protected override Signal GenerateSignal(Security security, DateTime AsOf)
{
security.SetSwingPointsAndTrends(BarCount, PriceBarSize.Weekly);
// Only generate signals after the last close of the week has finalized this bar
if (AsOf != Calendar.LastTradingDayOfWeek(AsOf))
{
return(null);
}
// Today's weekly trend
PriceBar weeklyBar = security.GetPriceBar(AsOf, PriceBarSize.Weekly);
if (weeklyBar == null)
{
return(null);
}
TrendQualification weeklyTrend = weeklyBar.GetTrendType(BarCount);
// Get the weekly trend from the prior week
PriceBar priorWeek = weeklyBar.PriorBar;
TrendQualification priorWeekTrend = priorWeek?.GetTrendType(BarCount) ?? TrendQualification.NotSet;
if (weeklyTrend == priorWeekTrend)
{
return(null);
}
if (weeklyTrend == TrendQualification.AmbivalentSideways ||
weeklyTrend == TrendQualification.ConfirmedSideways ||
weeklyTrend == TrendQualification.SuspectSideways)
{
return(new Signal(security, PriceBarSize.Daily, AsOf, SignalAction.CloseIfOpen, 1));
}
if (weeklyTrend == TrendQualification.SuspectBullish ||
weeklyTrend == TrendQualification.ConfirmedBullish)
{
return(new Signal(security, PriceBarSize.Daily, AsOf, SignalAction.Buy, 1));
}
if (weeklyTrend == TrendQualification.SuspectBearish ||
weeklyTrend == TrendQualification.ConfirmedBearish)
{
return(new Signal(security, PriceBarSize.Daily, AsOf, SignalAction.Sell, 1));
}
return(null);
}
public void SetTrendType(int bars, TrendQualification value)
{
if (!Security.AreSwingPointsSet(this.BarSize, bars))
{
this.Security.SetSwingPointsAndTrends(bars, this.BarSize);
}
//throw new UnknownErrorException() { message = "Must Initialize prior to access" };
if (!SwingPointTrendInfo.ContainsKey(bars))
{
this.SwingPointTrendInfo.Add(bars, new TrendInfo());
}
SwingPointTrendInfo[bars].TrendType = value;
}
protected override Signal GenerateSignal(Security security, DateTime AsOf)
{
TrendQualification sectorTrend = GetSectorTrend(security, AsOf);
security.SetSwingPointsAndTrends(BarCount, BarSize);
var bar = security.GetPriceBar(AsOf, BarSize);
if (bar == null || bar.PriorBar == null)
{
return(null);
}
// If this bar does not represent a transition point, no signal
var priorTrend = bar.PriorBar.GetTrendType(BarCount);
if (bar.GetTrendType(BarCount) == priorTrend)
{
return(null);
}
switch (bar.GetTrendType(BarCount))
{
case TrendQualification.NotSet:
case TrendQualification.AmbivalentSideways:
case TrendQualification.SuspectSideways:
case TrendQualification.ConfirmedSideways:
//return new Signal(security, AsOf, SignalAction.CloseIfOpen);
return(null);
case TrendQualification.SuspectBullish:
if (priorTrend != TrendQualification.ConfirmedBullish && GetTrendAlignment(sectorTrend, TrendQualification.SuspectBullish) == TrendAlignment.Bullish)
{
return(new Signal(security, BarSize, AsOf, SignalAction.Buy));
}
break;
case TrendQualification.ConfirmedBullish:
if (GetTrendAlignment(sectorTrend, TrendQualification.ConfirmedBullish) == TrendAlignment.Bullish)
{
return(new Signal(security, BarSize, AsOf, SignalAction.Buy));
}
break;
case TrendQualification.SuspectBearish:
if (priorTrend != TrendQualification.ConfirmedBearish && GetTrendAlignment(sectorTrend, TrendQualification.SuspectBullish) == TrendAlignment.Bearish)
{
return(new Signal(security, BarSize, AsOf, SignalAction.Sell));
}
break;
case TrendQualification.ConfirmedBearish:
if (GetTrendAlignment(sectorTrend, TrendQualification.ConfirmedBearish) == TrendAlignment.Bearish)
{
return(new Signal(security, BarSize, AsOf, SignalAction.Sell));
}
break;
}
return(null);
}
protected override Signal GenerateSignal(Security security, DateTime AsOf)
{
security.SetSwingPointsAndTrends(BarCount, PriceBarSize.Daily);
security.SetSwingPointsAndTrends(BarCount, PriceBarSize.Weekly);
// Today's daily trend
PriceBar dailyBar = security.GetPriceBar(AsOf, PriceBarSize.Daily);
TrendQualification dailyTrend = dailyBar.GetTrendType(BarCount);
// Today's weekly trend
// We use last week's value until this week is completed on Friday, then we can start using that bar
PriceBar weeklyBar = security.GetPriceBar(AsOf, PriceBarSize.Weekly);
if (AsOf != Calendar.LastTradingDayOfWeek(AsOf))
{
weeklyBar = weeklyBar?.PriorBar;
}
if (weeklyBar == null)
{
return(null);
}
TrendQualification weeklyTrend = weeklyBar.GetTrendType(BarCount);
TrendAlignment currentTrendAlignment = GetTrendAlignment(dailyTrend, weeklyTrend);
if (currentTrendAlignment == TrendAlignment.Sideways || currentTrendAlignment == TrendAlignment.Opposing)
{
return(new Signal(security, PriceBarSize.Daily, AsOf, SignalAction.CloseIfOpen, 1));
}
// Get the trend from the last period
if (dailyBar.PriorBar == null)
{
return(null);
}
TrendQualification priorDayTrend = dailyBar.PriorBar.GetTrendType(BarCount);
// Get the weekly trend from the prior day, which will align with yesterday's daily trend
PriceBar priorWeek = security.GetPriceBar(Calendar.PriorTradingDay(AsOf), PriceBarSize.Weekly);
if (priorWeek == null)
{
return(null);
}
TrendQualification priorWeekTrend = priorWeek.GetTrendType(BarCount);
TrendAlignment priorTrendAlignment = GetTrendAlignment(priorDayTrend, priorWeekTrend);
if (currentTrendAlignment == priorTrendAlignment)
{
return(null);
}
if (currentTrendAlignment == TrendAlignment.Bullish)
{
if (dailyTrend == TrendQualification.ConfirmedBullish && weeklyTrend == TrendQualification.ConfirmedBullish)
{
return(new Signal(security, PriceBarSize.Daily, AsOf, SignalAction.Buy, 1.0));
}
//if (dailyTrend == TrendQualification.SuspectBullish && weeklyTrend == TrendQualification.ConfirmedBullish)
// return new Signal(security, PriceBarSize.Daily, AsOf, SignalAction.Buy, .75);
//if (dailyTrend == TrendQualification.ConfirmedBullish && weeklyTrend == TrendQualification.SuspectBullish)
// return new Signal(security, PriceBarSize.Daily, AsOf, SignalAction.Buy, .50);
//if (dailyTrend == TrendQualification.SuspectBullish && weeklyTrend == TrendQualification.SuspectBullish)
// return new Signal(security, PriceBarSize.Daily, AsOf, SignalAction.Buy, .25);
}
if (currentTrendAlignment == TrendAlignment.Bearish)
{
if (dailyTrend == TrendQualification.ConfirmedBearish && weeklyTrend == TrendQualification.ConfirmedBearish)
{
return(new Signal(security, PriceBarSize.Daily, AsOf, SignalAction.Sell, 1.0));
}
//if (dailyTrend == TrendQualification.SuspectBearish && weeklyTrend == TrendQualification.ConfirmedBearish)
// return new Signal(security, PriceBarSize.Daily, AsOf, SignalAction.Sell, .75);
//if (dailyTrend == TrendQualification.ConfirmedBearish && weeklyTrend == TrendQualification.SuspectBearish)
// return new Signal(security, PriceBarSize.Daily, AsOf, SignalAction.Sell, .50);
//if (dailyTrend == TrendQualification.SuspectBearish && weeklyTrend == TrendQualification.SuspectBearish)
// return new Signal(security, PriceBarSize.Daily, AsOf, SignalAction.Sell, .25);
}
return(null);
}
public NetChangeByTrendType(TrendQualification trendType)
{
this.TrendType = trendType;
}
public static List <NetChangeByTrendType> GetNetChangeByTrendType(this Security me, PriceBarSize priceBarSize, int barCount, DateTime?start = null, DateTime?end = null)
{
List <PriceBar> PriceBarsUsed;
switch (priceBarSize)
{
case PriceBarSize.Weekly:
{
PriceBarsUsed = me.WeeklyPriceBarData;
if (!start.HasValue)
{
start = me.GetFirstBar(PriceBarSize.Weekly).BarDateTime;
end = me.GetLastBar(PriceBarSize.Weekly).BarDateTime;
}
if (start.HasValue && !end.HasValue)
{
throw new UnknownErrorException()
{
message = "Invalid input dates"
}
}
;
start = FirstTradingDayOfWeek(start.Value);
end = FirstTradingDayOfWeek(end.Value);
}
break;
case PriceBarSize.Monthly:
{
PriceBarsUsed = me.MonthlyPriceBarData;
if (!start.HasValue)
{
start = me.GetFirstBar(PriceBarSize.Monthly).BarDateTime;
end = me.GetLastBar(PriceBarSize.Monthly).BarDateTime;
}
if (start.HasValue && !end.HasValue)
{
throw new UnknownErrorException()
{
message = "Invalid input dates"
}
}
;
start = FirstTradingDayOfMonth(start.Value);
end = FirstTradingDayOfMonth(end.Value);
}
break;
case PriceBarSize.Quarterly:
{
PriceBarsUsed = me.QuarterlyPriceBarData;
if (!start.HasValue)
{
start = me.GetFirstBar(PriceBarSize.Quarterly).BarDateTime;
end = me.GetLastBar(PriceBarSize.Quarterly).BarDateTime;
}
if (start.HasValue && !end.HasValue)
{
throw new UnknownErrorException()
{
message = "Invalid input dates"
}
}
;
start = FirstTradingDayOfQuarter(start.Value);
end = FirstTradingDayOfQuarter(end.Value);
}
break;
case PriceBarSize.Daily:
default:
{
PriceBarsUsed = me.DailyPriceBarData;
if (!start.HasValue)
{
start = me.GetFirstBar(PriceBarSize.Daily).BarDateTime;
end = me.GetLastBar(PriceBarSize.Daily).BarDateTime;
}
if (start.HasValue && !end.HasValue)
{
throw new UnknownErrorException()
{
message = "Invalid input dates"
}
}
;
}
break;
}
if (PriceBarsUsed.Count == 0)
{
return(null);
}
// Create a return list of all trends except NotSet
var ret = new List <NetChangeByTrendType>();
foreach (var trend in Enum.GetValues(typeof(TrendQualification)))
{
if ((TrendQualification)trend != TrendQualification.NotSet)
{
ret.Add(new Analysis.NetChangeByTrendType((TrendQualification)trend));
}
}
// Set swingpoints and trends if not done already
me.SetSwingPointsAndTrends(barCount, priceBarSize);
// Get the first bar, ignore the starting ambilavent trend
PriceBar currentBar = me.GetPriceBar(start.Value, priceBarSize);
// Track the current trend as we go through each bar
TrendQualification currentTrend = currentBar.GetTrendType(barCount);
while (currentBar != null && currentBar.GetTrendType(barCount) == currentTrend)
{
currentBar = currentBar.NextBar;
}
PriceBar firstBarOfTrend = null;
PriceBar lastBarOfTrend = null;
while (currentBar != null)
{
// Since the trend change is based on the ending value for a bar, we track a trend from the second instance through the first bar of the next trend
if (currentTrend != currentBar.GetTrendType(barCount))
{
lastBarOfTrend = currentBar;
if (firstBarOfTrend != null)
{
var trendResult = ret.Find(x => x.TrendType == currentTrend);
trendResult.AddValues(firstBarOfTrend, lastBarOfTrend);
}
firstBarOfTrend = currentBar.NextBar;
currentTrend = currentBar.GetTrendType(barCount);
}
currentBar = currentBar.NextBar;
}
return(ret);
}