public void TestBollingerBand()
{
double[] inData = new double[] {
86.16, 89.09, 88.78, 90.32, 89.07,
91.15, 89.44, 89.18, 86.93, 87.68,
86.96, 89.43, 89.32, 88.72, 87.45,
87.26, 89.50, 87.90, 89.13, 90.70,
92.90, 92.98, 91.80, 92.66, 92.68,
92.30, 92.77, 92.54, 92.95, 93.20,
91.07, 89.83, 89.74, 90.40, 90.74,
88.02, 88.09, 88.84, 90.78, 90.54,
91.39, 90.65
};
int len = inData.Length;
int period = 20;
double?[] m = new double?[len];
double?[] h = new double?[len];
double?[] l = new double?[len];
BollingerBand.Calculate(inData, period, 2.0, m, h, l);
Console.WriteLine("middle: " + ObjectHelper.ToJson(m) + "\n");
Console.WriteLine("high: " + ObjectHelper.ToJson(h) + "\n");
Console.WriteLine("low: " + ObjectHelper.ToJson(l) + "\n");
}
public Benchmark(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
bbLower = new BollingerBand(bars.close, parameter <int>("LengthDn"), -parameter <int>("NumDevsDn"));
bbUpper = new BollingerBand(bars.close, parameter <int>("LengthUp"), parameter <int>("NumDevsUp"));
addToPlot(bbLower, "bbLower", Color.Blue);
addToPlot(bbUpper, "bbUpper", Color.Blue);
}
public async Task<IndBBEntity[]> GetBB(string code, int start = 0, int end = 0, double factor = 2.0, int period = 20, string type = "day")
{
Console.WriteLine($"{code} {start} {end} {type}");
TickerEntity[] tickers = await base.getTickerEntityArray(code, start, end, type);
List<IndBBEntity> outList = new List<IndBBEntity>();
int len = tickers.Length;
double[] close = tickers.Select(t => (double)t.C).ToArray();
double[] high = tickers.Select(t => (double)t.H).ToArray();
double[] low = tickers.Select(t => (double)t.L).ToArray();
double?[] outHigh = new double?[len];
double?[] outMid = new double?[len];
double?[] outLow = new double?[len];
BollingerBand.Calculate(close, period, factor, outMid, outHigh, outLow);
for (int i = 0; i < len; i++)
{
outList.Add(new IndBBEntity
{
T = tickers[i].T,
P = tickers[i].P,
High = outHigh[i],
Mid = outMid[i],
Low = outLow[i]
});
}
return outList.Where(r => (start == 0 || r.P >= start) && (end == 0 || r.P <= end)).ToArray();
}
public void BollingerBand()
{
BollingerBand bollingerBand = new BollingerBand();
bollingerBand.Load(Directory.GetCurrentDirectory() + "\\table.csv");
BollingerBandSerie serie = bollingerBand.Calculate();
Assert.IsNotNull(serie);
Assert.IsTrue(serie.BandWidth.Count > 0);
Assert.IsTrue(serie.BPercent.Count > 0);
Assert.IsTrue(serie.LowerBand.Count > 0);
Assert.IsTrue(serie.MidBand.Count > 0);
Assert.IsTrue(serie.UpperBand.Count > 0);
}
public void BollingerBand()
{
BollingerBand bollingerBand = new BollingerBand();
bollingerBand.Load(OhlcList);
BollingerBandSerie serie = bollingerBand.Calculate();
Assert.IsNotNull(serie);
Assert.IsTrue(serie.BandWidth.Count > 0);
Assert.IsTrue(serie.BPercent.Count > 0);
Assert.IsTrue(serie.LowerBand.Count > 0);
Assert.IsTrue(serie.MidBand.Count > 0);
Assert.IsTrue(serie.UpperBand.Count > 0);
}
protected TrendingMABase(QREBridgeBase bridge, Symbol symbol, Converter <BarSpud, Spud <double> > signalSeries) : base(bridge, symbol)
{
maDays = parameter <int>("MADays");
riskDollars = parameter <double>("RiskDollars");
atr = new AverageTrueRange(bars, parameter <int>("ATRLen"));
signal = signalSeries(bars);
ma = new Average(signal, maDays);
shortSum = new Sum(signal, maDays - 1);
var numDeviations = parameter <double>("BollingerBandDeviations");
var barsBack = parameter <int>("BollingerBandBarsBack");
upperBand = new BollingerBand(ma, barsBack, numDeviations);
lowerBand = new BollingerBand(ma, barsBack, -numDeviations);
}
private BollingerBand[] getBollingerBand(double[] data, int duration)
{
BollingerBand[] boll = new BollingerBand[data.Length];
for (int i = duration; i < data.Length; i++)
{
List <double> list = new List <double>();
for (int j = 0; j < duration; j++)
{
list.Add(data[i - duration + j]);
}
boll[i] = new BollingerBand();
boll[i].mean = list.Average();
boll[i].std = MathUtility.std(list);
}
return(boll);
}
/// <summary>
/// Add Bollinger Bands and Volume data to list
/// </summary>
/// <param name="candlesticks">Array of Candlesticks</param>
private void AddBollingerBands(ref BotStick[] candlesticks)
{
int period = candlestickCount;
int factor = 2;
decimal total_average = 0;
decimal total_squares = 0;
decimal prev_vol = 0;
for (int i = 0; i < candlesticks.Length; i++)
{
total_average += candlesticks[i].close;
total_squares += (decimal)Math.Pow((double)candlesticks[i].close, 2);
prev_vol = prev_vol == 0 ? candlesticks[i].volume : prev_vol;
var volData = CalculateVolumeChanges(candlesticks[i].volume, prev_vol);
if (volData != null)
{
if (volData.ContainsKey("volumeDifference"))
{
candlesticks[i].volumeChange = volData["volumeDifference"];
}
if (volData.ContainsKey("volumePercentChange"))
{
candlesticks[i].volumePercentChange = volData["volumePercentChange"];
}
}
if (i >= period - 1)
{
var bollingerBand = new BollingerBand();
decimal average = total_average / period;
decimal stdev = (decimal)Math.Sqrt((double)(total_squares - (decimal)Math.Pow((double)total_average, 2) / period) / period);
bollingerBand.movingAvg = average;
bollingerBand.topBand = average + factor * stdev;
bollingerBand.bottomBand = average - factor * stdev;
candlesticks[i].bollingerBand = bollingerBand;
total_average -= candlesticks[i - period + 1].close;
total_squares -= (decimal)Math.Pow((double)candlesticks[i - period + 1].close, 2);
}
prev_vol = candlesticks[i].volume;
}
}
public void TestCalculateRealData()
{
TickerBLL tbll = new TickerBLL(_unit);
List <Ticker> tList = tbll.GetTickerListByShareDB(1585, null, 21100000);
double[] inputData = new double[tList.Count];
double?[] m = new double?[tList.Count];
double?[] h = new double?[tList.Count];
double?[] l = new double?[tList.Count];
var i = 0;
foreach (var t in tList)
{
inputData[i] = t.Close;
i++;
}
Result res = BollingerBand.Calculate(inputData, 20, 2.5, m, h, l);
}
public void TestCalculate()
{
double[] inData = new double[] {
86.16, 89.09, 88.78, 90.32, 89.07,
91.15, 89.44, 89.18, 86.93, 87.68,
86.96, 89.43, 89.32, 88.72, 87.45,
87.26, 89.50, 87.90, 89.13, 90.70,
92.90, 92.98, 91.80, 92.66, 92.68,
92.30, 92.77, 92.54, 92.95, 93.20,
91.07, 89.83, 89.74, 90.40, 90.74,
88.02, 88.09, 88.84, 90.78, 90.54,
91.39, 90.65
};
int len = inData.Length;
int period = 20;
double?[] m = new double?[len];
double?[] h = new double?[len];
double?[] l = new double?[len];
BollingerBand.Calculate(inData, period, 2.0, m, h, l);
}
public FXCarryV2(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
payoutRatioLong = payoutRatioSymbol(symbol, "Long").doubles(bars).allowStaleTicks();
payoutRatioShort = payoutRatioSymbol(symbol, "Short").doubles(bars).allowStaleTicks();
nATR = parameter <int>("nATR");
atrLen = parameter <int>("ATRLen");
atr = new AverageTrueRange(bars, atrLen);
riskDollars = parameter <double>("RiskDollars");
bollingerBandBarsBack = parameter <int>("BollingerBandBarsBack");
ma = new Average(bars.close, bollingerBandBarsBack);
bollingerBandDeviations = parameter <double>("BollingerBandDeviations");
trigger = parameter <double>("Trigger");
maxTrigger = parameter <double>("MaxTrigger");
triggerCushion = parameter <double>("TriggerCushion");
addToPlot(payoutRatioLong, "payoutRatioLong", Color.Red, "payoutRatioLong");
addToPlot(payoutRatioShort, "payoutRatioShort", Color.Red, "payoutRatioShort");
upperBand = new BollingerBand(bars.close, bollingerBandBarsBack, bollingerBandDeviations);
lowerBand = new BollingerBand(bars.close, bollingerBandBarsBack, -bollingerBandDeviations);
addToPlot(upperBand, "upperBand", Color.Blue);
addToPlot(lowerBand, "lowerBand", Color.Blue);
bars.close.prepare();
stoppedOut = true;
}
public Form1()
{
InitializeComponent();
chart1.Series.Clear();
Int32 timeStampStart = (Int32)(DateTime.UtcNow.AddMonths(-12).Subtract(new DateTime(1970, 1, 1))).TotalSeconds;
Int32 timeStampNow = (Int32)(DateTime.UtcNow.Subtract(new DateTime(1970, 1, 1))).TotalSeconds;
String yahooAPI = $"https://query1.finance.yahoo.com/v7/finance/download/BTC-EUR?period1={timeStampStart}&period2={timeStampNow}&interval=1d&events=history";
using (var client = new WebClient())
{
client.DownloadFile(yahooAPI, "fileLOG");
}
String csvFile = @"fileLOG";
List <Ohlc> ohlcList = new List <Ohlc>();
StreamReader r = new StreamReader(csvFile);
String file = r.ReadToEnd();
String[] pricesClose = file.Split(new String[] { "\r\n", "\n" }, StringSplitOptions.RemoveEmptyEntries);
chart1.Series.Add("Price").ChartType = System.Windows.Forms.DataVisualization.Charting.SeriesChartType.FastPoint;
// chart1.Series["Price"].Color = Color.Black;
int j = 0;
List <DateTime> dates = new List <DateTime>();
foreach (var s in pricesClose)
{
String[] pricesOscillation = s.Split(new String[] { "," }, StringSplitOptions.RemoveEmptyEntries);
try
{
int index = 0;
DateTime date = DateTime.Parse(pricesOscillation[index++]);
double open = double.Parse(pricesOscillation[index++]);
double high = double.Parse(pricesOscillation[index++]);
double low = double.Parse(pricesOscillation[index++]);
double close = double.Parse(pricesOscillation[index++]);
double adjClose = double.Parse(pricesOscillation[index++]);
double volume = double.Parse(pricesOscillation[index++]);
Ohlc newOhlc = new Ohlc();
newOhlc.Open = open;
newOhlc.High = high;
newOhlc.Low = low;
newOhlc.Close = close;
newOhlc.AdjClose = adjClose;
newOhlc.Volume = volume;
ohlcList.Add(newOhlc);
dates.Add(date);
chart1.Series["Price"].Points.AddXY(date, close);
}
catch (Exception err)
{
}
}
BollingerBand bollingerBand = new BollingerBand();
bollingerBand.Load(ohlcList);
BollingerBandSerie serie = bollingerBand.Calculate();
MACD macd = new MACD();
macd.Load(ohlcList);
MACDSerie macdserie = macd.Calculate();
EMA ema = new EMA();
ema.Load(ohlcList);
SingleDoubleSerie singleDoubleSerie = ema.Calculate();
RSI rsi = new RSI(14);
rsi.Load(ohlcList);
RSISerie serieRSI = rsi.Calculate();
chart1.Series.Add("bUP").ChartType = System.Windows.Forms.DataVisualization.Charting.SeriesChartType.Line;
chart1.Series.Add("bDOWN").ChartType = System.Windows.Forms.DataVisualization.Charting.SeriesChartType.Line;
chart1.Series.Add("bMIDDLE").ChartType = System.Windows.Forms.DataVisualization.Charting.SeriesChartType.Line;
chart1.Series.Add("RSI").ChartType = System.Windows.Forms.DataVisualization.Charting.SeriesChartType.Line;
chart1.Series.Add("EMA").ChartType = System.Windows.Forms.DataVisualization.Charting.SeriesChartType.Line;
chart1.Series.Add("MACD").ChartType = System.Windows.Forms.DataVisualization.Charting.SeriesChartType.Line;
chart1.Series.Add("MACDHistogram").ChartType = System.Windows.Forms.DataVisualization.Charting.SeriesChartType.Line;
for (int i = 0; i < serie.BandWidth.Count; i++)
{
if (macdserie.MACDLine[i] != null)
{
chart1.Series["MACD"].Points.AddXY(dates[i], macdserie.MACDLine[i]);
}
if (macdserie.MACDHistogram[i] != null)
{
chart1.Series["MACDHistogram"].Points.AddXY(dates[i], macdserie.MACDHistogram[i]);
}
if (singleDoubleSerie.Values[i] != null)
{
chart1.Series["EMA"].Points.AddXY(dates[i], singleDoubleSerie.Values[i]);
}
if (serie.UpperBand[i] != null)
{
chart1.Series["bUP"].Points.AddXY(dates[i], serie.UpperBand[i]);
}
if (serie.MidBand[i] != null)
{
chart1.Series["bMIDDLE"].Points.AddXY(dates[i], serie.MidBand[i]);
}
if (serie.LowerBand[i] != null)
{
chart1.Series["bDOWN"].Points.AddXY(dates[i], serie.LowerBand[i]);
}
if (serieRSI.RSI[i] != null)
{
chart1.Series["RSI"].Points.AddXY(dates[i], serieRSI.RSI[i]);
}
}
}