSelector(PriceSelector))
{
throw new ArgumentException("价格选择项非法");
}
if (MinKeepPeriods < 0)
{
throw new ArgumentException("获利后保持周期数非法");
}
}
protected override void ValidateParameterValues()
{
base.ValidateParameterValues();
if (!BarPriceSelector.IsValidSelector(PriceSelector))
{
throw new ArgumentException("价格选择项非法");
}
if (RebreakoutMinInterval <= 0 || RebreakoutMaxInterval <= 0)
{
throw new ArgumentException("再突破最大/最小时间间隔必须大于零");
}
if (RebreakoutMaxInterval > BreakoutWindow)
{
throw new ArgumentException("再突破最大时间间隔必须小于等于通道突破窗口");
}
if (RebreakoutMinInterval > RebreakoutMaxInterval)
{
throw new ArgumentException("再突破最小时间间隔必须小于等于最大时间间隔");
}
}
public override MarketExitingComponentResult ShouldExit(ITradingObject tradingObject)
{
var result = new MarketExitingComponentResult();
if (Context.ExistsPosition(tradingObject.Code))
{
var position = Context.GetPositionDetails(tradingObject.Code).First();
if (position.LastedPeriodCount >= MinKeepPeriods)
{
var bar = Context.GetBarOfTradingObjectForCurrentPeriod(tradingObject);
var price = BarPriceSelector.Select(bar, PriceSelector);
if (position.BuyPrice < price)
{
result.Comments = string.Format("Bailout: buy price {0:0.000}, current price {1:0.000}", position.BuyPrice, price);
result.ShouldExit = true;
}
}
}
return(result);
}
private void UpdateState(Bar bar)
{
double price = BarPriceSelector.Select(bar, _priceSelector);
_highest.Update(price);
double highestPrice = _highest.Value;
bool breakout = Math.Abs(highestPrice - price) < 1e-6;
switch (_state)
{
case PriceState.Initial:
if (breakout)
{
_state = PriceState.Breakout;
LatestBreakoutPrice = highestPrice;
LowestPriceAfterBreakout = 0.0;
_intervalBetweenLastBreakoutAndRerising = 0;
}
break;
case PriceState.Breakout:
if (breakout)
{
LatestBreakoutPrice = highestPrice;
}
else
{
_state = PriceState.Degrading;
LowestPriceAfterBreakout = bar.ClosePrice;
_intervalBetweenLastBreakoutAndRerising = 1;
}
break;
case PriceState.Degrading:
if (bar.ClosePrice <= LowestPriceAfterBreakout)
{
LowestPriceAfterBreakout = bar.ClosePrice;
_intervalBetweenLastBreakoutAndRerising++;
}
else
{
if (_intervalBetweenLastBreakoutAndRerising >= _minInterval &&
_intervalBetweenLastBreakoutAndRerising <= _maxInterval)
{
_state = PriceState.Rising;
}
else
{
ResetState();
}
}
break;
case PriceState.Rising:
ResetState();
break;
}
}
