Exemple #1
0
        protected override void OnBarUpdate()
        {
            int BarIndex = BarsInProgress;

            bool bFinishedProcessingAllData = false;

            Boolean bLastSymbol = BarIndex == (symbol_list.Count - 1);

            DateTime current_bar_date = Times[BarIndex][0].Date;

            if (bLastSymbol &&
                (((CurrentBar + 1) == Count) || (current_bar_date == TestingEndDate)))  //we are on the last bar to process
            {
                Debug.WriteLine("bFinished trigger");
                bFinishedProcessingAllData = true;
            }

            String debug_txt1 = "Date=" + Times[BarIndex][0].Date.ToShortDateString() + "BarIndex=" + BarIndex.ToString() + "CurrentBar=" + CurrentBar.ToString() + "Count=" + Count.ToString();

            Debug.WriteLine(debug_txt1);

            //NOTE: Index 1 is always S&P 500
            if ((BarIndex >= 2 /*1*/) && (BarIndex < (symbol_list.Count)))                        //Start at index=1 since we want to ignore the primary/dummy instrument
            {
                DateTime date_to_process = Times[BarIndex][0].Date;                               //need to wait FutureValueDaysToLookAhead days before we can make calcs

                if ((date_to_process >= TestingStartDate) && (date_to_process <= TestingEndDate)) //  && (CurrentBar >= (20)))  //give 20 days of buffer
                {
                    int SP500_index = 1;

                    TradeScannerResult scan_result = new TradeScannerResult();

                    double OpenPriceToday  = Opens[BarIndex][0];
                    double ClosePriceToday = Closes[BarIndex][0];
                    double SP500_Open      = Opens[SP500_index][0];
                    double SP500_Close     = Closes[SP500_index][0];

                    scan_result.Date                      = date_to_process;
                    scan_result.Symbol                    = symbol_list[BarIndex];
                    scan_result.Description               = company_name_list[BarIndex];
                    scan_result.Open                      = OpenPriceToday;
                    scan_result.Close                     = ClosePriceToday;
                    scan_result.PercentChange_Today       = (((ClosePriceToday / OpenPriceToday) - 1.0) * 100.0);
                    scan_result.SP500_PercentChange_Today = (((SP500_Close / SP500_Open) - 1.0) * 100.0);
                    scan_result.Compare_SP500_Today       = scan_result.PercentChange_Today - scan_result.SP500_PercentChange_Today;

                    scan_result.PercentChange_1Day  = PctChange(BarIndex, 1);
                    scan_result.PercentChange_2Day  = PctChange(BarIndex, 2);
                    scan_result.PercentChange_5Day  = PctChange(BarIndex, 5);
                    scan_result.PercentChange_10Day = PctChange(BarIndex, 10);
                    scan_result.PercentChange_15Day = PctChange(BarIndex, 15);
                    scan_result.PercentChange_20Day = PctChange(BarIndex, 20);

                    scan_result.Compare_SP500_1Day  = scan_result.PercentChange_1Day - PctChange(SP500_index, 1);
                    scan_result.Compare_SP500_2Day  = scan_result.PercentChange_2Day - PctChange(SP500_index, 2);
                    scan_result.Compare_SP500_5Day  = scan_result.PercentChange_5Day - PctChange(SP500_index, 5);
                    scan_result.Compare_SP500_10Day = scan_result.PercentChange_10Day - PctChange(SP500_index, 10);
                    scan_result.Compare_SP500_15Day = scan_result.PercentChange_15Day - PctChange(SP500_index, 15);
                    scan_result.Compare_SP500_20Day = scan_result.PercentChange_20Day - PctChange(SP500_index, 20);

                    scan_result.Green_5Day  = GetPercentOfGreenDays(BarIndex, 5);
                    scan_result.Green_10Day = GetPercentOfGreenDays(BarIndex, 10);
                    scan_result.Green_15Day = GetPercentOfGreenDays(BarIndex, 15);
                    scan_result.Green_20Day = GetPercentOfGreenDays(BarIndex, 20);


                    PopulateParamatersForIndicator(IndicatorEnum.indicator_BOLLINGER);
                    //Indicator_FutureValueChange_Pair indicator_pair = GetIndicatorValue(indicator_list[i], BarIndex, 0, date_to_process);

                    double indicator_value_today = 0.0;

                    scan_result.Indicator_Name = "BOLL";
                    scan_result.Strategy_Name  = Strategy_Num.ToString();

                    double boll_0  = ComputeBollinger(BarIndex, 0);
                    double boll_1  = ComputeBollinger(BarIndex, 1);
                    double boll_2  = ComputeBollinger(BarIndex, 2);
                    double boll_3  = ComputeBollinger(BarIndex, 3);
                    double boll_4  = ComputeBollinger(BarIndex, 4);
                    double boll_5  = ComputeBollinger(BarIndex, 5);
                    double boll_10 = ComputeBollinger(BarIndex, 10);
                    double boll_15 = ComputeBollinger(BarIndex, 15);
                    double boll_20 = ComputeBollinger(BarIndex, 20);

                    indicator_value_today       = boll_0;
                    scan_result.Indicator_Today = indicator_value_today;

                    double boll_0_chg = boll_1 - boll_0;

                    double boll_min             = -1.0;
                    double boll_max             = -0.75;
                    bool   boll_in_range        = (boll_0 > boll_min) && (boll_0 < boll_max);
                    double boll_min_change      = 0.05;
                    double boll_max_change      = 0.25;
                    bool   boll_change_in_range = (boll_0_chg > boll_min_change) && (boll_0_chg < boll_max_change);
                    bool   boll_declining_3dys  = (boll_3 > boll_2) && (boll_2 > boll_1) && (boll_0 > boll_1);

                    scan_result.Indicator_Change_1Day  = indicator_value_today - boll_1;
                    scan_result.Indicator_Change_2Day  = indicator_value_today - boll_2;
                    scan_result.Indicator_Change_5Day  = indicator_value_today - boll_5;
                    scan_result.Indicator_Change_10Day = indicator_value_today - boll_10;
                    scan_result.Indicator_Change_15Day = indicator_value_today - boll_15;
                    scan_result.Indicator_Change_20Day = indicator_value_today - boll_20;

                    double RSI_val = RSI(BarsArray[BarIndex], 14, 3)[0];  //get the indicator val from n days ago
                    scan_result.RSI = RSI_val;

                    bool bBuy = false;
                    switch (Strategy_Num)
                    {
                    case 1:     //declining boll for 3, then up spike
                        if (boll_in_range && boll_change_in_range)
                        {
                            //strat1 (declining boll for 3, then up spike)
                            if (boll_declining_3dys)
                            {
                                Console.WriteLine("\nstrat1\n");
                                bBuy = true;
                            }
                        }
                        break;

                    case 2:      //boll up spike
                        if (boll_in_range && boll_change_in_range)
                        {
                            Console.WriteLine("\nstrat2\n");
                            bBuy = true;
                        }
                        break;

                    case 3:      //boll crossing -1 threshold, but not too far
                        if ((boll_1 < -1.1) && (boll_0 > -0.9) && (boll_0 < -0.7))
                        {
                            Console.WriteLine("\nstrat3\n");
                            bBuy = true;
                        }
                        break;

                    default:
                        break;
                    }

                    String signal_name = scan_result.Symbol + "-" + Strategy_Num.ToString() + "-" + DaysToHold.ToString();

                    //Check to see if time to sell
                    if (Trade_Status[BarIndex] == "InProgress")
                    {
                        //if ((date_to_process > trig.TradeDate)) // && (date_to_process <= trig.TradeDate.AddDays(trig.DaysToHold)))
                        //{
                        DaysSincePurchase[BarIndex]++;


                        if (DaysSincePurchase[BarIndex] == DaysToHold)     //Use input parameter rather than reading from file trig.DaysToHold //Set Exit for end of nth day
                        {
                            Trade_Status[BarIndex] = "Idle";
                            ExitLong(BarIndex, NumShares[BarIndex], signal_name, signal_name);
                            DaysSincePurchase[BarIndex] = -1;
                        }
                        //}
                    }
                    else if (bBuy)
                    {
                        if (scan_result.Close < AmountPerTrade)  //if price is greater than max per trade, then we cannot purchase
                        {
                            TradeTriggerByDate trig = new TradeTriggerByDate();
                            trig.Symbol     = scan_result.Symbol;
                            trig.TradeDate  = scan_result.Date;
                            trig.DaysToHold = DaysToHold;
                            trade_triggers.Add(trig);


                            Trade_Status[BarIndex]      = "InProgress";
                            DaysSincePurchase[BarIndex] = 0;
                            //trig.Status = "InProgress";
                            NumShares[BarIndex] = (int)(AmountPerTrade / scan_result.Close);
                            EnterLong(BarIndex, NumShares[BarIndex], signal_name);

                            trade_scanner_results.Add(scan_result);
                        }
                    }
                }
            }

            if (bFinishedProcessingAllData == true)
            {
                uid = rnd.Next(100000, 999999).ToString();
                WriteTradeScannerResults();
                WriteTradeTriggers();
            }
        }
Exemple #2
0
        protected override void OnBarUpdate()
        {
            int BarIndex = BarsInProgress;

            bool bFinishedProcessingAllData = false;

            Boolean bLastSymbol = BarIndex == (symbol_list.Count - 1);

            DateTime current_bar_date = Times[BarIndex][0].Date;

            if (bLastSymbol &&
                (((CurrentBar + 1) == Count) || (current_bar_date == TestingEndDate)))  //we are on the last bar to process
            {
                Debug.WriteLine("bFinished trigger");
                bFinishedProcessingAllData = true;
            }

            String debug_txt1 = "Date=" + Times[BarIndex][0].Date.ToShortDateString() + "BarIndex=" + BarIndex.ToString() + "CurrentBar=" + CurrentBar.ToString() + "Count=" + Count.ToString();

            Debug.WriteLine(debug_txt1);

            //NOTE: Index 1 is always S&P 500
            if ((BarIndex >= 1 /*1*/) && (BarIndex < (symbol_list.Count)))                        //Start at index=1 since we want to ignore the primary/dummy instrument
            {
                DateTime date_to_process = Times[BarIndex][0].Date;                               //need to wait FutureValueDaysToLookAhead days before we can make calcs

                if ((date_to_process >= TestingStartDate) && (date_to_process <= TestingEndDate)) //  && (CurrentBar >= (20)))  //give 20 days of buffer
                {
                    int SP500_index = 1;
                    if (BarIndex == SP500_index)
                    {
                        Date_Price_Pair date_price = new Date_Price_Pair();
                        date_price.Date  = date_to_process;
                        date_price.Price = Closes[BarIndex][0];
                        SP500_historical_price_list.Add(date_price);
                    }
                    else  //non S&P500 symbols
                    {
                        TradeScannerResult scan_result = new TradeScannerResult();

                        double OpenPriceToday  = Opens[BarIndex][0];
                        double ClosePriceToday = Closes[BarIndex][0];
                        double SP500_Open      = Opens[SP500_index][0];
                        double SP500_Close     = Closes[SP500_index][0];

                        try
                        {
                            scan_result.Date                      = date_to_process;
                            scan_result.Symbol                    = symbol_list[BarIndex];
                            scan_result.Description               = company_name_list[BarIndex];
                            scan_result.Open                      = OpenPriceToday;
                            scan_result.Close                     = ClosePriceToday;
                            scan_result.PercentChange_Today       = (((ClosePriceToday / OpenPriceToday) - 1.0) * 100.0);
                            scan_result.SP500_PercentChange_Today = (((SP500_Close / SP500_Open) - 1.0) * 100.0);
                            scan_result.Compare_SP500_Today       = scan_result.PercentChange_Today - scan_result.SP500_PercentChange_Today;

                            scan_result.PercentChange_1Day  = PctChange(BarIndex, 1);
                            scan_result.PercentChange_2Day  = PctChange(BarIndex, 2);
                            scan_result.PercentChange_5Day  = PctChange(BarIndex, 5);
                            scan_result.PercentChange_10Day = PctChange(BarIndex, 10);
                            scan_result.PercentChange_15Day = PctChange(BarIndex, 15);
                            scan_result.PercentChange_20Day = PctChange(BarIndex, 20);

                            scan_result.Compare_SP500_1Day  = scan_result.PercentChange_1Day - PctChange(SP500_index, 1);
                            scan_result.Compare_SP500_2Day  = scan_result.PercentChange_2Day - PctChange(SP500_index, 2);
                            scan_result.Compare_SP500_5Day  = scan_result.PercentChange_5Day - PctChange(SP500_index, 5);
                            scan_result.Compare_SP500_10Day = scan_result.PercentChange_10Day - PctChange(SP500_index, 10);
                            scan_result.Compare_SP500_15Day = scan_result.PercentChange_15Day - PctChange(SP500_index, 15);
                            scan_result.Compare_SP500_20Day = scan_result.PercentChange_20Day - PctChange(SP500_index, 20);

                            scan_result.Green_5Day  = GetPercentOfGreenDays(BarIndex, 5);
                            scan_result.Green_10Day = GetPercentOfGreenDays(BarIndex, 10);
                            scan_result.Green_15Day = GetPercentOfGreenDays(BarIndex, 15);
                            scan_result.Green_20Day = GetPercentOfGreenDays(BarIndex, 20);


                            PopulateParamatersForIndicator(IndicatorEnum.indicator_BOLLINGER);
                            //Indicator_FutureValueChange_Pair indicator_pair = GetIndicatorValue(indicator_list[i], BarIndex, 0, date_to_process);

                            double indicator_value_today = 0.0;

                            scan_result.Indicator_Name = "BOLL";
                            scan_result.Strategy_Name  = Strategy_Description; // Strategy_Num.ToString();

                            double boll_0  = ComputeBollinger(BarIndex, 0);
                            double boll_1  = ComputeBollinger(BarIndex, 1);
                            double boll_2  = ComputeBollinger(BarIndex, 2);
                            double boll_3  = ComputeBollinger(BarIndex, 3);
                            double boll_4  = ComputeBollinger(BarIndex, 4);
                            double boll_5  = ComputeBollinger(BarIndex, 5);
                            double boll_10 = ComputeBollinger(BarIndex, 10);
                            double boll_15 = ComputeBollinger(BarIndex, 15);
                            double boll_20 = ComputeBollinger(BarIndex, 20);

                            indicator_value_today       = boll_0;
                            scan_result.Indicator_Today = indicator_value_today;

                            double boll_0_chg = boll_1 - boll_0;

                            double boll_min             = -1.0;
                            double boll_max             = -0.75;
                            bool   boll_in_range        = (boll_0 > boll_min) && (boll_0 < boll_max);
                            double boll_min_change      = 0.05;
                            double boll_max_change      = 0.25;
                            bool   boll_change_in_range = (boll_0_chg > boll_min_change) && (boll_0_chg < boll_max_change);
                            bool   boll_declining_3dys  = (boll_3 > boll_2) && (boll_2 > boll_1) && (boll_0 > boll_1);

                            scan_result.Indicator_Change_1Day  = indicator_value_today - boll_1;
                            scan_result.Indicator_Change_2Day  = indicator_value_today - boll_2;
                            scan_result.Indicator_Change_5Day  = indicator_value_today - boll_5;
                            scan_result.Indicator_Change_10Day = indicator_value_today - boll_10;
                            scan_result.Indicator_Change_15Day = indicator_value_today - boll_15;
                            scan_result.Indicator_Change_20Day = indicator_value_today - boll_20;

                            double RSI_val = RSI(BarsArray[BarIndex], 14, 3)[0];  //get the indicator val from n days ago
                            scan_result.RSI = RSI_val;

                            bool bBuy = false;
                            switch (Strategy_Num)
                            {
                            case 1:     //declining boll for 3, then up spike
                                if (boll_in_range &&
                                    boll_change_in_range &&
                                    boll_declining_3dys)
                                {
                                    bBuy = true;
                                }
                                break;

                            case 2:      //boll up spike
                                if (boll_in_range &&
                                    boll_change_in_range)
                                {
                                    bBuy = true;
                                }
                                break;

                            case 3:      //boll crossing -1 threshold, but not too far
                                if ((boll_1 < -1.1) &&
                                    nt.InRange(boll_0, -0.9, -0.7))
                                {
                                    bBuy = true;
                                }
                                break;

                            case 4:      //boll in range, today's change < -0.5% and SP500 change > 0%
                                if (boll_in_range &&
                                    (scan_result.PercentChange_Today < -0.5) &&
                                    (scan_result.SP500_PercentChange_Today > 0.0))
                                {
                                    bBuy = true;
                                }
                                break;

                            case 5:      //strat3 + Today 0.75-1.25 and SP500Change 0.5 - 1.0
                                if ((boll_1 < -1.1) &&
                                    nt.InRange(boll_0, -0.9, -0.7) &&
                                    nt.InRange(scan_result.PercentChange_Today, 0.75, 1.25) &&
                                    nt.InRange(scan_result.SP500_PercentChange_Today, 0.5, 1.0))
                                {
                                    bBuy = true;
                                }
                                break;

                            case 6:      //boll up spike + Today < -1.5 + SP500Change < -0.75
                                if (boll_in_range &&
                                    boll_change_in_range &&
                                    (scan_result.PercentChange_Today < -1.5) &&
                                    (scan_result.SP500_PercentChange_Today < -0.75))
                                {
                                    bBuy = true;
                                }
                                break;

                            case 7:      //strat3 + Today 0.5-2.0 and SP500Change 0.5 - 3.0
                                if ((boll_1 < -1.1) &&
                                    nt.InRange(boll_0, -0.9, -0.7) &&
                                    nt.InRange(scan_result.PercentChange_Today, 0.5, 2.0) &&
                                    nt.InRange(scan_result.SP500_PercentChange_Today, 0.5, 3.0))
                                {
                                    bBuy = true;
                                }
                                break;

                            case 8:      //strat7 + 5-day indicator change -1.5 to -0.5
                                if ((boll_1 < -1.1) &&
                                    nt.InRange(boll_0, -0.9, -0.7) &&
                                    nt.InRange(scan_result.PercentChange_Today, 0.5, 2.0) &&
                                    nt.InRange(scan_result.SP500_PercentChange_Today, 0.5, 3.0) &&
                                    nt.InRange(scan_result.Indicator_Change_5Day, -1.5, -0.5))
                                {
                                    bBuy = true;
                                }
                                break;

                            case 9:      //strat7 but use 0.0 for min of %ChangeToday and SP500ChangeToday
                                if ((boll_1 < -1.1) &&
                                    nt.InRange(boll_0, -0.9, -0.7) &&
                                    nt.InRange(scan_result.PercentChange_Today, 0.0, 2.0) &&
                                    nt.InRange(scan_result.SP500_PercentChange_Today, 0.0, 3.0))
                                {
                                    bBuy = true;
                                }
                                break;

                            case 10:      //strat7 but remove SP500%Change condition
                                if ((boll_1 < -1.1) &&
                                    nt.InRange(boll_0, -0.9, -0.7) &&
                                    nt.InRange(scan_result.PercentChange_Today, 0.5, 2.0))
                                {
                                    bBuy = true;
                                }
                                break;

                            case 11:      //strat7 but change boll range max to -0.5
                                if ((boll_1 < -1.1) &&
                                    nt.InRange(boll_0, -0.9, -0.5) &&
                                    nt.InRange(scan_result.PercentChange_Today, 0.5, 2.0) &&
                                    nt.InRange(scan_result.SP500_PercentChange_Today, 0.5, 3.0))
                                {
                                    bBuy = true;
                                }
                                break;

                            case 12:      //strat7 but change boll range min/max to -0.95/-0.75
                                if ((boll_1 < -1.1) &&
                                    nt.InRange(boll_0, -0.95, -0.75) &&
                                    nt.InRange(scan_result.PercentChange_Today, 0.5, 2.0) &&
                                    nt.InRange(scan_result.SP500_PercentChange_Today, 0.5, 3.0))
                                {
                                    bBuy = true;
                                }
                                break;

                            case 13:      //strat12 but also add condition for CompSP500_today > 0.15
                                if ((boll_1 < -1.1) &&
                                    nt.InRange(boll_0, -0.95, -0.75) &&
                                    nt.InRange(scan_result.PercentChange_Today, 0.5, 2.0) &&
                                    nt.InRange(scan_result.SP500_PercentChange_Today, 0.5, 3.0) &&
                                    (scan_result.Compare_SP500_Today > 0.15))
                                {
                                    bBuy = true;
                                }
                                break;

                            case 14:      //Just testing SP500%change range
                                if (nt.InRange(scan_result.SP500_PercentChange_Today, 0.5, 3.0))
                                {
                                    bBuy = true;
                                }
                                break;

                            case 15:                                     //strat7, but use 0.0 for SP500 min
                                if ((boll_1 < -1.1) &&
                                    nt.InRange(boll_0, -0.9, -0.7) &&
                                    nt.InRange(scan_result.PercentChange_Today, 0.5, 2.0) &&
                                    nt.InRange(scan_result.SP500_PercentChange_Today, 0.0, 3.0))
                                {
                                    bBuy = true;
                                }
                                break;

                            case 16:                                     //strat7, but use -1.0 for boll_1 min and -0.5 for boll_0 max
                                if ((boll_1 < -1.0) &&
                                    nt.InRange(boll_0, -0.9, -0.5) &&
                                    nt.InRange(scan_result.PercentChange_Today, 0.5, 2.0) &&
                                    nt.InRange(scan_result.SP500_PercentChange_Today, 0.5, 3.0))
                                {
                                    bBuy = true;
                                }
                                break;

                            case 17:                                     //strat7 but but use -1.0 for boll_1 min and -0.5 for boll_0 max, use 0.25 for today min, and remove SP500 change
                                if ((boll_1 < -1.0) &&
                                    nt.InRange(boll_0, -0.9, -0.5) &&
                                    nt.InRange(scan_result.PercentChange_Today, 0.25, 2.0))
                                {
                                    bBuy = true;
                                }
                                break;

                            case 18:                                     //strat7 but but use -1.2 for boll_1 min and -0.95 for boll_0 max, use 0.25 for today min, and remove SP500 change
                                if ((boll_1 < -1.2) &&
                                    nt.InRange(boll_0, -0.95, -0.5) &&
                                    nt.InRange(scan_result.PercentChange_Today, 0.25, 2.0))
                                {
                                    bBuy = true;
                                }
                                break;

                            case 19:                                       //just dropped to range of -1.0 to -0.8
                                if ((boll_1 > -0.5) &&
                                    nt.InRange(boll_0, -1.0, -0.8))
                                {
                                    bBuy = true;
                                }
                                break;

                            case 20:                                      //recovery from below -0.9
                                if ((boll_1 < -0.9) &&
                                    nt.InRange(boll_0, -0.7, -0.3))
                                {
                                    bBuy = true;
                                }
                                break;

                            default:
                                break;
                            }


                            String signal_name = scan_result.Symbol + "-" + Strategy_Num.ToString() + "-" + DaysToHold.ToString() + "-" + StopLossPercent.ToString();

                            //Check to see if time to sell
                            if (Trade_Status[BarIndex] == "InProgress")
                            {
                                //if ((date_to_process > trig.TradeDate)) // && (date_to_process <= trig.TradeDate.AddDays(trig.DaysToHold)))
                                //{
                                DaysSincePurchase[BarIndex]++;


                                if (DaysSincePurchase[BarIndex] == DaysToHold) //Use input parameter rather than reading from file trig.DaysToHold //Set Exit for end of nth day
                                {
                                    Trade_Status[BarIndex] = "Idle";
                                    ExitLong(BarIndex, NumShares[BarIndex], signal_name, signal_name);
                                    DaysSincePurchase[BarIndex] = -1;
                                }
                                //}
                            }
                            else if (bBuy)
                            {
                                if (scan_result.Close < AmountPerTrade)  //if price is greater than max per trade, then we cannot purchase
                                {
                                    TradeTriggerByDate trig = new TradeTriggerByDate();
                                    trig.Symbol     = scan_result.Symbol;
                                    trig.TradeDate  = scan_result.Date;
                                    trig.DaysToHold = DaysToHold;
                                    trade_triggers.Add(trig);


                                    Trade_Status[BarIndex]      = "InProgress";
                                    DaysSincePurchase[BarIndex] = 0;
                                    //trig.Status = "InProgress";
                                    NumShares[BarIndex] = (int)(AmountPerTrade / scan_result.Close);
                                    EnterLong(BarIndex, NumShares[BarIndex], signal_name);

                                    trade_scanner_results.Add(scan_result);
                                }
                            }
                        }
                        catch
                        {
                            Console.WriteLine("Caught exception");
                        }
                    }
                }
            }

            if (bFinishedProcessingAllData == true)
            {
                uid            = rnd.Next(100000, 999999).ToString();
                results_folder = results_folder + "_" + uid + "\\";
                DirectoryInfo di2 = Directory.CreateDirectory(results_folder);
                WriteTradeScannerResults();
                //WriteTradeTriggers();
                WriteSP500HistoricalData();
            }
        }
Exemple #3
0
        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                if (bFirst)
                {
                    bFirst = false;
                }

                symbol_list = new List <String> {
                    "DUMMY", "^SP500"
                };
                company_name_list = new List <String> {
                    "DUMMY", "S&P 500"
                };

                Trade_Status = new List <String> {
                    "DUMMY", "DUMMY"
                };
                DaysSincePurchase = new List <int> {
                    -1, -1
                };
                NumShares = new List <int> {
                    -1, -1
                };

                output_folder = "C:\\temp\\knn\\";

                LoadTickers(); //load symbols from file


                Description = "test";
                Name        = "Trade_Scanner3";
                Calculate   = Calculate.OnEachTick; //This will let us get the last Bar

                TestingStartDate = DateTime.Today;
                TestingEndDate   = DateTime.Today;


                //Trading params
                SimulateTrades  = true;
                AmountPerTrade  = 500.0f;
                StopLossPercent = 5;  //use int so we can potentially change during optimization
                DaysToHold      = 5;

                //Allows multiple stocks to be traded on same day
                EntryHandling = EntryHandling.UniqueEntries;

                //Custom params
                uid       = "";
                indicator = "";

                master_symbol_name = "";

                bDataLoaded = false;

                BOLL_param_string = "2;14;-1";

                Strategy_Num = 1;



                // This strategy has been designed to take advantage of performance gains in Strategy Analyzer optimizations
                // See the Help Guide for additional information
                IsInstantiatedOnEachOptimizationIteration = true;
                //IsInstantiatedOnEachOptimizationIteration = false;
            }
            else if (State == State.Configure)
            {
                //Set our stop loss here
                SetStopLoss(CalculationMode.Percent, StopLossPercent / 100.0f);

                //System.Windows.Forms.MessageBox.Show("Configure");
                bDataLoaded = false;

                for (int i = 0; i < symbol_list.Count; i++)
                {
                    //Don't add the dummy instrument (but we still need a placeholder list which is added below)
                    if (i != 0)
                    {
                        AddDataSeries(symbol_list[i], Data.BarsPeriodType.Day, 1);
                    }
                }

                for (int i = 0; i < indicator_list.Count; i++)
                {
                    master_list_training.Add(new List <List <Indicator_FutureValueChange_Pair> >());
                    master_list_testing.Add(new List <List <Indicator_FutureValueChange_Pair> >());
                    for (int j = 0; j < symbol_list.Count; j++)
                    {
                        master_list_training[i].Add(new List <Indicator_FutureValueChange_Pair>());
                        master_list_testing[i].Add(new List <Indicator_FutureValueChange_Pair>());
                    }
                }
            }
            else if (State == State.DataLoaded)
            {
                //master_symbol_name = Instrument.MasterInstrument.Name;

                bDataLoaded = true;

                TrainingStartDate = TestingEndDate.AddYears(-1);
                TrainingEndDate   = TestingEndDate.AddDays(-91);
                //TestingStartDate = TestingEndDate.AddDays(-90);

                output_folder_with_date = output_folder + DateTime.Today.ToString("ddMMMyyyy") + "\\";

                DirectoryInfo di1 = Directory.CreateDirectory(output_folder_with_date);

                //3-2d-10%-01Jan2018-01Jul2018

                Strategy_Description = Strategy_Num.ToString() + "-" + DaysToHold.ToString() + "d-" + StopLossPercent.ToString() + "%-" +
                                       TestingStartDate.ToString("ddMMMyyyy") + "-" + TestingEndDate.ToString("ddMMMyyyy");
                results_folder = output_folder_with_date + Strategy_Description;

                //DirectoryInfo di2 = Directory.CreateDirectory(results_folder);
            }
            else if ((bDataLoaded == true) && ((State == State.Transition) || (State == State.Terminated)))  //finished processing historical data (and ready for real-time)
            {
            }
        }
Exemple #4
0
        protected override void OnBarUpdate()
        {
            //if (BarsInProgress == 0)
            //{
            int BarIndex = BarsInProgress;

            bool bFinishedProcessingAllData = false;

            if (((CurrentBar + 1) == Count) && BarIndex == (symbol_list.Count - 1))      //we are on the last bar to process
            {
                bFinishedProcessingAllData = true;
            }

            if ((BarIndex >= 1) && (BarIndex < (symbol_list.Count)))     //Start at index=1 since we want to ignore the primary/dummy instrument
            {
                DateTime date_to_process = Times[BarIndex][0].Date;      //need to wait FutureValueDaysToLookAhead days before we can make calcs

                string symbol_name   = symbol_list[BarIndex];
                double current_price = Closes[BarIndex][0];

                List <TradeTriggerByDate> triggers = trade_triggers[BarIndex];
                for (int i = 0; i < triggers.Count; i++)
                {
                    TradeTriggerByDate trig           = triggers[i];
                    string             trade_id_str   = symbol_name;
                    string             trade_exit_str = "Exit " + trade_id_str;

                    //if (DaysSincePurchase[BarIndex] >= 0)  //Trade in-progress
                    if (trig.Status == "InProgress")
                    {
                        if ((date_to_process > trig.TradeDate))     // && (date_to_process <= trig.TradeDate.AddDays(trig.DaysToHold)))
                        {
                            DaysSincePurchase[BarIndex]++;


                            if (DaysSincePurchase[BarIndex] == DaysToHold)     //Use input parameter rather than reading from file trig.DaysToHold //Set Exit for end of nth day
                            {
                                trig.Status            = "Completed";
                                Trade_Status[BarIndex] = "Idle";
                                ExitLong(BarIndex, NumShares[BarIndex], trade_exit_str, trade_id_str);
                                DaysSincePurchase[BarIndex] = -1;
                            }
                        }
                    }
                    //else if ((trig.TradeDate == date_to_process) && (Trade_Status[BarIndex] != "InProgress"))  //prevent multiple entries for same symbol
                    else if ((trig.TradeDate == date_to_process) && (Trade_Status[BarIndex] != "InProgress")) //prevent multiple entries for same symbol
                    {
                        if (current_price < AmountPerTrade)                                                   //if price is greater than max per trade, then we cannot purchase
                        {
                            Trade_Status[BarIndex]      = "InProgress";
                            DaysSincePurchase[BarIndex] = 0;
                            trig.Status         = "InProgress";
                            NumShares[BarIndex] = (int)(AmountPerTrade / current_price);
                            EnterLong(BarIndex, NumShares[BarIndex], trade_id_str);
                            scanner_results.Add(trig.Symbol + " " + trig.TradeDate.ToShortDateString() + " " + DaysToHold.ToString());
                        }
                    }
                }
            }

            if (bFinishedProcessingAllData)
            {
                WriteStringListToCSV(scanner_results, "c:\\temp\\knn\\scanner_results.txt");
            }
            //}
        }