public void ResetsProperly()
{
int _period = 5;
DateTime time = DateTime.Now;
InverseFisherTransform InvFisher = new InverseFisherTransform(_period);
for (int i = 0; i < 6; i++)
{
InvFisher.Update(new IndicatorDataPoint(time, prices[i]));
time.AddMinutes(1);
}
Assert.IsTrue(InvFisher.IsReady, "Instantaneous Trend ready");
InvFisher.Reset();
TestHelper.AssertIndicatorIsInDefaultState(InvFisher);
}
public void InverseFisherComputesCorrectly()
{
int _period = 6;
DateTime time = DateTime.Now;
decimal[] actualValues = new decimal[20];
InverseFisherTransform InvFisher = new InverseFisherTransform(_period);
for (int i = 0; i < prices.Length; i++)
{
InvFisher.Update(new IndicatorDataPoint(time, prices[i]));
actualValues[i] = Math.Round(InvFisher.Current.Value, 6);
Console.WriteLine(actualValues[i]);
time.AddMinutes(1);
}
Assert.AreEqual(expectedValues, actualValues, "Estimation Inverse Fisher(6)");
}
/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="data">TradeBars IDictionary object with your stock data</param>
public void OnData(TradeBars data)
{
barcount++;
var time = this.Time;
Price.Add(idp(time, data[symbol].Close));
cycleSignal.Add(idp(time, cycle.Current.Value)); //add last iteration value for the cycle
cycle.Update(time, data[symbol].Close);
diff.Add(idp(time, cycle.Current.Value - cycleSignal[0].Value));
fish.Update(idp(time, cycle.Current.Value));
standardDeviation.Update(idp(time, fish.Current.Value));
fishHistory.Add(idp(time, fish.Current.Value));
Strategy(data);
//if (cycle.IsReady)
//{
string logmsg = string.Format("{0},{1},{2},{3},{4},{5},{6},{7},{8},{9},{10},{11},{12},{13},{14},{15},{16},{17},{18}",
this.Time,
barcount,
data[symbol].Open,
data[symbol].High,
data[symbol].Low,
data[symbol].Close,
Price[0].Value,
cycle.Current.Value,
cycleSignal[0].Value,
diff[0].Value,
fish.Current.Value, //10
standardDeviation.Current.Value * factor,
standardDeviation.Current.Value * -factor,
fillprice,
sharesOwned,
tradeprofit,
profit,
fees,
"");
mylog.Debug(logmsg);
//}
if (barcount == 50)
{
System.Diagnostics.Debug.WriteLine("here");
}
}
private void OnDataForSymbol(KeyValuePair <Symbol, TradeBar> data)
{
if (data.Key == "VIX")
{
vix = data.Value;
}
if (data.Key == new Symbol("SPY"))
{
wvfh.Update(data.Value);
wvfl.Update(data.Value);
ifwvfh.Update(wvfh.Current);
ifwvfl.Update(wvfl.Current);
ichi.Update(data.Value);
iTrend.Update(new IndicatorDataPoint(data.Value.EndTime, data.Value.Close));
#region "biglog"
if (!headingwritten)
{
StringBuilder sb = new StringBuilder();
sb.Append("Barcount, Symbol,EndTime,Volume,Open,High,Low,Close");
sb.Append(",EndTime");
sb.Append(",vix");
sb.Append(",iTrend");
sb.Append(",wvfh");
sb.Append(",fwvfh");
sb.Append(",wvfl");
sb.Append(",fwvfl");
sb.Append(",t1");
sb.Append(",k1");
sb.Append(",sa1");
sb.Append(",sb1");
sb.Append(",t5");
sb.Append(",k5");
sb.Append(",sa5");
sb.Append(",sb5");
sb.Append(",t10");
sb.Append(",k10");
sb.Append(",sa10");
sb.Append(",sb10");
mylog.Debug(sb.ToString());
headingwritten = true;
}
string logmsg =
string.Format(
"{0},{1},{2},{3},{4},{5},{6},{7},{8},{9},{10},{11},{12},{13},{14},{15},{16},{17},{18},{19}" +
",{20},{21},{22},{23},{24},{25},{26},{27}" //,{28},{29} "
//+ ",{30},{31},{32},{33}"
,
barcount,
data.Key,
data.Value.EndTime,
data.Value.Volume,
data.Value.Open,
data.Value.High,
data.Value.Low,
data.Value.Close,
data.Value.EndTime.ToShortTimeString(),
vix.Close,
iTrend.Current.Value,
wvfh.Current.Value,
ifwvfh.Current.Value * -1,
wvfl.Current.Value,
ifwvfl.Current.Value * -1,
//data.Value.EndTime.ToShortTimeString(),
//data.Value.Close,
ichi.Tenkan.Current.Value,
ichi.Kijun.Current.Value,
ichi.SenkouA.Current.Value,
ichi.SenkouB.Current.Value,
//data.Value.EndTime.ToShortTimeString(),
//data.Value.Close,
ichi5.Tenkan.Current.Value,
ichi5.Kijun.Current.Value,
ichi5.SenkouA.Current.Value,
ichi5.SenkouB.Current.Value,
//data.Value.EndTime.ToShortTimeString(),
//data.Value.Close,
ichi10.Tenkan.Current.Value,
ichi10.Kijun.Current.Value,
ichi10.SenkouA.Current.Value,
ichi10.SenkouB.Current.Value,
""
);
mylog.Debug(logmsg);
#endregion
}
}
