private void SetCenterLine(List <TakeProfitTrade> tpt)
{
var r = tpt.Last().TotalPL;
var count = tpt.Count();
for (int q = 0; q < count; q++)
{
tpt[q].StopLoss_CenterLine = r;
//set Variable List
var v = new VariableIndicator()
{
TimeStamp = tpt[q].TimeStamp,
Value = tpt[q].TotalRunningProfit
};
VarList.Add(v);
}
}
public static void StandardDevOnPL(List <Trade> Trades)
{
var viList = new List <VariableIndicator>();
var list = Trades.Where(z => z.Reason == Trade.Trigger.CloseLong || z.Reason == Trade.Trigger.CloseShort);
foreach (var l in list)
{
var VI = new VariableIndicator()
{
Value = l.TotalPL,
TimeStamp = l.TimeStamp,
};
viList.Add(VI);
}
var SDTDEV = Factory_Indicator.creatStandardDeviation(1, 10, viList);
foreach (var v in SDTDEV)
{
Debug.WriteLine(v.N + "," + v.SingleStdev + "," + v.CustomValue + "," + v.StdDev);
}
}
public static List <Trade> RegressionAnalysis_OnPL(int N, List <Trade> Trades)
{
List <VariableIndicator> V = new List <VariableIndicator>();
var tradeonlyList = Trades.Where(z => z.Reason == Trade.Trigger.CloseLong || z.Reason == Trade.Trigger.CloseShort);
foreach (var v in tradeonlyList)
{
var varindicator = new VariableIndicator()
{
TimeStamp = v.TimeStamp,
Value = v.TotalPL,
};
V.Add(varindicator);
}
var reg = Factory_Indicator.createRegression(N, V);
// var avg= reg.Sum(z => z.Slope) / reg.Count;
// Debug.WriteLine(avg);
foreach (var t in tradeonlyList)
{
foreach (var e in reg)
{
if (e.TimeStamp == t.TimeStamp)
{
t.Extention.Regression = e.Regression;
t.Extention.Slope = e.Slope;
t.Extention.OrderVol = 1;
}
}
}
return(tradeonlyList.ToList());
}
private void SetRegressionSlopes()
{ //cannot use linq, too slow
var FTL = _FullTradeList.Where(z => z.StopLoss_CenterLine != 0).ToList();
var Ftl_Count = FTL.Count;
#region Regression Calcs-Regression of MAMA
var varList1 = new List <VariableIndicator>();
foreach (var x in FTL.Where(z => z.Mama != null))
{
var v = new VariableIndicator()
{
TimeStamp = x.TimeStamp,
Value = x.Mama.Mama,
};
varList1.Add(v);
}
var reg1 = Factory_Indicator.createRegression(_reg1, varList1);
var varList2 = new List <VariableIndicator>();
foreach (var rr in reg1)
{
var q = new VariableIndicator()
{
TimeStamp = rr.TimeStamp,
Value = rr.Slope,
};
varList2.Add(q);
}
var reg2 = Factory_Indicator.createRegression(_reg2, varList2);
var varList3 = new List <VariableIndicator>();
foreach (var rr in reg2)
{
var qq = new VariableIndicator()
{
TimeStamp = rr.TimeStamp,
Value = rr.Slope,
};
varList3.Add(qq);
}
var reg3 = Factory_Indicator.createRegression(_reg3, varList3);
#endregion
#region Populate TakeProfitTrade object
int ftl_Start_Index;
//REG_1_SLOPE
ftl_Start_Index = 0;
//find start for reg1
var reg1_Count = reg1.Count;
//find first reg1.Time=FTL.Time
var Ftl_Time_Equal_Reg1_Time = FTL.Where(f => f.TimeStamp == reg1[0].TimeStamp).First().TimeStamp;
foreach (var Ft in FTL)
{
if (Ft.TimeStamp == Ftl_Time_Equal_Reg1_Time)
{
break;
}
ftl_Start_Index++;
}
for (int x = 0; x < Ftl_Count - ftl_Start_Index; x++)
{
FTL[ftl_Start_Index + x].Reg1_Slope = reg1[x].Slope;
}
//REG_2_SLOPE
ftl_Start_Index = 0;
//find start for reg2
var reg2_Count = reg2.Count;
//find first reg1.Time=FTL.Time
var Ftl_Time_Equal_Reg2_Time = FTL.Where(f => f.TimeStamp == reg2[0].TimeStamp).First().TimeStamp;
foreach (var Ft in FTL)
{
if (Ft.TimeStamp == Ftl_Time_Equal_Reg2_Time)
{
break;
}
ftl_Start_Index++;
}
for (int x = 0; x < Ftl_Count - ftl_Start_Index; x++)
{
FTL[ftl_Start_Index + x].Reg2_Slope = reg2[x].Slope * 10;
}
//REG_3_SLOPE
ftl_Start_Index = 0;
//find start for reg3
var reg3_Count = reg3.Count;
//find first reg1.Time=FTL.Time
var Ftl_Time_Equal_Reg3_Time = FTL.Where(f => f.TimeStamp == reg3[0].TimeStamp).First().TimeStamp;
foreach (var Ft in FTL)
{
if (Ft.TimeStamp == Ftl_Time_Equal_Reg3_Time)
{
break;
}
ftl_Start_Index++;
}
for (int x = 0; x < Ftl_Count - ftl_Start_Index; x++)
{
FTL[ftl_Start_Index + x].Reg3_Slope = reg3[x].Slope * 100;
}
#endregion
}
private void SetRegressionSlopes()
{ //cannot use linq, too slow
var FTL = _FullTradeList.Where(z => z.StopLoss_CenterLine != 0).ToList();
var Ftl_Count = FTL.Count;
#region Regression Calcs-Regression of MAMA
var varList1 = new List<VariableIndicator>();
foreach (var x in FTL.Where(z => z.Mama != null))
{
var v = new VariableIndicator()
{
TimeStamp = x.TimeStamp,
Value = x.Mama.Mama,
};
varList1.Add(v);
}
var reg1 = Factory_Indicator.createRegression(_reg1, varList1);
var varList2 = new List<VariableIndicator>();
foreach (var rr in reg1)
{
var q = new VariableIndicator()
{
TimeStamp = rr.TimeStamp,
Value = rr.Slope,
};
varList2.Add(q);
}
var reg2 = Factory_Indicator.createRegression(_reg2, varList2);
var varList3 = new List<VariableIndicator>();
foreach (var rr in reg2)
{
var qq = new VariableIndicator()
{
TimeStamp = rr.TimeStamp,
Value = rr.Slope,
};
varList3.Add(qq);
}
var reg3 = Factory_Indicator.createRegression(_reg3, varList3);
#endregion
#region Populate TakeProfitTrade object
int ftl_Start_Index;
//REG_1_SLOPE
ftl_Start_Index = 0;
//find start for reg1
var reg1_Count = reg1.Count;
//find first reg1.Time=FTL.Time
var Ftl_Time_Equal_Reg1_Time = FTL.Where(f => f.TimeStamp == reg1[0].TimeStamp).First().TimeStamp;
foreach (var Ft in FTL)
{
if (Ft.TimeStamp == Ftl_Time_Equal_Reg1_Time) break;
ftl_Start_Index++;
}
for (int x = 0; x < Ftl_Count - ftl_Start_Index; x++) FTL[ftl_Start_Index + x].Reg1_Slope = reg1[x].Slope;
//REG_2_SLOPE
ftl_Start_Index = 0;
//find start for reg2
var reg2_Count = reg2.Count;
//find first reg1.Time=FTL.Time
var Ftl_Time_Equal_Reg2_Time = FTL.Where(f => f.TimeStamp == reg2[0].TimeStamp).First().TimeStamp;
foreach (var Ft in FTL)
{
if (Ft.TimeStamp == Ftl_Time_Equal_Reg2_Time) break;
ftl_Start_Index++;
}
for (int x = 0; x < Ftl_Count - ftl_Start_Index; x++) FTL[ftl_Start_Index + x].Reg2_Slope = reg2[x].Slope * 10;
//REG_3_SLOPE
ftl_Start_Index = 0;
//find start for reg3
var reg3_Count = reg3.Count;
//find first reg1.Time=FTL.Time
var Ftl_Time_Equal_Reg3_Time = FTL.Where(f => f.TimeStamp == reg3[0].TimeStamp).First().TimeStamp;
foreach (var Ft in FTL)
{
if (Ft.TimeStamp == Ftl_Time_Equal_Reg3_Time) break;
ftl_Start_Index++;
}
for (int x = 0; x < Ftl_Count - ftl_Start_Index; x++) FTL[ftl_Start_Index + x].Reg3_Slope = reg3[x].Slope * 100;
#endregion
}
private void SetCenterLine(List<TakeProfitTrade> tpt)
{
var r = tpt.Last().TotalPL;
var count = tpt.Count();
for (int q = 0; q < count; q++)
{
tpt[q].StopLoss_CenterLine = r;
//set Variable List
var v = new VariableIndicator()
{
TimeStamp = tpt[q].TimeStamp,
Value = tpt[q].TotalRunningProfit
};
VarList.Add(v);
}
}
private static void Apply_2nd_AlgoLayer(int EMA)
{
List<VariableIndicator> _st = new List<VariableIndicator>();
foreach (var t in _ST)
{
if (t.TotalProfit != 0)
{
VariableIndicator v = new VariableIndicator()
{
TimeStamp = t.TimeStamp,
Value = t.TotalProfit,
};
_st.Add(v);
}
}
var ema = Factory_Indicator.createEMA(EMA, _st);
double newprof = ema[0].CustomValue;
TradeStrategy mt = null;
bool cantradeA = false;
bool cantradeB = false;
bool closepos = false;
bool first = true;
int count = 0;
foreach (var v in ema)
{
count++;
// if (count > 30) break;
if (first) ;
mt = _ST.Where(z => z.TimeStamp == v.TimeStamp).First();
if (!first) closepos = (mt.ActualTrade == Trade.Trigger.CloseShort || mt.ActualTrade == Trade.Trigger.CloseLong);
if (closepos && cantradeA) cantradeB = true;
else
cantradeB = false;
cantradeA = (v.CustomValue > v.Ema);
if (!first && closepos && cantradeB) newprof += mt.RunningProfit;
//Debug.WriteLine(((cantradeA) ? "**" : "") + ((cantradeB) ? "**" : "") + v.Timestamp + " " + v.CustomValue + " " + v.Ema +
// " TradeA :" + cantradeA + " TradeB :" + cantradeB + " Prof " + newprof +
// " " + ((!first && mt != null) ? mt.ActualTrade.ToString() : ""));
first = false;
}
Debug.WriteLine(EMA + " " + newprof);
Debug.WriteLine("----------------------------------------------");
}
public static List<IndicatorBasket> CalcIndicators()
{
// Console.WriteLine("Calculating Indicators...");
var Indicators = new List<IndicatorBasket>();
//Base Level Calcs
var ohlc = Trades.Select(z => z.OHLC);
var OHLC_LIST = ohlc.ToList();
var volume = Trades.ToDictionary(x => x.TimeStamp, x => x.TradeVolume);
var trigger = Trades.ToDictionary(x => x.TimeStamp, x => x.TradeTrigger);
var EM = AlsiUtils.Factory_Indicator.createAdaptiveMA_MAMA(P.Mamapar1, P.Mamapar2, OHLC_LIST).ToDictionary(x => x.TimeStamp, x => x.Mama);
var adx_DMI = AlsiUtils.Factory_Indicator.createADX(P.ADX_period, OHLC_LIST);
var RSI = AlsiUtils.Factory_Indicator.createRSI(P.RSI_period, OHLC_LIST);
//Second Level Clacs
//EMA OF DMI+ and DMI-
List<VariableIndicator> varDmiUP = new List<VariableIndicator>();
List<VariableIndicator> varDmiDOWN = new List<VariableIndicator>();
foreach (var f in adx_DMI)
{
var vdown = new VariableIndicator()
{
TimeStamp = f.TimeStamp,
Value = f.DI_Down,
};
var vup = new VariableIndicator()
{
TimeStamp = f.TimeStamp,
Value = f.DI_Up,
};
varDmiUP.Add(vup);
varDmiDOWN.Add(vdown);
}
var Dmi_Up_EMA = Factory_Indicator.createEMA(P.Di_UP_avg_period, varDmiUP);
var Dmi_Down_EMA = Factory_Indicator.createEMA(P.Di_DOWN_avg_period, varDmiDOWN);
//EMA OF RSI
List<VariableIndicator> varRsi = new List<VariableIndicator>();
foreach (var r in RSI)
{
var rsi = new VariableIndicator()
{
TimeStamp = r.TimeStamp,
Value = r.RSI,
};
varRsi.Add(rsi);
}
var RSI_EMA = Factory_Indicator.createEMA(P.RSI_EMA, varRsi);
//slope OF RSI
var rsi_slope = Factory_Indicator.createRegression(P.RSI_Slope_period, varRsi);
//CREATE DICTIONARY
var DMI_UP_DIC = Dmi_Up_EMA.ToDictionary(x => x.TimeStamp, x => x.Ema);
var DMI_Down_DIC = Dmi_Down_EMA.ToDictionary(x => x.TimeStamp, x => x.Ema);
var RSI_DIC = RSI_EMA.ToDictionary(x => x.TimeStamp, x => x.Ema);
var RSI_SLOPE = rsi_slope.ToDictionary(x => x.TimeStamp, x => x.Slope);
// var sw = new StreamWriter(@"d:\Indicators.csv");
// sw.WriteLine("Trade" + "," + "Stamp" + "," + "PriceClose" + "," + "MAMA" + "," + "DI-UP" + "," + "DI-DOWN" + "," + "VOL" + "," + "RSI" + "," + "RSI SLOPE" + "," + "extra 3" + "," + "extra 4");
foreach (var r in adx_DMI)
{
double em = 0;
EM.TryGetValue(r.TimeStamp, out em);
double rs = 0;
RSI_DIC.TryGetValue(r.TimeStamp, out rs);
double rsslope = 0;
RSI_SLOPE.TryGetValue(r.TimeStamp, out rsslope);
int vol = 0;
volume.TryGetValue(r.TimeStamp, out vol);
double DI_up = 0;
DMI_UP_DIC.TryGetValue(r.TimeStamp, out DI_up);
double DI_Down = 0;
DMI_Down_DIC.TryGetValue(r.TimeStamp, out DI_Down);
Trade.Trigger Trig;
trigger.TryGetValue(r.TimeStamp, out Trig);
var topband = DI_up;
var midband = em;
var lowband = DI_Down;
var b1 = rs;
var adjVol = (vol == null) ? 0 : vol;
var b2 = rsslope; ;
var b3 = 0;
var b4 = 0;
var trade = Trig;
var i = new IndicatorBasket()
{
Action = trade,
Timestamp = r.TimeStamp,
DI_DOWN = DI_Down,
DI_UP = DI_up,
Mama = em,
RSI = rs,
RSI_SLOPE = rsslope,
Price = r.Price_Close,
Volume = adjVol,
};
Indicators.Add(i);
// sw.WriteLine(trade + "," + r.TimeStamp + "," + r.Price_Close + "," + midband + "," + topband + "," + lowband + "," + adjVol + "," + b1 + "," + b2 + "," + b3 + "," + b4);
}
// sw.Close();
return Indicators;
}
public static List<Trade> RegressionAnalysis_OnPL(int N, List<Trade> Trades)
{
List<VariableIndicator> V = new List<VariableIndicator>();
var tradeonlyList = Trades.Where(z => z.Reason == Trade.Trigger.CloseLong || z.Reason == Trade.Trigger.CloseShort);
foreach (var v in tradeonlyList)
{
var varindicator = new VariableIndicator()
{
TimeStamp = v.TimeStamp,
Value = v.TotalPL,
};
V.Add(varindicator);
}
var reg = Factory_Indicator.createRegression(N, V);
// var avg= reg.Sum(z => z.Slope) / reg.Count;
// Debug.WriteLine(avg);
foreach (var t in tradeonlyList)
{
foreach (var e in reg)
{
if (e.TimeStamp == t.TimeStamp)
{
t.Extention.Regression = e.Regression;
t.Extention.Slope = e.Slope;
t.Extention.OrderVol = 1;
}
}
}
return tradeonlyList.ToList();
}
public static void StandardDevOnPL(List<Trade> Trades)
{
var viList = new List<VariableIndicator>();
var list = Trades.Where(z => z.Reason == Trade.Trigger.CloseLong || z.Reason == Trade.Trigger.CloseShort);
foreach (var l in list)
{
var VI = new VariableIndicator()
{
Value = l.TotalPL,
TimeStamp = l.TimeStamp,
};
viList.Add(VI);
}
var SDTDEV = Factory_Indicator.creatStandardDeviation(1, 10, viList);
foreach (var v in SDTDEV)
Debug.WriteLine(v.N + "," + v.SingleStdev + "," + v.CustomValue + "," + v.StdDev);
}
