public void UpdatesAfterCorrectPeriodElapses()
{
const int periods = 3;
var periodSpan = Time.OneMinute;
var reference = new DateTime(2016, 04, 06, 12, 0, 0);
var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
var timeKeeper = new TimeKeeper(referenceUtc);
var config = new SubscriptionDataConfig(typeof (TradeBar), Symbols.SPY, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, false, false);
var security = new Security(SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork), config, new Cash("USD", 0, 0), SymbolProperties.GetDefault("USD"));
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
var model = new RelativeStandardDeviationVolatilityModel(periodSpan, periods);
security.VolatilityModel = model;
var first = new IndicatorDataPoint(reference, 1);
security.SetMarketPrice(first);
Assert.AreEqual(0m, model.Volatility);
const decimal value = 0.471404520791032M; // std of 1,2 is ~0.707 over a mean of 1.5
var second = new IndicatorDataPoint(reference.AddMinutes(1), 2);
security.SetMarketPrice(second);
Assert.AreEqual(value, model.Volatility);
// update should not be applied since not enough time has passed
var third = new IndicatorDataPoint(reference.AddMinutes(1.01), 1000);
security.SetMarketPrice(third);
Assert.AreEqual(value, model.Volatility);
var fourth = new IndicatorDataPoint(reference.AddMinutes(2), 3m);
security.SetMarketPrice(fourth);
Assert.AreEqual(0.5m, model.Volatility);
}
public void PipesDataUsingOfFromFirstToSecond()
{
var first = new SimpleMovingAverage(2);
var second = new Delay(1);
// this is a configuration step, but returns the reference to the second for method chaining
second.Of(first);
var data1 = new IndicatorDataPoint(DateTime.UtcNow, 1m);
var data2 = new IndicatorDataPoint(DateTime.UtcNow, 2m);
var data3 = new IndicatorDataPoint(DateTime.UtcNow, 3m);
var data4 = new IndicatorDataPoint(DateTime.UtcNow, 4m);
// sma has one item
first.Update(data1);
Assert.IsFalse(first.IsReady);
Assert.AreEqual(0m, second.Current.Value);
// sma is ready, delay will repeat this value
first.Update(data2);
Assert.IsTrue(first.IsReady);
Assert.IsFalse(second.IsReady);
Assert.AreEqual(1.5m, second.Current.Value);
// delay is ready, and repeats its first input
first.Update(data3);
Assert.IsTrue(second.IsReady);
Assert.AreEqual(1.5m, second.Current.Value);
// now getting the delayed data
first.Update(data4);
Assert.AreEqual(2.5m, second.Current.Value);
}
private static void TestPipesData(SequentialIndicator<IndicatorDataPoint> sequential)
{
var data1 = new IndicatorDataPoint(DateTime.UtcNow, 1m);
var data2 = new IndicatorDataPoint(DateTime.UtcNow, 2m);
var data3 = new IndicatorDataPoint(DateTime.UtcNow, 3m);
var data4 = new IndicatorDataPoint(DateTime.UtcNow, 4m);
var data5 = new IndicatorDataPoint(DateTime.UtcNow, 5m);
// sma has one item
sequential.Update(data1);
Assert.IsFalse(sequential.IsReady);
Assert.AreEqual(0m, sequential.Current.Value);
// sma has two items
sequential.Update(data2);
Assert.IsFalse(sequential.IsReady);
Assert.AreEqual(0m, sequential.Current.Value);
// sma is ready, delay will repeat this value
sequential.Update(data3);
Assert.IsFalse(sequential.IsReady);
Assert.AreEqual(2.5m, sequential.Current.Value);
// delay is ready, and repeats its first input
sequential.Update(data4);
Assert.IsTrue(sequential.IsReady);
Assert.AreEqual(2.5m, sequential.Current.Value);
// now getting the delayed data
sequential.Update(data5);
Assert.IsTrue(sequential.IsReady);
Assert.AreEqual(3.5m, sequential.Current.Value);
}
/// <summary>
/// Computes the next value of the following sub-indicators from the given state:
/// StandardDeviation, MiddleBand, UpperBand, LowerBand
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <returns>The input is returned unmodified.</returns>
protected override decimal ComputeNextValue(IndicatorDataPoint input)
{
StandardDeviation.Update(input);
MiddleBand.Update(input);
UpperBand.Update(input);
LowerBand.Update(input);
return input;
}
public void AccessesBaseBySymbol()
{
IndicatorDataPoint tick = new IndicatorDataPoint(Symbols.SPY, DateTime.Now, 1);
Slice slice = new Slice(DateTime.Now, new[] { tick });
IndicatorDataPoint data = slice[tick.Symbol];
Assert.AreEqual(tick, data);
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(IndicatorDataPoint input)
{
// our first data point just return identity
if (Samples == 1)
{
return input;
}
return input*_k + Current*(1 - _k);
}
/// <summary>
/// Computes the next value for this indicator from the given state.
/// </summary>
/// <param name="window">The window of data held in this indicator</param>
/// <param name="input">The input value to this indicator on this time step</param>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(IReadOnlyWindow<IndicatorDataPoint> window, IndicatorDataPoint input)
{
Average.Update(input);
var absoluteChange = base.ComputeNextValue(window, input);
if (Average == 0m)
{
return 0m;
}
return absoluteChange/Average;
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(IndicatorDataPoint input)
{
Fast.Update(input);
Slow.Update(input);
var macd = Fast - Slow;
if (Fast.IsReady && Slow.IsReady)
{
Signal.Update(input.Time, macd);
}
return macd;
}
public void PassesOnDuplicateTimes()
{
var target = new TestIndicator();
var time = DateTime.UtcNow;
const decimal value1 = 1m;
var data = new IndicatorDataPoint(time, value1);
target.Update(data);
Assert.AreEqual(value1, target.Current.Value);
// this won't update because we told it to ignore duplicate
// data based on time
target.Update(data);
Assert.AreEqual(value1, target.Current.Value);
}
public void DelayOneRepeatsFirstInputValue()
{
var delay = new Delay(1);
var data = new IndicatorDataPoint(DateTime.UtcNow, 1m);
delay.Update(data);
Assert.AreEqual(1m, delay.Current.Value);
data = new IndicatorDataPoint(DateTime.UtcNow.AddSeconds(1), 2m);
delay.Update(data);
Assert.AreEqual(1m, delay.Current.Value);
data = new IndicatorDataPoint(DateTime.UtcNow.AddSeconds(1), 2m);
delay.Update(data);
Assert.AreEqual(2m, delay.Current.Value);
}
public void PassesOnDuplicateTimes()
{
var target = new TestIndicator();
var time = DateTime.UtcNow;
const decimal value1 = 1m;
var data = new IndicatorDataPoint(time, TimeZone.Utc, value1);
target.Update(data);
Assert.Equal(value1, target.Current.Price);
// this won't update because we told it to ignore duplicate
// data based on time
target.Update(data);
Assert.Equal(value1, target.Current.Price);
}
public void DelayOneRepeatsFirstInputValue()
{
var delay = new Delay(1);
var data = new IndicatorDataPoint(DateTime.UtcNow, 1m);
delay.Update(data);
Assert.AreEqual(1m, delay.Current.Value);
data = new IndicatorDataPoint(DateTime.UtcNow.AddSeconds(1), 2m);
delay.Update(data);
Assert.AreEqual(1m, delay.Current.Value);
data = new IndicatorDataPoint(DateTime.UtcNow.AddSeconds(1), 2m);
delay.Update(data);
Assert.AreEqual(2m, delay.Current.Value);
}
public void UpdatesAfterCorrectDailyPeriodElapses()
{
const int periods = 3;
var reference = new DateTime(2016, 04, 06, 12, 0, 0);
var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
var timeKeeper = new TimeKeeper(referenceUtc);
var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, false, false);
var security = new Security(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
config,
new Cash(Currencies.USD, 0, 0),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
var model = new StandardDeviationOfReturnsVolatilityModel(periods);
security.VolatilityModel = model;
var first = new IndicatorDataPoint(reference, 1);
security.SetMarketPrice(first);
Assert.AreEqual(0m, model.Volatility);
var second = new IndicatorDataPoint(reference.AddDays(1), 2);
security.SetMarketPrice(second);
Assert.AreEqual(0, model.Volatility);
// update should not be applied since not enough time has passed
var third = new IndicatorDataPoint(reference.AddDays(1.01), 1000);
security.SetMarketPrice(third);
Assert.AreEqual(0, model.Volatility);
var fourth = new IndicatorDataPoint(reference.AddDays(2), 3);
security.SetMarketPrice(fourth);
Assert.AreEqual(5.6124, (double)model.Volatility, 0.0001);
}
public void DoesntUpdateOnZeroPrice()
{
const int periods = 3;
var periodSpan = Time.OneMinute;
var reference = new DateTime(2016, 04, 06, 12, 0, 0);
var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
var timeKeeper = new TimeKeeper(referenceUtc);
var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, false, false);
var security = new Security(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
config,
new Cash("USD", 0, 0),
SymbolProperties.GetDefault("USD"),
ErrorCurrencyConverter.Instance
);
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
var model = new RelativeStandardDeviationVolatilityModel(periodSpan, periods);
security.VolatilityModel = model;
var first = new IndicatorDataPoint(reference, 1);
security.SetMarketPrice(first);
Assert.AreEqual(0m, model.Volatility);
const decimal value = 0.471404520791032M; // std of 1,2 is ~0.707 over a mean of 1.5
var second = new IndicatorDataPoint(reference.AddMinutes(1), 2);
security.SetMarketPrice(second);
Assert.AreEqual(value, model.Volatility);
var third = new IndicatorDataPoint(reference.AddMinutes(2), 3m);
security.SetMarketPrice(third);
Assert.AreEqual(0.5m, model.Volatility);
// update should not be applied as price is 0
var forth = new IndicatorDataPoint(reference.AddMinutes(3), 0m);
security.SetMarketPrice(forth);
Assert.AreEqual(0.5m, model.Volatility);
}
private void Price_Updated(object sender, IndicatorDataPoint updated)
{
if (IsReady)
{
if (updated.Value >= _upperBand.Current.Value)
{
SurvivalWindow.Add(1);
}
else if (updated.Value <= _lowerBand.Current.Value)
{
SurvivalWindow.Add(-1);
}
else
{
SurvivalWindow.Add(0);
}
}
}
protected override decimal ComputeNextValue(IndicatorDataPoint input)
{
if (input.Price > _vamaHour && input.Price > _vamaW[0] && _residualSm > 0 && _residualHSm > 0 && _rsi > 40 && _prersi <40 && _sd> 0.005m)
{
Current = 1m;
}
else if (input.Price < _vamaHour && input.Price < _vamaW[0] && _residualSm < 0 && _residualHSm <0 &&
_rsi < 60 && _prersi > 60 && _sd> 0.005m)
{
Current = -1m;
}
else
{
Current = 0m;
}
return(Current);
}
public void DoesntUpdateOnZeroPrice()
{
const int periods = 3;
var periodSpan = Time.OneMinute;
var reference = new DateTime(2016, 04, 06, 12, 0, 0);
var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
var timeKeeper = new TimeKeeper(referenceUtc);
var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, false, false);
var security = new Security(SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork), config, new Cash("USD", 0, 0), SymbolProperties.GetDefault("USD"));
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
var model = new StandardDeviationOfReturnsVolatilityModel(periods);
security.VolatilityModel = model;
var first = new IndicatorDataPoint(reference, 1);
security.SetMarketPrice(first);
Assert.AreEqual(0m, model.Volatility);
var second = new IndicatorDataPoint(reference.AddDays(1), 2);
security.SetMarketPrice(second);
Assert.AreEqual(0, model.Volatility);
// update should not be applied since not enough time has passed
var third = new IndicatorDataPoint(reference.AddDays(1.01), 1000);
security.SetMarketPrice(third);
Assert.AreEqual(0, model.Volatility);
var fourth = new IndicatorDataPoint(reference.AddDays(2), 3);
security.SetMarketPrice(fourth);
Assert.AreEqual(5.6124, (double)model.Volatility, 0.0001);
// update should not be applied as price is 0
var fifth = new IndicatorDataPoint(reference.AddDays(3), 0m);
security.SetMarketPrice(fifth);
Assert.AreEqual(5.6124, (double)model.Volatility, 0.0001);
}
public void UpdatesProperly()
{
// we want to make sure the initialized value is the default value
// for a datapoint, and also verify the our indicator updates as we
// expect it to, in this case, it should return identity
var target = new TestIndicator();
Assert.AreEqual(DateTime.MinValue, target.Current.Time);
Assert.AreEqual(0m, target.Current.Value);
var time = DateTime.UtcNow;
var data = new IndicatorDataPoint(time, 1m);
target.Update(data);
Assert.AreEqual(1m, target.Current.Value);
target.Update(new IndicatorDataPoint(time.AddMilliseconds(1), 2m));
Assert.AreEqual(2m, target.Current.Value);
}
public void UpdatesProperly()
{
// we want to make sure the initialized value is the default value
// for a datapoint, and also verify the our indicator updates as we
// expect it to, in this case, it should return identity
var target = new TestIndicator();
Assert.AreEqual(DateTime.MinValue, target.Current.Time);
Assert.AreEqual(0m, target.Current.Value);
var time = DateTime.UtcNow;
var data = new IndicatorDataPoint(time, 1m);
target.Update(data);
Assert.AreEqual(1m, target.Current.Value);
target.Update(new IndicatorDataPoint(time.AddMilliseconds(1), 2m));
Assert.AreEqual(2m, target.Current.Value);
}
public OrderSignal CheckSignal(TradeBars data, Dictionary <string, string> paramlist, out string comment)
{
PropertyInfo[] properties = GetType().GetProperties();
// make sure symbol is set first for getting trendCurrent
PropertyInfo s = properties.FirstOrDefault(x => x.Name == "symbol");
if (s != null)
{
symbol = new Symbol(paramlist["symbol"], paramlist["symbol"]);
}
IndicatorDataPoint trendCurrent = new IndicatorDataPoint(data[symbol].EndTime, 0);;
string trend = paramlist["trend"];
trendCurrent.Value = System.Convert.ToDecimal(trend);
foreach (var item in paramlist)
{
PropertyInfo p = properties.FirstOrDefault(x => x.Name == item.Key);
if (p != null)
{
if (item.Key != "symbol")
{
{
var converter = TypeDescriptor.GetConverter(p.PropertyType);
var convertedvalue = converter.ConvertFrom(item.Value);
var setmethod = p.SetMethod;
if (setmethod != null)
{
p.SetValue(this, convertedvalue);
}
}
}
}
}
string current;
OrderSignal retval = CheckSignal(data, trendCurrent, out current);
comment = current;
return(retval);
}
private void Price_Updated(object sender, IndicatorDataPoint updated)
{
if (IsReady)
{
if (updated.Value >= _upperBand.Current.Value)
{
_indicators = Utils.shiftRight(_indicators);
_indicators[0] = 1;
}
else if (updated.Value <= _lowerBand.Current.Value)
{
_indicators = Utils.shiftRight(_indicators);
_indicators[0] = -1;
}
else
{
_indicators = Utils.shiftRight(_indicators);
_indicators[0] = 0;
}
}
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(IndicatorDataPoint input)
{
_ema1.Update(input);
if (_ema1.IsReady)
{
_ema2.Update(_ema1.Current);
}
if (_ema2.IsReady)
{
_ema3.Update(_ema2.Current);
}
if (_ema3.IsReady)
{
_roc.Update(_ema3.Current);
}
return(_roc);
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(IndicatorDataPoint input)
{
if (previousInput != null && input.Value >= previousInput.Value)
{
AverageGain.Update(input.Time, input.Value - previousInput.Value);
AverageLoss.Update(input.Time, 0m);
}
else if (previousInput != null && input.Value < previousInput.Value)
{
AverageGain.Update(input.Time, 0m);
AverageLoss.Update(input.Time, previousInput.Value - input.Value);
}
previousInput = input;
if (AverageLoss == 0m)
{
// all up days is 100
return 100m;
}
var rs = AverageGain / AverageLoss;
return 100m - (100m / (1 + rs));
}
private void ma_Updated(object sender, IndicatorDataPoint updated)
{
if (!IsReady)
{
return;
}
var actualSignal = Math.Sign(_moving_average_difference);
if (actualSignal == _lastSignal || _lastSignal == 0)
{
Signal = (CrossingMovingAveragesSignals)actualSignal;
}
else if (_lastSignal == -1 && actualSignal == 1)
{
Signal = CrossingMovingAveragesSignals.FastCrossSlowFromBelow;
}
else if (_lastSignal == 1 && actualSignal == -1)
{
Signal = CrossingMovingAveragesSignals.FastCrossSlowFromAbove;
}
SurvivalWindow.Add((int)Signal);
_lastSignal = actualSignal;
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(IndicatorDataPoint input)
{
if (previousInput != null && input.Value >= previousInput.Value)
{
AverageGain.Update(input.Time, input.Value - previousInput.Value);
AverageLoss.Update(input.Time, 0m);
}
else if (previousInput != null && input.Value < previousInput.Value)
{
AverageGain.Update(input.Time, 0m);
AverageLoss.Update(input.Time, previousInput.Value - input.Value);
}
previousInput = input;
if (AverageLoss == 0m)
{
// all up days is 100
return(100m);
}
var rs = AverageGain / AverageLoss;
return(100m - (100m / (1 + rs)));
}
public void Update()
{
if (_lastUpdate == null || Algo.Time >= _lastUpdate.Add(_timeSpan))
{
foreach (var indic in Indicators)
{
var pnl = Algo.Portfolio.TotalPortfolioValue;
//var tb = new TradeBar(Algo.Time, Symbol.Empty, pnl, pnl, pnl, pnl, 0);
var idp = new IndicatorDataPoint(Algo.Time, pnl);
if (_previous != null)
{
_previous[indic.Key] = indic.Value.Current;
}
indic.Value.Update(idp);
// if (pnl > 1010000 || indic.Value.Current != 0)
// {
// int stop = 1;
// }
//indic.Update(Algo.Time, );
}
_lastUpdate = Algo.Time;
}
}
public OrderSignal CheckSignal(KeyValuePair <Symbol, TradeBar> data, IndicatorDataPoint trendCurrent, out string comment)
{
OrderSignal retval = OrderSignal.doNothing;
comment = string.Empty;
UpdateTrendArray(trendCurrent.Value);
bReverseTrade = false;
ReverseTrade = false;
NTrigGTEP = false;
NTrigLTEP = false;
NTrigGTTA0 = false;
NTrigLTTA0 = false;
BarcountLT4 = false;
OrderFilled = orderFilled;
if (Barcount < 4)
{
BarcountLT4 = true;
comment = "Barcount < 4";
retval = OrderSignal.doNothing;
}
else
{
nTrig = 2m * trendArray[0] - trendArray[2];
#region "Selection Logic Reversals"
retval = CheckLossThreshhold(ref comment, retval);
if (nTrig < (Math.Abs(nEntryPrice) / RevPct))
{
NTrigLTEP = true;
if (IsLong)
{
retval = OrderSignal.revertToShort;
bReverseTrade = true;
ReverseTrade = true;
comment =
string.Format("nTrig {0} < (nEntryPrice {1} * RevPct {2}) {3} IsLong {4} )",
Math.Round(nTrig, 4),
nEntryPrice,
RevPct,
NTrigLTEP,
IsLong);
}
else
{
NTrigLTEP = false;
}
}
else
{
if (nTrig > (Math.Abs(nEntryPrice) * RevPct))
{
NTrigGTEP = true;
if (IsShort)
{
retval = OrderSignal.revertToLong;
bReverseTrade = true;
ReverseTrade = true;
comment =
string.Format("nTrig {0} > (nEntryPrice {1} * RevPct {2}) {3} IsLong {4} )",
Math.Round(nTrig, 4),
nEntryPrice,
RevPct,
NTrigLTEP,
IsLong);
}
else
{
NTrigGTEP = false;
}
}
}
#endregion
#region "selection logic buy/sell"
retval = CheckLossThreshhold(ref comment, retval);
if (!bReverseTrade)
{
if (nTrig > trendArray[0])
{
NTrigGTTA0 = true;
if (xOver == -1)
{
#region "If Not Long"
if (!IsLong)
{
if (!orderFilled)
{
retval = OrderSignal.goLong;
comment =
string.Format(
"nTrig {0} > trend {1} xOver {2} !IsLong {3} orderFilled {4}",
Math.Round(nTrig, 4),
Math.Round(trendArray[0], 4),
xOver,
!IsLong,
orderFilled);
}
else
{
retval = OrderSignal.goLongLimit;
comment =
string.Format(
"nTrig {0} > trend {1} xOver {2} !IsLong {3} orderFilled {4}",
Math.Round(nTrig, 4),
Math.Round(trendArray[0], 4),
xOver,
!IsLong,
orderFilled);
}
}
#endregion
}
if (comment.Length == 0)
{
comment = "Trigger over trend - setting xOver to 1";
}
xOver = 1;
xOverisNegative = xOver < 0;
xOverIsPositive = xOver > 0;
}
else
{
if (nTrig < trendArray[0])
{
NTrigLTTA0 = true;
if (xOver == 1)
{
#region "If Not Short"
if (!IsShort)
{
if (!orderFilled)
{
retval = OrderSignal.goShort;
comment =
string.Format(
"nTrig {0} < trend {1} xOver {2} !isShort {3} orderFilled {4}",
Math.Round(nTrig, 4),
Math.Round(trendArray[0], 4),
xOver,
!IsShort,
!orderFilled);
}
else
{
retval = OrderSignal.goShortLimit;
comment =
string.Format(
"nTrig {0} < trend {1} xOver {2} !isShort {3} orderFilled {4}",
Math.Round(nTrig, 4),
Math.Round(trendArray[0], 4),
xOver,
!IsShort,
!orderFilled);
}
}
#endregion
}
if (comment.Length == 0)
{
comment = "Trigger under trend - setting xOver to -1";
}
xOver = -1;
xOverisNegative = xOver < 0;
xOverIsPositive = xOver > 0;
}
}
}
#endregion
}
StringBuilder sb = new StringBuilder();
sb.Append(comment);
comment = sb.ToString();
return(retval);
}
//public OrderSignal CheckSignal(TradeBars data, int tradesize, IndicatorDataPoint trendCurrent, out string current)
//{
// return CheckSignal(data, tradesize, out current, TODO);
//}
/// <summary>
/// Executes the Instant Trend strategy
/// </summary>
/// <param name="data">TradeBars - the current OnData</param>
/// <param name="data">TradeBars - the current OnData</param>
/// <param name="tradesize"></param>
/// <param name="tradesize"></param>
/// <param name="current"></param>
/// <param name="current"></param>
/// <param name="xOver1"></param>
/// <param name="trendCurrent">IndicatorDataPoint - the current trend value trend</param>
/// <summary>
/// Executes the Instant Trend strategy
/// </summary>
public OrderSignal CheckSignal(TradeBars data, int tradesize, IndicatorDataPoint trendCurrent, out string current)
{
OrderTicket ticket;
int orderId = 0;
string comment = string.Empty;
OrderSignal retval = OrderSignal.doNothing;
trendHistory.Add(trendCurrent);
nStatus = 0;
if (_algorithm.Portfolio[_symbol].IsLong)
{
nStatus = 1;
}
if (_algorithm.Portfolio[_symbol].IsShort)
{
nStatus = -1;
}
if (!trendHistory.IsReady)
{
current = "Trend Not Ready";
return(OrderSignal.doNothing);
}
#region "Strategy Execution"
bReverseTrade = false;
try
{
var nTrig = 2 * trendHistory[0].Value - trendHistory[2].Value;
if (nStatus == 1 && nTrig < (nEntryPrice / RevPct))
{
comment = string.Format("Long Reverse to short. Close < {0} / {1}", nEntryPrice, RevPct);
bReverseTrade = true;
retval = OrderSignal.revertToShort;
}
else
{
if (nStatus == -1 && nTrig > (nEntryPrice * RevPct))
{
comment = string.Format("Short Reverse to Long. Close > {0} * {1}", nEntryPrice, RevPct);
bReverseTrade = true;
retval = OrderSignal.revertToLong;
}
}
if (!bReverseTrade)
{
if (nTrig > trendHistory[0].Value)
{
if (xOver == -1 && nStatus != 1)
{
if (!orderFilled)
{
retval = OrderSignal.goLong;
comment = string.Format("{0} after order not filled", retval);
}
else
{
nLimitPrice = Math.Round(Math.Max(data[_symbol].Low, (data[_symbol].Close - (data[_symbol].High - data[_symbol].Low) * RngFac)), 2, MidpointRounding.ToEven);
retval = OrderSignal.goLongLimit;
comment = string.Format("{0} nTrig > history[0] xOver {1} Limit Price {2}", retval, xOver, nLimitPrice);
}
}
if (comment.Length == 0)
{
comment = "Trigger over Trend";
}
xOver = 1;
}
else
{
if (nTrig < trendHistory[0].Value)
{
if (xOver == 1 && nStatus != -1)
{
if (!orderFilled)
{
retval = OrderSignal.goShort;
comment = string.Format("{0} after order not filled", retval);
}
else
{
nLimitPrice = Math.Round(Math.Min(data[_symbol].High, (data[_symbol].Close + (data[_symbol].High - data[_symbol].Low) * RngFac)), 2, MidpointRounding.ToEven);
retval = OrderSignal.goShortLimit;
comment = string.Format("{0} nTrig < history[0] xOver = {1} Limit Price {2}", retval, xOver, nLimitPrice);
}
}
if (comment.Length == 0)
{
comment = "Trigger under trend";
}
xOver = -1;
}
}
}
}
catch (Exception ex)
{
System.Diagnostics.Debug.WriteLine(ex.StackTrace);
}
#endregion
current = comment;
return(retval);
}
public OrderSignal CheckSignal(TradeBars data, IndicatorDataPoint trendCurrent, out string comment)
{
OrderSignal retval = OrderSignal.doNothing;
comment = string.Empty;
//decimal price = (data[symbol].Close + data[symbol].Open) / 2;
// Here is an attempt to smooth the price
//ema.Update(idp(data[symbol].EndTime, price));
//if (ema.IsReady)
// UpdatePriceArray(ema.Current);
//else
// UpdatePriceArray(idp(data[symbol].EndTime, price));
//if (Barcount == 17)
// comment = "";
//// Update the trend with the smoothed price
//trend.Update(ema.Current);
//trend.Current.Symbol = data[symbol].Symbol; // make sure the symbol is correct
//if (trend.Current.Value != trendCurrent.Value)
// comment = "trends not equal";
UpdateTrendArray(trendCurrent.Value);
bReverseTrade = false;
ReverseTrade = false;
NTrigGTEP = false;
NTrigLTEP = false;
NTrigGTTA0 = false;
NTrigLTTA0 = false;
BarcountLT4 = false;
if (Barcount < 4)
{
BarcountLT4 = true;
comment = "Barcount < 4";
retval = OrderSignal.doNothing;
}
else
{
nTrig = 2m * trendArray[0] - trendArray[2];
#region "Selection Logic Reversals"
try
{
if (nTrig < (Math.Abs(nEntryPrice) / RevPct))
{
NTrigLTEP = true;
if (IsLong)
{
retval = OrderSignal.revertToShort;
bReverseTrade = true;
ReverseTrade = true;
comment =
string.Format("nTrig {0} < (nEntryPrice {1} * RevPct {2}) {3} IsLong {4} )",
Math.Round(nTrig, 4),
nEntryPrice,
RevPct,
NTrigLTEP,
IsLong);
}
else
{
NTrigLTEP = false;
}
}
else
{
if (nTrig > (Math.Abs(nEntryPrice) * RevPct))
{
NTrigGTEP = true;
if (IsShort)
{
retval = OrderSignal.revertToLong;
bReverseTrade = true;
ReverseTrade = true;
comment =
string.Format("nTrig {0} > (nEntryPrice {1} * RevPct {2}) {3} IsLong {4} )",
Math.Round(nTrig, 4),
nEntryPrice,
RevPct,
NTrigLTEP,
IsLong);
}
else
{
NTrigGTEP = false;
}
}
}
}
catch (Exception ex)
{
System.Diagnostics.Debug.WriteLine(ex.StackTrace);
}
#endregion
#region "selection logic buy/sell"
try
{
if (!bReverseTrade)
{
if (nTrig > trendArray[0])
{
NTrigGTTA0 = true;
if (xOver == -1)
{
#region "If Not Long"
if (!IsLong)
{
if (!orderFilled)
{
OrderFilled = false;
retval = OrderSignal.goLong;
comment =
string.Format(
"nTrig {0} > trend {1} xOver {2} !IsLong {3} !orderFilled {4}",
Math.Round(nTrig, 4),
Math.Round(trendArray[0], 4),
xOver,
!IsLong,
!orderFilled);
}
else
{
retval = OrderSignal.goLongLimit;
comment =
string.Format(
"nTrig {0} > trend {1} xOver {2} !IsLong {3} !orderFilled {4}",
Math.Round(nTrig, 4),
Math.Round(trendArray[0], 4),
xOver,
!IsLong,
!orderFilled);
}
}
#endregion
}
if (comment.Length == 0)
comment = "Trigger over trend - setting xOver to 1";
xOver = 1;
xOverisNegative = xOver < 0;
xOverIsPositive = xOver > 0;
}
else
{
if (nTrig < trendArray[0])
{
NTrigLTTA0 = true;
if (xOver == 1)
{
#region "If Not Short"
if (!IsShort)
{
if (!orderFilled)
{
OrderFilled = false;
retval = OrderSignal.goShort;
comment =
string.Format(
"nTrig {0} < trend {1} xOver {2} !isShort {3} orderFilled {4}",
Math.Round(nTrig, 4),
Math.Round(trendArray[0], 4),
xOver,
!IsShort,
!orderFilled);
}
else
{
retval = OrderSignal.goShortLimit;
comment =
string.Format(
"nTrig {0} < trend {1} xOver {2} !isShort {3} orderFilled {4}",
Math.Round(nTrig, 4),
Math.Round(trendArray[0], 4),
xOver,
!IsShort,
!orderFilled);
}
}
#endregion
}
if (comment.Length == 0)
comment = "Trigger under trend - setting xOver to -1";
xOver = -1;
xOverisNegative = xOver < 0;
xOverIsPositive = xOver > 0;
}
}
}
}
catch (Exception ex)
{
System.Diagnostics.Debug.WriteLine(ex.StackTrace);
}
#endregion
}
StringBuilder sb = new StringBuilder();
sb.Append(comment);
sb.Append(",");
sb.Append(retval.ToString());
sb.Append(",");
//sb.Append(ToInt32());
sb.Append(",");
//sb.Append(ToIntCsv());
comment = sb.ToString();
return retval;
}
/// <summary>
/// AroonUp = 100 * (period - {periods since max})/period
/// </summary>
/// <param name="upPeriod">The AroonUp period</param>
/// <param name="max">A Maximum indicator used to compute periods since max</param>
/// <param name="input">The next input data</param>
/// <returns>The AroonUp value</returns>
private static decimal ComputeAroonUp(int upPeriod, Maximum max, IndicatorDataPoint input)
{
max.Update(input);
return 100m * (upPeriod - max.PeriodsSinceMaximum) / upPeriod;
}
public OrderSignal CheckSignal(KeyValuePair<Symbol, TradeBar> data, IndicatorDataPoint trendCurrent, out string current)
{
TradeBars tb = new TradeBars();
tb.Add(data.Key, data.Value);
return CheckSignal(tb, trendCurrent, out current);
}
/// <summary>
/// Executes the Instant Trend strategy
/// </summary>
/// <param name="data">TradeBars - the current OnData</param>
/// <param name="tradesize"></param>
/// <param name="trendCurrent">IndicatorDataPoint - the current trend value trend</param>
/// <param name="current"></param>
public OrderSignal ExecuteStrategy(TradeBars data, int tradesize, IndicatorDataPoint trendCurrent, out string current)
{
OrderTicket ticket;
string comment = string.Empty;
OrderSignal retval = OrderSignal.doNothing;
trendHistory.Add(trendCurrent);
nStatus = 0;
if (_algorithm.Portfolio[_symbol].IsLong) nStatus = 1;
if (_algorithm.Portfolio[_symbol].IsShort) nStatus = -1;
if (!trendHistory.IsReady)
{
current = "Trend Not Ready";
return OrderSignal.doNothing;
}
#region "Strategy Execution"
bReverseTrade = false;
try
{
var nTrig = 2 * trendHistory[0].Value - trendHistory[2].Value;
if (nStatus == 1 && nTrig < (Math.Abs(nEntryPrice) / RevPct))
{
if (maketrade)
{
ticket = ReverseToShort();
orderFilled = ticket.OrderId > 0;
}
bReverseTrade = true;
retval = OrderSignal.revertToShort;
comment = string.Format("{0} nStatus == {1} && nTrig {2} < (nEntryPrice {3} * RevPct{4} orderFilled {5})", retval, nStatus, nTrig, nEntryPrice, RevPct, orderFilled);
}
else
{
if (nStatus == -1 && nTrig > (Math.Abs(nEntryPrice) * RevPct))
{
if (maketrade)
{
ticket = ReverseToLong();
orderFilled = ticket.OrderId > 0;
}
bReverseTrade = true;
retval = OrderSignal.revertToLong;
comment = string.Format("{0} nStatus == {1} && nTrig {2} > (nEntryPrice {3} * RevPct{4}, orderFilled {5})", retval, nStatus, nTrig, nEntryPrice, RevPct, orderFilled);
}
}
if (!bReverseTrade)
{
if (nTrig > trendHistory[0].Value)
{
if (xOver == -1 && nStatus != 1)
{
if (!orderFilled)
{
try
{
if (maketrade) ticket = _algorithm.Buy(_symbol, tradesize);
}
catch (Exception e)
{
Console.WriteLine(e);
}
retval = OrderSignal.goLong;
comment = string.Format("{0} nStatus {1} nTrig {2} > trendHistory[0].Value {3} xOver {4} orderFilled {5}",
retval, nStatus, nTrig, trendHistory[0].Value, xOver, orderFilled);
}
else
{
nLimitPrice = Math.Round(Math.Max(data[_symbol].Low, (data[_symbol].Close - (data[_symbol].High - data[_symbol].Low) * RngFac)), 2, MidpointRounding.ToEven);
try
{
if (maketrade) ticket = _algorithm.LimitOrder(_symbol, tradesize, nLimitPrice, "Long Limit");
}
catch (Exception e)
{
Console.WriteLine(e);
}
retval = OrderSignal.goLongLimit;
comment = string.Format("{0} nStatus {1} nTrig {2} > trendHistory[0].Value {3} xOver {4} Limit Price {5}",
retval, nStatus, nTrig, trendHistory[0].Value, xOver, nLimitPrice);
}
}
if (comment.Length == 0)
comment = "Trigger over Trend";
xOver = 1;
}
else
{
if (nTrig < trendHistory[0].Value)
{
if (xOver == 1 && nStatus != -1)
{
if (!orderFilled)
{
try
{
if (maketrade) ticket = _algorithm.Sell(_symbol, tradesize);
}
catch (Exception e)
{
Console.WriteLine(e);
}
retval = OrderSignal.goShort;
comment = string.Format("{0} Enter Short after cancel trig xunder price down", retval);
}
else
{
nLimitPrice = Math.Round(Math.Min(data[_symbol].High, (data[_symbol].Close + (data[_symbol].High - data[_symbol].Low) * RngFac)), 2, MidpointRounding.ToEven);
try
{
if (maketrade) ticket = _algorithm.LimitOrder(_symbol, -tradesize, nLimitPrice, "Short Limit");
//ticket = _algorithm.Sell(_symbol, tradesize);
}
catch (Exception e)
{
Console.WriteLine(e);
}
retval = OrderSignal.goShortLimit;
comment = string.Format("{0} nStatus {1} nTrig {2} < trendHistory[0].Value {3} xOver {4} Limit Price {5}",
retval, nStatus, nTrig, trendHistory[0].Value, xOver, nLimitPrice);
}
}
if (comment.Length == 0)
comment = "Trigger under trend";
xOver = -1;
}
}
}
}
catch (Exception ex)
{
System.Diagnostics.Debug.WriteLine(ex.StackTrace);
}
#endregion
current = comment;
return retval;
}
private void AttemptCompositeUpdate(IndicatorBase <IndicatorDataPoint> indicator, IndicatorDataPoint point)
{
if (indicator.GetType() == typeof(CompositeIndicator <IndicatorDataPoint>))
{
var composite = ((CompositeIndicator <IndicatorDataPoint>)indicator);
composite.Left.Update(point);
composite.Right.Update(point);
AttemptCompositeUpdate(composite.Left, point);
AttemptCompositeUpdate(composite.Right, point);
}
}
public void MSAFullTest()
{
#region Fields
int idx = 0;
int day = 0;
DateTime Time = DateTime.Today;
DateTime testTime = Time;
double amplitude = 1;
int shift = 100;
int waveLength = 45;
IndicatorDataPoint ssObs;
Indicator smoothedSeries = new Identity("SmoothedSeries");
MSAStrategy strategy = new MSAStrategy(smoothedSeries, 2, 3, 0m);
#endregion Fields
#region Warming up
Console.WriteLine("Warming up");
do
{
ssObs = new IndicatorDataPoint(testTime, SineWave(idx, amplitude * idx, waveLength, shift));
smoothedSeries.Update(ssObs);
testTime = testTime.AddMinutes(1);
idx++;
if (idx > 59)
{
day++;
testTime = Time.AddDays(day);
idx = 0;
switch (day)
{
case 1:
amplitude = 2;
shift = 150;
waveLength = 15;
break;
case 2:
amplitude = 1.5;
shift = 100;
waveLength = 20;
break;
case 3:
amplitude = 3;
shift = 180;
waveLength = 12;
break;
default:
break;
}
Console.WriteLine("New day: " + day);
}
} while (!strategy.IsReady);
Console.WriteLine("Strategy ready!\nStarting signal test.");
#endregion Warming up
#region Testing signals
var expectedSignals = new Dictionary<int, OrderSignal>();
expectedSignals.Add(34, OrderSignal.goLong);
expectedSignals.Add(40, OrderSignal.goShort);
expectedSignals.Add(46, OrderSignal.goLong);
expectedSignals.Add(52, OrderSignal.goShort);
expectedSignals.Add(58, OrderSignal.goLong);
for (int i = 0; i < 60; i++)
{
ssObs = new IndicatorDataPoint(testTime, SineWave(i, amplitude * i, waveLength, shift));
smoothedSeries.Update(ssObs);
Console.WriteLine(string.Format("{0}\t|\t{1}\t|\t{2}",
i,
ssObs.Value.SmartRounding(),
strategy.ActualSignal
));
if (expectedSignals.ContainsKey(i))
{
Assert.AreEqual(expectedSignals[i], strategy.ActualSignal, string.Format("Bar {0} test.", i));
}
else
{
Assert.AreEqual(OrderSignal.doNothing, strategy.ActualSignal, string.Format("Bar {0} test.", i));
}
testTime = testTime.AddMinutes(1);
}
#endregion Testing signals
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(IndicatorDataPoint input)
{
var value = base.ComputeNextValue(input);
return(Slow != 0 ? 100 * value / Slow : 0m);
}
public OrderSignal CheckSignal(TradeBars data, IndicatorDataPoint trendCurrent, out string comment)
{
OrderSignal retval = OrderSignal.doNothing;
if (Barcount == 1)
comment = "";
decimal price = (data[symbol].Close + data[symbol].Open) / 2;
trend.Update(idp(data[symbol].EndTime, price));
if (trendCurrent.Value != trend.Current.Value)
comment = "not equal";
UpdateTrendArray(trend.Current);
comment = "";
bReverseTrade = false;
if (Barcount < 4)
{
comment = "Trend Not Ready";
return OrderSignal.doNothing;
}
#region "Selection Logic Reversals"
try
{
nTrig = 2 * trendArray[0] - trendArray[2]; // Note this is backwards from a RollingWindow
if (IsLong && nTrig < (Math.Abs(nEntryPrice) / RevPct))
{
retval = OrderSignal.revertToShort;
bReverseTrade = true;
comment =
string.Format("{0} nTrig {1} < (nEntryPrice {2} * RevPct{3}) orderFilled {4})",
retval,
Math.Round(nTrig, 4),
nEntryPrice,
RevPct,
orderFilled);
}
else
{
if (IsShort && nTrig > (Math.Abs(nEntryPrice) * RevPct))
{
retval = OrderSignal.revertToLong;
bReverseTrade = true;
comment = string.Format("{0} nTrig {1} > (nEntryPrice {2} * RevPct{3}) orderFilled {4})",
retval,
Math.Round(nTrig, 4),
nEntryPrice,
RevPct,
orderFilled);
}
}
}
catch (Exception ex)
{
System.Diagnostics.Debug.WriteLine(ex.StackTrace);
}
#endregion
#region "selection logic buy/sell"
try
{
if (!bReverseTrade)
{
if (nTrig > trendArray[0])
{
if (xOver == -1 && !IsLong)
{
if (!orderFilled)
{
retval = OrderSignal.goLong;
comment =
string.Format(
"{0} IsLong && nTrig {1} > trend {2} xOver {3} orderFilled {4}",
retval,
Math.Round(nTrig, 4),
Math.Round(trendArray[0], 4),
xOver,
orderFilled);
}
else
{
retval = OrderSignal.goLongLimit;
comment =
string.Format(
"{0} IsLong && nTrig {1} > trend {2} xOver {3}",
retval,
Math.Round(nTrig, 4),
Math.Round(trendArray[0], 4),
xOver);
}
}
if (comment.Length == 0)
comment = "Trigger over trend - setting xOver to 1";
xOver = 1;
}
else
{
if (nTrig < trendArray[0])
{
if (xOver == 1 && !IsShort)
{
if (!orderFilled)
{
retval = OrderSignal.goShort;
comment =
string.Format(
"{0} nTrig {1} < trend {2} xOver {3} orderFilled {4}",
retval,
Math.Round(nTrig, 4),
Math.Round(trendArray[0], 4),
xOver,
orderFilled);
}
else
{
retval = OrderSignal.goShortLimit;
comment =
string.Format(
"{0} nTrig {1} < trend {2} xOver {3}",
retval,
Math.Round(nTrig, 4),
Math.Round(trendArray[0], 4),
xOver);
}
}
if (comment.Length == 0)
comment = "Trigger under trend - setting xOver to -1";
xOver = -1;
}
}
}
}
catch (Exception ex)
{
System.Diagnostics.Debug.WriteLine(ex.StackTrace);
}
#endregion
return retval;
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <param name="window">The window for the input history</param>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(IReadOnlyWindow<IndicatorDataPoint> window, IndicatorDataPoint input)
{
return (decimal)Math.Sqrt((double)base.ComputeNextValue(window, input));
}
public OrderSignal CheckSignal(TradeBars data, Dictionary<string, string> paramlist, out string comment)
{
PropertyInfo[] properties = GetType().GetProperties();
// make sure symbol is set first for getting trendCurrent
PropertyInfo s = properties.FirstOrDefault(x => x.Name == "symbol");
if (s != null)
{
symbol = new Symbol(paramlist["symbol"], paramlist["symbol"]);
}
IndicatorDataPoint trendCurrent = new IndicatorDataPoint(data[symbol].EndTime,0); ;
string trend = paramlist["trend"];
trendCurrent.Value = System.Convert.ToDecimal(trend);
foreach (var item in paramlist)
{
PropertyInfo p = properties.FirstOrDefault(x => x.Name == item.Key);
if (p != null)
{
if (item.Key != "symbol")
{
{
var converter = TypeDescriptor.GetConverter(p.PropertyType);
try
{
var convertedvalue = converter.ConvertFrom(item.Value);
var setmethod = p.SetMethod;
if (setmethod != null)
p.SetValue(this, convertedvalue);
}
catch (Exception e)
{
Debug.WriteLine(e.Message);
}
}
}
}
}
string current;
OrderSignal retval = CheckSignal(data, trendCurrent, out current);
comment = current;
return retval;
}
private void UpdateTrendArray(IndicatorDataPoint trendCurrent)
{
trendArray[2] = trendArray[1];
trendArray[1] = trendArray[0];
trendArray[0] = trendCurrent.Value;
}
public OrderSignal CheckSignal(KeyValuePair <Symbol, TradeBar> data, IndicatorDataPoint trendCurrent, out string current)
{
throw new NotImplementedException();
}
public OrderSignal CheckSignal(TradeBars data, IndicatorDataPoint trendCurrent, out string comment)
{
OrderSignal retval = OrderSignal.doNothing;
comment = string.Empty;
decimal price = (data[symbol].Close + data[symbol].Open) / 2;
trend.Update(idp(data[symbol].EndTime, price));
if (trendCurrent.Value != trend.Current.Value)
{
comment = "not equal";
}
UpdateTrendArray(trend.Current);
bReverseTrade = false;
v.ReverseTrade = false;
v.NTrigGTEP = false;
v.NTrigLTEP = false;
v.NTrigGTTA0 = false;
v.NTrigLTTA0 = false;
v.OrderFilled = true;
v.IsLong = IsLong;
v.IsShort = IsShort;
v.BarcountLT4 = false;
if (Barcount < 4)
{
v.BarcountLT4 = true;
comment = "Barcount < 4";
retval = OrderSignal.doNothing;
}
else
{
nTrig = 2 * trendArray[0] - trendArray[2];
#region "Selection Logic Reversals"
try
{
if (nTrig < (Math.Abs(nEntryPrice) / RevPct))
{
v.NTrigLTEP = true;
if (IsLong)
{
retval = OrderSignal.revertToShort;
bReverseTrade = true;
v.ReverseTrade = true;
comment =
string.Format("nTrig {0} < (nEntryPrice {1} * RevPct {2}) {3} IsLong {4} )",
Math.Round(nTrig, 4),
nEntryPrice,
RevPct,
v.NTrigLTEP,
IsLong);
}
else
{
v.NTrigLTEP = false;
}
}
else
{
if (nTrig > (Math.Abs(nEntryPrice) * RevPct))
{
v.NTrigGTEP = true;
if (IsShort)
{
retval = OrderSignal.revertToLong;
bReverseTrade = true;
v.ReverseTrade = true;
comment =
string.Format("nTrig {0} > (nEntryPrice {1} * RevPct {2}) {3} IsLong {4} )",
Math.Round(nTrig, 4),
nEntryPrice,
RevPct,
v.NTrigLTEP,
IsLong);
}
else
{
v.NTrigGTEP = false;
}
}
}
}
catch (Exception ex)
{
System.Diagnostics.Debug.WriteLine(ex.StackTrace);
}
#endregion
#region "selection logic buy/sell"
try
{
if (!bReverseTrade)
{
if (nTrig > trendArray[0])
{
v.NTrigGTTA0 = true;
if (xOver == -1)
{
if (!IsLong)
{
if (!orderFilled)
{
v.OrderFilled = false;
retval = OrderSignal.goLong;
comment =
string.Format(
"nTrig {0} > trend {1} xOver {2} !IsLong {3} !orderFilled {4}",
Math.Round(nTrig, 4),
Math.Round(trendArray[0], 4),
xOver,
!IsLong,
!orderFilled);
}
else
{
retval = OrderSignal.goLongLimit;
comment =
string.Format("nTrig {0} > trend {1} xOver {2} !IsLong {3} !orderFilled {4}",
Math.Round(nTrig, 4),
Math.Round(trendArray[0], 4),
xOver,
!IsLong,
!orderFilled);
}
}
}
if (comment.Length == 0)
{
comment = "Trigger over trend - setting xOver to 1";
}
xOver = 1;
v.xOverisNegative = xOver < 0;
v.xOverIsPositive = xOver > 0;
}
else
{
if (nTrig < trendArray[0])
{
v.NTrigLTTA0 = true;
if (xOver == 1)
{
if (!IsShort)
{
if (!orderFilled)
{
v.OrderFilled = false;
retval = OrderSignal.goShort;
comment =
string.Format(
"nTrig {0} < trend {1} xOver {2} !isShort {3} orderFilled {4}",
Math.Round(nTrig, 4),
Math.Round(trendArray[0], 4),
xOver,
!IsShort,
!orderFilled);
}
else
{
retval = OrderSignal.goShortLimit;
comment =
string.Format(
"nTrig {0} < trend {1} xOver {2} !isShort {3} orderFilled {4}",
Math.Round(nTrig, 4),
Math.Round(trendArray[0], 4),
xOver,
!IsShort,
!orderFilled);
}
}
}
if (comment.Length == 0)
{
comment = "Trigger under trend - setting xOver to -1";
}
xOver = -1;
v.xOverisNegative = xOver < 0;
v.xOverIsPositive = xOver > 0;
}
}
}
}
catch (Exception ex)
{
System.Diagnostics.Debug.WriteLine(ex.StackTrace);
}
#endregion
}
StringBuilder sb = new StringBuilder();
sb.Append(comment);
sb.Append(",");
sb.Append(retval.ToString());
sb.Append(",");
sb.Append(v.ToInt32());
sb.Append(",");
sb.Append(v.ToIntCsv());
comment = sb.ToString();
return(retval);
}
public OrderSignal CheckSignal(KeyValuePair<Symbol, TradeBar> data, IndicatorDataPoint trendCurrent, out string comment)
{
OrderSignal retval = OrderSignal.doNothing;
comment = string.Empty;
UpdateTrendArray(trendCurrent.Value);
bReverseTrade = false;
ReverseTrade = false;
NTrigGTEP = false;
NTrigLTEP = false;
NTrigGTTA0 = false;
NTrigLTTA0 = false;
BarcountLT4 = false;
OrderFilled = orderFilled;
if (Barcount < 4)
{
BarcountLT4 = true;
comment = "Barcount < 4";
nTrig = trendCurrent.Value;
retval = OrderSignal.doNothing;
}
else
{
nTrig = 2m * trendArray[0] - trendArray[2];
#region "Selection Logic Reversals"
retval = CheckLossThreshhold(ref comment, retval);
if (nTrig < (Math.Abs(nEntryPrice) / RevPct))
{
NTrigLTEP = true;
if (IsLong)
{
retval = OrderSignal.revertToShort;
bReverseTrade = true;
ReverseTrade = true;
comment =
string.Format("nTrig {0} < (nEntryPrice {1} * RevPct {2}) {3} IsLong {4} )",
Math.Round(nTrig, 4),
nEntryPrice,
RevPct,
NTrigLTEP,
IsLong);
}
else
{
NTrigLTEP = false;
}
}
else
{
if (nTrig > (Math.Abs(nEntryPrice) * RevPct))
{
NTrigGTEP = true;
if (IsShort)
{
retval = OrderSignal.revertToLong;
bReverseTrade = true;
ReverseTrade = true;
comment =
string.Format("nTrig {0} > (nEntryPrice {1} * RevPct {2}) {3} IsLong {4} )",
Math.Round(nTrig, 4),
nEntryPrice,
RevPct,
NTrigLTEP,
IsLong);
}
else
{
NTrigGTEP = false;
}
}
}
#endregion
#region "selection logic buy/sell"
retval = CheckLossThreshhold(ref comment, retval);
if (!bReverseTrade)
{
if (nTrig > trendArray[0])
{
NTrigGTTA0 = true;
if (xOver == -1)
{
#region "If Not Long"
if (!IsLong)
{
if (!orderFilled)
{
retval = OrderSignal.goLong;
comment =
string.Format(
"nTrig {0} > trend {1} xOver {2} !IsLong {3} orderFilled {4}",
Math.Round(nTrig, 4),
Math.Round(trendArray[0], 4),
xOver,
!IsLong,
orderFilled);
}
else
{
retval = OrderSignal.goLongLimit;
comment =
string.Format(
"nTrig {0} > trend {1} xOver {2} !IsLong {3} orderFilled {4}",
Math.Round(nTrig, 4),
Math.Round(trendArray[0], 4),
xOver,
!IsLong,
orderFilled);
}
}
#endregion
}
if (comment.Length == 0)
comment = "Trigger over trend - setting xOver to 1";
xOver = 1;
xOverisNegative = xOver < 0;
xOverIsPositive = xOver > 0;
}
else
{
if (nTrig < trendArray[0])
{
NTrigLTTA0 = true;
if (xOver == 1)
{
#region "If Not Short"
if (!IsShort)
{
if (!orderFilled)
{
retval = OrderSignal.goShort;
comment =
string.Format(
"nTrig {0} < trend {1} xOver {2} !isShort {3} orderFilled {4}",
Math.Round(nTrig, 4),
Math.Round(trendArray[0], 4),
xOver,
!IsShort,
!orderFilled);
}
else
{
retval = OrderSignal.goShortLimit;
comment =
string.Format(
"nTrig {0} < trend {1} xOver {2} !isShort {3} orderFilled {4}",
Math.Round(nTrig, 4),
Math.Round(trendArray[0], 4),
xOver,
!IsShort,
!orderFilled);
}
}
#endregion
}
if (comment.Length == 0)
comment = "Trigger under trend - setting xOver to -1";
xOver = -1;
xOverisNegative = xOver < 0;
xOverIsPositive = xOver > 0;
}
}
}
#endregion
}
StringBuilder sb = new StringBuilder();
sb.Append(comment);
comment = sb.ToString();
return retval;
}
private void UpdateTrendArray(IndicatorDataPoint trendCurrent)
{
trendArray[2] = trendArray[1];
trendArray[1] = trendArray[0];
trendArray[0] = trendCurrent.Value;
}
public OrderSignal CheckSignal(TradeBars data, IndicatorDataPoint trendCurrent, out string comment)
{
OrderSignal retval = OrderSignal.doNothing;
comment = string.Empty;
decimal price = (data[symbol].Close + data[symbol].Open) / 2;
trend.Update(idp(data[symbol].EndTime, price));
if (trendCurrent.Value != trend.Current.Value)
comment = "not equal";
UpdateTrendArray(trend.Current);
bReverseTrade = false;
v.ReverseTrade = false;
v.NTrigGTEP = false;
v.NTrigLTEP = false;
v.NTrigGTTA0 = false;
v.NTrigLTTA0 = false;
v.OrderFilled = true;
v.IsLong = IsLong;
v.IsShort = IsShort;
v.BarcountLT4 = false;
if (Barcount < 4)
{
v.BarcountLT4 = true;
comment = "Barcount < 4";
retval = OrderSignal.doNothing;
}
else
{
nTrig = 2 * trendArray[0] - trendArray[2];
#region "Selection Logic Reversals"
try
{
if (nTrig < (Math.Abs(nEntryPrice) / RevPct))
{
v.NTrigLTEP = true;
if (IsLong)
{
retval = OrderSignal.revertToShort;
bReverseTrade = true;
v.ReverseTrade = true;
comment =
string.Format("nTrig {0} < (nEntryPrice {1} * RevPct {2}) {3} IsLong {4} )",
Math.Round(nTrig, 4),
nEntryPrice,
RevPct,
v.NTrigLTEP,
IsLong);
}
else
{
v.NTrigLTEP = false;
}
}
else
{
if (nTrig > (Math.Abs(nEntryPrice) * RevPct))
{
v.NTrigGTEP = true;
if (IsShort)
{
retval = OrderSignal.revertToLong;
bReverseTrade = true;
v.ReverseTrade = true;
comment =
string.Format("nTrig {0} > (nEntryPrice {1} * RevPct {2}) {3} IsLong {4} )",
Math.Round(nTrig, 4),
nEntryPrice,
RevPct,
v.NTrigLTEP,
IsLong);
}
else
{
v.NTrigGTEP = false;
}
}
}
}
catch (Exception ex)
{
System.Diagnostics.Debug.WriteLine(ex.StackTrace);
}
#endregion
#region "selection logic buy/sell"
try
{
if (!bReverseTrade)
{
if (nTrig > trendArray[0])
{
v.NTrigGTTA0 = true;
if (xOver == -1)
{
if (!IsLong)
{
if (!orderFilled)
{
v.OrderFilled = false;
retval = OrderSignal.goLong;
comment =
string.Format(
"nTrig {0} > trend {1} xOver {2} !IsLong {3} !orderFilled {4}",
Math.Round(nTrig, 4),
Math.Round(trendArray[0], 4),
xOver,
!IsLong,
!orderFilled);
}
else
{
retval = OrderSignal.goLongLimit;
comment =
string.Format("nTrig {0} > trend {1} xOver {2} !IsLong {3} !orderFilled {4}",
Math.Round(nTrig, 4),
Math.Round(trendArray[0], 4),
xOver,
!IsLong,
!orderFilled);
}
}
}
if (comment.Length == 0)
comment = "Trigger over trend - setting xOver to 1";
xOver = 1;
v.xOverisNegative = xOver < 0;
v.xOverIsPositive = xOver > 0;
}
else
{
if (nTrig < trendArray[0])
{
v.NTrigLTTA0 = true;
if (xOver == 1)
{
if (!IsShort)
{
if (!orderFilled)
{
v.OrderFilled = false;
retval = OrderSignal.goShort;
comment =
string.Format(
"nTrig {0} < trend {1} xOver {2} !isShort {3} orderFilled {4}",
Math.Round(nTrig, 4),
Math.Round(trendArray[0], 4),
xOver,
!IsShort,
!orderFilled);
}
else
{
retval = OrderSignal.goShortLimit;
comment =
string.Format(
"nTrig {0} < trend {1} xOver {2} !isShort {3} orderFilled {4}",
Math.Round(nTrig, 4),
Math.Round(trendArray[0], 4),
xOver,
!IsShort,
!orderFilled);
}
}
}
if (comment.Length == 0)
comment = "Trigger under trend - setting xOver to -1";
xOver = -1;
v.xOverisNegative = xOver < 0;
v.xOverIsPositive = xOver > 0;
}
}
}
}
catch (Exception ex)
{
System.Diagnostics.Debug.WriteLine(ex.StackTrace);
}
#endregion
}
StringBuilder sb = new StringBuilder();
sb.Append(comment);
sb.Append(",");
sb.Append(retval.ToString());
sb.Append(",");
sb.Append(v.ToInt32());
sb.Append(",");
sb.Append(v.ToIntCsv());
comment = sb.ToString();
return retval;
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <param name="window">The window for the input history</param>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(IReadOnlyWindow <IndicatorDataPoint> window, IndicatorDataPoint input)
{
// Calculate the efficiency ratio
var efficiencyRatio = base.ComputeNextValue(window, input);
if (Samples < Period)
{
return(input.Value);
}
if (Samples == Period)
{
// Calculate the first KAMA
// The yesterday price is used here as the previous KAMA.
_prevKama = window[1].Value;
}
// Calculate the smoothing constant
var smoothingConstant = efficiencyRatio * _diffSmoothingFactor + _slowSmoothingFactor;
smoothingConstant *= smoothingConstant;
// Calculate the KAMA like an EMA, using the
// smoothing constant as the adaptive factor.
_prevKama = (input.Value - _prevKama) * smoothingConstant + _prevKama;
return(_prevKama);
}
public OrderSignal CheckSignal(KeyValuePair<Symbol, TradeBar> data, IndicatorDataPoint trendCurrent, out string current)
{
throw new NotImplementedException();
}
/// <summary>
/// Executes the Instant Trend strategy
/// </summary>
/// <param name="data">TradeBars - the current OnData</param>
/// <param name="tradesize"></param>
/// <param name="trendCurrent">IndicatorDataPoint - the current trend value trend</param>
/// <param name="current"></param>
public OrderSignal ExecuteStrategy(TradeBars data, int tradesize, IndicatorDataPoint trendCurrent, out string current)
{
OrderTicket ticket;
string comment = string.Empty;
OrderSignal retval = OrderSignal.doNothing;
trendHistory.Add(trendCurrent);
nStatus = 0;
if (_algorithm.Portfolio[_symbol].IsLong)
{
nStatus = 1;
}
if (_algorithm.Portfolio[_symbol].IsShort)
{
nStatus = -1;
}
if (!trendHistory.IsReady)
{
current = "Trend Not Ready";
return(OrderSignal.doNothing);
}
#region "Strategy Execution"
bReverseTrade = false;
try
{
var nTrig = 2 * trendHistory[0].Value - trendHistory[2].Value;
if (nStatus == 1 && nTrig < (Math.Abs(nEntryPrice) / RevPct))
{
if (maketrade)
{
ticket = ReverseToShort();
orderFilled = ticket.OrderId > 0;
}
bReverseTrade = true;
retval = OrderSignal.revertToShort;
comment = string.Format("{0} nStatus == {1} && nTrig {2} < (nEntryPrice {3} * RevPct{4} orderFilled {5})", retval, nStatus, nTrig, nEntryPrice, RevPct, orderFilled);
}
else
{
if (nStatus == -1 && nTrig > (Math.Abs(nEntryPrice) * RevPct))
{
if (maketrade)
{
ticket = ReverseToLong();
orderFilled = ticket.OrderId > 0;
}
bReverseTrade = true;
retval = OrderSignal.revertToLong;
comment = string.Format("{0} nStatus == {1} && nTrig {2} > (nEntryPrice {3} * RevPct{4}, orderFilled {5})", retval, nStatus, nTrig, nEntryPrice, RevPct, orderFilled);
}
}
if (!bReverseTrade)
{
if (nTrig > trendHistory[0].Value)
{
if (xOver == -1 && nStatus != 1)
{
if (!orderFilled)
{
try
{
if (maketrade)
{
ticket = _algorithm.Buy(_symbol, tradesize);
}
}
catch (Exception e)
{
Console.WriteLine(e);
}
retval = OrderSignal.goLong;
comment = string.Format("{0} nStatus {1} nTrig {2} > trendHistory[0].Value {3} xOver {4} orderFilled {5}",
retval, nStatus, nTrig, trendHistory[0].Value, xOver, orderFilled);
}
else
{
nLimitPrice = Math.Round(Math.Max(data[_symbol].Low, (data[_symbol].Close - (data[_symbol].High - data[_symbol].Low) * RngFac)), 2, MidpointRounding.ToEven);
try
{
if (maketrade)
{
ticket = _algorithm.LimitOrder(_symbol, tradesize, nLimitPrice, "Long Limit");
}
}
catch (Exception e)
{
Console.WriteLine(e);
}
retval = OrderSignal.goLongLimit;
comment = string.Format("{0} nStatus {1} nTrig {2} > trendHistory[0].Value {3} xOver {4} Limit Price {5}",
retval, nStatus, nTrig, trendHistory[0].Value, xOver, nLimitPrice);
}
}
if (comment.Length == 0)
{
comment = "Trigger over Trend";
}
xOver = 1;
}
else
{
if (nTrig < trendHistory[0].Value)
{
if (xOver == 1 && nStatus != -1)
{
if (!orderFilled)
{
try
{
if (maketrade)
{
ticket = _algorithm.Sell(_symbol, tradesize);
}
}
catch (Exception e)
{
Console.WriteLine(e);
}
retval = OrderSignal.goShort;
comment = string.Format("{0} Enter Short after cancel trig xunder price down", retval);
}
else
{
nLimitPrice = Math.Round(Math.Min(data[_symbol].High, (data[_symbol].Close + (data[_symbol].High - data[_symbol].Low) * RngFac)), 2, MidpointRounding.ToEven);
try
{
if (maketrade)
{
ticket = _algorithm.LimitOrder(_symbol, -tradesize, nLimitPrice, "Short Limit");
}
//ticket = _algorithm.Sell(_symbol, tradesize);
}
catch (Exception e)
{
Console.WriteLine(e);
}
retval = OrderSignal.goShortLimit;
comment = string.Format("{0} nStatus {1} nTrig {2} < trendHistory[0].Value {3} xOver {4} Limit Price {5}",
retval, nStatus, nTrig, trendHistory[0].Value, xOver, nLimitPrice);
}
}
if (comment.Length == 0)
{
comment = "Trigger under trend";
}
xOver = -1;
}
}
}
}
catch (Exception ex)
{
System.Diagnostics.Debug.WriteLine(ex.StackTrace);
}
#endregion
current = comment;
return(retval);
}
/// <summary>
/// Executes the Instant Trend strategy
/// </summary>
/// <param name="data">TradeBars - the current OnData</param>
/// <param name="tradesize"></param>
/// <param name="trendCurrent">IndicatorDataPoint - the current trend value trend</param>
/// <param name="orderId">int - the orderId if one is placed, -1 if order has not filled and 0 if no order was placed</param>
public string ExecuteStrategy(TradeBars data, int tradesize, IndicatorDataPoint max, IndicatorDataPoint min, RateOfChangePercent rocp, ref SimpleMovingAverage sma20, out int orderId)
{
maximum = max;
minimum = min;
Price.Add(idp(data[_symbol].EndTime, (data[_symbol].Close + data[_symbol].Open) / 2));
orderId = 0;
comment = string.Empty;
if (_algorithm.Portfolio[_symbol].IsLong)
{
nStatus = 1;
}
if (_algorithm.Portfolio[_symbol].IsShort)
{
nStatus = -1;
}
#region "Strategy Execution"
bReverseTrade = false;
try
{
if (!_algorithm.Portfolio.Invested)
{
if (PricePassedAValley() && rocp.Current.Value < 0)
{
ticket = GetLong(tradesize);
orderId = ticket.OrderId;
comment = "Bot new position ppMin && rocp < 0";
}
if (PricePassedAPeak() && rocp.Current.Value > 0)
{
ticket = GetShort(tradesize);
orderId = ticket.OrderId;
comment = "Sld new position ppMin && rocp < 0";
}
}
else
{
if (PricePassedAValley() && _algorithm.Portfolio[_symbol].IsShort)
{
if (Price[0].Value > sma20.Current.Value && (Math.Abs(sma20.Current.Value - Price[0].Value) / Price[0].Value) > .001m)
{
ticket = ReverseToLong();
comment = "Rev2Long Passed a Valley";
}
}
if (PricePassedAPeak() && _algorithm.Portfolio[_symbol].IsLong)
{
if (Price[0].Value <sma20.Current.Value && (Math.Abs(sma20.Current.Value - Price[0].Value) / Price[0].Value)> .001m)
{
ticket = ReverseToShort();
comment = "Rev2Short Passed a Peak";
}
}
}
}
catch (Exception ex)
{
System.Diagnostics.Debug.WriteLine(ex.StackTrace);
}
#endregion
return(comment);
}
protected override decimal ComputeNextValue(IReadOnlyWindow <IndicatorDataPoint> window, IndicatorDataPoint input)
{
if (_previous != null && input.EndTime == _previous.EndTime)
{
throw new Exception($"Unexpected indicator double data point call: {_previous}");
}
_previous = input;
return(base.ComputeNextValue(window, input));
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <returns>
/// A new value for this indicator
/// </returns>
protected override decimal ComputeNextValue(IndicatorDataPoint input)
{
_standardDeviation.Update(input);
LinearRegression.Update(input);
LowerChannel.Update(input);
UpperChannel.Update(input);
return LinearRegression.Current;
}
/// <summary>
/// Updates the <see cref="Signal" /> status.
/// </summary>
protected virtual void Indicator_Updated(object sender, IndicatorDataPoint updated)
{
var actualPositionSignal = GetThresholdState(updated);
ProcessThresholdStateChange(actualPositionSignal, updated);
}
protected void ProcessThresholdStateChange(ThresholdState actualPositionSignal, IndicatorDataPoint updated)
{
if (!Indicator.IsReady)
{
_previousIndicatorValue = updated.Value;
_previousSignal = actualPositionSignal;
Signal = _previousSignal;
return;
}
var actualSignal = GetActualSignal(_previousSignal, actualPositionSignal);
Signal = actualSignal;
_previousIndicatorValue = updated.Value;
_lastSignals = Utils.shiftRight(_lastSignals);
_lastSignals[0] = (int)Signal;
_previousSignal = actualSignal;
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(IndicatorDataPoint input)
{
return input;
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(IndicatorDataPoint input)
{
var value = base.ComputeNextValue(input);
return Slow != 0 ? 100 * value / Slow : 0m;
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(IndicatorDataPoint input)
{
return(input);
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(TradeBar input)
{
_trueRange.Update(input);
if (Samples == 1)
{
_previousInput = input;
return 50m;
}
var buyingPressure = new IndicatorDataPoint { Value = input.Close - Math.Min(input.Low, _previousInput.Close) };
_sumBuyingPressure1.Update(buyingPressure);
_sumBuyingPressure2.Update(buyingPressure);
_sumBuyingPressure3.Update(buyingPressure);
_sumTrueRange1.Update(_trueRange.Current);
_sumTrueRange2.Update(_trueRange.Current);
_sumTrueRange3.Update(_trueRange.Current);
_previousInput = input;
if (!IsReady)
return 50m;
var average1 = _sumBuyingPressure1 / _sumTrueRange1;
var average2 = _sumBuyingPressure2 / _sumTrueRange2;
var average3 = _sumBuyingPressure3 / _sumTrueRange3;
return 100m * (4 * average1 + 2 * average2 + average3) / 7;
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(IndicatorDataPoint input)
{
_price.Add((double)input.Price);
if (_price.Samples == 1)
{
_price.Add(_price[0]);
_price.Add(_price[0]);
}
double signal = _a0 * _c0 * (_b0 * _price[0] + _b1 * _price[1] + _b2 * _price[2]) + _a0 * (_a1 * _filt[0] + _a2 * _filt[1]);
_filt.Add(signal);
return (decimal)signal;
}
/// <summary> /// Computes the next value of this indicator from the given state /// </summary> /// <param name="input">The input given to the indicator</param> /// <returns>A new value for this indicator</returns> protected override decimal ComputeNextValue(IndicatorDataPoint input) => input.Price;
public void UpdateTrendHistory(IndicatorDataPoint datapoint)
{
trendHistory.Add(datapoint);
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <returns>
/// A new value for this indicator
/// </returns>
protected override decimal ComputeNextValue(IndicatorDataPoint input)
{
// Until the windows is ready, the indicator returns the input value.
decimal output = input;
seriesQ.Enqueue((double)input.Value);
if (IsReady)
{
seriesQ.Dequeue();
var series = seriesQ.ToArray();
// Fit OLS
Tuple<double, double> ols = Fit.Line(x: t, y: series);
var alfa = (decimal)ols.Item1;
var beta = (decimal)ols.Item2;
// Make the projection.
output = alfa + beta * (_period);
}
return output;
}
