public static DecisionData contrarianSashine(AccountGA ac, int i, double exit_time_sec, int kairi_term, double entry_kairi, double rikaku_percentage)
{
DecisionData dd = new DecisionData();
double kairi = (TickData.price[i] - TickData.price[i - kairi_term]) / TickData.price[i - kairi_term];
string entry_sign = "";
if (kairi >= entry_kairi)
{
entry_sign = "Short";
}
else if (kairi <= -entry_kairi)
{
entry_sign = "Long";
}
if (entry_sign != "")
{
if (ac.holding_position == "None" && ac.price_tracing_order_flg == false)
{
dd = makeDDForEntryPriceTracingOrder(i, entry_sign, true, 0.05);
}
else if (ac.holding_position != "None" && entry_sign != ac.holding_position && ac.price_tracing_order_flg && ac.cancel_all_orders == false)
{
dd = makeDDForEntryPriceTracingOrder(i, "Cancel_PriceTracingOrder", false, 0);
}
else if (ac.holding_position != "None" && entry_sign != ac.holding_position && ac.price_tracing_order_flg == false && ac.cancel_all_orders == false)
{
dd = makeDDForEntryPriceTracingOrder(i, entry_sign, true, ac.ave_holding_lot + 0.05);
}
else if (entry_sign == ac.holding_position && ac.unexe_position.Count == 0)
{
dd.position = (entry_sign == "Long") ? "Short" : "Long";
dd.cancel_index = -1;
dd.price_tracing_order = false;
dd.price = (ac.holding_position == "Long") ? Math.Round(ac.ave_holding_price * (1 + rikaku_percentage)) : Math.Round(ac.ave_holding_price * (1 - rikaku_percentage));
dd.lot = ac.ave_holding_lot;
}
else if (entry_sign == ac.holding_position && ac.unexe_position.Count == 0 && (TickData.time[i] - ac.last_entry_time).TotalSeconds >= exit_time_sec)
{
dd = makeDDForEntryPriceTracingOrder(i, (ac.holding_position == "Long") ? "Short" : "Long", true, ac.ave_holding_lot);
}
}
else if (ac.holding_position != "None")
{
// dd.position = "Exit_All";
}
return(dd);
}
public AccountGA startContrarianSashine(int from, int to, double exit_time_sec, int kairi_term, double entry_kairi, double rikaku)
{
AccountGA ac = new AccountGA();
for (int i = from; i < to; i++)
{
var tdd = StrategyGA.contrarianSashine(ac, i, exit_time_sec, kairi_term, entry_kairi, rikaku);
if (tdd.position == "Exit_All")
{
ac.exitAllOrder(i);
}
else if (tdd.price_tracing_order)
{
if (tdd.position == "Long" || tdd.position == "Short")
{
ac.entryPriceTracingOrder(i, tdd.position, tdd.lot);
}
}
else
{
if (tdd.position == "Cancel" && tdd.cancel_index >= 0)
{
ac.cancelOrder(i, tdd.cancel_index);
}
else if (tdd.position == "Cancel_All")
{
ac.cancelAllOrders(i);
}
else if (tdd.position == "Cancel_PriceTracingOrder")
{
ac.cancelPriceTracingOrder(i);
}
else if (tdd.position == "Long" || tdd.position == "Short")
{
ac.entryOrder(i, tdd.position, tdd.price, tdd.lot);
}
}
ac.moveToNext(i);
}
ac.lastDayOperation(to);
return(ac);
}
public void addAcList(int i, AccountGA ac)
{
lock (lockobj)
ac_list.Add(i, ac);
}