public DollarTrailingStop(Position position, Spud <double> close, double stopLoss, string name, QREBridgeBase bridge)
: base(position, name, STOP, close.manager)
{
this.close = close;
this.stopLoss = stopLoss;
this.bridge = bridge;
tradePnl = close.transform(price => position.pnlNoSlippage(price, bridge.arguments().runInNativeCurrency, bridge.fxRate(position.symbol)));
highWaterMark = dependsOn(new Max(tradePnl));
}
public FaderCloseObjective(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
//Set up raw moving average
var maLength = parameter <int>("maLength");
switch (parameter <int>("maType"))
{
case 1:
maRaw = new AggregatorSpud <double>(bars.close, average, maLength);
break;
case 2:
maRaw = new KAMA(bars.close, 2, 30, maLength);
break;
default:
Bomb.toss("Not valid maType");
break;
}
//Set up stdDev
priceStDev = new AggregatorSpud <double>(bars.close, standardDeviation, parameter <int>("stDevLength"));
//Set up regression
regressionBars = parameter <int>("regressionBars");
Bomb.when((parameter <int>("LeadBars") < regressionBars), () => "LeadBars cannot be less than regressionBars." + arguments());
var count = new BarCounter(bars).transform(i => (double)i);
projectionSpud = new QRegression(maRaw, count, regressionBars, false);
regressionProjBars = parameter <int>("regressionProjectionBars");
levelProjection = projectionSpud.transform(barsRegression => barsRegression.predict(count + regressionProjBars));
//Set up other parameters
zEntry = parameter <double>("ZEntry");
zExit = parameter <double>("ZExit");
minPnLMultTC = parameter <double>("minPnLMultTC");
stopMultiple = parameter <double>("stopMultiple");
riskDollars = parameter <double>("RiskDollars");
addToPlot(maRaw, "maRaw", Color.Blue);
addToPlot(levelProjection, "Projection", Color.Red);
addToPlot(priceStDev, "StDev", Color.Green, "Support");
}