protected void WriteTradeTriggers()
{
int count = trade_triggers.Count;
var csv = new StringBuilder();
for (int i = 0; i < count; i++)
{
TradeTriggerByDate res = trade_triggers[i];
var newLine = string.Format("{0};{1};{2}",
res.Symbol,
res.TradeDate.ToShortDateString(),
res.DaysToHold);
csv.AppendLine(newLine);
}
//mut.WaitOne(); //wait until safe to enter; prior thread has completed writing.
try
{
String file_name = output_folder + "triggers_strategy" + Strategy_Num.ToString() + "_" + TestingStartDate.ToString("ddMMMyyyy") + "to" + TestingEndDate.ToString("ddMMMyyyy") + "_" + uid + ".csv";
File.WriteAllText(file_name, csv.ToString());
//mut.ReleaseMutex();
}
catch (System.Exception exp)
{
Log("File write error for file name '" + "' Error '" + exp.Message + "'", LogLevel.Warning);
}
}
protected void WriteTradeTriggers()
{
int count = trade_triggers.Count;
var csv = new StringBuilder();
for (int i = 0; i < count; i++)
{
TradeTriggerByDate res = trade_triggers[i];
var newLine = string.Format("{0};{1};{2}",
res.Symbol,
res.TradeDate.ToShortDateString(),
res.DaysToHold);
csv.AppendLine(newLine);
}
//mut.WaitOne(); //wait until safe to enter; prior thread has completed writing.
try
{
File.WriteAllText("c:\\temp\\knn\\triggers.csv", csv.ToString());
//mut.ReleaseMutex();
}
catch (System.Exception exp)
{
Log("File write error for file name '" + "' Error '" + exp.Message + "'", LogLevel.Warning);
}
}
protected void LoadTriggers()
{
for (int i = 0; i < symbol_list.Count; i++)
{
trade_triggers.Add(new List <TradeTriggerByDate>());
}
string trigger_file_path = "c:\\temp\\knn\\triggers.csv";
String trigger_config_file_path = "c:\\temp\\knn\\triggers_config.txt";
System.IO.StreamReader file3 = new System.IO.StreamReader(trigger_config_file_path);
String line3 = file3.ReadLine();
if (line3 != null)
{
trigger_file_path = line3;
}
file3.Close();
System.IO.StreamReader file4 = new System.IO.StreamReader(trigger_file_path);
string line4;
while ((line4 = file4.ReadLine()) != null)
{
string[] values = line4.Split(';');
if (values.Length == 3)
{
TradeTriggerByDate trig = new TradeTriggerByDate();
trig.Symbol = values[0];
trig.TradeDate = Convert.ToDateTime(values[1]);
trig.DaysToHold = Convert.ToInt32(values[2]);
trig.Status = "NotExecuted";
int symbol_index = symbol_to_index[trig.Symbol];
trade_triggers[symbol_index].Add(trig);
}
}
file4.Close();
}
protected override void OnBarUpdate()
{
int BarIndex = BarsInProgress;
bool bFinishedProcessingAllData = false;
Boolean bLastSymbol = BarIndex == (symbol_list.Count - 1);
DateTime current_bar_date = Times[BarIndex][0].Date;
if (bLastSymbol &&
(((CurrentBar + 1) == Count) || (current_bar_date == TestingEndDate))) //we are on the last bar to process
{
Debug.WriteLine("bFinished trigger");
bFinishedProcessingAllData = true;
}
String debug_txt1 = "Date=" + Times[BarIndex][0].Date.ToShortDateString() + "BarIndex=" + BarIndex.ToString() + "CurrentBar=" + CurrentBar.ToString() + "Count=" + Count.ToString();
Debug.WriteLine(debug_txt1);
//NOTE: Index 1 is always S&P 500
if ((BarIndex >= 2 /*1*/) && (BarIndex < (symbol_list.Count))) //Start at index=1 since we want to ignore the primary/dummy instrument
{
DateTime date_to_process = Times[BarIndex][0].Date; //need to wait FutureValueDaysToLookAhead days before we can make calcs
if ((date_to_process >= TestingStartDate) && (date_to_process <= TestingEndDate)) // && (CurrentBar >= (20))) //give 20 days of buffer
{
int SP500_index = 1;
TradeScannerResult scan_result = new TradeScannerResult();
double OpenPriceToday = Opens[BarIndex][0];
double ClosePriceToday = Closes[BarIndex][0];
double SP500_Open = Opens[SP500_index][0];
double SP500_Close = Closes[SP500_index][0];
scan_result.Date = date_to_process;
scan_result.Symbol = symbol_list[BarIndex];
scan_result.Description = company_name_list[BarIndex];
scan_result.Open = OpenPriceToday;
scan_result.Close = ClosePriceToday;
scan_result.PercentChange_Today = (((ClosePriceToday / OpenPriceToday) - 1.0) * 100.0);
scan_result.SP500_PercentChange_Today = (((SP500_Close / SP500_Open) - 1.0) * 100.0);
scan_result.Compare_SP500_Today = scan_result.PercentChange_Today - scan_result.SP500_PercentChange_Today;
scan_result.PercentChange_1Day = PctChange(BarIndex, 1);
scan_result.PercentChange_2Day = PctChange(BarIndex, 2);
scan_result.PercentChange_5Day = PctChange(BarIndex, 5);
scan_result.PercentChange_10Day = PctChange(BarIndex, 10);
scan_result.PercentChange_15Day = PctChange(BarIndex, 15);
scan_result.PercentChange_20Day = PctChange(BarIndex, 20);
scan_result.Compare_SP500_1Day = scan_result.PercentChange_1Day - PctChange(SP500_index, 1);
scan_result.Compare_SP500_2Day = scan_result.PercentChange_2Day - PctChange(SP500_index, 2);
scan_result.Compare_SP500_5Day = scan_result.PercentChange_5Day - PctChange(SP500_index, 5);
scan_result.Compare_SP500_10Day = scan_result.PercentChange_10Day - PctChange(SP500_index, 10);
scan_result.Compare_SP500_15Day = scan_result.PercentChange_15Day - PctChange(SP500_index, 15);
scan_result.Compare_SP500_20Day = scan_result.PercentChange_20Day - PctChange(SP500_index, 20);
scan_result.Green_5Day = GetPercentOfGreenDays(BarIndex, 5);
scan_result.Green_10Day = GetPercentOfGreenDays(BarIndex, 10);
scan_result.Green_15Day = GetPercentOfGreenDays(BarIndex, 15);
scan_result.Green_20Day = GetPercentOfGreenDays(BarIndex, 20);
PopulateParamatersForIndicator(IndicatorEnum.indicator_BOLLINGER);
//Indicator_FutureValueChange_Pair indicator_pair = GetIndicatorValue(indicator_list[i], BarIndex, 0, date_to_process);
double indicator_value_today = 0.0;
scan_result.Indicator_Name = "BOLL";
scan_result.Strategy_Name = Strategy_Num.ToString();
double boll_0 = ComputeBollinger(BarIndex, 0);
double boll_1 = ComputeBollinger(BarIndex, 1);
double boll_2 = ComputeBollinger(BarIndex, 2);
double boll_3 = ComputeBollinger(BarIndex, 3);
double boll_4 = ComputeBollinger(BarIndex, 4);
double boll_5 = ComputeBollinger(BarIndex, 5);
double boll_10 = ComputeBollinger(BarIndex, 10);
double boll_15 = ComputeBollinger(BarIndex, 15);
double boll_20 = ComputeBollinger(BarIndex, 20);
indicator_value_today = boll_0;
scan_result.Indicator_Today = indicator_value_today;
double boll_0_chg = boll_1 - boll_0;
double boll_min = -1.0;
double boll_max = -0.75;
bool boll_in_range = (boll_0 > boll_min) && (boll_0 < boll_max);
double boll_min_change = 0.05;
double boll_max_change = 0.25;
bool boll_change_in_range = (boll_0_chg > boll_min_change) && (boll_0_chg < boll_max_change);
bool boll_declining_3dys = (boll_3 > boll_2) && (boll_2 > boll_1) && (boll_0 > boll_1);
scan_result.Indicator_Change_1Day = indicator_value_today - boll_1;
scan_result.Indicator_Change_2Day = indicator_value_today - boll_2;
scan_result.Indicator_Change_5Day = indicator_value_today - boll_5;
scan_result.Indicator_Change_10Day = indicator_value_today - boll_10;
scan_result.Indicator_Change_15Day = indicator_value_today - boll_15;
scan_result.Indicator_Change_20Day = indicator_value_today - boll_20;
double RSI_val = RSI(BarsArray[BarIndex], 14, 3)[0]; //get the indicator val from n days ago
scan_result.RSI = RSI_val;
bool bBuy = false;
switch (Strategy_Num)
{
case 1: //declining boll for 3, then up spike
if (boll_in_range && boll_change_in_range)
{
//strat1 (declining boll for 3, then up spike)
if (boll_declining_3dys)
{
Console.WriteLine("\nstrat1\n");
bBuy = true;
}
}
break;
case 2: //boll up spike
if (boll_in_range && boll_change_in_range)
{
Console.WriteLine("\nstrat2\n");
bBuy = true;
}
break;
case 3: //boll crossing -1 threshold, but not too far
if ((boll_1 < -1.1) && (boll_0 > -0.9) && (boll_0 < -0.7))
{
Console.WriteLine("\nstrat3\n");
bBuy = true;
}
break;
default:
break;
}
String signal_name = scan_result.Symbol + "-" + Strategy_Num.ToString() + "-" + DaysToHold.ToString();
//Check to see if time to sell
if (Trade_Status[BarIndex] == "InProgress")
{
//if ((date_to_process > trig.TradeDate)) // && (date_to_process <= trig.TradeDate.AddDays(trig.DaysToHold)))
//{
DaysSincePurchase[BarIndex]++;
if (DaysSincePurchase[BarIndex] == DaysToHold) //Use input parameter rather than reading from file trig.DaysToHold //Set Exit for end of nth day
{
Trade_Status[BarIndex] = "Idle";
ExitLong(BarIndex, NumShares[BarIndex], signal_name, signal_name);
DaysSincePurchase[BarIndex] = -1;
}
//}
}
else if (bBuy)
{
if (scan_result.Close < AmountPerTrade) //if price is greater than max per trade, then we cannot purchase
{
TradeTriggerByDate trig = new TradeTriggerByDate();
trig.Symbol = scan_result.Symbol;
trig.TradeDate = scan_result.Date;
trig.DaysToHold = DaysToHold;
trade_triggers.Add(trig);
Trade_Status[BarIndex] = "InProgress";
DaysSincePurchase[BarIndex] = 0;
//trig.Status = "InProgress";
NumShares[BarIndex] = (int)(AmountPerTrade / scan_result.Close);
EnterLong(BarIndex, NumShares[BarIndex], signal_name);
trade_scanner_results.Add(scan_result);
}
}
}
}
if (bFinishedProcessingAllData == true)
{
uid = rnd.Next(100000, 999999).ToString();
WriteTradeScannerResults();
WriteTradeTriggers();
}
}
protected override void OnBarUpdate()
{
int BarIndex = BarsInProgress;
bool bFinishedProcessingAllData = false;
Boolean bLastSymbol = BarIndex == (symbol_list.Count - 1);
DateTime current_bar_date = Times[BarIndex][0].Date;
if (bLastSymbol &&
(((CurrentBar + 1) == Count) || (current_bar_date == TestingEndDate))) //we are on the last bar to process
{
Debug.WriteLine("bFinished trigger");
bFinishedProcessingAllData = true;
}
String debug_txt1 = "Date=" + Times[BarIndex][0].Date.ToShortDateString() + "BarIndex=" + BarIndex.ToString() + "CurrentBar=" + CurrentBar.ToString() + "Count=" + Count.ToString();
Debug.WriteLine(debug_txt1);
//NOTE: Index 1 is always S&P 500
if ((BarIndex >= 1 /*1*/) && (BarIndex < (symbol_list.Count))) //Start at index=1 since we want to ignore the primary/dummy instrument
{
DateTime date_to_process = Times[BarIndex][0].Date; //need to wait FutureValueDaysToLookAhead days before we can make calcs
if ((date_to_process >= TestingStartDate) && (date_to_process <= TestingEndDate)) // && (CurrentBar >= (20))) //give 20 days of buffer
{
int SP500_index = 1;
if (BarIndex == SP500_index)
{
Date_Price_Pair date_price = new Date_Price_Pair();
date_price.Date = date_to_process;
date_price.Price = Closes[BarIndex][0];
SP500_historical_price_list.Add(date_price);
}
else //non S&P500 symbols
{
TradeScannerResult scan_result = new TradeScannerResult();
double OpenPriceToday = Opens[BarIndex][0];
double ClosePriceToday = Closes[BarIndex][0];
double SP500_Open = Opens[SP500_index][0];
double SP500_Close = Closes[SP500_index][0];
try
{
scan_result.Date = date_to_process;
scan_result.Symbol = symbol_list[BarIndex];
scan_result.Description = company_name_list[BarIndex];
scan_result.Open = OpenPriceToday;
scan_result.Close = ClosePriceToday;
scan_result.PercentChange_Today = (((ClosePriceToday / OpenPriceToday) - 1.0) * 100.0);
scan_result.SP500_PercentChange_Today = (((SP500_Close / SP500_Open) - 1.0) * 100.0);
scan_result.Compare_SP500_Today = scan_result.PercentChange_Today - scan_result.SP500_PercentChange_Today;
scan_result.PercentChange_1Day = PctChange(BarIndex, 1);
scan_result.PercentChange_2Day = PctChange(BarIndex, 2);
scan_result.PercentChange_5Day = PctChange(BarIndex, 5);
scan_result.PercentChange_10Day = PctChange(BarIndex, 10);
scan_result.PercentChange_15Day = PctChange(BarIndex, 15);
scan_result.PercentChange_20Day = PctChange(BarIndex, 20);
scan_result.Compare_SP500_1Day = scan_result.PercentChange_1Day - PctChange(SP500_index, 1);
scan_result.Compare_SP500_2Day = scan_result.PercentChange_2Day - PctChange(SP500_index, 2);
scan_result.Compare_SP500_5Day = scan_result.PercentChange_5Day - PctChange(SP500_index, 5);
scan_result.Compare_SP500_10Day = scan_result.PercentChange_10Day - PctChange(SP500_index, 10);
scan_result.Compare_SP500_15Day = scan_result.PercentChange_15Day - PctChange(SP500_index, 15);
scan_result.Compare_SP500_20Day = scan_result.PercentChange_20Day - PctChange(SP500_index, 20);
scan_result.Green_5Day = GetPercentOfGreenDays(BarIndex, 5);
scan_result.Green_10Day = GetPercentOfGreenDays(BarIndex, 10);
scan_result.Green_15Day = GetPercentOfGreenDays(BarIndex, 15);
scan_result.Green_20Day = GetPercentOfGreenDays(BarIndex, 20);
PopulateParamatersForIndicator(IndicatorEnum.indicator_BOLLINGER);
//Indicator_FutureValueChange_Pair indicator_pair = GetIndicatorValue(indicator_list[i], BarIndex, 0, date_to_process);
double indicator_value_today = 0.0;
scan_result.Indicator_Name = "BOLL";
scan_result.Strategy_Name = Strategy_Description; // Strategy_Num.ToString();
double boll_0 = ComputeBollinger(BarIndex, 0);
double boll_1 = ComputeBollinger(BarIndex, 1);
double boll_2 = ComputeBollinger(BarIndex, 2);
double boll_3 = ComputeBollinger(BarIndex, 3);
double boll_4 = ComputeBollinger(BarIndex, 4);
double boll_5 = ComputeBollinger(BarIndex, 5);
double boll_10 = ComputeBollinger(BarIndex, 10);
double boll_15 = ComputeBollinger(BarIndex, 15);
double boll_20 = ComputeBollinger(BarIndex, 20);
indicator_value_today = boll_0;
scan_result.Indicator_Today = indicator_value_today;
double boll_0_chg = boll_1 - boll_0;
double boll_min = -1.0;
double boll_max = -0.75;
bool boll_in_range = (boll_0 > boll_min) && (boll_0 < boll_max);
double boll_min_change = 0.05;
double boll_max_change = 0.25;
bool boll_change_in_range = (boll_0_chg > boll_min_change) && (boll_0_chg < boll_max_change);
bool boll_declining_3dys = (boll_3 > boll_2) && (boll_2 > boll_1) && (boll_0 > boll_1);
scan_result.Indicator_Change_1Day = indicator_value_today - boll_1;
scan_result.Indicator_Change_2Day = indicator_value_today - boll_2;
scan_result.Indicator_Change_5Day = indicator_value_today - boll_5;
scan_result.Indicator_Change_10Day = indicator_value_today - boll_10;
scan_result.Indicator_Change_15Day = indicator_value_today - boll_15;
scan_result.Indicator_Change_20Day = indicator_value_today - boll_20;
double RSI_val = RSI(BarsArray[BarIndex], 14, 3)[0]; //get the indicator val from n days ago
scan_result.RSI = RSI_val;
bool bBuy = false;
switch (Strategy_Num)
{
case 1: //declining boll for 3, then up spike
if (boll_in_range &&
boll_change_in_range &&
boll_declining_3dys)
{
bBuy = true;
}
break;
case 2: //boll up spike
if (boll_in_range &&
boll_change_in_range)
{
bBuy = true;
}
break;
case 3: //boll crossing -1 threshold, but not too far
if ((boll_1 < -1.1) &&
nt.InRange(boll_0, -0.9, -0.7))
{
bBuy = true;
}
break;
case 4: //boll in range, today's change < -0.5% and SP500 change > 0%
if (boll_in_range &&
(scan_result.PercentChange_Today < -0.5) &&
(scan_result.SP500_PercentChange_Today > 0.0))
{
bBuy = true;
}
break;
case 5: //strat3 + Today 0.75-1.25 and SP500Change 0.5 - 1.0
if ((boll_1 < -1.1) &&
nt.InRange(boll_0, -0.9, -0.7) &&
nt.InRange(scan_result.PercentChange_Today, 0.75, 1.25) &&
nt.InRange(scan_result.SP500_PercentChange_Today, 0.5, 1.0))
{
bBuy = true;
}
break;
case 6: //boll up spike + Today < -1.5 + SP500Change < -0.75
if (boll_in_range &&
boll_change_in_range &&
(scan_result.PercentChange_Today < -1.5) &&
(scan_result.SP500_PercentChange_Today < -0.75))
{
bBuy = true;
}
break;
case 7: //strat3 + Today 0.5-2.0 and SP500Change 0.5 - 3.0
if ((boll_1 < -1.1) &&
nt.InRange(boll_0, -0.9, -0.7) &&
nt.InRange(scan_result.PercentChange_Today, 0.5, 2.0) &&
nt.InRange(scan_result.SP500_PercentChange_Today, 0.5, 3.0))
{
bBuy = true;
}
break;
case 8: //strat7 + 5-day indicator change -1.5 to -0.5
if ((boll_1 < -1.1) &&
nt.InRange(boll_0, -0.9, -0.7) &&
nt.InRange(scan_result.PercentChange_Today, 0.5, 2.0) &&
nt.InRange(scan_result.SP500_PercentChange_Today, 0.5, 3.0) &&
nt.InRange(scan_result.Indicator_Change_5Day, -1.5, -0.5))
{
bBuy = true;
}
break;
case 9: //strat7 but use 0.0 for min of %ChangeToday and SP500ChangeToday
if ((boll_1 < -1.1) &&
nt.InRange(boll_0, -0.9, -0.7) &&
nt.InRange(scan_result.PercentChange_Today, 0.0, 2.0) &&
nt.InRange(scan_result.SP500_PercentChange_Today, 0.0, 3.0))
{
bBuy = true;
}
break;
case 10: //strat7 but remove SP500%Change condition
if ((boll_1 < -1.1) &&
nt.InRange(boll_0, -0.9, -0.7) &&
nt.InRange(scan_result.PercentChange_Today, 0.5, 2.0))
{
bBuy = true;
}
break;
case 11: //strat7 but change boll range max to -0.5
if ((boll_1 < -1.1) &&
nt.InRange(boll_0, -0.9, -0.5) &&
nt.InRange(scan_result.PercentChange_Today, 0.5, 2.0) &&
nt.InRange(scan_result.SP500_PercentChange_Today, 0.5, 3.0))
{
bBuy = true;
}
break;
case 12: //strat7 but change boll range min/max to -0.95/-0.75
if ((boll_1 < -1.1) &&
nt.InRange(boll_0, -0.95, -0.75) &&
nt.InRange(scan_result.PercentChange_Today, 0.5, 2.0) &&
nt.InRange(scan_result.SP500_PercentChange_Today, 0.5, 3.0))
{
bBuy = true;
}
break;
case 13: //strat12 but also add condition for CompSP500_today > 0.15
if ((boll_1 < -1.1) &&
nt.InRange(boll_0, -0.95, -0.75) &&
nt.InRange(scan_result.PercentChange_Today, 0.5, 2.0) &&
nt.InRange(scan_result.SP500_PercentChange_Today, 0.5, 3.0) &&
(scan_result.Compare_SP500_Today > 0.15))
{
bBuy = true;
}
break;
case 14: //Just testing SP500%change range
if (nt.InRange(scan_result.SP500_PercentChange_Today, 0.5, 3.0))
{
bBuy = true;
}
break;
case 15: //strat7, but use 0.0 for SP500 min
if ((boll_1 < -1.1) &&
nt.InRange(boll_0, -0.9, -0.7) &&
nt.InRange(scan_result.PercentChange_Today, 0.5, 2.0) &&
nt.InRange(scan_result.SP500_PercentChange_Today, 0.0, 3.0))
{
bBuy = true;
}
break;
case 16: //strat7, but use -1.0 for boll_1 min and -0.5 for boll_0 max
if ((boll_1 < -1.0) &&
nt.InRange(boll_0, -0.9, -0.5) &&
nt.InRange(scan_result.PercentChange_Today, 0.5, 2.0) &&
nt.InRange(scan_result.SP500_PercentChange_Today, 0.5, 3.0))
{
bBuy = true;
}
break;
case 17: //strat7 but but use -1.0 for boll_1 min and -0.5 for boll_0 max, use 0.25 for today min, and remove SP500 change
if ((boll_1 < -1.0) &&
nt.InRange(boll_0, -0.9, -0.5) &&
nt.InRange(scan_result.PercentChange_Today, 0.25, 2.0))
{
bBuy = true;
}
break;
case 18: //strat7 but but use -1.2 for boll_1 min and -0.95 for boll_0 max, use 0.25 for today min, and remove SP500 change
if ((boll_1 < -1.2) &&
nt.InRange(boll_0, -0.95, -0.5) &&
nt.InRange(scan_result.PercentChange_Today, 0.25, 2.0))
{
bBuy = true;
}
break;
case 19: //just dropped to range of -1.0 to -0.8
if ((boll_1 > -0.5) &&
nt.InRange(boll_0, -1.0, -0.8))
{
bBuy = true;
}
break;
case 20: //recovery from below -0.9
if ((boll_1 < -0.9) &&
nt.InRange(boll_0, -0.7, -0.3))
{
bBuy = true;
}
break;
default:
break;
}
String signal_name = scan_result.Symbol + "-" + Strategy_Num.ToString() + "-" + DaysToHold.ToString() + "-" + StopLossPercent.ToString();
//Check to see if time to sell
if (Trade_Status[BarIndex] == "InProgress")
{
//if ((date_to_process > trig.TradeDate)) // && (date_to_process <= trig.TradeDate.AddDays(trig.DaysToHold)))
//{
DaysSincePurchase[BarIndex]++;
if (DaysSincePurchase[BarIndex] == DaysToHold) //Use input parameter rather than reading from file trig.DaysToHold //Set Exit for end of nth day
{
Trade_Status[BarIndex] = "Idle";
ExitLong(BarIndex, NumShares[BarIndex], signal_name, signal_name);
DaysSincePurchase[BarIndex] = -1;
}
//}
}
else if (bBuy)
{
if (scan_result.Close < AmountPerTrade) //if price is greater than max per trade, then we cannot purchase
{
TradeTriggerByDate trig = new TradeTriggerByDate();
trig.Symbol = scan_result.Symbol;
trig.TradeDate = scan_result.Date;
trig.DaysToHold = DaysToHold;
trade_triggers.Add(trig);
Trade_Status[BarIndex] = "InProgress";
DaysSincePurchase[BarIndex] = 0;
//trig.Status = "InProgress";
NumShares[BarIndex] = (int)(AmountPerTrade / scan_result.Close);
EnterLong(BarIndex, NumShares[BarIndex], signal_name);
trade_scanner_results.Add(scan_result);
}
}
}
catch
{
Console.WriteLine("Caught exception");
}
}
}
}
if (bFinishedProcessingAllData == true)
{
uid = rnd.Next(100000, 999999).ToString();
results_folder = results_folder + "_" + uid + "\\";
DirectoryInfo di2 = Directory.CreateDirectory(results_folder);
WriteTradeScannerResults();
//WriteTradeTriggers();
WriteSP500HistoricalData();
}
}
protected override void OnBarUpdate()
{
//if (BarsInProgress == 0)
//{
int BarIndex = BarsInProgress;
bool bFinishedProcessingAllData = false;
if (((CurrentBar + 1) == Count) && BarIndex == (symbol_list.Count - 1)) //we are on the last bar to process
{
bFinishedProcessingAllData = true;
}
if ((BarIndex >= 1) && (BarIndex < (symbol_list.Count))) //Start at index=1 since we want to ignore the primary/dummy instrument
{
DateTime date_to_process = Times[BarIndex][0].Date; //need to wait FutureValueDaysToLookAhead days before we can make calcs
string symbol_name = symbol_list[BarIndex];
double current_price = Closes[BarIndex][0];
List <TradeTriggerByDate> triggers = trade_triggers[BarIndex];
for (int i = 0; i < triggers.Count; i++)
{
TradeTriggerByDate trig = triggers[i];
string trade_id_str = symbol_name;
string trade_exit_str = "Exit " + trade_id_str;
//if (DaysSincePurchase[BarIndex] >= 0) //Trade in-progress
if (trig.Status == "InProgress")
{
if ((date_to_process > trig.TradeDate)) // && (date_to_process <= trig.TradeDate.AddDays(trig.DaysToHold)))
{
DaysSincePurchase[BarIndex]++;
if (DaysSincePurchase[BarIndex] == DaysToHold) //Use input parameter rather than reading from file trig.DaysToHold //Set Exit for end of nth day
{
trig.Status = "Completed";
Trade_Status[BarIndex] = "Idle";
ExitLong(BarIndex, NumShares[BarIndex], trade_exit_str, trade_id_str);
DaysSincePurchase[BarIndex] = -1;
}
}
}
//else if ((trig.TradeDate == date_to_process) && (Trade_Status[BarIndex] != "InProgress")) //prevent multiple entries for same symbol
else if ((trig.TradeDate == date_to_process) && (Trade_Status[BarIndex] != "InProgress")) //prevent multiple entries for same symbol
{
if (current_price < AmountPerTrade) //if price is greater than max per trade, then we cannot purchase
{
Trade_Status[BarIndex] = "InProgress";
DaysSincePurchase[BarIndex] = 0;
trig.Status = "InProgress";
NumShares[BarIndex] = (int)(AmountPerTrade / current_price);
EnterLong(BarIndex, NumShares[BarIndex], trade_id_str);
scanner_results.Add(trig.Symbol + " " + trig.TradeDate.ToShortDateString() + " " + DaysToHold.ToString());
}
}
}
}
if (bFinishedProcessingAllData)
{
WriteStringListToCSV(scanner_results, "c:\\temp\\knn\\scanner_results.txt");
}
//}
}
protected override void OnBarUpdate()
{
int BarIndex = BarsInProgress;
bool bFinishedProcessingAllData = false;
Boolean bLastSymbol = BarIndex == (symbol_list.Count - 1);
DateTime current_bar_date = Times[BarIndex][0].Date;
if (bLastSymbol &&
(((CurrentBar + 1) == Count) || (current_bar_date == TestingEndDate))) //we are on the last bar to process
{
Debug.WriteLine("bFinished trigger");
bFinishedProcessingAllData = true;
}
String debug_txt1 = "Date=" + Times[BarIndex][0].Date.ToShortDateString() + "BarIndex=" + BarIndex.ToString() + "CurrentBar=" + CurrentBar.ToString() + "Count=" + Count.ToString();
Debug.WriteLine(debug_txt1);
//NOTE: Index 1 is always S&P 500
if ((BarIndex >= 2 /*1*/) && (BarIndex < (symbol_list.Count))) //Start at index=1 since we want to ignore the primary/dummy instrument
{
DateTime date_to_process = Times[BarIndex][0].Date; //need to wait FutureValueDaysToLookAhead days before we can make calcs
//if (date_to_process == TestingEndDate)
if ((date_to_process <= TestingEndDate) && (CurrentBar >= (20))) //give 20 days of buffer
{
//Convert.ToSingle
int SP500_index = 1;
TradeScannerResult scan_result = new TradeScannerResult();
double OpenPriceToday = Opens[BarIndex][0];
double ClosePriceToday = Closes[BarIndex][0];
double SP500_Open = Opens[SP500_index][0];
double SP500_Close = Closes[SP500_index][0];
scan_result.Date = date_to_process;
scan_result.Symbol = symbol_list[BarIndex];
scan_result.Description = company_name_list[BarIndex];
scan_result.Open = OpenPriceToday;
scan_result.Close = ClosePriceToday;
scan_result.PercentChange_Today = (((ClosePriceToday / OpenPriceToday) - 1.0) * 100.0);
scan_result.SP500_PercentChange_Today = (((SP500_Close / SP500_Open) - 1.0) * 100.0);
scan_result.Compare_SP500_Today = scan_result.PercentChange_Today - scan_result.SP500_PercentChange_Today;
scan_result.PercentChange_1Day = PctChange(BarIndex, 1);
scan_result.PercentChange_2Day = PctChange(BarIndex, 2);
scan_result.PercentChange_5Day = PctChange(BarIndex, 5);
scan_result.PercentChange_10Day = PctChange(BarIndex, 10);
scan_result.PercentChange_15Day = PctChange(BarIndex, 15);
scan_result.PercentChange_20Day = PctChange(BarIndex, 20);
scan_result.Compare_SP500_1Day = scan_result.PercentChange_1Day - PctChange(SP500_index, 1);
scan_result.Compare_SP500_2Day = scan_result.PercentChange_2Day - PctChange(SP500_index, 2);
scan_result.Compare_SP500_5Day = scan_result.PercentChange_5Day - PctChange(SP500_index, 5);
scan_result.Compare_SP500_10Day = scan_result.PercentChange_10Day - PctChange(SP500_index, 10);
scan_result.Compare_SP500_15Day = scan_result.PercentChange_15Day - PctChange(SP500_index, 15);
scan_result.Compare_SP500_20Day = scan_result.PercentChange_20Day - PctChange(SP500_index, 20);
scan_result.Green_5Day = GetPercentOfGreenDays(BarIndex, 5);
scan_result.Green_10Day = GetPercentOfGreenDays(BarIndex, 10);
scan_result.Green_15Day = GetPercentOfGreenDays(BarIndex, 15);
scan_result.Green_20Day = GetPercentOfGreenDays(BarIndex, 20);
//public string Indicator_Name { get; set; }
//public float Indicator_Today { get; set; }
//public float Indicator_Change_1Day { get; set; } //See how indicator has changed over past N days
//public float Indicator_Change_2Day { get; set; }
//public float Indicator_Change_5Day { get; set; }
//public float Indicator_Change_10Day { get; set; }
//public float Indicator_Change_15Day { get; set; }
//public float Indicator_Change_20Day { get; set; }
//public int Green_5Day { get; set; } //% of Green days in the past N days
//public int Green_10Day { get; set; }
//public int Green_15Day { get; set; }
//public int Green_20Day { get; set; }
for (int i = 0; i < indicator_list.Count; i++)
{
PopulateParamatersForIndicator(indicator_list[i]);
//Indicator_FutureValueChange_Pair indicator_pair = GetIndicatorValue(indicator_list[i], BarIndex, 0, date_to_process);
double indicator_value_today = 0.0;
switch (indicator_list[i])
{
case IndicatorEnum.indicator_BOLLINGER:
scan_result.Indicator_Name = "BOLL";
double boll_0 = ComputeBollinger(BarIndex, 0);
double boll_1 = ComputeBollinger(BarIndex, 1);
double boll_2 = ComputeBollinger(BarIndex, 2);
double boll_3 = ComputeBollinger(BarIndex, 3);
double boll_4 = ComputeBollinger(BarIndex, 4);
double boll_5 = ComputeBollinger(BarIndex, 5);
double boll_10 = ComputeBollinger(BarIndex, 10);
double boll_15 = ComputeBollinger(BarIndex, 15);
double boll_20 = ComputeBollinger(BarIndex, 20);
indicator_value_today = boll_0;
scan_result.Indicator_Today = indicator_value_today;
double boll_0_chg = boll_1 - boll_0;
double boll_min = -1.0;
double boll_max = -0.75;
bool boll_in_range = (boll_0 > boll_min) && (boll_0 < boll_max);
double boll_min_change = 0.05;
double boll_max_change = 0.25;
bool boll_change_in_range = (boll_0_chg > boll_min_change) && (boll_0_chg < boll_max_change);
bool boll_declining_3dys = (boll_3 > boll_2) && (boll_2 > boll_1) && (boll_0 > boll_1);
scan_result.Indicator_Change_1Day = indicator_value_today - boll_1;
scan_result.Indicator_Change_2Day = indicator_value_today - boll_2;
scan_result.Indicator_Change_5Day = indicator_value_today - boll_5;
scan_result.Indicator_Change_10Day = indicator_value_today - boll_10;
scan_result.Indicator_Change_15Day = indicator_value_today - boll_15;
scan_result.Indicator_Change_20Day = indicator_value_today - boll_20;
//if (boll_in_range && boll_change_in_range)
//{
// //strat1 (declining boll for 3, then up spike)
// if (boll_declining_3dys)
// {
// Console.WriteLine("\nstrat1\n");
// TradeTriggerByDate trig = new TradeTriggerByDate();
// trig.Symbol = scan_result.Symbol;
// trig.TradeDate = scan_result.Date;
// trig.DaysToHold = 5;
// trade_triggers.Add(trig);
// }
// //strat2 (just boll up spike)
// else
// {
// Console.WriteLine("\nstrat2\n");
// TradeTriggerByDate trig = new TradeTriggerByDate();
// trig.Symbol = scan_result.Symbol;
// trig.TradeDate = scan_result.Date;
// trig.DaysToHold = 5;
// trade_triggers.Add(trig);
// }
//}
if ((boll_1 < -1.1) && (boll_0 > -0.9) && (boll_0 < -0.7))
{
Console.WriteLine("\nstrat3\n");
TradeTriggerByDate trig = new TradeTriggerByDate();
trig.Symbol = scan_result.Symbol;
trig.TradeDate = scan_result.Date;
trig.DaysToHold = 5;
trade_triggers.Add(trig);
}
break;
default:
break;
}
}
trade_scanner_results.Add(scan_result);
}
}
if (bFinishedProcessingAllData == true)
{
WriteTradeScannerResults();
WriteTradeTriggers();
}
}
