/// <summary>
/// Main function - robot Entry point
/// </summary>
protected override void Execute()
{
base.Execute();
// Create sma
smaPrice = new SMA(Bars.Close, priceMaPeriod.ValueInt, "Moving Average to smooth price volatility");
PlotSeries(PricePane, smaPrice, Color.Green, LineStyle.Solid, 1);
smaTrend = new SMA(Bars.Close, trendMaPeriod.ValueInt, "Trend Moving Average");
PlotSeries(PricePane, smaTrend, Color.Brown, LineStyle.Solid, 1);
for (int bar = 1; bar < Bars.Count; bar++)
{
// Calculate signal
SignalType signal = GetSignal(bar);
// Close opened
if (IsLastPositionActive)
{
// If isn't closed by stops
if (IsLastPositionActive)
{
//CheckStops(bar);
// Close long if go below low level
if (LastPosition.PositionType == PositionType.Long
&& signal == SignalType.Sell)
{
ExitAtMarket(bar + 1, LastPosition, "Sell signal");
ShortAtMarket(bar + 1, "Sell signal");
}
// Close short if go upper high level
else if (LastPosition.PositionType == PositionType.Short
&& signal == SignalType.Buy)
{
ExitAtMarket(bar + 1, LastPosition, "Buy signal");
BuyAtMarket(bar + 1, "Buy signal");
}
}
}
// Open new positions
else //if(bar > 1)
{
// Buy if go up more then deltaUp
if (signal == SignalType.Buy)
{
BuyAtMarket(bar + 1, "Buy signal");
}
else if (signal == SignalType.Sell)
{
ShortAtMarket(bar + 1, "Sell signal");
}
}
}
if (IsLastPositionActive)
ExitAtClose(Bars.Count - 1, LastActivePosition);
}
public FractalGuruStrategy(BarItemType barType)
{
this.barType = barType;
this.identityCode = string.Format("{0}({1})", IDENTITY_CODE, barType.Code);
sma = new SMA(barType, 30);
Register(sma);
}
public override void OnInitialize()
{
sma = new SMA(Bars.Close, slow);
sma.IntervalDefault = IntervalDefault;
percentR = new IndicatorCommon();
tema = new TEMA(Bars.Close, slow);
AddIndicator(tema);
AddIndicator(percentR);
AddIndicator(sma);
}
protected override void OnStrategyStart()
{
Portfolio.Account.Deposit(AllocationPerInstrument, CurrencyId.USD, "Initial allocation");
// Set up indicators.
fastSMA = new SMA(Bars, FastSMALength);
slowSMA = new SMA(Bars, SlowSMALength);
AddGroups();
}
public void SMA()
{
SMA sma = new SMA(5);
sma.Load(Directory.GetCurrentDirectory() + "\\table.csv");
SingleDoubleSerie serie = sma.Calculate();
Assert.IsNotNull(serie);
Assert.IsTrue(serie.Values.Count > 0);
}
protected override void OnStrategyStart()
{
Portfolio.Account.Deposit(AllocationPerInstrument, CurrencyId.USD, "Initial allocation");
bbu = new BBU(Bars, Length, K);
bbl = new BBL(Bars, Length, K);
sma = new SMA(Bars, Length);
AddGroups();
}
public EMA63Breakout(BarItemType barType)
{
this.barType = barType;
this.identityCode = string.Format("{0}({1})", IDENTITY_CODE, barType.Code);
sma = new SMA(barType, 30);
Register(sma);
}
public void SMA()
{
SMA sma = new SMA(5);
sma.Load(csvPath);
SingleDoubleSerie serie = sma.Calculate();
Assert.NotNull(serie);
Assert.True(serie.Values.Count > 0);
}
public TrendLineTunnel(BarItemType barType)
{
this.barType = barType;
this.identityCode = string.Format("{0}({1})", IDENTITY_CODE, barType.Code);
sma = new SMA(barType, 30);
Register(sma);
}
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"Enter the description for your new custom Strategy here.";
Name = "LongTermAcd";
Calculate = Calculate.OnBarClose;
EntriesPerDirection = 1;
EntryHandling = EntryHandling.AllEntries;
IsExitOnSessionCloseStrategy = false;
ExitOnSessionCloseSeconds = 30;
IsFillLimitOnTouch = false;
MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
OrderFillResolution = OrderFillResolution.Standard;
Slippage = 0;
StartBehavior = StartBehavior.WaitUntilFlat;
TimeInForce = TimeInForce.Gtc;
TraceOrders = false;
RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
StopTargetHandling = StopTargetHandling.PerEntryExecution;
BarsRequiredToTrade = 51;
// Disable this property for performance gains in Strategy Analyzer optimizations
// See the Help Guide for additional information
IsInstantiatedOnEachOptimizationIteration = true;
ShortTermPeriod = 14;
IntermediateTermPeriod = 30;
LongTermPeriod = 50;
}
else if (State == State.Configure)
{
AddDataSeries(BarsPeriodType.Minute, 1);
}
else if (State == State.DataLoaded)
{
todayPivotPriceSeries = new Series <double>(BarsArray[1]);
pivotPrice = AcdDailyPivotPrice();
AddChartIndicator(pivotPrice);
shortTermMA = SMA(14);
shortTermMA.Plots[0].Brush = shortTermBrush;
AddChartIndicator(shortTermMA);
intermediateTermMA = SMA(30);
intermediateTermMA.Plots[0].Brush = intermediateTermBrush;
AddChartIndicator(intermediateTermMA);
longTermMA = SMA(50);
longTermMA.Plots[0].Brush = longTermBrush;
AddChartIndicator(longTermMA);
sessionIterator = new Data.SessionIterator(BarsArray[1]);
}
}
private int _sdPeriod = 25; // トライリングストップ用
#endregion
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"Cascade Trend Entry.";
Name = "CascadeTrend";
Calculate = Calculate.OnBarClose;
EntriesPerDirection = 1;
EntryHandling = EntryHandling.AllEntries;
IsExitOnSessionCloseStrategy = true;
ExitOnSessionCloseSeconds = 30;
IsFillLimitOnTouch = false;
MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
OrderFillResolution = OrderFillResolution.Standard;
Slippage = 0;
StartBehavior = StartBehavior.WaitUntilFlat;
TimeInForce = TimeInForce.Gtc;
TraceOrders = false;
RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
StopTargetHandling = StopTargetHandling.PerEntryExecution;
BarsRequiredToTrade = 20;
// Disable this property for performance gains in Strategy Analyzer optimizations
// See the Help Guide for additional information
IsInstantiatedOnEachOptimizationIteration = true;
// パラメータの初期値をセット
StepSize = 0.8;
// インジケーターの出力設定
AddPlot(Brushes.LightSteelBlue, "Cascade Line H"); // ライン
AddPlot(Brushes.LightSteelBlue, "Cascade Line L"); // ライン
}
else if (State == State.Configure)
{
// Series
_price = new Series <double>(this);
_ma = SMA(_price, 3);
_atr = new Series <double>(this);
// Series<T>タイプのリスト
_lines = new List <Series <double> >();
_trends = new List <Series <int> >();
_trend = new Series <int>(this);
// Series<T>を 好きなだけ追加出来る。
for (int i = 0; i < 6; i++)
{
_lines.Add(new Series <double>(this));
}
for (int i = 0; i < 6; i++)
{
_trends.Add(new Series <int>(this));
}
_atrAlpha = 2.0 / (_atrPeriod + 1.0);
}
}
public ChartColorManagerForm()
{
this.InitializeComponent();
this.colorEditor.Init();
this.AddProperty("ChartBackColor", "Back Color", this.chart.ChartBackColor);
this.AddProperty("CanvasColor", "Fore Color", this.chart.CanvasColor);
this.AddProperty("BorderColor", "Border", this.chart.BorderColor);
this.AddProperty("SplitterColor", "Splitter", this.chart.SplitterColor);
this.AddProperty("CandleUpColor", "Candle Up", this.chart.CandleUpColor);
this.AddProperty("CandleDownColor", "Candle Down", this.chart.CandleDownColor);
this.AddProperty("DefaultLineColor", "Line", this.chart.DefaultLineColor);
this.AddProperty("VolumeColor", "Volume", this.chart.VolumeColor);
this.AddProperty("DateTipRectangleColor", "DateTime Tip Area", this.chart.DateTipRectangleColor);
this.AddProperty("DateTipTextColor", "DateTime Tip Text", this.chart.DateTipTextColor);
this.AddProperty("ValTipRectangleColor", "Value Tip Area", this.chart.ValTipRectangleColor);
this.AddProperty("ValTipTextColor", "Value Text Area", this.chart.ValTipTextColor);
this.AddProperty("CrossColor", "Cross Color", this.chart.CrossColor);
this.AddProperty("BottomAxisLabelColor", "Bottom Axis Label", this.chart.BottomAxisLabelColor);
this.AddProperty("BottomAxisGridColor", "Bottom Axis Grid", this.chart.BottomAxisGridColor);
this.AddProperty("RightAxisGridColor", "Right Axis Grid", this.chart.RightAxisGridColor);
this.AddProperty("RightAxisTextColor", "Right Axis Text", this.chart.RightAxisTextColor);
this.AddProperty("RightAxisMajorTicksColor", "Right Axis Major Ticks", this.chart.RightAxisMajorTicksColor);
this.AddProperty("RightAxisMinorTicksColor", "Right Axis Minor Ticks", this.chart.RightAxisMinorTicksColor);
this.AddProperty("ItemTextColor", "Transaction Text", this.chart.ItemTextColor);
this.AddProperty("SelectedItemTextColor", "Selected Transaction Text", this.chart.SelectedItemTextColor);
this.AddProperty("SelectedTransactionHighlightColor", "Selected Transaction Highlight", this.chart.SelectedTransactionHighlightColor);
this.ltvColorProperties.Items[0].Selected = true;
BarSeries barSeries = this.GenerateSeries();
this.chart.Reset();
this.chart.SetMainSeries((DoubleSeries)barSeries, true);
this.chart.AddPad();
SMA sma = new SMA((TimeSeries)barSeries, 14);
sma.Name = "Line";
this.chart.DrawDefaultColoredSeries((DoubleSeries)sma, 2, (SimpleDSStyle)0, SmoothingMode.AntiAlias);
Instrument instrument = Activator.CreateInstance(typeof(Instrument), true) as Instrument;
instrument.Symbol = "Symbol";
Transaction transaction1 = new Transaction(((TimeSeries)barSeries).GetDateTime(barSeries.Count - 5), Side.Buy, 100.0, instrument, barSeries[barSeries.Count - 5].Low);
Transaction transaction2 = new Transaction(((TimeSeries)barSeries).GetDateTime(barSeries.Count - 20), Side.Sell, 100.0, instrument, barSeries[barSeries.Count - 20].High);
this.chart.DrawTransaction(transaction1, 0);
this.chart.DrawTransaction(transaction2, 0);
this.chart.EnsureVisible(transaction1);
foreach (ChartColorTemplate template in Global.ChartManager.ColorTemplates.All.Values)
{
this.ltvTemplates.Items.Add((ListViewItem) new ChartColorTemplateViewItem(template));
}
if (this.ltvTemplates.Items.Count <= 0)
{
return;
}
this.ltvTemplates.Items[0].Selected = true;
}
public MA28And100Trading(BarItemType barType)
{
this.barType = barType;
this.identityCode = string.Format("{0}({1})", IDENTITY_CODE, barType.Code);
ema100 = new EMA(barType, 100);
sma28 = new SMA(barType, 28);
Register(ema100, sma28);
}
public override void OnStrategyStart()
{
// set up the moving averages
sma = new SMA(Bars, SMALength);
sma.Color = Color.Yellow;
Draw(sma, 0);
// set up bollinger bands
bbl = new BBL(Bars, SMALength, BBLOrder);
bbl.Color = Color.Pink;
Draw(bbl, 0);
}
protected override void OnStrategyStart()
{
// Add money for current trading instrument's portfolio.
Portfolio.Account.Deposit(Clock.DateTime, MoneyForInstrument, CurrencyId.USD, "Initial allocation");
// Set up indicators.
sma1 = new SMA(Bars, Length1);
sma2 = new SMA(Bars, Length2);
AddGroups();
}
//===========================================================================================================
// Monthly Chart
//-----------------------------------------------------------------------------------------------------------
protected void monthlyChart(BarHistory bars)
{
// Simple Moving Averages
PlotTimeSeriesLine(SMA.Series(bars.Close, 12), "SMA12", "Price", Color.Red, 1);
PlotTimeSeriesLine(SMA.Series(bars.Close, 60), "SMA60", "Price", Color.Black, 1);
//PricePane.LogScale = true;
//VolumePane.LogScale = true;
//show52WeeksHigh(12);
}
public void TestMethod1()
{
//Входные данные
//Создать 2 условия
int index1 = 0, index2 = 0;
int curIndex = 60;
ParameterCondition par1 = ParameterCondition.PriceClose;
ParameterCondition par2 = ParameterCondition.PriceOpen;
Predicate predicate = Predicate.Less;
Condition cond = new Condition(index1, index2, par1, par2, null, null, 0.0, 0.0, predicate);
int index1_ = 1, index2_ = 1;
ParameterCondition par1_ = ParameterCondition.Indicator;
ParameterCondition par2_ = ParameterCondition.Indicator;
Predicate predicate_ = Predicate.MoreEqual;
Indicator ind1 = new SMA(14);
Indicator ind2 = new SMA(28);
Condition cond2 = new Condition(index1_, index2_, par1_, par2_, ind1, ind2, 0.0, 0.0, predicate_);
//Накопить данные для индикаторов
for (int i = 0; i < curIndex; i++)
{
ind1.update_value(i, instrument);
ind2.update_value(i, instrument);
}
//Создать правило
TradingRule rule = new TradingRule();
rule.add_condition(cond);
rule.add_condition(cond2);
string name = "TestStrategy1";
DateTime dateTime = DateTime.Now;
TradingStrategy strat = new TradingStrategy(name);
strat.add_rule(rule);
strat.save_to_xml();
controller.add_strategy(new CaretakerStrategy(strat));
TradingStrategy strat1 = controller.get_strategy(name).Originator;
File.Delete("Strategies\\TestStrategy1.xml");
Assert.AreEqual(strat.Loaded &&
strat.Name == name &&
strat.DateOfChange == dateTime &&
strat.DateOfCreation == dateTime, true);
}
public override void OnInitialize()
{
if (price == null)
{
price = Bars.Close;
}
sma = new SMA(price, period);
sma.IntervalDefault = IntervalDefault;
sma.Drawing.IsVisible = false;
AddIndicator(sma);
}
/// <summary>
/// This method is used to configure the strategy and is called once before any strategy method is called.
/// </summary>
protected override void Initialize()
{
sma = SMA(SMAPeriod);
Add(sma);
marketSma = SMA(Typical, MarketPeriod);
Add(marketSma);
AccountSize = 20000;
BarsRequired = marketPeriod;
CalculateOnBarClose = true;
}
protected override void OnStrategyStart()
#endif
{
Portfolio.Account.Deposit(AllocationPerInstrument, CurrencyId.USD, "Initial allocation");
bbu = new BBU(Bars, Length, K);
bbl = new BBL(Bars, Length, K);
sma = new SMA(Bars, Length);
AddGroups();
}
public static double Value(ISeries input, int index, int length, BarData barData = BarData.Close)
{
if (index >= (length - 1))
{
double num1 = input[index, barData];
double num2 = SMA.Value(input, index, length, barData);
return((num1 - num2) * 100.0 / num2);
}
return(double.NaN);
}
public Simple5x5System(BarItemType barType)
{
this.barType = barType;
this.identityCode = string.Format("{0}({1})", IDENTITY_CODE, barType.Code);
sma = new SMA(barType, 5);
rsi = new RSI(barType, 5);
Register(sma, rsi);
}
//===========================================================================================================
// Monthly Chart
//-----------------------------------------------------------------------------------------------------------
protected void monthlyChart()
{
// Simple Moving Averages
PlotSeries(PricePane, SMA.Series(Close, 12), Color.Red, LineStyle.Solid, 1);
PlotSeries(PricePane, SMA.Series(Close, 60), Color.Black, LineStyle.Solid, 1);
PricePane.LogScale = true;
VolumePane.LogScale = true;
//show52WeeksHigh(12);
}
public override void OnStrategyStart()
{
LoadHistoricalBars(Clock.Now);
BarSeries bars1min = GetBars(BarType.Time, BarSize);
fastSMA = new SMA(bars1min, fastLength, Color.Red);
slowSMA = new SMA(bars1min, slowLength, Color.Green);
Draw(fastSMA, 0);
Draw(slowSMA, 0);
}
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"Lazy River Strategy based on TradingView strategy.";
Name = "TfsLazyRiverV3";
Calculate = Calculate.OnBarClose;
EntriesPerDirection = 1;
EntryHandling = EntryHandling.AllEntries;
IsExitOnSessionCloseStrategy = true;
ExitOnSessionCloseSeconds = 30;
IsFillLimitOnTouch = false;
MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
OrderFillResolution = OrderFillResolution.Standard;
Slippage = 0;
StartBehavior = StartBehavior.WaitUntilFlat;
TimeInForce = TimeInForce.Gtc;
TraceOrders = false;
RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
StopTargetHandling = StopTargetHandling.PerEntryExecution;
BarsRequiredToTrade = 20;
// Disable this property for performance gains in Strategy Analyzer optimizations
// See the Help Guide for additional information
IsInstantiatedOnEachOptimizationIteration = true;
MaFastPeriod = 20;
MaSlowPeriod = 50;
MaLongPeriod = 200;
DcPeriod = 14;
RiskFactor = 1;
TradeLong = true;
TradeShort = false;
}
else if (State == State.Configure)
{
}
else if (State == State.DataLoaded)
{
maFast = EMA(MaFastPeriod);
maSlow = EMA(MaSlowPeriod);
maLong = SMA(MaLongPeriod);
dc = DonchianChannel(DcPeriod);
maFast.Plots[0].Brush = Brushes.SkyBlue;
maSlow.Plots[0].Brush = Brushes.DodgerBlue;
maLong.Plots[0].Brush = Brushes.Blue;
dc.Plots[0].Brush = Brushes.Beige;
AddChartIndicator(maFast);
AddChartIndicator(maSlow);
AddChartIndicator(maLong);
AddChartIndicator(dc);
}
}
private void CurrentDomain_UnhandledException(object sender,
UnhandledExceptionEventArgs e)
{
try
{
SMA.OnException((Exception)e.ExceptionObject);
}
catch
{
// ignored
}
}
public void Indicators_MakeSma_For_Last_Five_Close()
{
IEnumerable <double> lastFiveClose = SMA.Close(MakeBars(), 5);
Assert.AreEqual(6, lastFiveClose.Count());
Assert.AreEqual(139605, lastFiveClose.ElementAt(0));
Assert.AreEqual(139806, lastFiveClose.ElementAt(1));
Assert.AreEqual(139915, lastFiveClose.ElementAt(2));
Assert.AreEqual(139874, lastFiveClose.ElementAt(3));
Assert.AreEqual(139941, lastFiveClose.ElementAt(4));
Assert.AreEqual(140138, lastFiveClose.ElementAt(5));
}
public BestOfMACD(BarItemType barType)
{
this.barType = barType;
this.identityCode = string.Format("{0}({1})", IDENTITY_CODE, barType.Code);
sma10 = new SMA(barType, 10);
sma50 = new SMA(barType, 50);
macd = new MACD(barType, 12, 16, 9);
Register(sma10, sma50, macd);
}
public SlowMovingMACrossover(BarItemType barType)
{
this.barType = barType;
this.identityCode = string.Format("{0}({1})", IDENTITY_CODE, barType.Code);
sma7 = new SMA(barType, 10);
sma14 = new SMA(barType, 25);
sma21 = new SMA(barType, 50);
Register(sma7, sma14, sma21);
}
public KST(int p1 = 10, int p2 = 15, int p3 = 20, int p4 = 30, int n = 10) : base(n)
{
ROC1 = new ROC(p1);
ROC2 = new ROC(p2);
ROC3 = new ROC(p3);
ROC4 = new ROC(p4);
SMA1 = new SMA(p1);
SMA2 = new SMA(p2);
SMA3 = new SMA(p3);
SMA4 = new SMA(p4);
}
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"Enter the description for your new custom Strategy here.";
Name = "CesarSalad";
Calculate = Calculate.OnBarClose;
EntriesPerDirection = 1;
EntryHandling = EntryHandling.AllEntries;
IsExitOnSessionCloseStrategy = true;
ExitOnSessionCloseSeconds = 30;
IsFillLimitOnTouch = false;
MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
OrderFillResolution = OrderFillResolution.Standard;
Slippage = 0;
StartBehavior = StartBehavior.WaitUntilFlat;
TimeInForce = TimeInForce.Gtc;
TraceOrders = false;
RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
StopTargetHandling = StopTargetHandling.PerEntryExecution;
BarsRequiredToTrade = 20;
// Disable this property for performance gains in Strategy Analyzer optimizations
// See the Help Guide for additional information
IsInstantiatedOnEachOptimizationIteration = true;
RangeHighLow = 7;
RangeMA = 100;
RSIEntryLevel = 15;
RSIExitLevel = 30;
RSIPeriod = 5;
ATRPeriod = 10;
ATRMultiple = 0.5;
InitialCapital = 100000;
}
else if (State == State.Configure)
{
_rsi = RSI(this.RSIPeriod, 3);
_rsi.Plots[1].Brush = Brushes.Brown;
_rsi.Lines[0].Value = this.RSIEntryLevel;
_rsi.Lines[1].Value = this.RSIExitLevel;
base.AddChartIndicator(_rsi);
_regime = SMA(this.RangeMA);
_regime.Plots[0].Width = 3;
_regime.Plots[0].Brush = Brushes.AliceBlue;
base.AddChartIndicator(_regime);
_atr = ATR(this.ATRPeriod);
base.AddChartIndicator(_atr);
base.ClearOutputWindow();
}
}
protected override void OnStrategyInit()
{
Portfolio.Account.Deposit(AllocationPerInstrument, CurrencyId.USD, "Initial allocation");
bars60 = new BarSeries("Bars60");
bars86400 = new BarSeries("Bars86400");
// Set up indicators.
fastSMA = new SMA(bars60, FastSMALength);
slowSMA = new SMA(bars60, SlowSMALength);
AddGroups();
}
