public static List <CompletedTrade> TakeProfit_Exiguous_GoldenBoil(List <Trade> FullTradeList, int N, double stdev, int triggercount)
{
var TakeProfitList = new List <CompletedTrade>();
var TO = Trade.TradesOnly(FullTradeList);
var CompletedList = CompletedTrade.CreateList(TO);
var GoldenBoil = Factory_Indicator.createBollingerBand(N, stdev, GlobalObjects.Points, TicTacTec.TA.Library.Core.MAType.Sma);
foreach (var t in CompletedList)
{
var timeframe = from x in FullTradeList
where x.TimeStamp >= t.OpenTrade.TimeStamp && x.TimeStamp <= t.CloseTrade.TimeStamp
select x;
var trade = new CompletedTrade();
trade.OpenTrade = t.OpenTrade;
int boilTriggerCount = 0;
foreach (var ts in timeframe)
{
if (t.OpenTrade.Reason == Trade.Trigger.OpenShort)
{
if (ts.CurrentPrice < GoldenBoil.Where(z => z.TimeStamp == ts.TimeStamp).First().Lower)
{
boilTriggerCount++;
}
}
if (t.OpenTrade.Reason == Trade.Trigger.OpenLong)
{
if (ts.CurrentPrice > GoldenBoil.Where(z => z.TimeStamp == ts.TimeStamp).First().Upper)
{
boilTriggerCount++;
}
}
if (boilTriggerCount == triggercount)
{
trade.CloseTrade = ts;
break;
}
trade.CloseTrade = ts;
}
if (trade.OpenTrade.Reason == Trade.Trigger.OpenLong)
{
trade.CloseTrade.Reason = Trade.Trigger.CloseLong;
}
if (trade.OpenTrade.Reason == Trade.Trigger.OpenShort)
{
trade.CloseTrade.Reason = Trade.Trigger.CloseShort;
}
TakeProfitList.Add(trade);
}
return(TakeProfitList);
}
private void SetMAMA()
{ //cannot use linq, too slow
//0.01,0.01;
mama = Factory_Indicator.createAdaptiveMA_MAMA(_f, _m, VarList);
var FTL = _FullTradeList.Where(z => z.StopLoss_CenterLine != 0).ToList();
var Ftl_Count = FTL.Count;
var mam_Count = mama.Count;
//find first mama.time=TRL.time
var Ftl_Time_Equal_Mama_Time = FTL.Where(f => f.TimeStamp == mama[0].TimeStamp).First().TimeStamp;
int ftl_Start_Index = 0;
foreach (var Ft in FTL)
{
if (Ft.TimeStamp == Ftl_Time_Equal_Mama_Time)
{
break;
}
ftl_Start_Index++;
}
for (int x = 0; x < Ftl_Count - ftl_Start_Index; x++)
{
FTL[ftl_Start_Index + x].Mama = mama[x];
}
}
public static List <CompletedTrade> TakeProfit_Exiguous_AvgProfitPeriod(List <Price> EndOfDay, List <Trade> FullTradeList, int I, int ATR_Range, double ATR_Factor)
{
var TakeProfitList = new List <CompletedTrade>();
var TO = Trade.TradesOnly(FullTradeList);
var CompletedList = CompletedTrade.CreateList(TO);
var ATR = Factory_Indicator.createATR(ATR_Range, EndOfDay);
double pl = 0;
double count = 0;
double index = 0;
double tempPL = 0;
double TotalImprovement = 0;
List <TestData> TD = new List <TestData>();
foreach (var t in CompletedList)
{
var timeframe = from x in FullTradeList
where x.TimeStamp >= t.OpenTrade.TimeStamp && x.TimeStamp <= t.CloseTrade.TimeStamp
select x;
var TList = timeframe.ToList();
double A = 0;
double B = 0;
for (int x = 0; x < TList.Count; x++)
{
if (x > I && TList.First().TradeVolume != 2)
{
var adxYesterday = ATR.Where(z => z.TimeStamp.Date.AddDays(-1) == TList[x].TimeStamp.Date);
if (adxYesterday.ToList().Count() == 0)
{
break;
}
var Z = Math.Round((adxYesterday.First().AvgTrueRange *ATR_Factor), 2);
if (TList[x].RunningProfit < Z)
{
break;
}
A = TList[x].RunningProfit;
B = TList.Last().RunningProfit;
tempPL += TList[x].RunningProfit;
Debug.WriteLine(x + " " + TList[x].TimeStamp + " vol : " + TList.First().TradeVolume + " ADRxFact " + Z + " " + A + " VS " + B + " Diff : " + ((A - B) * TList.First().TradeVolume) + " Running " + TotalImprovement);
TotalImprovement += ((A - B)); //*TList.First().TradeVolume);
}
}
}
Debug.WriteLine("TOTAL IMPROVE I(" + I + ")" + " ATR_Range(" + ATR_Range + ") ATR_Factor(" + ATR_Factor + ") ====>> " + TotalImprovement);
return(CompletedList);
}
public static void StandardDevOnPL(List <Trade> Trades)
{
var viList = new List <VariableIndicator>();
var list = Trades.Where(z => z.Reason == Trade.Trigger.CloseLong || z.Reason == Trade.Trigger.CloseShort);
foreach (var l in list)
{
var VI = new VariableIndicator()
{
Value = l.TotalPL,
TimeStamp = l.TimeStamp,
};
viList.Add(VI);
}
var SDTDEV = Factory_Indicator.creatStandardDeviation(1, 10, viList);
foreach (var v in SDTDEV)
{
Debug.WriteLine(v.N + "," + v.SingleStdev + "," + v.CustomValue + "," + v.StdDev);
}
}
public static List <Trade> RegressionAnalysis_OnPL(int N, List <Trade> Trades)
{
List <VariableIndicator> V = new List <VariableIndicator>();
var tradeonlyList = Trades.Where(z => z.Reason == Trade.Trigger.CloseLong || z.Reason == Trade.Trigger.CloseShort);
foreach (var v in tradeonlyList)
{
var varindicator = new VariableIndicator()
{
TimeStamp = v.TimeStamp,
Value = v.TotalPL,
};
V.Add(varindicator);
}
var reg = Factory_Indicator.createRegression(N, V);
// var avg= reg.Sum(z => z.Slope) / reg.Count;
// Debug.WriteLine(avg);
foreach (var t in tradeonlyList)
{
foreach (var e in reg)
{
if (e.TimeStamp == t.TimeStamp)
{
t.Extention.Regression = e.Regression;
t.Extention.Slope = e.Slope;
t.Extention.OrderVol = 1;
}
}
}
return(tradeonlyList.ToList());
}
public static List <CompletedTrade> TakeProfit_Exiguous_SlowStoch_D(List <Trade> FullTradeList, int FK, int SK, int D, double H, double L)
{
var TakeProfitList = new List <CompletedTrade>();
var TO = Trade.TradesOnly(FullTradeList);
var CompletedList = CompletedTrade.CreateList(TO);
var SlowStoch = Factory_Indicator.createSlowStochastic(FK, SK, D, GlobalObjects.Points);
foreach (var t in CompletedList)
{
var timeframe = from x in FullTradeList
where x.TimeStamp >= t.OpenTrade.TimeStamp && x.TimeStamp <= t.CloseTrade.TimeStamp
select x;
var period = from x in SlowStoch
where x.TimeStamp >= t.OpenTrade.TimeStamp && x.TimeStamp <= t.CloseTrade.TimeStamp
select x;
// foreach (var v in period) Debug.WriteLine(v.TimeStamp + " " + v.D);
var trade = new CompletedTrade();
trade.OpenTrade = t.OpenTrade;
bool TookProfitLong = false;
bool TookProfitShort = false;
DateTime lowJumpUp = t.CloseTrade.TimeStamp;
DateTime highDipDown = t.CloseTrade.TimeStamp;
if (t.OpenTrade.Reason == Trade.Trigger.OpenLong)
{
bool touchedHigh = period.Where(z => z.D > H).Any();
DateTime highTime;
bool dipped;
if (touchedHigh)
{
highTime = period.Where(z => z.D > H).Select(a => a).First().TimeStamp;
var x = period.Where(z => z.TimeStamp > highTime && z.D < H);
dipped = x.Any();
if (dipped)
{
highDipDown = x.First().TimeStamp;
TookProfitLong = true;
}
else
{
TookProfitLong = false;
}
}
}
if (t.OpenTrade.Reason == Trade.Trigger.OpenShort)
{
// foreach (var v in period) Debug.WriteLine(v.TimeStamp + " " + v.D);
var touchedLow = period.Where(z => z.D < L).Any();
DateTime lowTime;
bool jumped;
if (touchedLow)
{
lowTime = (period.Where(z => z.D < L)).Select(a => a).First().TimeStamp;
var x = period.Where(z => z.TimeStamp > lowTime && z.D > L);
jumped = x.Any();
if (jumped)
{
lowJumpUp = x.First().TimeStamp;
TookProfitShort = true;
}
else
{
TookProfitShort = false;
}
}
}
if (TookProfitLong)
{
trade.CloseTrade.TimeStamp = highDipDown;
trade.CloseTrade.RunningProfit = timeframe.Where(z => z.TimeStamp == highDipDown).First().RunningProfit;
}
else
if (TookProfitShort)
{
trade.CloseTrade.TimeStamp = lowJumpUp;
trade.CloseTrade.RunningProfit = timeframe.Where(z => z.TimeStamp == lowJumpUp).First().RunningProfit;
}
else
{
trade.CloseTrade = t.CloseTrade;
}
//if (t.OpenTrade.Reason == Trade.Trigger.OpenShort)
// if (ts.CurrentPrice < GoldenBoil.Where(z => z.TimeStamp == ts.TimeStamp).First().Lower) boilTriggerCount++;
//if (t.OpenTrade.Reason == Trade.Trigger.OpenLong)
// if (ts.CurrentPrice > GoldenBoil.Where(z => z.TimeStamp == ts.TimeStamp).First().Upper) boilTriggerCount++;
//if (boilTriggerCount == triggercount)
//{
// trade.CloseTrade = ts;
// break;
//}
//trade.CloseTrade = ts;
if (trade.OpenTrade.Reason == Trade.Trigger.OpenLong)
{
trade.CloseTrade.Reason = Trade.Trigger.CloseLong;
}
if (trade.OpenTrade.Reason == Trade.Trigger.OpenShort)
{
trade.CloseTrade.Reason = Trade.Trigger.CloseShort;
}
TakeProfitList.Add(trade);
}
return(TakeProfitList);
}
private void SetRegressionSlopes()
{ //cannot use linq, too slow
var FTL = _FullTradeList.Where(z => z.StopLoss_CenterLine != 0).ToList();
var Ftl_Count = FTL.Count;
#region Regression Calcs-Regression of MAMA
var varList1 = new List <VariableIndicator>();
foreach (var x in FTL.Where(z => z.Mama != null))
{
var v = new VariableIndicator()
{
TimeStamp = x.TimeStamp,
Value = x.Mama.Mama,
};
varList1.Add(v);
}
var reg1 = Factory_Indicator.createRegression(_reg1, varList1);
var varList2 = new List <VariableIndicator>();
foreach (var rr in reg1)
{
var q = new VariableIndicator()
{
TimeStamp = rr.TimeStamp,
Value = rr.Slope,
};
varList2.Add(q);
}
var reg2 = Factory_Indicator.createRegression(_reg2, varList2);
var varList3 = new List <VariableIndicator>();
foreach (var rr in reg2)
{
var qq = new VariableIndicator()
{
TimeStamp = rr.TimeStamp,
Value = rr.Slope,
};
varList3.Add(qq);
}
var reg3 = Factory_Indicator.createRegression(_reg3, varList3);
#endregion
#region Populate TakeProfitTrade object
int ftl_Start_Index;
//REG_1_SLOPE
ftl_Start_Index = 0;
//find start for reg1
var reg1_Count = reg1.Count;
//find first reg1.Time=FTL.Time
var Ftl_Time_Equal_Reg1_Time = FTL.Where(f => f.TimeStamp == reg1[0].TimeStamp).First().TimeStamp;
foreach (var Ft in FTL)
{
if (Ft.TimeStamp == Ftl_Time_Equal_Reg1_Time)
{
break;
}
ftl_Start_Index++;
}
for (int x = 0; x < Ftl_Count - ftl_Start_Index; x++)
{
FTL[ftl_Start_Index + x].Reg1_Slope = reg1[x].Slope;
}
//REG_2_SLOPE
ftl_Start_Index = 0;
//find start for reg2
var reg2_Count = reg2.Count;
//find first reg1.Time=FTL.Time
var Ftl_Time_Equal_Reg2_Time = FTL.Where(f => f.TimeStamp == reg2[0].TimeStamp).First().TimeStamp;
foreach (var Ft in FTL)
{
if (Ft.TimeStamp == Ftl_Time_Equal_Reg2_Time)
{
break;
}
ftl_Start_Index++;
}
for (int x = 0; x < Ftl_Count - ftl_Start_Index; x++)
{
FTL[ftl_Start_Index + x].Reg2_Slope = reg2[x].Slope * 10;
}
//REG_3_SLOPE
ftl_Start_Index = 0;
//find start for reg3
var reg3_Count = reg3.Count;
//find first reg1.Time=FTL.Time
var Ftl_Time_Equal_Reg3_Time = FTL.Where(f => f.TimeStamp == reg3[0].TimeStamp).First().TimeStamp;
foreach (var Ft in FTL)
{
if (Ft.TimeStamp == Ftl_Time_Equal_Reg3_Time)
{
break;
}
ftl_Start_Index++;
}
for (int x = 0; x < Ftl_Count - ftl_Start_Index; x++)
{
FTL[ftl_Start_Index + x].Reg3_Slope = reg3[x].Slope * 100;
}
#endregion
}
