public PredictorEMA(Rylobot bot)
: base(bot, "PredictorEMA")
{
m_ema_lar = Bot.Indicators.ExponentialMovingAverage(Bot.MarketSeries.Close, 144);
m_ema_med = Bot.Indicators.ExponentialMovingAverage(Bot.MarketSeries.Close, 55);
m_ema_sma = Bot.Indicators.ExponentialMovingAverage(Bot.MarketSeries.Close, 21);
}
// Notes:
//
public StrategyTrend(Rylobot bot)
: base(bot, "StrategyTrend")
{
m_slope = new ExpMovingAvr(10);
m_ema0 = Bot.Indicators.ExponentialMovingAverage(Bot.MarketSeries.Median, 100);
m_ema1 = Bot.Indicators.ExponentialMovingAverage(Bot.MarketSeries.Median, 55);
}
public StrategyEmaCross(Rylobot bot, double risk)
: base(bot, "StrategyEmaCross", risk)
{
EMA0 = Indicator.EMA(Instrument, EmaPeriods0);
EMA1 = Indicator.EMA(Instrument, EmaPeriods1);
EMAGlobal = Indicator.EMA(Instrument, EmaPeriodsGlobal);
}
protected PositionManager(Rylobot bot, Position pos)
{
Bot = bot;
Position = pos;
MinRtR = 1.0;
MinRtRCrossedIndex = null;
Done = false;
}
public StrategyPriceDistribution(Rylobot bot, double risk)
: base(bot, "StrategyPriceDistribution", risk)
{
PriceDistribution = new Distribution(Instrument.PipSize);
m_prob_price = new double[3];
MA0 = Indicator.EMA(Instrument, MAPeriods0, 10);
MA1 = Indicator.EMA(Instrument, MAPeriods1, 10);
}
// Notes:
// This is a base class for an entry signal trigger.
// Derived types use various methods to guess where price is going.
// Derived types add 'Feature' objects to the 'Features' collection, these are basically
// values in the range [-1.0,+1.0] where -1.0 = strong sell, +1.0 = strong buy.
public Predictor(Rylobot bot, string name)
{
Bot = bot;
Name = name;
CurrentIndex = 0;
Instrument = new Instrument(bot);
Features = new List <Feature>();
LogFilepath = Path_.CombinePath(@"P:\projects\Tradee\Rylobot\Rylobot\net\Data", "{0}.predictions.csv".Fmt(name));
}
// Notes:
// - Wait for marubozu candles
// - Run on 1min data
public StrategySpike(Rylobot bot, double risk)
: base(bot, "StrategySpike", risk)
{
Periods = 5;
XShift = 1.5;
HighResCandleWidth = 0.5;
EMA0 = new ExpMovingAvr(Periods);
Debugging.DumpInstrument += Dump;
}
// Notes:
// - Strategies should be resume-able, i.e on start they should look for
// existing positions associated with the strategy and continue using them.
// This is so startup/shutdown have very little effect on the running of the bot.
public Strategy(Rylobot bot, string label, double risk)
{
Bot = bot;
Label = label;
Suitability = new List <Vec2d>();
Correlator = new Correlator(label);
Risk = risk;
Debugging.DumpInstrument += Dump;
}
public StrategyDataCollector(Rylobot bot)
: base(bot, "StrategyDataCollector")
{
NNet = new PredictorNeuralNet(bot);
WindowSize = 20;
RtRThreshold = 2.0;
// Generate the training and test data
var outdir = @"P:\projects\Tradee\Rylobot\Rylobot\net\Data";
m_training = new StreamWriter(Path_.CombinePath(outdir, "training.txt"));
m_testing = new StreamWriter(Path_.CombinePath(outdir, "testing.txt"));
}
public StrategyRevenge(Rylobot bot, double risk)
: base(bot, "StrategyRevenge", risk)
{
ReversesCount = 3;
TakeProfitPC = 0.001;
Trades = new List <Trade>();
//PriceStats = new ExpMovingAvrMinMax();
//// Initialise the stats
//foreach (var candle in Instrument.CandleRange())
//{
// PriceStats.Add(candle.Open);
// PriceStats.Add(candle.High);
// PriceStats.Add(candle.Low);
// PriceStats.Add(candle.Close);
//}
}
/// <summary>Manage an active position</summary>
public PositionManagerNervious(Rylobot bot, Position pos)
: base(bot, pos)
{
ColdFeetCount = 10;
State = EState.TradeLooksGood;
}
public PredictorNeuralNet(Rylobot bot)
: base(bot, "PredictorNeuralNet")
{
}
public PositionManagerCloseAtMA(Rylobot bot, Position position, int ma_periods, double offset)
: base(bot, position)
{
m_ma = Indicator.EMA("ma", Instrument, ma_periods);
m_offset = offset;
}
public PositionManagerTopDrop(Rylobot bot, Position position, int max_peak_separation, bool only_if_in_profit)
: base(bot, position)
{
m_max_peak_separation = max_peak_separation;
m_only_if_in_profit = only_if_in_profit;
}
public PositionManagerAdverseCandles(Rylobot bot, Position position, int count)
: base(bot, position)
{
m_count = count;
}
// Notes:
// - Open hedged positions 1*MCS apart
// - Set SL to 1*MCS
// - Set TP to 2*MCS
public StrategyHedge2(Rylobot bot, double risk)
: base(bot, "StrategyHedge2", risk)
{
}
public PredictorCandle(Rylobot bot)
: base(bot, "PredictorCandle")
{
}
public StrategyTail(Rylobot bot)
: base(bot, "StrategyTail")
{
}
public PositionManagerFixedTime(Rylobot bot, Position pos, int num_candles)
: base(bot, pos)
{
NumCandles = num_candles;
}
public StrategyBreakOut(Rylobot bot, double risk)
: base(bot, "StrategyBreakOut", risk)
{
MA = Indicator.EMA(Instrument, 15);
Debugging.DumpInstrument += Dump;
}
public PositionManagerPeakPC(Rylobot bot, Position pos, double peak_frac = 0.7)
: base(bot, pos)
{
PeakFrac = peak_frac;
}
/// <summary>
/// 'rel_price' is the price in the profit direction that trips the break even. e.g. MCS would trip break even when the price is in profit by MCS.
/// 'bias' is the offset from break even</summary>
public PositionManagerMoveToBreakEven(Rylobot bot, Position position, QuoteCurrency rel_price, QuoteCurrency?bias = null)
: base(bot, position)
{
m_rel_price = rel_price;
m_bias = bias;
}
public PredictorPotLuck(Rylobot bot)
: base(bot, "PredictorPotLuck")
{
m_rng = new Random(1);
}
public PositionManagerCandleFollow(Rylobot bot, Position pos, int num_candles)
: base(bot, pos)
{
NumCandles = num_candles;
}
/// <summary>Return a score for how well suited this strategy is to the current conditions</summary>
public static double FitnessScore(Rylobot bot)
{
return(0.0); // not implemented
}
public PositionManagerLetHerRun(Rylobot bot, Position pos)
: base(bot, pos)
{
m_peak_ratio = 0.0;
}
// Notes:
// - The Broker can see all trades for the account,
// but should only modify positions created by 'Bot'
// - The Broker should not provide methods that operate
// on just the Bot's orders, they should be in the Rylobot
// base class.
public Broker(Rylobot bot, IAccount acct)
{
Bot = bot;
Update(acct);
}
public PositionManagerCandlePattern(Rylobot bot, Position position)
: base(bot, position)
{
}
// Notes:
// - Simple traditional strategy.
// - Use technical analysis to find good entry points
// - Require a reward to risk > 1.0
// - Aim for > 50% success
// - No hedging etc...
//
public StrategyMain(Rylobot bot, double risk)
: base(bot, "StrategyMain", risk)
{
}
public PositionManagerBreakOut(Rylobot bot, Position position, int periods, bool only_if_in_profit)
: base(bot, position)
{
m_periods = periods;
m_only_if_in_profit = only_if_in_profit;
}
