/// <param name="series"> a time series </param>
/// <returns> a global extrema strategy </returns>
public static Strategy BuildStrategy(TimeSeries series)
{
if (series == null)
{
throw new ArgumentException("Series cannot be null");
}
var closePrices = new ClosePriceIndicator(series);
// Getting the max price over the past week
var maxPrices = new MaxPriceIndicator(series);
var weekMaxPrice = new HighestValueIndicator(maxPrices, NB_TICKS_PER_WEEK);
// Getting the min price over the past week
var minPrices = new MinPriceIndicator(series);
var weekMinPrice = new LowestValueIndicator(minPrices, NB_TICKS_PER_WEEK);
// Going long if the close price goes below the min price
var downWeek = new MultiplierIndicator(weekMinPrice, Decimal.ValueOf("1.004"));
var buyingRule = new UnderIndicatorRule(closePrices, downWeek);
// Going short if the close price goes above the max price
var upWeek = new MultiplierIndicator(weekMaxPrice, Decimal.ValueOf("0.996"));
var sellingRule = new OverIndicatorRule(closePrices, upWeek);
return(new Strategy(buyingRule, sellingRule));
}
public void setUp()
{
Random r = new Random();
List <IBar> bars = new List <IBar>();
for (int i = 0; i < 1000; i++)
{
double open = r.NextDouble();
double close = r.NextDouble();
double max = Math.Max(close + r.NextDouble(), open + r.NextDouble());
double min = Math.Min(0, Math.Min(close - r.NextDouble(), open - r.NextDouble()));
DateTime dateTime = DateTime.Now;
IBar bar = new BaseBar(dateTime, (decimal)open, (decimal)close, (decimal)max, (decimal)min, i);
bars.Add(bar);
}
this.series = new BaseTimeSeries("test", bars);
this.openPriceIndicator = new OpenPriceIndicator(this.series);
this.minPriceIndicator = new MinPriceIndicator(this.series);
this.maxPriceIndicator = new MaxPriceIndicator(this.series);
this.volumeIndicator = new VolumeIndicator(this.series);
ClosePriceIndicator closePriceIndicator = new ClosePriceIndicator(this.series);
this.emaIndicator = new EMAIndicator(closePriceIndicator, 20);
}
/// <summary>
/// Constructor.
/// </summary>
/// <param name="series"> the series </param>
/// <param name="timeFrame"> the time frame </param>
public RandomWalkIndexLowIndicator(TimeSeries series, int timeFrame) : base(series)
{
_timeFrame = timeFrame;
_maxPrice = new MaxPriceIndicator(series);
_minPrice = new MinPriceIndicator(series);
_averageTrueRange = new AverageTrueRangeIndicator(series, timeFrame);
_sqrtTimeFrame = Decimal.ValueOf(timeFrame).Sqrt();
}
public IIIIndicator(ITimeSeries series)
: base(series)
{
_closePriceIndicator = new ClosePriceIndicator(series);
_maxPriceIndicator = new MaxPriceIndicator(series);
_minPriceIndicator = new MinPriceIndicator(series);
_volumeIndicator = new VolumeIndicator(series);
}
public WilliamsRIndicator(IIndicator <decimal> indicator, int timeFrame, MaxPriceIndicator MaxPriceIndicator, MinPriceIndicator MinPriceIndicator)
: base(indicator)
{
_indicator = indicator;
_timeFrame = timeFrame;
_maxPriceIndicator = MaxPriceIndicator;
_minPriceIndicator = MinPriceIndicator;
}
public StochasticOscillatorKIndicator(IIndicator <decimal> indicator, int timeFrame,
MaxPriceIndicator MaxPriceIndicator, MinPriceIndicator MinPriceIndicator)
: base(indicator)
{
_indicator = indicator;
_timeFrame = timeFrame;
_maxPriceIndicator = MaxPriceIndicator;
_minPriceIndicator = MinPriceIndicator;
}
/**
* Constructor.
*
* @param series the series
* @param timeFrame the time frame
*/
public RandomWalkIndexHighIndicator(ITimeSeries series, int timeFrame)
: base(series)
{
_timeFrame = timeFrame;
_maxPrice = new MaxPriceIndicator(series);
_minPrice = new MinPriceIndicator(series);
_averageTrueRange = new ATRIndicator(series, timeFrame);
_sqrtTimeFrame = ((decimal)timeFrame).Sqrt();
}
/**
* Constructor with custom parameters
* @param series the time series for this indicator
* @param aF acceleration factor
* @param MaxA Maximum acceleration
* @param increment the increment step
*/
public ParabolicSarIndicator(ITimeSeries series, decimal aF, decimal MaxA, decimal increment)
: base(series)
{
_series = series;
_maxPriceIndicator = new MaxPriceIndicator(series);
_minPriceIndicator = new MinPriceIndicator(series);
_maxAcceleration = MaxA;
_accelerationFactor = aF;
_accelerationIncrement = increment;
_accelarationStart = aF;
}
public void setUp()
{
timeSeries = new MockTimeSeries();
maxPriceIndicator = new MaxPriceIndicator(timeSeries);
}
public void SetUp()
{
_timeSeries = GenerateTimeSeries.WithArbitraryTicks();
_maxPriceIndicator = new MaxPriceIndicator(_timeSeries);
}
