//Constructor
public PivotPointBar(Bars bars, int period, bool pivotPointHigh, bool tradeable, string description)
: base(bars, description)
{
_bars = bars;
_ppHigh = pivotPointHigh;
_period = period;
_tradeable = tradeable;
FirstValidValue += _period;
if (bars.Count < _period)
{
return;
}
for (int bar = _period; bar < bars.Count; bar++)
{
this[bar] = -1d; // returns -1 until a Valid Pivot Point is found
}
for (int bar = _period; bar < bars.Count; bar++)
{
if (_tradeable)
{
if (_ppHigh)
{
if (bars.High[bar] >= Highest.Series(bars.High, _period)[bar - 1])
{
_lastPP = bar;
}
}
else if (bars.Low[bar] <= Lowest.Series(bars.Low, _period)[bar - 1])
{
_lastPP = bar;
}
}
else
{
int periodFwd = _period;
if (bar + period >= bars.Count)
{
periodFwd = bars.Count - bar - 1;
}
if (_ppHigh)
{
if (bars.High[bar] >= Highest.Series(bars.High, _period)[bar - 1] &&
bars.High[bar] >= Highest.Value(bar + periodFwd, bars.High, periodFwd)) // use Value method since periodFwd is variable at the end
{
_lastPP = bar;
}
}
else if (bars.Low[bar] <= Lowest.Series(bars.Low, _period)[bar - 1] &&
bars.Low[bar] <= Lowest.Value(bar + periodFwd, bars.Low, periodFwd))
{
_lastPP = bar;
}
}
this[bar] = _lastPP;
}
}
public override void CalculatePartialValue()
{
if (_bars.Count < _period || _bars.Low.PartialValue == Double.NaN || _bars.High.PartialValue == Double.NaN)
{
PartialValue = Double.NaN;
return;
}
int bar = _bars.Count; // bar - 1 is last bar number (prior to PartialBar)
if (_tradeable)
{
if (_ppHigh)
{
if (_bars.High.PartialValue >= Highest.Series(_bars.High, _period)[bar - 1])
{
_lastPP = bar;
}
}
else if (_bars.Low.PartialValue <= Lowest.Series(_bars.Low, _period)[bar - 1])
{
_lastPP = bar;
}
}
else
{
int periodFwd = _period;
if (bar + _period >= _bars.Count)
{
periodFwd = _bars.Count - bar - 1;
}
if (_ppHigh)
{
if (_bars.High.PartialValue >= Highest.Series(_bars.High, _period)[bar - 1] &&
_bars.High.PartialValue >= Highest.Value(bar + periodFwd, _bars.High, periodFwd)) // use Value method since periodFwd is variable at the end
{
_lastPP = bar;
}
}
else if (_bars.Low.PartialValue <= Lowest.Series(_bars.Low, _period)[bar - 1] &&
_bars.Low.PartialValue <= Lowest.Value(bar + periodFwd, _bars.Low, periodFwd))
{
_lastPP = bar;
}
}
this.PartialValue = _lastPP;
}
protected override void Execute()
{
const string sep = ",";
const string fmt = "0.00########";
string dateFormat = "yyyyMMdd";
string workingDir = @"Z:\Win10D";
int barsInAYear = 250;
ClearDebug();
string today = DateTime.Now.ToString("yyyy-MM-dd");
string path = Path.Combine(workingDir, "Data", today);
PrintDebug(String.Format("{0}\t{1}\t{2}\t{3}\t{4}\t{5}",
"Symbol", "HighPrice", "LowPrice", "PriceDiffPct", "Weeks", "PriceDiffPctWk"));
for (int ds = 0; ds < DataSetSymbols.Count; ds++)
{
string symbol = DataSetSymbols[ds];
Bars bars = GetExternalSymbol(symbol, false);
PrintStatusBar("Processing: " + ds + " / " + DataSetSymbols.Count + " : " + bars.Symbol + " ");
if (bars.Count & gt; barsInAYear)
{
double highPrice = Highest.Value(bars.Count - 1, bars.High, barsInAYear);
double highBar = HighestBar.Value(bars.Count - 1, bars.High, barsInAYear);
double lowPrice = Lowest.Value(bars.Count - 1, bars.Low, barsInAYear);
double lowBar = LowestBar.Value(bars.Count - 1, bars.Low, barsInAYear);
if (highBar & gt; lowBar)
{
double priceDiffPct = (highPrice - lowPrice) / lowPrice * 100;
double weeks = Math.Ceiling((highBar - lowBar) / 5.0);
double priceDiffPctWk = priceDiffPct / weeks;
PrintDebug(String.Format("{0}\t{1:f}\t{2:f}\t{3:f}\t{4}\t{5:f}",
symbol, highPrice, lowPrice, priceDiffPct, weeks, priceDiffPctWk));
}
}
Bars.Cache.Clear();
}
//PrintStatusBar("Complete!");
}
//===========================================================================================================
// Show Trades
//-----------------------------------------------------------------------------------------------------------
protected void showTrades(BarHistory bars, string tradeFile)
{
ClearAllAnnotations();
if (bars.Symbol == this.settings.SP500 || bars.Symbol == this.settings.NASDAQ || bars.Symbol == "1EQUITY")
{
showTradesOnIndexChart(bars, tradeFile);
return;
}
string[] lines = System.IO.File.ReadAllLines(tradeFile);
foreach (string line in lines)
{
// 1/2/18,3/12/18,ABMD,B1,105,closed,191.28,290.53,"20,084","30,506","10,421",52%,50,5.19%
string[] columns = line.Split(',');
//PrintDebug(line);
var symbol = columns[2];
if (symbol == bars.Symbol)
{
var label = columns[3];
// Buy
var buyDateStr = columns[0];
if (buyDateStr != "")
{
DateTime d = DateTime.Parse(buyDateStr);
int buyBar = bars.IndexOf(d, true);
if (buyBar > 0)
{
double buyPrice = Double.Parse(columns[6]);
DrawBarAnnotation2(label, buyBar, true);
int nextBar = buyBar + 1;
if (buyBar == bars.Count + bars.ExtendedBars - 1)
{
nextBar = buyBar; // Make sure the index is within the limit
}
DrawLine(buyBar - 1, buyPrice, nextBar, buyPrice, Color.Orange, 3);
// If it is B1, then draw the pivot point and 25% target
if (label == "B1")
{
var pivotPrice = Highest.Value(buyBar, bars.High, 26 * 5);
var pivotBar = (int)bars.High.GetHighestBar(buyBar, 26 * 5);
var targetPrice = pivotPrice * 1.25;
DrawLine(pivotBar, pivotPrice, bars.Count - 1, pivotPrice, Color.Orange, 1);
DrawLine(pivotBar, targetPrice, bars.Count - 1, targetPrice, Color.Orange, 1);
// Find breakout day
var breakoutBar = -1;
for (int i = pivotBar + 1; i < bars.Count - 1; i++)
{
if (bars.High[i] > pivotPrice)
{
breakoutBar = i;
break;
}
}
if (breakoutBar != -1)
{
SetBackgroundColor(bars, breakoutBar, Color.FromArgb(15, Color.Blue));
var timeGoalBar = breakoutBar + 40;
if (timeGoalBar < bars.Count)
{
SetBackgroundColor(bars, timeGoalBar, Color.FromArgb(15, Color.Blue));
}
}
}
}
}
// Sell
var sellDateStr = columns[1];
if (sellDateStr != "")
{
DateTime d = DateTime.Parse(sellDateStr);
int sellBar = bars.IndexOf(d, true);
WriteToDebugLog("sellDateStr = " + sellDateStr);
WriteToDebugLog("d = " + d);
WriteToDebugLog("sellBar = " + sellBar);
if (sellBar > 0)
{
double sellPrice = Double.Parse(columns[7]);
DrawBarAnnotation2(label, sellBar, false);
int nextBar = sellBar + 1;
if (sellBar == bars.Count + bars.ExtendedBars - 1)
{
nextBar = sellBar; // Make sure the index is within the limit
}
DrawLine(sellBar - 1, sellPrice, nextBar, sellPrice, Color.Brown, 3);
}
}
}
}
DrawAllAnnotationsAtEnd(Color.FromArgb(255, 211, 84, 0), Color.Brown, 14);
}
//===========================================================================================================
// RS Line
// indexUpFactor - typically 1.02 to 1.2
// rsDownFactor - typically 0.60 to 0.85
//-----------------------------------------------------------------------------------------------------------
protected void drawIndexAndRsLines(BarHistory bars, double indexUpFactor, double rsDownFactor)
{
StartIndex = 200;
BarHistory SPX = GetHistory(bars, this.settings.SP500);
BarHistory NDX = GetHistory(bars, this.settings.NASDAQ);
//
// Last 5 Bars Gains, weekly, monthly, quaterly gains
DrawHeaderText(String.Format("{0,-15} {1,6} {2,6} {3,6} {4,7} {5,6} {6,11} {7,6} {8,6}",
"Gains", "-5D", "-4D", "-3D", "-2D", "D", "W", "M", "Q"), Color.Brown, 14);
BarHistory[] barsArr = new BarHistory[] { bars, SPX, NDX };
string[] names = new string[3] {
"INST", "SP5X", "NDX"
};
// Following indexes are from the end (that is why named prime)
int[] startIdxPrime = new int[8] {
-6, -5, -4, -3, -2, -6, -23, -67
};
int[] endIdxPrime = new int[8] {
-5, -4, -3, -2, -1, -1, -1, -1
};
for (int i = 0; i < 3; i++)
{
var currBars = barsArr[i];
object[] args = new object[9];
args[0] = names[i];
for (int j = 0; j < 8; j++)
{
var barsRequired = (-1 * startIdxPrime[j]) + 1;
var startIdx = currBars.Count + startIdxPrime[j];
var endIdx = currBars.Count + endIdxPrime[j];
if (currBars.Count > barsRequired)
{
args[j + 1] = 100.0 * (currBars.Close[endIdx] - currBars.Close[startIdx]) / currBars.Close[startIdx];
}
else
{
args[j + 1] = 0.0;
}
}
DrawHeaderText(String.Format("{0,-15} {1,7:0.0} {2,7:0.0} {3,7:0.0} {4,7:0.0} {5,7:0.0} {6,12:0.0} {7,7:0.0} {8,7:0.0}",
args), Color.Brown, 14);
}
// Index Line
double highRefPrice = Highest.Value(lastBarIdx, bars.High, 200);
//TimeSeries SPXNormalized = highRefPrice * indexUpFactor * SPX.Close / SPX.Close[lastBarIdx];
//PlotTimeSeriesLine(SPXNormalized, "SPXNormalized", "Price", Color.Black, 1);
var factor = highRefPrice * indexUpFactor / SPX.Close[lastBarIdx];
BarHistory SPXScaledUp = new BarHistory(SPX);
BarHistory SPXScaledDown = new BarHistory(SPX);
for (int i = 0; i < SPX.Count; i++)
{
if (SPX.Close[i] >= SPX.Open[i])
{
SPXScaledUp.Add(SPX.DateTimes[i],
SPX.Open[i] * factor,
SPX.High[i] * factor,
SPX.Low[i] * factor,
SPX.Close[i] * factor,
SPX.Volume[i]);
SPXScaledDown.Add(SPX.DateTimes[i], float.NaN, float.NaN, float.NaN, float.NaN, float.NaN);
}
else
{
SPXScaledUp.Add(SPX.DateTimes[i], float.NaN, float.NaN, float.NaN, float.NaN, float.NaN);
SPXScaledDown.Add(SPX.DateTimes[i],
SPX.Open[i] * factor,
SPX.High[i] * factor,
SPX.Low[i] * factor,
SPX.Close[i] * factor,
SPX.Volume[i]);
}
}
PlotBarHistoryStyle(SPXScaledUp, "Price", "bars", this.settings.upColor, false);
PlotBarHistoryStyle(SPXScaledDown, "Price", "bars", this.settings.downColor, false);
// RS Line
TimeSeries RS = bars.Close / SPX.Close;
TimeSeries RS2 = bars.Close[lastBarIdx] * rsDownFactor * RS / RS[lastBarIdx];
//PlotTimeSeriesLine(RS, "RS", "RS", Color.Blue, 1);
PlotTimeSeriesLine(RS2, "RS2", "Price", Color.Blue, 1);
}
