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);
}
public static List <CompletedTrade> IntratradeToCandle(List <Trade> FullTradeList)
{
var TO = Trade.TradesOnly(FullTradeList);
var r = CompletedTrade.CreateList(TO);
foreach (var to in r)
{
var end = to.CloseTrade.TimeStamp;
if (to.CloseTrade.Reason == Trade.Trigger.None)
{
end = DateTime.Now;
}
var pl = from x in FullTradeList
where x.TimeStamp >= to.OpenTrade.TimeStamp && x.TimeStamp <= end
select x.RunningProfit;
var minmax = new
{
low = pl.Min(),
high = pl.Max(),
close = pl.Last(),
fist = pl.Skip(1).First(),
};
to.CloseTrade.OHLC.Low = minmax.low;
to.CloseTrade.OHLC.High = minmax.high;
to.CloseTrade.OHLC.Close = minmax.close;
to.CloseTrade.OHLC.Open = minmax.fist;
}
return(r);
}
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 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);
}
public static List <CompletedTrade> TakeProfit_Exiguous(List <Trade> FullTradeList, double TakeProfit, double StopLoss)
{
var TakeProfitList = new List <CompletedTrade>();
var TO = Trade.TradesOnly(FullTradeList);
var CompletedList = CompletedTrade.CreateList(TO);
foreach (var t in CompletedList)
{
var pl = 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;
//Check profit
Trade profitTrade;
Trade lossTrade;
if (pl.Any(z => z.RunningProfit > TakeProfit))
{
profitTrade = pl.Where(z => z.RunningProfit > TakeProfit).First();
}
else
{
profitTrade = t.CloseTrade;
}
// check loss
if (pl.Any(z => z.RunningProfit < StopLoss))
{
lossTrade = pl.Where(z => z.RunningProfit < StopLoss).First();
}
else
{
lossTrade = t.CloseTrade;
}
if (lossTrade.TimeStamp > profitTrade.TimeStamp)
{
trade.CloseTrade = profitTrade;
}
else
{
trade.CloseTrade = lossTrade;
}
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);
}