private Deal GetDaysDeal(List <Candle> daysCandles)
{
var allExtremums = extremumsFinder.FindAllSecondExtremums(daysCandles);
foreach (var extremum in allExtremums)
{
var startIndex = extremum.CheckerIndex;
if (startIndex == daysCandles.Count - 1)
{
break;
}
var startCandle = daysCandles[startIndex + 1];
var startPrice = startCandle.Open;
var distFromOpen = startPrice - daysCandles.First().Open;
bool isTrendLong = distFromOpen > 0;
if (isTrendLong != extremum.IsMinimum)
{
continue;
}
if (Math.Abs(distFromOpen) > maxDistFromOpen)
{
return(null);
}
var stopResult = stopLossManager.GetTrailingStopResult(daysCandles, startIndex, isTrendLong, allExtremums.SkipWhile(ex => ex.CheckerIndex <= startIndex).ToList());
// var stopResult = stopLossManager.GetTrailingStopResult(daysCandles.Skip(startIndex + 1), isTrendLong);
var endPrice = stopResult != -1 ? stopResult : daysCandles[daysCandles.Count - 1].Close;
return(new Deal(startPrice, endPrice, isTrendLong, startCandle.DateTime));
}
return(null);
}
private Deal GetDaysDeal(List <Candle> daysCandles)
{
var allExtremums = extremumsFinder.FindAllSecondExtremums(daysCandles);
foreach (var extremum in allExtremums)
{
var startIndex = extremum.CheckerIndex;
if (startIndex == daysCandles.Count - 1)
{
break;
}
var startCandle = daysCandles[startIndex + 1];
if (startCandle.Time > lastTradeTime)
{
break;
}
var startPrice = startCandle.Open;
// bool isTrendLong = extremum.Value > daysCandles.First().Open;
bool isTrendLong = startPrice > daysCandles.First().Open;
if (isTrendLong != extremum.IsMinimum)
{
continue;
}
//isTrendLong = extremum.IsMinimum;
/*if (!isTrendLong)
* continue;*/
var dynamicStopLoss = GetDynamicStopLoss(startPrice, isTrendLong, extremum);
var stopResult = GetStopResult(daysCandles.Skip(startIndex + 1), isTrendLong, dynamicStopLoss);
var endPrice = stopResult != -1 ? stopResult : daysCandles[daysCandles.Count - 1].Close;
return(new Deal(startPrice, endPrice, isTrendLong));
}
return(null);
}
public static void TestSecondExtremumsOrder(string toolName, int pegTopSize)
{
var repository = new HistoryRepository(toolName, false);
var extremumFinder = new ExtremumsFinder(pegTopSize);
foreach (var day in repository.Days)
{
var extremums = extremumFinder.FindAllSecondExtremums(day.FiveMins);
bool bad = false;
for (int i = 1; i < extremums.Count; ++i)
{
if (/*extremums[i].IsMinimum == extremums[i-1].IsMinimum && */ extremums[i].Date >= extremums[i - 1].Date && extremums[i].CheckerIndex < extremums[i - 1].CheckerIndex)
{
Console.Out.WriteLine(extremums[i] + "\t" + extremums[i - 1]);
bad = true;
}
}
Assert.That(!bad);
}
}
private List <Deal> GetDaysDeal(List <Candle> daysCandles)
{
var allExtremums = extremumsFinder.FindAllSecondExtremums(daysCandles);
bool inDeal = false;
bool isTrendLong = false;
int startIndex = 0;
var deals = new List <Deal>();
Extremum startExtremum = null;
foreach (var extremum in allExtremums)
{
if (inDeal)
{
if (extremum.IsMinimum == isTrendLong)
{
continue;
}
if (isTrendLong && (extremum.Value - startExtremum.Value) < minExtremumStep ||
!isTrendLong && (startExtremum.Value - extremum.Value) < minExtremumStep)
{
continue;
}
var startPrice = daysCandles[startIndex + 1].Open;
var dealCandles = daysCandles.Skip(startIndex + 1).Take(extremum.CheckerIndex - startIndex).ToList();
var stopResult = stopLossManager.GetBreakevenStopResult(dealCandles, isTrendLong);
var endPrice = stopResult != -1 ? stopResult : daysCandles[extremum.CheckerIndex].Close;
deals.Add(new Deal(startPrice, endPrice, isTrendLong, daysCandles[startIndex + 1].DateTime, startIndex + 1));
inDeal = false;
if (stopResult != -1)
{
break;
}
}
startExtremum = extremum;
startIndex = extremum.CheckerIndex;
if (startIndex == daysCandles.Count - 1)
{
break;
}
isTrendLong = extremum.IsMinimum;
inDeal = true;
}
if (inDeal)
{
var startPrice = daysCandles[startIndex + 1].Open;
var dealCandles = daysCandles.Skip(startIndex + 1).ToList();
var stopResult = stopLossManager.GetBreakevenStopResult(dealCandles, isTrendLong);
var endPrice = stopResult != -1 ? stopResult : daysCandles[dealCandles.Count - 1].Close;
deals.Add(new Deal(startPrice, endPrice, isTrendLong, daysCandles[startIndex + 1].DateTime, startIndex + 1));
}
return(deals);
}
