public static void Main(string[] args)
{
// Splitting the series into slices
TimeSeries series = CsvTradesLoader.loadBitstampSeries();
IList <TimeSeries> subseries = series.split(Period.hours(6), Period.weeks(1));
// Building the map of strategies
IDictionary <Strategy, string> strategies = buildStrategiesMap(series);
// The analysis criterion
AnalysisCriterion profitCriterion = new TotalProfitCriterion();
foreach (TimeSeries slice in subseries)
{
// For each sub-series...
Console.WriteLine("Sub-series: " + slice.SeriesPeriodDescription);
foreach (KeyValuePair <Strategy, string> entry in strategies.SetOfKeyValuePairs())
{
Strategy strategy = entry.Key;
string name = entry.Value;
// For each strategy...
TradingRecord tradingRecord = slice.run(strategy);
double profit = profitCriterion.calculate(slice, tradingRecord);
Console.WriteLine("\tProfit for " + name + ": " + profit);
}
Strategy bestStrategy = profitCriterion.chooseBest(slice, new List <Strategy>(strategies.Keys));
Console.WriteLine("\t\t--> Best strategy: " + strategies[bestStrategy] + "\n");
}
}
public static void Main(string[] args)
{
// Getting the time series
TimeSeries series = CsvTradesLoader.loadBitstampSeries();
// Building the trading strategy
Strategy strategy = MovingMomentumStrategy.buildStrategy(series);
/// <summary>
/// Building chart datasets
/// </summary>
TimeSeriesCollection dataset = new TimeSeriesCollection();
dataset.addSeries(buildChartTimeSeries(series, new ClosePriceIndicator(series), "Bitstamp Bitcoin (BTC)"));
/// <summary>
/// Creating the chart
/// </summary>
JFreeChart chart = ChartFactory.createTimeSeriesChart("Bitstamp BTC", "Date", "Price", dataset, true, true, false); // generate URLs? - generate tooltips? - create legend? - data - y-axis label - x-axis label - title
XYPlot plot = (XYPlot)chart.Plot;
DateAxis axis = (DateAxis)plot.DomainAxis;
axis.DateFormatOverride = new SimpleDateFormat("MM-dd HH:mm");
/// <summary>
/// Running the strategy and adding the buy and sell signals to plot
/// </summary>
addBuySellSignals(series, strategy, plot);
/// <summary>
/// Displaying the chart
/// </summary>
displayChart(chart);
}
/// <summary>
/// Builds a moving time series (i.e. keeping only the maxTickCount last ticks) </summary>
/// <param name="maxTickCount"> the number of ticks to keep in the time series (at maximum) </param>
/// <returns> a moving time series </returns>
private static TimeSeries initMovingTimeSeries(int maxTickCount)
{
TimeSeries series = CsvTradesLoader.loadBitstampSeries();
Console.Write("Initial tick count: " + series.TickCount);
// Limitating the number of ticks to maxTickCount
series.MaximumTickCount = maxTickCount;
LAST_TICK_CLOSE_PRICE = series.getTick(series.End).ClosePrice;
Console.WriteLine(" (limited to " + maxTickCount + "), close price = " + LAST_TICK_CLOSE_PRICE);
return(series);
}
public static void Main(string[] args)
{
/// <summary>
/// Getting time series
/// </summary>
TimeSeries series = CsvTradesLoader.loadBitstampSeries().subseries(0, Period.hours(6));
/// <summary>
/// Creating the OHLC dataset
/// </summary>
OHLCDataset ohlcDataset = createOHLCDataset(series);
/// <summary>
/// Creating the additional dataset
/// </summary>
TimeSeriesCollection xyDataset = createAdditionalDataset(series);
/// <summary>
/// Creating the chart
/// </summary>
JFreeChart chart = ChartFactory.createCandlestickChart("Bitstamp BTC price", "Time", "USD", ohlcDataset, true);
// Candlestick rendering
CandlestickRenderer renderer = new CandlestickRenderer();
renderer.AutoWidthMethod = CandlestickRenderer.WIDTHMETHOD_SMALLEST;
XYPlot plot = chart.XYPlot;
plot.Renderer = renderer;
// Additional dataset
int index = 1;
plot.setDataset(index, xyDataset);
plot.mapDatasetToRangeAxis(index, 0);
XYLineAndShapeRenderer renderer2 = new XYLineAndShapeRenderer(true, false);
renderer2.setSeriesPaint(index, Color.blue);
plot.setRenderer(index, renderer2);
// Misc
plot.RangeGridlinePaint = Color.lightGray;
plot.BackgroundPaint = Color.white;
NumberAxis numberAxis = (NumberAxis)plot.RangeAxis;
numberAxis.AutoRangeIncludesZero = false;
plot.DatasetRenderingOrder = DatasetRenderingOrder.FORWARD;
/// <summary>
/// Displaying the chart
/// </summary>
displayChart(chart);
}
public static void Main()
{
// Getting the time series
var series = CsvTradesLoader.LoadBitstampSeries();
// Building the trading strategy
var strategy = BuildStrategy(series);
// Running the strategy
var tradingRecord = series.Run(strategy);
Console.WriteLine("Number of trades for the strategy: " + tradingRecord.TradeCount);
// Analysis
Console.WriteLine("Total profit for the strategy: " + (new TotalProfitCriterion()).Calculate(series, tradingRecord));
}
public static void Main(string[] args)
{
// Run the various examples in turn...
var demo = new Quickstart();
demo.QuickStart();
PressAnyKey();
CsvTicksLoader.Main();
PressAnyKey();
CsvTradesLoader.Main();
PressAnyKey();
CCICorrectionStrategy.Main();
PressAnyKey();
GlobalExtremaStrategy.Main();
PressAnyKey();
MovingMomentumStrategy.Main();
PressAnyKey();
RSI2Strategy.Main();
PressAnyKey();
var s = new StrategyAnalysis();
s.RunCciCorrection();
PressAnyKey();
s.RunGlobalExtrema();
PressAnyKey();
s.RunMovingMomentum();
PressAnyKey();
s.RunRSI2();
PressAnyKey();
}
public void QuickStart()
{
// Getting a time series (from any provider: CSV, web service, etc.)
var series = CsvTradesLoader.LoadBitstampSeries();
// Getting the close price of the ticks
var firstClosePrice = series.GetTick(0).ClosePrice;
Console.WriteLine("First close price: " + firstClosePrice.ToDouble());
// Or within an indicator:
var closePrice = new ClosePriceIndicator(series);
// Here is the same close price:
Console.WriteLine(firstClosePrice.IsEqual(closePrice.GetValue(0))); // equal to firstClosePrice
// Getting the simple moving average (SMA) of the close price over the last 5 ticks
var shortSma = new SmaIndicator(closePrice, 5);
// Here is the 5-ticks-SMA value at the 42nd index
Console.WriteLine("5-ticks-SMA value at the 42nd index: " + shortSma.GetValue(42).ToDouble());
// Getting a longer SMA (e.g. over the 30 last ticks)
var longSma = new SmaIndicator(closePrice, 30);
// Ok, now let's building our trading rules!
// Buying rules
// We want to buy:
// - if the 5-ticks SMA crosses over 30-ticks SMA
// - or if the price goes below a defined price (e.g $800.00)
var buyingRule = (new CrossedUpIndicatorRule(shortSma, longSma))
.Or(new CrossedDownIndicatorRule(closePrice, Decimal.ValueOf("800")));
// Selling rules
// We want to sell:
// - if the 5-ticks SMA crosses under 30-ticks SMA
// - or if if the price looses more than 3%
// - or if the price earns more than 2%
var sellingRule = (new CrossedDownIndicatorRule(shortSma, longSma))
//.Or(new CrossedDownIndicatorRule(new TrailingStopLossIndicator(closePrice, Decimal.ValueOf("30")), closePrice ))
.Or(new StopLossRule(closePrice, Decimal.ValueOf("3")))
.Or(new StopGainRule(closePrice, Decimal.ValueOf("2")));
// Running our juicy trading strategy...
var tradingRecord = series.Run(new Strategy(buyingRule, sellingRule));
Console.WriteLine("Number of trades for our strategy: " + tradingRecord.TradeCount);
// Analysis
// Getting the cash flow of the resulting trades
var cashFlow = new CashFlow(series, tradingRecord);
// Getting the profitable trades ratio
IAnalysisCriterion profitTradesRatio = new AverageProfitableTradesCriterion();
Console.WriteLine("Profitable trades ratio: " + profitTradesRatio.Calculate(series, tradingRecord));
// Getting the reward-risk ratio
IAnalysisCriterion rewardRiskRatio = new RewardRiskRatioCriterion();
Console.WriteLine("Reward-risk ratio: " + rewardRiskRatio.Calculate(series, tradingRecord));
// Total profit of our strategy
// vs total profit of a buy-and-hold strategy
IAnalysisCriterion vsBuyAndHold = new VersusBuyAndHoldCriterion(new TotalProfitCriterion());
Console.WriteLine("Our profit vs buy-and-hold profit: " + vsBuyAndHold.Calculate(series, tradingRecord));
// Your turn!
}
public static void Main(string[] args)
{
/// <summary>
/// Getting time series
/// </summary>
TimeSeries series = CsvTradesLoader.loadBitstampSeries();
/// <summary>
/// Creating indicators
/// </summary>
// Close price
ClosePriceIndicator closePrice = new ClosePriceIndicator(series);
// Typical price
TypicalPriceIndicator typicalPrice = new TypicalPriceIndicator(series);
// Price variation
PriceVariationIndicator priceVariation = new PriceVariationIndicator(series);
// Simple moving averages
SMAIndicator shortSma = new SMAIndicator(closePrice, 8);
SMAIndicator longSma = new SMAIndicator(closePrice, 20);
// Exponential moving averages
EMAIndicator shortEma = new EMAIndicator(closePrice, 8);
EMAIndicator longEma = new EMAIndicator(closePrice, 20);
// Percentage price oscillator
PPOIndicator ppo = new PPOIndicator(closePrice, 12, 26);
// Rate of change
ROCIndicator roc = new ROCIndicator(closePrice, 100);
// Relative strength index
RSIIndicator rsi = new RSIIndicator(closePrice, 14);
// Williams %R
WilliamsRIndicator williamsR = new WilliamsRIndicator(series, 20);
// Average true range
AverageTrueRangeIndicator atr = new AverageTrueRangeIndicator(series, 20);
// Standard deviation
StandardDeviationIndicator sd = new StandardDeviationIndicator(closePrice, 14);
/// <summary>
/// Building header
/// </summary>
StringBuilder sb = new StringBuilder("timestamp,close,typical,variation,sma8,sma20,ema8,ema20,ppo,roc,rsi,williamsr,atr,sd\n");
/// <summary>
/// Adding indicators values
/// </summary>
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final int nbTicks = series.getTickCount();
int nbTicks = series.TickCount;
for (int i = 0; i < nbTicks; i++)
{
sb.Append(series.getTick(i).EndTime.Millis / 1000d).Append(',').Append(closePrice.getValue(i)).Append(',').Append(typicalPrice.getValue(i)).Append(',').Append(priceVariation.getValue(i)).Append(',').Append(shortSma.getValue(i)).Append(',').Append(longSma.getValue(i)).Append(',').Append(shortEma.getValue(i)).Append(',').Append(longEma.getValue(i)).Append(',').Append(ppo.getValue(i)).Append(',').Append(roc.getValue(i)).Append(',').Append(rsi.getValue(i)).Append(',').Append(williamsR.getValue(i)).Append(',').Append(atr.getValue(i)).Append(',').Append(sd.getValue(i)).Append('\n');
}
/// <summary>
/// Writing CSV file
/// </summary>
System.IO.StreamWriter writer = null;
try
{
writer = new System.IO.StreamWriter("indicators.csv");
writer.Write(sb.ToString());
} catch (IOException ioe)
{
//JAVA TO C# CONVERTER WARNING: The .NET Type.FullName property will not always yield results identical to the Java Class.getName method:
Logger.getLogger(typeof(IndicatorsToCsv).FullName).log(Level.SEVERE, "Unable to write CSV file", ioe);
} finally
{
try
{
if (writer != null)
{
writer.Close();
}
} catch (IOException)
{
}
}
}
