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);
}
}