private List <CalculationResult> BestStrategy(List <TradeBucketedDto> src) { //Передаем src - массив свечей, в порядке возрастания от 01.01.2014 - 12.12.2014 //на выходе талб с результатом List <CalculationResult> result = new List <CalculationResult>(); try { Pine close = src.CloseToPine();//src.Close().ToPine(); Pine volume = src.VolumeToPine(); Pine high = src.HighToPine(); Pine low = src.LowToPine(); //Pine hlc3 = (high + low + close) / 3.0; IEnumerable <DateTime> timeStamp = src.TimeStampDateTime(); IEnumerable <DateTime> timeOpen = src.TimeOpen(); #region strategy for 3 min Pine low_1 = low.Drop(1); Pine lowlow1 = low - low_1; Pine fast_ma = Ema(low, 496); Pine slow_ma = Ema(low, 14); Pine macd = fast_ma - slow_ma; Pine signal = Sma(macd, 7); Pine wt0 = Tradition(low, volume) + 40; Pine swt0 = Sma(wt0, 300); Pine wt1 = Ema(wt0, 6); Pine csi = TSIfor3min(lowlow1); Pine csi_1 = csi.Drop(1); Pine wt1_1 = wt1.Drop(1); Pine high_1 = high.Drop(1); PineBool shortsignals = CrossUnder(macd, signal); PineBool longcond1 = (csi - csi_1 > 12 & csi < 112 & low_1 <low& high> high_1); PineBool longcond2 = (csi < 65 & low_1 <low& high> high_1); PineBool longcond3 = (csi < 112 & (wt1 - wt1_1) > 3); PineBool longcond4 = (csi < 65 & (wt1 - wt1_1) > 3); PineBool longCond = ((longcond1 | longcond2 | longcond3 | longcond4) & macd < -150); PineBool shortCond = shortsignals; Pine longShortCond = PineBool.ZipEnd(longCond, shortCond, (ln, sh) => ln ? 1.0 : sh ? -1.0 : ((double?)null)).ToPineNA().ToPine(Approximation.Step); var handCond = Pine.ZipEnd(longShortCond, longShortCond.Drop(1), (lsc, lscd) => (lsc > 0.5 && lscd < -0.5) ? "Long" : (lsc <0.5 && lscd> -0.5) ? "Short" : ""); #endregion timeStamp = timeStamp.Reverse(); close.Reverse(); low.Reverse(); high.Reverse(); csi.Reverse(); wt1.Reverse(); longcond1.Reverse(); longcond2.Reverse(); longcond3.Reverse(); longcond4.Reverse(); longCond.Reverse(); shortCond.Reverse(); handCond = handCond.Reverse(); /*longShortCond[longShortCond.Count-1] = 1; * longShortCond[longShortCond.Count-2] = -1; * longShortCond[longShortCond.Count-3] = 0;*/ longShortCond.Reverse(); for (int i = 0; i < longCond.Count; i++) { result.Add( new CalculationResult( i < timeStamp.Count() ? timeStamp.ElementAt(i) : DateTimeOffset.UtcNow, i < close.Count() ? close.ElementAt(i).ToString() : "", i < low.Count() ? low.ElementAt(i).ToString() : "", i < high.Count() ? high.ElementAt(i).ToString() : "", i < csi.Count() ? csi.ElementAt(i).ToString() : "", i < wt1.Count() ? wt1.ElementAt(i).ToString() : "", i < lowlow1.Count() ? lowlow1.ElementAt(i).ToString() : "", i < longCond.Count() ? longCond.ElementAt(i) ? "Yes" : "" : "", i < shortCond.Count() ? shortCond.ElementAt(i) ? "Yes" : "" : "", i < longShortCond.Count() ? longShortCond.ElementAt(i) : 0, i < handCond.Count() ? handCond.ElementAt(i).ToString() : "", i < longcond1.Count() ? longcond1.ElementAt(i).ToString() : "", i < longcond2.Count() ? longcond2.ElementAt(i).ToString() : "", i < longcond3.Count() ? longcond3.ElementAt(i).ToString() : "", i < longcond4.Count() ? longcond4.ElementAt(i).ToString() : "" )); } //string lastSignalPumpOrSliv = ""; for (int i = result.Count - 1; i > 0; i--) { if (result[i - 1].LongShortCond == 1.0 && result[i].LongShortCond == -1.0)/* || * result[i].Pump == "1" && result[i+1].Pump == "0")*/ { result[i - 1].Signal = "Buy"; } if (result[i - 1].LongShortCond == -1.0 && result[i].LongShortCond == 1.0)/* || * result[i].Sliv == "1" && result[i+1].Sliv == "0")*/ { result[i - 1].Signal = "Sell"; } } } catch (Exception ex) { logger.Debug("BestStrategy error" + ex.Message); } return(result); }
public void BestStrategy(int countCandles = 720) { DateTime?lastTimeStamp = LastCandle?.TimeStamp; if (lastTimeStamp != null) { int countNotCalc = allCandles.Count(cand => cand.TimeStamp > lastTimeStamp); if (countNotCalc + 150 < countCandles) { countCandles = countNotCalc + 150; } } List <Candle> candlesCalc; int begInd = allCandles.Count - countCandles; if (begInd < 0) { begInd = 0; } if (begInd < allCandles.Count) { candlesCalc = allCandles.GetRange(begInd, allCandles.Count - begInd); } else { candlesCalc = new List <Candle>(); } Pine close = candlesCalc.Close().ToPine(); Pine volume = candlesCalc.Volume().ToPine(); Pine high = candlesCalc.High().ToPine(); Pine low = candlesCalc.Low().ToPine(); Pine hlc3 = (high + low + close) / 3.0; IEnumerable <DateTime> timeStamp = candlesCalc.TimeStamp(); IEnumerable <DateTime> timeOpen = candlesCalc.TimeOpen(); OutValues.AddRowHeaders(timeOpen); OutValues.Add("Close", close); Pine change = Change(close); Pine fast_ma = Sma(low, 16); Pine slow_ma = Sma(low, 29); Pine macd = fast_ma - slow_ma; Pine signal = Ema(macd, 9); Pine hist = macd - signal; Pine hist_2 = hist.Drop(2); Pine hist_3 = hist.Drop(3); Pine close_2 = close.Drop(2); PineBool LOL = hist_3 <3 & hist_3> -3 & hist_2 <3 & hist_2> -3; PineBool longCond = hist > 0 & (close - close_2) < 66 & !LOL; PineBool shortCond = hist < 0 & (close_2 - close) < 66 & !LOL; OutValues.Add("hist_3", hist_3); OutValues.Add("hist", hist); OutValues.Add("LOL", LOL); OutValues.Add("longCond", longCond); OutValues.Add("shortCond", shortCond); Pine longShortCond = PineBool.ZipEnd(longCond, shortCond, (ln, sh) => ln ? 1.0 : sh ? -1.0 : na).ToPineNA().ToPine(Approximation.Step); var handCond = Pine.ZipEnd(longShortCond, longShortCond.Drop(1), (lsc, lscd) => (lsc > 0.5 && lscd < -0.5) ? "Long" : (lsc <0.5 && lscd> -0.5) ? "Short" : ""); OutValues.Add("Сигнал", handCond); if (longShortCond.Last() == 1.0 && longShortCond.Drop(1).Last() == -1.0) { OnSignal(SignalEnum.Long); } if (longShortCond.Last() == -1.0 && longShortCond.Drop(1).Last() == 1.0) { OnSignal(SignalEnum.Short); } }