public void Equals_WithDifferentSignal_ReturnsFalse()
{
var signal1 = new BuySignal(4, 7);
var signal2 = new BuySignal(4, 8);
Assert.IsFalse(signal1.Equals(signal2));
}
public void Equals_WithSimilarSignal_ReturnsTrue()
{
var signal1 = new BuySignal(4, 7);
var signal2 = new BuySignal(4, 7);
Assert.IsTrue(signal1.Equals(signal2));
}
/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
if (CurrentBar < rSILen + 10)
{
return;
}
CummRSI_DS[1] = CummRSI;
CummRSI = 0;
for (int i = 0; i < numDaysX; i++)
{
CummRSI = CummRSI + RSI(Close, 2, 1)[i];
}
CummRSI_DS[0] = CummRSI;
//CummRSIPlot.Set(CummRSI);
//Print("CummRSI = " + CummRSI + " CummRSI_DS[1] = " + CummRSI_DS[1] + " CummRSI_DS[0] = " + CummRSI_DS[0]);
if ((CummRSI_DS[1] >= cummRSIThres) && (CummRSI_DS[0] < cummRSIThres))
{
BuySignal.Set(5);
}
else
{
BuySignal.Set(0);
}
}
public void Strength_Buy100Neutral50_ReturnsBuy25()
{
var combinedSignal = new DefensiveCombinedSignal(new BuySignal(100), new NeutralSignal(50));
var expectedSignal = new BuySignal(25);
Assert.That(combinedSignal, Is.EqualTo(expectedSignal));
}
public void Weigth_WhenCalled_SignalWithAdjustedStrengthIsReturned()
{
var signal = new BuySignal(4);
var weightedSignal = signal.Weight(0.5);
Assert.That(weightedSignal.Strength.Value, Is.EqualTo(2));
}
public void Strength_Buy100Sell0_ReturnsBuy25()
{
var combinedSignal = new OffensiveCombinedSignal(new BuySignal(100), new SellSignal(0));
var expectedSignal = new BuySignal(25);
Assert.That(combinedSignal, Is.EqualTo(expectedSignal));
}
public async Task Execute(IReadOnlyList <Candle> candles)
{
var buy = BuySignal.BuildExpression();
var sell = SellSignal.BuildExpression();
// TODO: Add live and backtest modes, backtests run the full collection, live only calculates the last candle
for (int i = 24; i < candles.Count; i++)
{
try
{
var candle = candles[i];
if (buy.Invoke(candles, i) &&
await _shouldBuy.Invoke(Trades, candle))
{
//How to get buy amount from user?
var v = Trades.Any() && Trades.Last().Direction == TradeDirection.Sell ? Trades.Last().VolumeEur : InitialInvestment;
Trades.Add(new Trade()
{
TradeDate = candle.CloseDate,
Direction = TradeDirection.Buy,
Price = candle.Close,
Volume = Trades.Any() ? Trades.Last().VolumeEur / candle.Close : InitialInvestment / candle.Close,
VolumeEur = Trades.Any() ? Trades.Last().VolumeEur : InitialInvestment
});
}
//TODO: Add sell signal object with perc
//TODO: support 2 types of api, one with delegate and other with expression
if (sell.Invoke(candles, i) &&
await _shouldSell.Invoke(Trades, candle))
{
//How to get sell amount from user?
var v = Trades.Any() && Trades.Last().Direction == TradeDirection.Buy ? Trades.Last().Volume : InitialInvestment;
Trades.Add(new Trade()
{
TradeDate = candle.CloseDate,
Direction = TradeDirection.Sell,
Price = candle.Close,
Volume = v,
VolumeEur = v * candle.Close,
});
}
}
catch (Exception ex)
{
Console.WriteLine(ex.Message + ex.StackTrace);
throw;
}
}
if (Trades.Any())
{
ProfitEur = Trades.Last().Direction == TradeDirection.Sell ? Trades.Last().VolumeEur : Trades.Last().Volume *candles[candles.Count - 1].Close;
ProfitCoin = Trades.Last().Direction == TradeDirection.Buy ? Trades.Last().Volume : Trades.Last().VolumeEur / candles[candles.Count - 1].Close;
}
}
/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
// Use this method for calculating your indicator values. Assign a value to each
// plot below by replacing 'Close[0]' with your own formula.
double currentMacd;
bool buySignal1;
bool buySignal2;
bool buySignal3;
bool buySignal4;
currentMacd = MACD(Close, mACDShortLen, mACDLongLen, 9)[0];
if (CrossBelow(MACD(Close, mACDShortLen, mACDLongLen, 9), 0.03, 1))
{
macdDropUpperThres[0] = 1;
}
else
{
macdDropUpperThres[0] = 0;
}
if (CrossAbove(MACD(Close, mACDShortLen, mACDLongLen, 9), 0.02, 1))
{
macdCrossUpperThres[0] = 1;
}
else
{
macdCrossUpperThres[0] = 0;
}
buySignal3 = !CrossBelow(MACD(Close, mACDShortLen, mACDLongLen, 9), -0.06, 15);
buySignal4 = EMA(Close, 20)[0] > EMA(Close, 100)[0];
if (CrossAbove(macdDropUpperThres, 0.5, 10) && macdCrossUpperThres[0] == 1)
{
BuySignal.Set(Low[0]);
}
//if(macdDropUpperThres[0]==1)
// SellSignal.Set(Low[0]);
}
void blt_GotNewBar(string symbol, int interval)
{
int idx = _active.getindex(symbol);
Tick tOther = _kt[symbol];
// calculate the TD_combination using high/low/close prices for so many bars back
BarList _myBars = _blt[symbol, interval];
// make sure the lastBar is full
//Bar _lastBar = _myBars[_myBars.Count - 2];
//Bar _secondBar = _myBars[_myBars.Count - 3];
//Bar _thirdBar = _myBars[_myBars.Count - 4];
//Bar _forthBar = _myBars[_myBars.Count - 5];
//Bar _sixthBar = _myBars[_myBars.Count - 7];
//Bar _seventhBar = _myBars[_myBars.Count - 8];
//Bar _fifthBar = _myBars[_myBars.Count - 6];
//Bar _ninthBar = _myBars[_myBars.Count - 10];
//Bar _eighthBar = _myBars[_myBars.Count - 9];
for (int i = 1; i <= 15; i++)
{
_barVec[i] = _myBars[_myBars.Count - 1 - i];
}
if (UseTD_combinationFromATSGlobalIndicator)
{
_TD_combinationFromATSGlobalIndicator.UpdateValue(_barVec);
BuySignal = _TD_combinationFromATSGlobalIndicator.GetBuySignal();
SellSignal = _TD_combinationFromATSGlobalIndicator.GetSellSignal();
}
//else
//{
// SMA = Calc.Avg(Calc.EndSlice(_blt[symbol].Open(), _barsback));
//}
// wait until we have the TD_combination+ and the TD_combination-
//if (BuySignal == 0 && SellSignal == 0)
// return;
//ensure we aren't waiting for previous order to fill
if (!_wait[symbol])
{
// if we're flat and not waiting
// if TD_combination+ is above TD_combination-, buy
if ((Money_state == 0 && BuySignal == 1))
{
Money_state = 1;
D("TD_BuySignal appears, buy");
//sendorder(new BuyMarket(symbol, EntrySize));
_side = true;
_adj = (_side ? -1 : +1) * _quasiMarketOrderAdjSize;
Int64 _orderidLocal = _idtLocal.AssignId;
LimitOrder lOrder = new LimitOrder(symbol, _side, EntrySize, tOther.trade - _adj, _orderidLocal);
sendorder(lOrder);
// wait for fill
_wait[symbol] = true;
}
// otherwise if TD_combination+ is above TD_combination-, sell
if (Money_state == 1 && SellSignal == 1)
{
Money_state = 0;
D("TD_SellSignal appears, sell");
//sendorder(new SellMarket(symbol, EntrySize));
_side = false;
_adj = (_side ? -1 : +1) * _quasiMarketOrderAdjSize;
Int64 _orderidLocal = _idtLocal.AssignId;
LimitOrder lOrder = new LimitOrder(symbol, _side, EntrySize, tOther.trade - _adj, _orderidLocal);
sendorder(lOrder);
// wait for fill
_wait[symbol] = true;
}
}
// this way we can debug our indicators during development
// indicators are sent in the same order as they are named above
sendindicators(new string[] { _time.ToString(),
BuySignal.ToString("F5", System.Globalization.CultureInfo.InvariantCulture),
SellSignal.ToString("F5", System.Globalization.CultureInfo.InvariantCulture),
_barVec[1].High.ToString("F5", System.Globalization.CultureInfo.InvariantCulture),
_barVec[1].Low.ToString("F5", System.Globalization.CultureInfo.InvariantCulture),
_barVec[1].Close.ToString("F5", System.Globalization.CultureInfo.InvariantCulture),
//_previousBar.High.ToString("F5", System.Globalization.CultureInfo.InvariantCulture),
//_previousBar.Low.ToString("F5", System.Globalization.CultureInfo.InvariantCulture),
//_previousBar.Close.ToString("F5", System.Globalization.CultureInfo.InvariantCulture)
});
}
public void BuySignal_WhenCreated_StrengthIs50()
{
var signal = new BuySignal();
Assert.That(signal.Strength.Value, Is.EqualTo(50));
}
public void Ctor_WithoutQuality_QualitySetTo100Percent()
{
var signal = new BuySignal(45);
Assert.That(signal.Quality, Is.EqualTo(Percentage.Hundred));
}
