public override void OnData(Slice slice)
{
if (_dailyReturns.Samples == 0)
{
SetHoldings(spy, _spyAllocation);
SetHoldings(tlt, _tltAllocation);
}
else if (_dailyReturns.IsReady)
{
var highestSharpe = 0m;
for (decimal spyAllocation = 0.0m, tltAllocation = 1.0m;
spyAllocation <= 1.0m;
spyAllocation += 0.1m, tltAllocation -= 0.1m)
{
var sharpe = VolatilityScaledSharpeRatio(spyAllocation, tltAllocation);
if (sharpe > highestSharpe)
{
_spyAllocation = spyAllocation;
_tltAllocation = tltAllocation;
}
}
_sd.Reset();
_dailyReturns.Reset();
_previousTradeBar = null;
return;
}
if (_previousTradeBar != null)
{
UpdateDailyReturn();
}
_previousTradeBar = new Tuple <TradeBar, TradeBar>(slice[spy], slice[tlt]);
}
public void Reset()
{
// Not resetting the ITrend increases returns
sma.Reset();
SMAMomentum.Reset();
MomentumWindow.Reset();
}
public void Reset()
{
DecycleTrend.Reset();
InverseFisher.Reset();
InvFisherRW.Reset();
LightSmoothPrice.Reset();
Momersion.Reset();
}
/// <summary>
/// Resets to the initial state
/// </summary>
public override void Reset()
{
_price.Reset();
_filt.Reset();
_filt.Add(0);
_filt.Add(0);
base.Reset();
}
public void ResetsProperly()
{
var window = new RollingWindow <int>(3)
{
0, 1, 2
};
window.Reset();
Assert.AreEqual(0, window.Samples);
}
public void RetievesNonZeroIndexProperlyAfterReset()
{
var window = new RollingWindow <int>(3);
window.Add(0);
Assert.AreEqual(1, window.Count);
Assert.AreEqual(0, window[0]);
window.Add(1);
Assert.AreEqual(2, window.Count);
Assert.AreEqual(0, window[1]);
Assert.AreEqual(1, window[0]);
window.Add(2);
Assert.AreEqual(3, window.Count);
Assert.AreEqual(0, window[2]);
Assert.AreEqual(1, window[1]);
Assert.AreEqual(2, window[0]);
window.Add(3);
Assert.AreEqual(3, window.Count);
Assert.AreEqual(1, window[2]);
Assert.AreEqual(2, window[1]);
Assert.AreEqual(3, window[0]);
window.Reset();
window.Add(0);
Assert.AreEqual(1, window.Count);
Assert.AreEqual(0, window[0]);
window.Add(1);
Assert.AreEqual(2, window.Count);
Assert.AreEqual(0, window[1]);
Assert.AreEqual(1, window[0]);
window.Add(2);
Assert.AreEqual(3, window.Count);
Assert.AreEqual(0, window[2]);
Assert.AreEqual(1, window[1]);
Assert.AreEqual(2, window[0]);
window.Add(3);
Assert.AreEqual(3, window.Count);
Assert.AreEqual(1, window[2]);
Assert.AreEqual(2, window[1]);
Assert.AreEqual(3, window[0]);
}
public override void Initialize()
{
SetStartDate(2015, 1, 1);
SetEndDate(DateTime.Now);
SetCash(10000);
AddSecurity(SecurityType.Equity, spy, _dataResolution);
AddSecurity(SecurityType.Equity, tlt, _dataResolution);
_sd = new StandardDeviation(LookbackPeriod - 1);
_dailyReturns = new RollingWindow <Tuple <decimal, decimal> >(LookbackPeriod - 1);
var spyHistory = History(spy, TimeSpan.FromDays(LookbackPeriod), _dataResolution);
var tltHistory = History(tlt, TimeSpan.FromDays(LookbackPeriod), _dataResolution);
var history = spyHistory.Zip(tltHistory, (spyBar, tltBar) => new Tuple <TradeBar, TradeBar>(spyBar, tltBar));
var highestSharpe = 0m;
for (decimal spyAllocation = 0.0m, tltAllocation = 1.0m; spyAllocation <= 1.0m; spyAllocation += 0.1m, tltAllocation -= 0.1m)
{
var previousBar = history.First();
foreach (var tradeBar in history.Skip(1))
{
var spyReturn = spyAllocation * (tradeBar.Item1.Close - previousBar.Item1.Close) / previousBar.Item1.Close;
var tltReturn = tltAllocation * (tradeBar.Item2.Close - previousBar.Item2.Close) / previousBar.Item2.Close;
_dailyReturns.Add(new Tuple <decimal, decimal>(spyReturn, tltReturn));
_sd.Update(tradeBar.Item1.EndTime, spyReturn + tltReturn);
previousBar = tradeBar;
}
var mean = _dailyReturns.Select(dailyReturn => dailyReturn.Item1 + dailyReturn.Item2).Average();
var sharpe = mean / Convert.ToDecimal(Math.Pow(Convert.ToDouble(_sd), _volatilityFactor));
if (sharpe > highestSharpe)
{
highestSharpe = sharpe;
_spyAllocation = spyAllocation;
_tltAllocation = tltAllocation;
}
_sd.Reset();
_dailyReturns.Reset();
}
}
public void UpdateWeights()
{
var highestSharpe = 0m;
for (decimal spyAllocation = 0.0m, tltAllocation = 1.0m;
spyAllocation <= 1.0m;
spyAllocation += 0.1m, tltAllocation -= 0.1m)
{
var sharpe = VolatilityScaledSharpeRatio(spyAllocation, tltAllocation);
if (sharpe > highestSharpe)
{
_spyAllocation = spyAllocation;
_tltAllocation = tltAllocation;
highestSharpe = sharpe;
}
}
_sd.Reset();
_dailyReturns.Reset();
}
public void ResetsProperly()
{
var window = new RollingWindow<int>(3) { 0, 1, 2 };
window.Reset();
Assert.AreEqual(0, window.Samples);
}
/// <summary>
/// Resets this instance.
/// </summary>
public void Reset()
{
fastEMA.Reset();
slowEMA.Reset();
EMADiffRW.Reset();
}
/// <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)
{
#region logging
comment = string.Empty;
tradingDate = this.Time;
#endregion
barcount++;
// Logs a TradeBar to the mylog
TradeBar tradebar;
List <TradeBar> list = new List <TradeBar>();
foreach (var item in data.Values)
{
list.Add(new TradeBar(item.EndTime, item.Symbol, item.Open, item.High, item.Low, item.Close, item.Volume, null));
}
string output = JsonConvert.SerializeObject(list);
string path = @"C:\Users\Nick\Documents\Visual Studio 2013\Projects\LeanITrend\Engine\bin\Debug\";
string pathname = path + "BrokerSimulatorTestData.json";
if (File.Exists(pathname))
{
File.Delete(pathname);
}
using (StreamWriter sw = new StreamWriter(pathname))
{
sw.Write(output);
sw.Flush();
sw.Close();
}
_brokerSimulator.PricesWindow.Add(data);
// Add the history for the bar
var time = this.Time;
Price.Add(idp(time, (data[symbol].Close + data[symbol].Open) / 2));
//// Update the indicators
trend.Update(idp(time, Price[0].Value));
trendHistory.Add(CalculateNewTrendHistoryValue(barcount, time, Price, trend));
#region lists
foreach (var listitem in trendHistoryList)
{
trendList[listitem.Key].Update(idp(time, Price[0].Value));
listitem.Value.Add(idp(time, CalculateNewTrendHistoryValue(barcount, time, Price, trendList[listitem.Key])));
}
#endregion
if (Portfolio[symbol].Invested)
{
tradesize = Math.Abs(Portfolio[symbol].Quantity);
}
else
{
tradesize = (int)(_transactionSize / Convert.ToInt32(Price[0].Value + 1));
}
string matrix = GetTradingSignals(data);
#region logging
sharesOwned = Portfolio[symbol].Quantity;
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}",
this.Time,
barcount,
tradesize,
data[symbol].Open,
data[symbol].High,
data[symbol].Low,
data[symbol].Close,
this.Time.ToShortTimeString(),
Price[0].Value,
//trend.Current.Value,
//trendTrigger[0].Value,
comment,
signal,
nEntryPrice,
nEntryPrice1,
orderId,
Portfolio.TotalUnrealisedProfit,
sharesOwned,
tradeprofit,
tradefees,
tradenet,
Portfolio.TotalPortfolioValue,
"",
"",
"",
""
);
logmsg += matrix;
mylog.Debug(logmsg);
// reset the trade profit
tradeprofit = 0;
tradefees = 0;
tradenet = 0;
#endregion
if (this.Time.Hour == 16)
{
trend.Reset();
trendHistory.Reset();
iTrendStrategy.Reset();
foreach (var r in trendHistoryList)
{
r.Value.Reset();
strategyList[r.Key].Reset();
}
//trendTrigger.Reset();
barcount = 0;
Plot("Strategy Equity", "Portfolio", Portfolio.TotalPortfolioValue);
}
}
public void RetievesNonZeroIndexProperlyAfterReset()
{
var window = new RollingWindow<int>(3);
window.Add(0);
Assert.AreEqual(1, window.Count);
Assert.AreEqual(0, window[0]);
window.Add(1);
Assert.AreEqual(2, window.Count);
Assert.AreEqual(0, window[1]);
Assert.AreEqual(1, window[0]);
window.Add(2);
Assert.AreEqual(3, window.Count);
Assert.AreEqual(0, window[2]);
Assert.AreEqual(1, window[1]);
Assert.AreEqual(2, window[0]);
window.Add(3);
Assert.AreEqual(3, window.Count);
Assert.AreEqual(1, window[2]);
Assert.AreEqual(2, window[1]);
Assert.AreEqual(3, window[0]);
window.Reset();
window.Add(0);
Assert.AreEqual(1, window.Count);
Assert.AreEqual(0, window[0]);
window.Add(1);
Assert.AreEqual(2, window.Count);
Assert.AreEqual(0, window[1]);
Assert.AreEqual(1, window[0]);
window.Add(2);
Assert.AreEqual(3, window.Count);
Assert.AreEqual(0, window[2]);
Assert.AreEqual(1, window[1]);
Assert.AreEqual(2, window[0]);
window.Add(3);
Assert.AreEqual(3, window.Count);
Assert.AreEqual(1, window[2]);
Assert.AreEqual(2, window[1]);
Assert.AreEqual(3, window[0]);
}
/// <summary>
/// Resets this indicator to its initial state
/// </summary>
public override void Reset()
{
_multipliedDiffWindow.Reset();
base.Reset();
}
/// <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)
{
#region logging
comment = string.Empty;
tradingDate = this.Time;
#endregion
barcount++;
// Add the history for the bar
var time = this.Time;
Price.Add(idp(time, (data[symbol].Close + data[symbol].Open) / 2));
// Update the indicators
trend.Update(idp(time, Price[0].Value));
trendHistory.Add(CalculateNewTrendHistoryValue(barcount, time, Price, trend));
#region lists
#endregion
if (barcount > 17)
{
comment = "";
}
var of = CancelUnfilledLimitOrders();
iTrendStrategy.orderFilled = of;
signal = Strategy(data);
#region logging
sharesOwned = Portfolio[symbol].Quantity;
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},{34},{35},{36},{37}",
time,
barcount,
data[symbol].Volume,
data[symbol].Open,
data[symbol].High,
data[symbol].Low,
data[symbol].Close,
data[symbol].EndTime,
data[symbol].Period,
data[symbol].DataType,
data[symbol].IsFillForward,
data[symbol].Time,
data[symbol].Symbol,
data[symbol].Value,
data[symbol].Price,
"",
time.ToShortTimeString(),
Price[0].Value,
trend.Current.Value,
signals[0],
iTrendStrategy.nTrig,
iTrendStrategy.orderFilled,
iTrendStrategy.nEntryPrice,
comment,
"",
nEntryPrice,
nExitPrice,
tradeResult,
orderId,
Portfolio.TotalUnrealisedProfit,
sharesOwned,
tradeprofit,
tradefees,
tradenet,
Portfolio.TotalPortfolioValue,
"",
"",
""
);
mylog.Debug(logmsg);
// reset the trade profit
tradeprofit = 0;
tradefees = 0;
tradenet = 0;
#endregion
// At the end of day, reset the trend and trendHistory
if (time.Hour == 16)
{
trend.Reset();
trendHistory.Reset();
iTrendStrategy.Reset();
barcount = 0;
Plot("Strategy Equity", "Portfolio", Portfolio.TotalPortfolioValue);
}
}
/// <summary>
/// Resets all indicators of this object to its initial state
/// </summary>
public void Reset()
{
_roc.Updated -= OnRateOfChangeUpdated;
_roc.Reset();
_window.Reset();
}
/// <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)
{
#region logging
comment = string.Empty;
tradingDate = this.Time;
#endregion
barcount++;
// Add the history for the bar
var time = this.Time;
Price.Add(idp(time, (data[symbol].Close + data[symbol].Open) / 2));
// Update the indicators
trend.Update(idp(time, Price[0].Value));
trendHistory.Add(CalculateNewTrendHistoryValue(barcount, time, Price, trend));
#region lists
#endregion
if (Portfolio[symbol].Invested)
{
tradesize = Math.Abs(Portfolio[symbol].Quantity);
}
else
{
tradesize = (int)(_transactionSize / Convert.ToInt32(Price[0].Value + 1));
}
if (barcount > 100)
{
comment = "";
}
CanceledUnfilledLimitOrder();
Strategy(data);
#region logging
sharesOwned = Portfolio[symbol].Quantity;
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}",
time,
barcount,
tradesize,
data[symbol].Volume,
data[symbol].Open,
data[symbol].High,
data[symbol].Low,
data[symbol].Close,
data[symbol].EndTime,
data[symbol].Period,
data[symbol].DataType,
data[symbol].IsFillForward,
data[symbol].Time,
data[symbol].Symbol,
data[symbol].Value,
data[symbol].Price,
"",
time.ToShortTimeString(),
Price[0].Value,
trend.Current.Value,
comment,
signal,
nEntryPrice,
nExitPrice,
tradeResult,
orderId,
Portfolio.TotalUnrealisedProfit,
sharesOwned,
tradeprofit,
tradefees,
tradenet,
Portfolio.TotalPortfolioValue,
"",
"",
""
);
mylog.Debug(logmsg);
// reset the trade profit
tradeprofit = 0;
tradefees = 0;
tradenet = 0;
#endregion
if (time.Hour == 16)
{
trend.Reset();
trendHistory.Reset();
barcount = 0;
Plot("Strategy Equity", "Portfolio", Portfolio.TotalPortfolioValue);
}
}
public void Reset()
{
ITrend.Reset();
ITrendMomentum.Reset();
MomentumWindow.Reset();
}
/// <summary>
/// Resets this indicator to its initial state
/// </summary>
public override void Reset()
{
_window.Reset();
_windowTimes.Reset();
base.Reset();
}
/// <summary>
/// Resets this indicator to its initial state
/// </summary>
public override void Reset()
{
base.Reset();
_rollingRvi.Reset();
}
/// <summary>
/// Resets this instance.
/// </summary>
public void Reset()
{
rsi.Reset();
rsiRW.Reset();
}
/// <summary>
/// Resets this indicator to its initial state
/// </summary>
public override void Reset()
{
_adx.Reset();
_adxHistory.Reset();
base.Reset();
}
/// <summary>
/// Resets the average to its initial state
/// </summary>
public override void Reset()
{
_high.Reset();
_low.Reset();
base.Reset();
}