public async void Run(StockTradeList tradeList)
{
if (tradeList != null && tradeList.Trades.Count > 0)
{
//find all stocks traded
StockList stocks = new StockList("TradeList");
foreach (StockTrade trade in tradeList.Trades)
{
stocks.Add(trade.Stock);
}
//find DataRange
StockData firstData = await StockDataBase.Get(stocks.GetStock(0), tradeList.Interval);
int startIndex = firstData.FindDateIndex(_startDate);
int stopIndex = firstData.FindDateIndex(_endDate);
int dataCount = firstData.TimeSeries.DataPoints.Count;
if (stopIndex == 0)
{
stopIndex = dataCount - 1;
}
//Simulate trades
double startBalance = _balanceChart[0];
StockPortfolio portfolio = new StockPortfolio(startBalance);
List <double> balanceChartList = new List <double>();
balanceChartList.Add(startBalance);
for (int i = startIndex; i <= stopIndex; i++)
{
foreach (StockTrade trade in tradeList.Trades)
{
if (trade.DataIndex == i)
{
portfolio.MakeTrade(trade, tradeList.Interval);
}
}
balanceChartList.Add(await portfolio.TotalBalance(i, tradeList.Interval));
}
_balanceChart = balanceChartList.ToArray();
}
}
public async Task <StockTradeList> Find(Stock stock, DateTime startDate, DateTime endDate)
{
StockTradeList tradeList = new StockTradeList(Api.Interval.Daily);
StockData data = await StockDataBase.Get(stock, Api.Interval.Daily);
int startIndex = data.FindDateIndex(startDate);
int period = 40;
double priceGainGate = -0.5;
double volumeGainGate = 0.5;
int tradeHoldLenght = 15;
double tradeHoldMaxGain = 0.04;
double tradeHoldMaxLoss = -0.04;
bool inTrade = false;
for (int i = startIndex; i < data.TimeSeries.DataPoints.Count; i++)
{
if (!inTrade)
{
{
double open = data.TimeSeries.DataPoints[i].Open;
double close = data.TimeSeries.DataPoints[i].Close;
double percentageGain = (close - open) / open;
if (percentageGain > priceGainGate)
{
double volume = data.TimeSeries.DataPoints[i].Volume;
double volumeSMA = Indicators.GetSMA(data, i, period, PricePoint.Volume);
double volumePercentageGain = (volume - volumeSMA) / volumeSMA;
if (volumePercentageGain > volumeGainGate)
{
StockTrade trade = new StockTrade
{
DataIndex = i,
PortfolioPercentage = 1,
Stock = stock,
Type = StockTradeType.LongStock
};
tradeList.Trades.Add(trade);
inTrade = true;
}
}
}
}
else
{
StockTrade lastTrade = tradeList.Trades[tradeList.Trades.Count - 1];
double posOpen = data.TimeSeries.DataPoints[lastTrade.DataIndex].Close;
double currentPrice = data.TimeSeries.DataPoints[i].Close;
double percentageGain = (currentPrice - posOpen) / posOpen;
if (i - lastTrade.DataIndex >= tradeHoldLenght)
{
StockTrade trade = new StockTrade
{
DataIndex = i,
PortfolioPercentage = 0,
Stock = stock,
Type = StockTradeType.LongStock
};
tradeList.Trades.Add(trade);
inTrade = false;
}
else if (percentageGain > tradeHoldMaxGain || percentageGain < tradeHoldMaxLoss)
{
StockTrade trade = new StockTrade
{
DataIndex = i,
PortfolioPercentage = 0,
Stock = stock,
Type = StockTradeType.LongStock
};
tradeList.Trades.Add(trade);
inTrade = false;
}
}
}
return(tradeList);
}
public async void Run(StockTradeList tradeList)
{
if (tradeList != null && tradeList.Trades.Count > 0)
{
//find all stocks traded
StockList stocks = new StockList("TradeList");
foreach (StockTrade trade in tradeList.Trades)
{
stocks.Add(trade.Stock);
}
//find DataRange
StockData firstData = await StockDataBase.Get(stocks.GetStock(0), tradeList.Interval);
int startIndex = firstData.FindDateIndex(_startDate);
int stopIndex = firstData.FindDateIndex(_endDate);
int dataCount = firstData.TimeSeries.DataPoints.Count;
if (stopIndex == 0)
{
stopIndex = dataCount - 1;
}
//Simulate trades
double timesTraded = 0;
double timesRight = 0;
StockTrade currentTrade = new StockTrade();
StockData data = firstData;
for (int i = startIndex; i <= stopIndex; i++)
{
foreach (StockTrade trade in tradeList.Trades)
{
if (trade.DataIndex == i)
{
if (trade.PortfolioPercentage > 0)
{
data = await StockDataBase.Get(trade.Stock, tradeList.Interval);
currentTrade = trade;
}
else
{
timesTraded++;
double openPrice = data.TimeSeries.DataPoints[currentTrade.DataIndex].Close;
double closePrice = data.TimeSeries.DataPoints[i].Close;
if (currentTrade.Type == StockTradeType.LongStock && closePrice > openPrice)
{
timesRight++;
}
if (currentTrade.Type == StockTradeType.ShortStock && closePrice < openPrice)
{
timesRight++;
}
}
}
}
}
//save results
_rightPredictPercentage = timesRight / timesTraded;
_tradesMade = (int)timesTraded;
}
}
