public DIFStrategy(Indicator Price, int DecyclePeriod = 20, int InvFisherPeriod = 40, decimal Threshold = 0.9m, decimal Tolerance = 0.001m)
{
// Initialize the fields.
_decyclePeriod = DecyclePeriod;
_invFisherPeriod = InvFisherPeriod;
_threshold = Threshold;
_tolerance = Tolerance;
// Initialize the indicators used by the Strategy.
_price = Price;
DecycleTrend = new Decycle(_decyclePeriod).Of(Price);
InverseFisher = new InverseFisherTransform(_invFisherPeriod).Of(DecycleTrend);
InvFisherRW = new RollingWindow<decimal>(2);
LightSmoothPrice = new Decycle(10).Of(Price);
Momersion = new MomersionIndicator(10, 30).Of(LightSmoothPrice, false);
// Fill the Inverse Fisher rolling windows at every new InverseFisher observation.
// Once the Inverse Fisher rolling windows is ready, at every InverseFisher update, the Check signal method will be called.
InverseFisher.Updated += (object sender, IndicatorDataPoint updated) =>
{
if (InverseFisher.IsReady) InvFisherRW.Add(updated);
if (InvFisherRW.IsReady) CheckSignal();
};
Position = StockState.noInvested;
EntryPrice = null;
ActualSignal = OrderSignal.doNothing;
}
public DIFStrategy(Indicator Price, int DecyclePeriod = 20, int InvFisherPeriod = 40, decimal Threshold = 0.9m, decimal Tolerance = 0.001m)
{
// Initialize the fields.
_decyclePeriod = DecyclePeriod;
_invFisherPeriod = InvFisherPeriod;
_threshold = Threshold;
_tolerance = Tolerance;
// Initialize the indicators used by the Strategy.
_price = Price;
DecycleTrend = new Decycle(_decyclePeriod).Of(Price);
InverseFisher = new InverseFisherTransform(_invFisherPeriod).Of(DecycleTrend);
InvFisherRW = new RollingWindow <decimal>(2);
LightSmoothPrice = new Decycle(10).Of(Price);
Momersion = new MomersionIndicator(10, 30).Of(LightSmoothPrice, false);
// Fill the Inverse Fisher rolling windows at every new InverseFisher observation.
// Once the Inverse Fisher rolling windows is ready, at every InverseFisher update, the Check signal method will be called.
InverseFisher.Updated += (object sender, IndicatorDataPoint updated) =>
{
if (InverseFisher.IsReady)
{
InvFisherRW.Add(updated);
}
if (InvFisherRW.IsReady)
{
CheckSignal();
}
};
Position = StockState.noInvested;
EntryPrice = null;
ActualSignal = OrderSignal.doNothing;
}
public void InstantaneousTrendComputesCorrectly()
{
int _period = 5;
DateTime time = DateTime.Now;
decimal[] actualValues = new decimal[20];
Decycle dTrend = new Decycle(_period);
# region Arrays inputs
public override void Initialize()
{
SetStartDate(_startDate); //Set Start Date
SetEndDate(_endDate); //Set End Date
SetCash(_initialCapital); //Set Strategy Cash
#region Logging stuff - Initializing Operations Logging
transactionLogging.AppendLine("Time,Symbol,Order");
dailyProfitsLogging.AppendLine("Date,Symbol,Trades,Profit/Loss");
int i = 0; // Only used for logging.
#endregion Logging stuff - Initializing Operations Logging
foreach (string symbol in Symbols)
{
AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
// Define and register a Decycle indicator to be
// injected in the Strategy.
var decycle = new Decycle("Decycle_" + symbol, DecyclePeriod);
RegisterIndicator(symbol, decycle, Resolution.Minute, Field.Close);
// Define the PSAR for each symbol
PSARDict.Add(symbol, new ParabolicStopAndReverse(afStart: 0.01m, afIncrement:0.001m, afMax: 0.2m));
RegisterIndicator(symbol, PSARDict[symbol], Resolution.Minute);
Strategy.Add(symbol, new MSAStrategy(decycle, PreviousDaysN, RunsPerDay));
// Define the Share size for each symbol.
ShareSize.Add(symbol, (maxLeverage * maxExposure) / Symbols.Count());
// Strategy warm-up.
var history = History(symbol, (PreviousDaysN + 1) * 390);
foreach (var bar in history)
{
decycle.Update(bar.EndTime, bar.Close);
}
#region Logging stuff - Initializing Stock Logging
stockLogging.Add(new StringBuilder());
stockLogging[i].AppendLine("Time,Close,Decycle,PSAR,Position");
i++;
#endregion Logging stuff - Initializing Stock Logging
}
#region Schedules
// Set flags correctly at market open
Schedule.Event("MarketOpen")
.EveryDay()
.At(9, 29)
//.AfterMarketOpen(Symbols[0], minutesAfterOpen: -1)
.Run(() =>
{
isMarketJustOpen = true;
isMarketAboutToClose = false;
Log(string.Format("========== {0} Market Open ==========", Time.DayOfWeek));
});
Schedule.Event("MarketOpenSpan")
.EveryDay()
.At(9, 50)
.Run(() => isMarketJustOpen = false);
Schedule.Event("MarketAboutToClose")
.EveryDay()
.At(15, 50)
//.BeforeMarketClose(Symbols[0], minuteBeforeClose: 10)
.Run(() => isMarketAboutToClose = true);
Schedule.Event("MarketClose")
.EveryDay()
.At(15, 59)
//.BeforeMarketClose(Symbols[0], minuteBeforeClose: 10)
.Run(() => CloseDay());
#endregion Schedules
}
