public void Indicators_Make_ATR_for_one_bar_test()
{
List <Bar> bars = new List <Bar>();
bars.Add(new Bar(new DateTime(2013, 10, 1), 50, 55, 49, 51, 35));
Assert.AreEqual(6, ATR.Value(bars));
}
public void Indicators_Make_TrueRange_for_two_bars_test()
{
List <Bar> bars = new List <Bar>();
bars.Add(new Bar(new DateTime(2013, 10, 1), 50, 55, 49, 51, 35));
bars.Add(new Bar(new DateTime(2013, 10, 2), 51, 56, 48, 52, 38));
Assert.AreEqual(7, ATR.Value(bars));
}
public void Indicators_Make_ATR_for_collection()
{
List <Bar> bars = new List <Bar>();
bars.Add(new Bar(new DateTime(2013, 10, 1), 50, 55, 49, 51, 35));
bars.Add(new Bar(new DateTime(2013, 10, 2), 51, 56, 48, 52, 38));
bars.Add(new Bar(new DateTime(2013, 10, 3), 49, 53, 44, 50, 41));
Assert.AreEqual(7.6667, ATR.Value(bars));
}
public override void OnInit()
{
if (HasPosition)
{
//60天日线
DateTime curDate = Clock.Now.Date;
ISeriesObject[] dailyBars = Util.GetNDailiesBeforeDate(this.instrument, curDate, 60);
Util.AdjustDailys(dailyBars); //向前复权
foreach (Daily dBar in dailyBars)
{
this.Bar.Add(dBar);
}
if (this.DailyBar.Count > this.lengthATR)
{
this.moveStopATR = ATR.Value(this.DailyBar, this.DailyBar.LastIndex, lengthATR, EIndicatorStyle.MetaStock); //昨日ATR
}
int n = this.DailyBar.Count;
int i;
for (i = n - 1; i >= 0; i--)
{
if (this.DailyBar[i].DateTime <= Position.EntryDate.Date)
{
break;
}
}
if (this.DailyBar[i].DateTime < Position.EntryDate.Date)
{
i++;
}
if (i < 0)
{
i = 0;
}
this.positionCycle = n - i + 1;
for (int j = i; j < n; j++)
{
if (this.DailyBar[j].High > this.positionMaxPrice)
{
this.positionMaxPrice = this.DailyBar[j].High; //入场后的最高价格，不包括入场那一天
}
}
this.calcMoveStopPrice();
int length = i > this.lengthATR?this.lengthATR:i - 1;
if (length > 0)
{
this.stopLossATR = ATR.Value(this.DailyBar, i - 1, length, EIndicatorStyle.MetaStock); //入场前一天的ATR
}
this.calcStopLossPrice();
//this.judgeStagnant();
Console.WriteLine("投资组合中的证券 {0} :", Position.Instrument.Symbol);
Console.WriteLine("持仓周期是 {0},绝对止损价格是 {1},持仓后最大价格是 {2}", this.positionCycle, this.stopLossPrice, this.positionMaxPrice);
}
}
public void Indicators_Make_ATR_value()
{
List <Bar> bars = new List <Bar>();
bars.Add(new Bar(new DateTime(2013, 10, 11, 0, 0, 0), 148630, 149220, 148600, 149140, 35));
bars.Add(new Bar(new DateTime(2013, 10, 11, 11, 0, 0), 149170, 149310, 148380, 148800, 38));
bars.Add(new Bar(new DateTime(2013, 10, 11, 12, 0, 0), 148800, 148810, 147470, 147900, 38));
bars.Add(new Bar(new DateTime(2013, 10, 11, 13, 0, 0), 147910, 148370, 147800, 148250, 38));
bars.Add(new Bar(new DateTime(2013, 10, 11, 14, 0, 0), 148240, 148340, 147920, 148130, 38));
bars.Add(new Bar(new DateTime(2013, 10, 11, 15, 0, 0), 148110, 148290, 148000, 148260, 38));
bars.Add(new Bar(new DateTime(2013, 10, 11, 16, 0, 0), 148260, 148260, 147940, 147980, 38));
bars.Add(new Bar(new DateTime(2013, 10, 11, 17, 0, 0), 147990, 148110, 147670, 147680, 38));
bars.Add(new Bar(new DateTime(2013, 10, 11, 18, 0, 0), 147680, 147940, 147110, 147920, 38));
bars.Add(new Bar(new DateTime(2013, 10, 11, 19, 0, 0), 147920, 148030, 147550, 147810, 38));
Assert.AreEqual(624, ATR.Value(bars));
}
public override void OnInit()
{
DateTime curDate = Clock.Now.Date;
if (!HasPosition)
{
int length = this.DailyBar.Count > this.lengthATR?this.lengthATR:this.DailyBar.Count - 1;
if (length > 0)
{
this.lastATR = ATR.Value(this.DailyBar, this.DailyBar.LastIndex, length, EIndicatorStyle.MetaStock);
}
else
{
this.lastATR = 1;
}
this.canOrder = true;
}
this.openTime = curDate.Add(new TimeSpan(9, 30, 0));
this.portfolioRisk = this.portfolioRisk * this.strategy.PositionLevel;
}
protected SingleOrder AddPosition(Position position)
{
if (position != null)
{
string text = "买进最佳持仓";
Instrument instrument = position.Instrument;
BarSeries dailyBars = this.strategy.Bars[instrument, BarType.Time, 86400];
double lastATR = 1.0;
if (dailyBars.Count > 5)
{
lastATR = ATR.Value(dailyBars, dailyBars.LastIndex, 5, EIndicatorStyle.MetaStock); //昨日ATR
}
int expectQty = (int)(this.strategy.Portfolio.GetTotalEquity() * this.strategy.PositionLevel * 0.01 / lastATR);
expectQty = expectQty / 100 * 100;
Signal signal;
switch (position.Side)
{
case PositionSide.Long:
signal = new Signal(Clock.Now, SignalType.Market, SignalSide.Buy, expectQty, 0, instrument, text);
signal.TimeInForce = TimeInForce.Day;
return(this.strategy.EmitSignal(signal));
case PositionSide.Short:
signal = new Signal(Clock.Now, SignalType.Market, SignalSide.SellShort, expectQty, 0, instrument, text);
signal.TimeInForce = TimeInForce.Day;
return(this.strategy.EmitSignal(signal));
default:
return(null);
}
}
else
{
return(null);
}
}
