public bool SellPolicy(StockEntity currentStockEntity, StockEntity lastBoughtStockEntity, StockEntity lastSoldStockEntity, List<StockEntity> sortedAllStockEntities)
{
if (currentStockEntity.Close == 0)
{
return false;
}
bool biasSellDecesion = false;
if (currentStockEntity.GetMA(20) != 0)
{
double bias = (currentStockEntity.GetMA(5) - currentStockEntity.GetMA(20)) / currentStockEntity.GetMA(5);
if (bias > tooStrongTheashold)
{
biasSellDecesion = true;
int index = sortedAllStockEntities.FindIndex(entity => entity.RowKey == currentStockEntity.RowKey);
if (index > 1)
{
var lastStockEntity = sortedAllStockEntities[index - 1];
if ((currentStockEntity.Close - lastStockEntity.Close) / lastStockEntity.Close > 0.05)
{
Console.WriteLine("Stock is too strong, ignore sell decesion.");
biasSellDecesion = false;
}
}
}
else if (bias < balenceThreshold && bias >= tooWeakThreshold)
{
biasSellDecesion = true;
}
}
return biasSellDecesion;
}
public bool SellPolicy(StockEntity currentStockEntity, StockEntity lastBoughtStockEntity, StockEntity lastSoldStockEntity, List<StockEntity> sortedAllStockEntities)
{
bool sc1 = MARules.MA5AboveMA20(currentStockEntity, 0.1) && (MARules.PriceBelowMA5(currentStockEntity, 0.1) || MARules.PriceBelowMA20(currentStockEntity, 0));
bool sc2 = !MARules.MA5AboveMA20(currentStockEntity, 0.1) && MARules.PriceBelowMA5(currentStockEntity, 0.02);
bool sc3 = VolumeRules.PriveAboveButVolumeBelowLastBought(currentStockEntity, lastBoughtStockEntity, 0.1);
return (sc1 || sc2 || sc3);
}
public bool BuyPolicy(StockEntity currentStockEntity, StockEntity lastBoughtStockEntity, StockEntity lastSoldStockEntity, List<StockEntity> sortedAllStockEntities)
{
if (currentStockEntity.Close == 0)
{
return false;
}
bool biasBuyDecesion = false;
if (currentStockEntity.GetMA(20) == 0)
{
biasBuyDecesion = true;
}
else
{
double bias = (currentStockEntity.GetMA(5) - currentStockEntity.GetMA(20)) / currentStockEntity.GetMA(5);
if (bias <= tooStrongTheashold && bias >= balenceThreshold)
{
biasBuyDecesion = true;
}
else if (bias < tooWeakThreshold)
{
biasBuyDecesion = true;
}
}
return biasBuyDecesion;
}
public bool BuyPolicy(StockEntity currentStockEntity, StockEntity lastBoughtStockEntity, StockEntity lastSoldStockEntity, List<StockEntity> sortedAllStockEntities)
{
bool bc1 = MARules.PriceAboveMA5(currentStockEntity, 0);
bool bc2 = MARules.MA5Rising(currentStockEntity, sortedAllStockEntities, 5);
bool bc3 = MARules.PriceAboveMA20(currentStockEntity, 0);
bool bc4 = PriceRules.PriceDiffAboveDelta(currentStockEntity, lastSoldStockEntity, 0.1);
bool bc5 = VolumeRules.VolumeAboveLast5(currentStockEntity, lastSoldStockEntity, sortedAllStockEntities, 0.1);
bool bc6 = MARules.MA20Rising(currentStockEntity, sortedAllStockEntities, 3);
return (bc1 && bc2 && bc3 && bc4 && bc5 && bc6);
}
public bool SellPolicy(StockEntity currentStockEntity, StockEntity lastBoughtStockEntity, StockEntity lastSoldStockEntity, List<StockEntity> sortedAllStockEntities)
{
bool sc1 = !(MARules.MA20Rising(currentStockEntity, sortedAllStockEntities, 5) && MARules.PriceAboveMA20(currentStockEntity, 0.05));
bool sc2 = !(!MARules.MA20Rising(currentStockEntity, sortedAllStockEntities, 5) && MARules.PriceAboveMA20(currentStockEntity, 0));
bool rtn = (sc1 || sc2);
if (rtn)
{
Console.WriteLine("{0}: Sell condition met: {1},{2}", currentStockEntity.Date.ToString("yyyy-MM-dd"), sc1, sc2);
}
return rtn;
}
public static bool PriceDiffAboveDelta(StockEntity stockEntity, StockEntity lastSoldStockEntity, double delta)
{
if (lastSoldStockEntity == null) return true;
if (Math.Abs(stockEntity.Close - lastSoldStockEntity.Close) / stockEntity.Close >= delta)
{
return true;
}
else
{
return false;
}
}
public bool SellPolicy(StockEntity currentStockEntity, StockEntity lastBoughtStockEntity, StockEntity lastSoldStockEntity, List<StockEntity> sortedAllStockEntities)
{
bool sc1 = MARules.MA5AboveMA20(currentStockEntity, 0.1) && (MARules.PriceBelowMA5(currentStockEntity, 0.1) || MARules.PriceBelowMA20(currentStockEntity, 0));
double belowMA5Delta = 0.05;
if (VolumeRules.VolumeBelowLastBought(currentStockEntity, lastBoughtStockEntity, 0.6)) belowMA5Delta = 0.02;
bool sc2 = !MARules.MA5AboveMA20(currentStockEntity, 0.1) && MARules.MA5AboveMA20(currentStockEntity, 0) && (MARules.PriceBelowMA5(currentStockEntity, belowMA5Delta) || MARules.PriceBelowMA20(currentStockEntity, 0));
bool sc3 = MARules.PriceBelowMA20(currentStockEntity, 0);
bool sc4 = !MARules.MA5AboveMA20(currentStockEntity, 0.1) && PriceRules.PriceBelowLast5IfCloseToMA5(currentStockEntity, sortedAllStockEntities, -0.02, 0.02) && PriceRules.PriceAboveLastBought(currentStockEntity, lastBoughtStockEntity, 0);
bool sc5 = MARules.PriceBelowMA5(currentStockEntity, 0) && PriceRules.PriceBelowLastBought(currentStockEntity, lastBoughtStockEntity, 0.1);
bool rtn = (sc1 || sc2 || sc3 || sc4 || sc5);
if (rtn)
{
Console.WriteLine("{0}: Sell condition met: {1},{2},{3},{4},{5}", currentStockEntity.Date.ToString("yyyy-MM-dd"), sc1, sc2, sc3, sc4, sc5);
}
return rtn;
}
public static bool MA20Rising(StockEntity stockEntity, List<StockEntity> sortedStockEntities, int continousCount, double increasingRate = 0)
{
int index = sortedStockEntities.IndexOf(stockEntity);
double lastMA20 = -1;
for (int i = Math.Max(0, index - continousCount + 1); i < index + 1; i++)
{
if (lastMA20 < 0)
{
lastMA20 = sortedStockEntities[i].GetMA(20);
}
else
{
if (sortedStockEntities[i].GetMA(20) < lastMA20 * (1 + increasingRate)) return false;
else lastMA20 = sortedStockEntities[i].GetMA(20);
}
}
return true;
}
public static void CalculateRealTimeMA(string storageConnectionString, StockEntity stockEntity)
{
CloudStorageAccount storageAccount = CloudStorageAccount.Parse(storageConnectionString);
CloudTableClient tableClient = storageAccount.CreateCloudTableClient();
tableClient.DefaultRequestOptions.RetryPolicy = new ExponentialRetry(TimeSpan.FromSeconds(30), 10);
CloudTable table = tableClient.GetTableReference(Constants.StorageStockTableName);
TableOperation retrieveStockEntityStatus = TableOperation.Retrieve<StockEntityStatus>("status-" + stockEntity.PartitionKey, "status");
var stockEntityStatus = (StockEntityStatus)table.Execute(retrieveStockEntityStatus).Result;
if (stockEntityStatus == null || stockEntityStatus.LastestRawDataDate == DateTime.FromFileTimeUtc(0) || stockEntityStatus.GetLatestMAStartDate(stockEntityStatus.GetMaxAvailableMADataIndex()) == DateTime.FromFileTimeUtc(0))
{
throw new InvalidOperationException("Please upload data and do initial processing first.");
}
TableOperation tableQuery = TableOperation.Retrieve<StockEntity>(stockEntity.PartitionKey, stockEntityStatus.LastestRawDataDate.ToString("yyyy-MM-dd"));
var lastestClosedStockEntity = (StockEntity)table.Execute(tableQuery).Result;
string pkFilter = TableQuery.GenerateFilterCondition("PartitionKey", QueryComparisons.Equal, stockEntity.PartitionKey);
string rkLowerFilter = TableQuery.GenerateFilterCondition("RowKey", QueryComparisons.GreaterThanOrEqual, stockEntityStatus.GetLatestMAStartDate(stockEntityStatus.GetMaxAvailableMADataIndex()).Subtract(TimeSpan.FromDays(10)).ToString("yyyy-MM-dd"));
string rkHigherFilter = TableQuery.GenerateFilterCondition("RowKey", QueryComparisons.LessThan, stockEntity.RowKey);
string combinedFilter = TableQuery.CombineFilters(pkFilter, TableOperators.And, rkLowerFilter);
combinedFilter = TableQuery.CombineFilters(combinedFilter, TableOperators.And, rkHigherFilter);
TableQuery<StockEntity> query = new TableQuery<StockEntity>().Where(combinedFilter);
var sortedStockEntities = table.ExecuteQuery<StockEntity>(query).OrderByDescending(entity => entity.Date).Take(stockEntityStatus.GetMaxAvailableMADataIndex() - 1).ToList();
double sum = stockEntity.Close;
int[] MADataAvailable = stockEntityStatus.GetAvailableMADataIndex();
int MADataIndex = 0;
for (int i = 0; i < sortedStockEntities.Count; i++)
{
sum += sortedStockEntities[i].Close;
if (i == MADataAvailable[MADataIndex] - 2)
{
stockEntity.SetMA(MADataAvailable[MADataIndex], sum / MADataAvailable[MADataIndex]);
MADataIndex++;
}
}
if (sortedStockEntities.Count == (stockEntityStatus.GetMaxAvailableMADataIndex() - 1))
{
stockEntity.SetMA(stockEntityStatus.GetMaxAvailableMADataIndex(), sum / stockEntityStatus.GetMaxAvailableMADataIndex());
}
}
public static bool PriceBelowLast5IfCloseToMA5(StockEntity stockEntity, List<StockEntity> sortedStockEntities, double deltaForPrice, double deltaForMA5)
{
if (stockEntity.Close < stockEntity.GetMA(5) * (1 + deltaForMA5))
{
int index = sortedStockEntities.IndexOf(stockEntity);
double lastMinPrice = double.MaxValue;
for (int i = Math.Max(0, index - 5); i < index; i++)
{
if (sortedStockEntities[i].Close <= lastMinPrice) lastMinPrice = sortedStockEntities[i].Close;
}
if (stockEntity.Close < lastMinPrice * (1 - deltaForPrice))
{
return true;
}
}
else
{
return false;
}
return false;
}
public static bool PriceAboveLast5IfInShortPeriod(StockEntity stockEntity, StockEntity lastSoldStockEntity, List<StockEntity> sortedStockEntities, double delta)
{
if (lastSoldStockEntity == null) return true;
if (stockEntity.Date.Subtract(lastSoldStockEntity.Date) <= TimeSpan.FromDays(7))
{
int index = sortedStockEntities.IndexOf(stockEntity);
double lastMaxPrice = 0;
for (int i = Math.Max(0, index - 5); i < index; i++)
{
if (sortedStockEntities[i].Close >= lastMaxPrice) lastMaxPrice = sortedStockEntities[i].Close;
}
if (stockEntity.Close > lastMaxPrice * (1 + delta))
{
return true;
}
}
else
{
return true;
}
return false;
}
public static bool PriceBelowLastBought(StockEntity stockEntity, StockEntity lastBoughtStockEntity, double delta)
{
if (lastBoughtStockEntity == null) return false;
return stockEntity.Close < lastBoughtStockEntity.Close * (1 - delta);
}
public static bool PriceAboveLastBought(StockEntity stockEntity, StockEntity lastBoughtStockEntity, double delta)
{
if (lastBoughtStockEntity == null) return true;
return stockEntity.Close > lastBoughtStockEntity.Close * (1 + delta);
}
private StockEntity GetTecentStockData(string stockCode)
{
if (azureToTecentApiMapping.ContainsKey(stockCode))
{
string tecentApiStockCode = azureToTecentApiMapping[stockCode];
StockEntity stockEntity = new StockEntity(stockCode, DateTimeOffset.Parse(DateTime.Today.ToString("yyyy-MM-dd")).DateTime);
string onlineData = string.Format(downloadTecentRealtimeStockDataApiStr, tecentApiStockCode);
int retry = 0;
while (retry < 10)
{
try
{
using (var client = new WebClient())
{
Console.WriteLine("Getting data from {0}", onlineData);
byte[] data = client.DownloadData(onlineData);
string[] dataStr = Encoding.Default.GetString(data).Split(tecentRealtimeStockDataSplitter);
stockEntity.Close = double.Parse(dataStr[indexOfPriceInTecentRealtimeStockData]);
stockEntity.AdjClose = double.Parse(dataStr[indexOfPriceInTecentRealtimeStockData]);
stockEntity.High = double.Parse(dataStr[indexOfHighPriceInTecentRealtimeStockData]);
stockEntity.Low = double.Parse(dataStr[indexOfLowPriceInTecentRealtimeStockData]);
stockEntity.Open = double.Parse(dataStr[indexOfOpenPriceInTecentRealtimeStockData]);
stockEntity.Volume = double.Parse(dataStr[indexOfVolumeInTecentRealtimeStockData]) * 100;
}
break;
}
catch (Exception ex)
{
Console.WriteLine("Got exception when getting data: {0}", ex.ToString());
retry++;
Thread.Sleep(TimeSpan.FromSeconds(retry));
}
}
return stockEntity;
}
else
{
throw new InvalidOperationException(string.Format("Cannot find tecent api code for stock: {0}", stockCode));
}
}
public static bool PriceBelowMA20(StockEntity stockEntity, double delta)
{
return stockEntity.Close < stockEntity.GetMA(20) * (1 - delta);
}
private StockEntity SellStock(StockEntity stockEntity, ref double money, ref double quantity)
{
Console.WriteLine("{0}: Sell at price {1}, MA5: {2}, MA20: {3}, Vol: {4}", stockEntity.Date.ToString("yyyy-MM-dd"), stockEntity.Close, stockEntity.GetMA(5), stockEntity.GetMA(20), stockEntity.Volume);
money = quantity * stockEntity.Close;
quantity = -1;
return stockEntity;
}
public static bool MA5AboveMA20(StockEntity stockEntity, double delta)
{
return stockEntity.GetMA(5) > stockEntity.GetMA(20) * (1 + delta);
}
public bool BuyPolicy(StockEntity currentStockEntity, StockEntity lastBoughtStockEntity, StockEntity lastSoldStockEntity, List<StockEntity> sortedAllStockEntities)
{
bool bc1 = MARules.PriceAboveMA20(currentStockEntity, 0);
bool bc2 = MARules.MA20Rising(currentStockEntity, sortedAllStockEntities, 5, 0.01);
return (bc1 && bc2);
}
public static bool VolumeBelowLastBought(StockEntity stockEntity, StockEntity lastBoughtStockEntity, double delta)
{
if (lastBoughtStockEntity == null) return true;
return stockEntity.Volume < lastBoughtStockEntity.Volume * (1 - delta);
}
public static bool PriveAboveButVolumeBelowLastBought(StockEntity stockEntity, StockEntity lastBoughtStockEntity, double delta)
{
if (lastBoughtStockEntity == null) return true;
return stockEntity.Close >= lastBoughtStockEntity.Close && stockEntity.Volume < lastBoughtStockEntity.Volume * (1 - delta);
}
public static bool PriceAboveMA20(StockEntity stockEntity, double delta)
{
return stockEntity.Close > stockEntity.GetMA(20) * (1 + delta);
}
private List<StockEntity> ReadStockDataFromFileSource(string fileDataSource, string azureTableStockCode)
{
List<StockEntity> stockEntities = new List<StockEntity>();
Console.WriteLine("Parsing data from {0}", fileDataSource);
using (StreamReader reader = new StreamReader(fileDataSource))
{
string line = reader.ReadLine();
if (line != "Date,Open,High,Low,Close,Volume,Adj Close")
{
throw new InvalidOperationException("File data source format has been changed!");
}
while (!reader.EndOfStream)
{
line = reader.ReadLine();
string[] splitters = line.Split(new char[] { ',' });
if (splitters.Length == 7)
{
try
{
DateTime date = DateTime.Parse(splitters[0]);
double open = double.Parse(splitters[1]);
double high = double.Parse(splitters[2]);
double low = double.Parse(splitters[3]);
double close = double.Parse(splitters[4]);
double volume = double.Parse(splitters[5]);
double adjClose = double.Parse(splitters[6]);
var stockEntity = new StockEntity(azureTableStockCode, date)
{
Open = open,
High = high,
Low = low,
Close = close,
Volume = volume,
AdjClose = adjClose
};
stockEntities.Add(stockEntity);
}
catch
{
}
}
}
}
return stockEntities;
}
public double CheckWinRate(string azureTableStockCode, ITradePolicy policy, string dateTimeSince = "1990-01-01", bool noDividend = false, bool saveResult = false)
{
CloudTable table = GetAzureTable();
string pkFilter = TableQuery.GenerateFilterCondition("PartitionKey", QueryComparisons.Equal, azureTableStockCode);
string rkFilter = TableQuery.GenerateFilterCondition("RowKey", QueryComparisons.GreaterThanOrEqual, dateTimeSince);
string combinedFilter = TableQuery.CombineFilters(pkFilter, TableOperators.And, rkFilter);
TableQuery<StockEntity> query = new TableQuery<StockEntity>().Where(combinedFilter);
var sortedStockEntities = table.ExecuteQuery<StockEntity>(query).OrderBy(entity => entity.Date).ToList();
double money = 1000;
double quantity = -1;
StockEntity lastBoughtStockEntity = new StockEntity();
StockEntity lastSoldStockEntity = new StockEntity();
StockEntity yesterdayStockEntity = null;
long winCount = 0;
long hugeWinCount = 0;
long loseCount = 0;
long hugeLoseCount = 0;
foreach (var stockEntity in sortedStockEntities)
{
if (quantity < 0)
{
if (policy.BuyPolicy(stockEntity, lastBoughtStockEntity, lastSoldStockEntity, sortedStockEntities))
{
lastBoughtStockEntity = BuyStock(stockEntity, ref money, ref quantity);
}
}
else if (quantity > 0)
{
bool bonusDividend = false;
double devidendRate = 1;
if (!noDividend)
{
if (yesterdayStockEntity != null && stockEntity.Open > 0 && stockEntity.Open < yesterdayStockEntity.Close * 0.9)
{
Console.WriteLine("It's impossible that much lose happened, bonus dividend must have happened!");
bonusDividend = true;
devidendRate = yesterdayStockEntity.Close / stockEntity.Open;
quantity *= devidendRate;
}
}
if (policy.SellPolicy(stockEntity, lastBoughtStockEntity, lastSoldStockEntity, sortedStockEntities))
{
lastSoldStockEntity = SellStock(stockEntity, ref money, ref quantity);
if (stockEntity.Close * devidendRate > lastBoughtStockEntity.Close)
{
Console.WriteLine("{0}: Win {1}%", stockEntity.Date.ToString("yyyy-MM-dd"), (stockEntity.Close * devidendRate - lastBoughtStockEntity.Close) / lastBoughtStockEntity.Close * 100);
winCount++;
if (stockEntity.Close * devidendRate > lastBoughtStockEntity.Close * 1.1)
{
hugeWinCount++;
}
}
else
{
Console.WriteLine("{0}: Lose {1}%", stockEntity.Date.ToString("yyyy-MM-dd"), (lastBoughtStockEntity.Close - stockEntity.Close * devidendRate) / lastBoughtStockEntity.Close * 100);
loseCount++;
if (!bonusDividend && stockEntity.Close < lastBoughtStockEntity.Close * 0.9)
{
hugeLoseCount++;
}
}
}
}
yesterdayStockEntity = stockEntity;
}
if (quantity > 0 && sortedStockEntities.LongCount() > 0)
{
money = sortedStockEntities.Last().Close * quantity;
}
Console.WriteLine("{4}: Money at the end is {0}, win count = {1}, huge win count = {5}, lose count = {2}, huge lose count = {6}, win rate = {3}%", money, winCount, loseCount, (double)winCount * 100 / (winCount + loseCount), azureTableStockCode, hugeWinCount, hugeLoseCount);
if (saveResult)
{
TableOperation retrieveStockEntityStatus = TableOperation.Retrieve<StockEntityStatus>("status-" + azureTableStockCode, "status");
var stockEntityStatus = (StockEntityStatus)table.Execute(retrieveStockEntityStatus).Result;
if (stockEntityStatus == null)
{
throw new InvalidOperationException("Please upload data and do initial processing first.");
}
if (dateTimeSince == "1990-01-01")
{
stockEntityStatus.OverallWinRate = (double)winCount * 100 / (winCount + loseCount);
stockEntityStatus.OverallProfitRate = (money - 1000) * 100 / 1000;
}
else
{
stockEntityStatus.RecentWinRate = (double)winCount * 100 / (winCount + loseCount);
stockEntityStatus.RecentProfitRate = (money - 1000) * 100 / 1000;
}
table.Execute(TableOperation.InsertOrMerge(stockEntityStatus));
}
return (double)winCount * 100 / (winCount + loseCount);
}