protected bool signalBuy(TA.PriceVolumeSeries series, int idx, double diff, int days)
{
bool res = false;
if (idx >= days)
{
TA.Candle candleCur = (TA.Candle)series.Data[idx];
TA.Candle candlePrev = (TA.Candle)series.Data[idx - days];
res = (candleCur.high * diff > candlePrev.high);
}
return(res);
}
/// <summary>
/// Example
/// Date,Open,High,Low,Close,Volume,Adj Close
/// 2009-09-25,74.04,74.39,73.37,73.80,3470700,73.80
/// </summary>
static bool strToCandle(string str, out TA.Candle candle)
{
candle = null;
int start = 0;
int end = 0;
bool result = true;
// skip date
end = str.IndexOf(',', start);
if (end <= 1) // no date ?
{
System.Console.WriteLine("242:Failed to parse candle data " + str);
return(false);
}
start = end + 1;
double open, close, max, min;
int volume;
string strVal;
// open
end = str.IndexOf(',', start);
if ((end <= 1) || (end <= start)) // no open ?
{
System.Console.WriteLine("255:Failed to parse candle data " + str);
return(false);
}
strVal = str.Substring(start, end - start);
result = Double.TryParse(strVal, out open);
if (!result)
{
System.Console.WriteLine("262:Failed to parse candle data " + str + "!" + strVal);
return(false);
}
start = end + 1;
// max
end = str.IndexOf(',', start);
if ((end <= 1) || (end <= start)) // no max ?
{
System.Console.WriteLine("271:Failed to parse candle data " + str);
return(false);
}
strVal = str.Substring(start, end - start);
result = Double.TryParse(strVal, out max);
if (!result)
{
System.Console.WriteLine("278:Failed to parse candle data " + str + "!" + strVal);
return(false);
}
start = end + 1;
// min
end = str.IndexOf(',', start);
if ((end <= 1) || (end <= start)) // no min ?
{
System.Console.WriteLine("287:Failed to parse candle data " + str);
return(false);
}
strVal = str.Substring(start, end - start);
result = Double.TryParse(strVal, out min);
if (!result)
{
System.Console.WriteLine("294:Failed to parse candle data " + str + "!" + strVal);
return(false);
}
start = end + 1;
// close
end = str.IndexOf(',', start);
if ((end <= 1) || (end <= start)) // no close ?
{
System.Console.WriteLine("304:Failed to parse candle data " + str);
return(false);
}
strVal = str.Substring(start, end - start);
result = Double.TryParse(strVal, out close);
if (!result)
{
System.Console.WriteLine("311:Failed to parse candle data " + str + "!" + strVal);
return(false);
}
start = end + 1;
// volume
end = str.IndexOf(',', start);
if ((end <= 1) || (end <= start)) // no open ?
{
System.Console.WriteLine("320:Failed to parse candle data " + str);
return(false);
}
strVal = str.Substring(start, end - start);
result = Int32.TryParse(strVal, out volume);
if (!result)
{
System.Console.WriteLine("327:Failed to parse candle data " + str + "!" + strVal);
return(false);
}
start = end + 1;
candle = new TA.Candle(open, close, min, max, volume);
return(true);
}
/// <summary>
/// Example
/// Date,Open,High,Low,Close,Volume,Adj Close
/// 2009-09-25,74.04,74.39,73.37,73.80,3470700,73.80
/// </summary>
static bool strToCandle(string str, out TA.Candle candle)
{
candle = null;
int start = 0;
int end = 0;
bool result = true;
// skip date
end = str.IndexOf(',', start);
if (end <= 1) // no date ?
{
System.Console.WriteLine("242:Failed to parse candle data " + str);
return false;
}
start = end + 1;
double open, close, max, min;
int volume;
string strVal;
// open
end = str.IndexOf(',', start);
if ((end <= 1) || (end <= start)) // no open ?
{
System.Console.WriteLine("255:Failed to parse candle data " + str);
return false;
}
strVal = str.Substring(start, end - start);
result = Double.TryParse(strVal, out open);
if (!result)
{
System.Console.WriteLine("262:Failed to parse candle data " + str + "!" + strVal);
return false;
}
start = end + 1;
// max
end = str.IndexOf(',', start);
if ((end <= 1) || (end <= start)) // no max ?
{
System.Console.WriteLine("271:Failed to parse candle data " + str);
return false;
}
strVal = str.Substring(start, end - start);
result = Double.TryParse(strVal, out max);
if (!result)
{
System.Console.WriteLine("278:Failed to parse candle data " + str + "!" + strVal);
return false;
}
start = end + 1;
// min
end = str.IndexOf(',', start);
if ((end <= 1) || (end <= start)) // no min ?
{
System.Console.WriteLine("287:Failed to parse candle data " + str);
return false;
}
strVal = str.Substring(start, end - start);
result = Double.TryParse(strVal, out min);
if (!result)
{
System.Console.WriteLine("294:Failed to parse candle data " + str + "!" + strVal);
return false;
}
start = end + 1;
// close
end = str.IndexOf(',', start);
if ((end <= 1) || (end <= start)) // no close ?
{
System.Console.WriteLine("304:Failed to parse candle data " + str);
return false;
}
strVal = str.Substring(start, end - start);
result = Double.TryParse(strVal, out close);
if (!result)
{
System.Console.WriteLine("311:Failed to parse candle data " + str + "!" + strVal);
return false;
}
start = end + 1;
// volume
end = str.IndexOf(',', start);
if ((end <= 1) || (end <= start)) // no open ?
{
System.Console.WriteLine("320:Failed to parse candle data " + str);
return false;
}
strVal = str.Substring(start, end - start);
result = Int32.TryParse(strVal, out volume);
if (!result)
{
System.Console.WriteLine("327:Failed to parse candle data " + str + "!" + strVal);
return false;
}
start = end + 1;
candle = new TA.Candle(open, close, min, max, volume);
return true;
}
protected void signalPerformance(TA.PriceVolumeSeries series, double stopLoss, int maxDays, int idx, bool isBuy, double diffSell, double diffBuy, int sigDays, out Trade trade)
{
trade = new Trade();
trade.isBuy = isBuy;
trade.idx = idx;
int count = series.Data.Count;
TA.Candle candle = (TA.Candle)series.Data[idx];
trade.candleEntry = candle;
double entryPoint = candle.close;
double close = entryPoint;
double bestClose = close;
bool isSell = !isBuy;
int i;
int days = 0;
for (i = idx + 1; i < count; i++)
{
candle = (TA.Candle)series.Data[i];
days++;
if (signalStop(isBuy, stopLoss, maxDays, entryPoint, close, candle.close, days, bestClose))
{
break;
}
if (isBuy && signalSell(series, idx, diffSell, sigDays))
{
break;
}
if (isSell && signalBuy(series, idx, diffSell, sigDays))
{
break;
}
close = candle.close;
if (isBuy)
{
if (bestClose < close)
{
bestClose = close;
}
}
else
{
if (bestClose > close)
{
bestClose = close;
}
}
}
double delta;
delta = entryPoint - candle.close;
if (isBuy)
{
delta = -delta;
}
double p = delta / entryPoint;
trade.candleExit = candle;
trade.entry = entryPoint;
trade.exit = candle.close;
trade.p = p;
trade.days = days;
}
protected void signalPerformanceOptimization(TA.PriceVolumeSeries series, double[] data, int windowSize,
double stopLoss,
int maxDays, double diffSell, double diffBuy, int days,
System.Collections.Generic.List <TradeSession> bestBlocks)
{
Trade trade;
System.Collections.Generic.List <Trade> trades = new System.Collections.Generic.List <Trade>(10);
int i = 0;
while (i < (data.Length - 1))
{
int idx = i + windowSize;
TA.Candle candle = (TA.Candle)series.Data[idx];
double p;
if (signalSell(series, idx, diffSell, days))
{
signalPerformance(series, stopLoss, maxDays, idx, false, diffSell, diffBuy, days, out trade);
if (trades.Count < 200)
{
trades.Add(trade);
}
else
{
break;
}
i += Math.Max(1, trade.days);
// System.Console.Write("\tSell at "+idx+" entry="+trade.entry+" exit="+trade.exit+" "+candle.ToString());
// System.Console.WriteLine(" p="+trade.p+", days="+trade.days+", exit at "+(idx+trade.days));
}
else if (signalBuy(series, idx, diffBuy, days)) // buy condition and trigger
{
signalPerformance(series, stopLoss, maxDays, idx, true, diffSell, diffBuy, days, out trade);
if (trades.Count < 200)
{
trades.Add(trade);
}
else
{
break;
}
i += Math.Max(1, trade.days);
// System.Console.Write("\tBuy at "+idx+" entry="+trade.entry+" exit="+trade.exit+" "+candle.ToString());
// System.Console.WriteLine(" p="+trade.p+", days="+trade.days+", exit at "+(idx+trade.days));
}
else
{
i++;
}
}
double pTotal;
int daysTotal;
int hits;
double maxDrawDown;
signalPerformanceGetTrades(trades, out daysTotal, out hits, out pTotal, out maxDrawDown);
int misses = trades.Count - hits;
if ((pTotal > 1.1) && (trades.Count > 5) && (bestBlocks.Count < 1000))
{
TradeSession ts = new TradeSession();
ts.trades = trades;
ts.maxDays = maxDays;
ts.p = pTotal;
ts.days = daysTotal;
ts.hits = hits;
ts.stopLoss = stopLoss;
ts.sellSignal = diffSell;
ts.buySignal = diffBuy;
ts.maxDays = maxDays;
ts.maxDrawDown = maxDrawDown;
bestBlocks.Add(ts);
System.Console.Write("+");
// System.Console.WriteLine("p="+pTotal);
// signalPerformancePrintTrades(trades);
}
if ((pTotal > 2) && (trades.Count > 5) && (bestBlocks.Count > 1000))
{
System.Console.Write("-");
}
// System.Console.Write("1");
}
