public MultyExtremumStrategy(int stopLoss, int pegTopSize, int minExtremumStep)
{
this.minExtremumStep = minExtremumStep;
extremumsFinder = new ExtremumsFinder(pegTopSize);
stopLossManager = new StopLossManager(stopLoss, 0.15);
}
public static void TestFirstExtremumsOrder(string toolName, int pegTopSize, bool isMinimums)
{
var repository = new HistoryRepository(toolName, false);
var extremumFinder = new ExtremumsFinder(pegTopSize);
foreach (var day in repository.Days)
{
var extremums = extremumFinder.FindFirstExtremums(day.FiveMins, isMinimums);
bool bad = false;
for (int i = 0; i < extremums.Count; ++i) //TODO Люой экстремум
{
for (int j = i + 1; j < extremums.Count; ++j)
{
if (extremums[j].Date >= extremums[i].Date && extremums[j].CheckerIndex < extremums[i].CheckerIndex)
{
Console.Out.WriteLine(extremums[i] + "\t" + extremums[j]);
bad = true;
}
}
}
Assert.That(!bad);
}
}
public static void TestSecondExtremumsAlternation(string toolName, int pegTopSize)
{
//TODO ошибка в том, что реализм требует сортировки firstExtremums по checkerIndex, а текущий метод поиска secondExtremums - сортировки по Date. В общем случае, обоюдная сортировка невозможна
var repository = new HistoryRepository(toolName, false);
var extremumFinder = new ExtremumsFinder(pegTopSize);
bool bad = false;
foreach (var day in repository.Days)
{
var firstMaximums = extremumFinder.FindFirstExtremums(day.FiveMins, false);
var maximums = extremumFinder.FindSecondExtremums(firstMaximums, false);
var firstMinimums = extremumFinder.FindFirstExtremums(day.FiveMins, true);
var minimums = extremumFinder.FindSecondExtremums(firstMinimums, true);
var allExtremums = maximums
.Concat(minimums)
.OrderBy(ex => ex.CheckerIndex)
.ToList();
for (int i = 0; i < allExtremums.Count - 1; ++i)
{
if (allExtremums[i].Date >= allExtremums[i + 1].Date && allExtremums[i].IsMinimum == allExtremums[i + 1].IsMinimum)
{
bad = true;
Console.Out.WriteLine(allExtremums[i] + "\t" + allExtremums[i + 1]);
}
}
}
Assert.That(!bad);
}
public static void Run(string toolName, List <Day> days)
{
var outPath = toolName + @"\";
Directory.CreateDirectory(outPath + candlesPath);
Directory.CreateDirectory(outPath + firstMaxPath);
Directory.CreateDirectory(outPath + firstMinPath);
Directory.CreateDirectory(outPath + secondMaxPath);
Directory.CreateDirectory(outPath + secondMinPath);
var extremumsFindex = new ExtremumsFinder(pegTopSize);
for (int i = 0; i < days.Count; ++i)
{
var day = days[i];
var candles = day.FiveMins;
var firstMaximums = extremumsFindex.FindFirstExtremums(candles, false);
var firstMinimums = extremumsFindex.FindFirstExtremums(candles, true);
var secondMaximums = extremumsFindex.FindSecondExtremums(firstMaximums, false);
var secondMinimums = extremumsFindex.FindSecondExtremums(firstMinimums, true);
File.WriteAllLines(outPath + candlesPath + i + ".txt", candles.ConvertAll(c => c.High + "\t" + c.Low + "\t" + c.Close + "\t" + c.Open));
File.WriteAllLines(outPath + firstMaxPath + i + ".txt", firstMaximums.Select(ex => (candles.FindIndex(c => c.Time == ex.Date.TimeOfDay) + 1).ToString()));
File.WriteAllLines(outPath + firstMinPath + i + ".txt", firstMinimums.Select(ex => (candles.FindIndex(c => c.Time == ex.Date.TimeOfDay) + 1).ToString()));
File.WriteAllLines(outPath + secondMaxPath + i + ".txt", secondMaximums.Select(ex => (candles.FindIndex(c => c.Time == ex.Date.TimeOfDay) + 1).ToString()));
File.WriteAllLines(outPath + secondMinPath + i + ".txt", secondMinimums.Select(ex => (candles.FindIndex(c => c.Time == ex.Date.TimeOfDay) + 1).ToString()));
}
}
public ExtremumStrategy(int baseStopLoss, int pegTopSize, double breakevenPercent, TimeSpan?lastTradeTime = null)
{
this.baseStopLoss = baseStopLoss;
this.breakevenPercent = breakevenPercent;
this.lastTradeTime = lastTradeTime ?? new TimeSpan(23, 59, 59);
extremumsFinder = new ExtremumsFinder(pegTopSize);
}
public MonotoneExtremumsStrategy(int monotoneCount, int baseStopLoss, int invertCount, double breakevenPercent,
TimeSpan?lastTradeTime = null, double breakevenInitializerPercent = 1)
{
this.monotoneCount = monotoneCount;
this.invertCount = invertCount;
this.lastTradeTime = lastTradeTime ?? new TimeSpan(23, 59, 59);
finder = new ExtremumsFinder(0);
stopLossManager = new StopLossManager(baseStopLoss, breakevenPercent, breakevenInitializerPercent);
}
public static void TestFirstExtremumsSortByChecker(string toolName, int pegTopSize, bool isMinimums)
{
var repository = new HistoryRepository(toolName, false);
var extremumFinder = new ExtremumsFinder(pegTopSize);
bool bad = false;
foreach (var day in repository.Days)
{
var extremums = extremumFinder.FindFirstExtremums(day.FiveMins, isMinimums);
for (int i = 1; i < extremums.Count; ++i)
{
if (extremums[i - 1].CheckerIndex > extremums[i].CheckerIndex)
{
Console.Out.WriteLine(extremums[i - 1] + "\t" + extremums[i]);
bad = true;
}
}
Assert.That(!bad);
}
}
public static void TestSecondExtremumsOrder(string toolName, int pegTopSize)
{
var repository = new HistoryRepository(toolName, false);
var extremumFinder = new ExtremumsFinder(pegTopSize);
foreach (var day in repository.Days)
{
var extremums = extremumFinder.FindAllSecondExtremums(day.FiveMins);
bool bad = false;
for (int i = 1; i < extremums.Count; ++i)
{
if (/*extremums[i].IsMinimum == extremums[i-1].IsMinimum && */ extremums[i].Date >= extremums[i - 1].Date && extremums[i].CheckerIndex < extremums[i - 1].CheckerIndex)
{
Console.Out.WriteLine(extremums[i] + "\t" + extremums[i - 1]);
bad = true;
}
}
Assert.That(!bad);
}
}
public CorrectedExtremumStrategy(int baseStopLoss, int pegTopSize, double breakevenPercent, int trailingStopSize, int maxDistFromOpen = int.MaxValue)
{
extremumsFinder = new ExtremumsFinder(pegTopSize);
stopLossManager = new StopLossManager(baseStopLoss, trailingStopSize, breakevenPercent);
this.maxDistFromOpen = maxDistFromOpen;
}
