protected override void Initialize(HistoricalPriceVolume historicalData)
{
AroonIndicator aroon = new AroonIndicator("Aroon", _period);
aroon.Calculate(historicalData);
AddIndicator(aroon);
}
public void Calculate(HistoricalPriceVolume data)
{
List <HistoricalPriceVolumeEntry> graph = data.Items;
for (int i = Period; i < graph.Count; i++)
{
HistoricalPriceVolumeEntry entry = graph[i];
int current = i + 1;
DateTime date = entry.Date;
int back = current - Period;
back = back < 0 ? 0 : back;
List <HistoricalPriceVolumeEntry> range = graph.GetRange(i - Period, Period + 1);
int dayHigh = IndicatorUtils.GetHighestId(range.Select(e => e.High));
int daysSinceHigh = range.Count - dayHigh;
decimal aroonUp = 100 * (Period - daysSinceHigh) / (decimal)Period;
int dayLow = IndicatorUtils.GetLowestId(range.Select(e => e.Low));
int daysSinceLow = range.Count - dayLow;
decimal aroonDown = 100 * (Period - daysSinceLow) / (decimal)Period;
Debug.WriteLine("");
Debug.WriteLine($"Date: {date.ToString("d")}");
Debug.WriteLine($"Up: {aroonUp}");
Debug.WriteLine($"Down: {aroonDown}");
AroonGraph.Add(date, new[] { aroonUp, aroonDown });
}
}
public void Calculate(HistoricalPriceVolume graph)
{
HistoricalData = graph;
CalculationStart();
for (int i = HistoricalData.GraphData.Count - BeginCalculationOffset - 1; i >= 0; i--)
{
_current = i;
CalculateFor(i);
}
CalculationEnd();
}
public HistoricalPriceVolume ParseHistoricalData(string res)
{
string[] lines = res.Split('\n');
HistoricalPriceVolume data = new HistoricalPriceVolume(lines.Take(lines.Length - 1)
.TakeWhile(line => line != null)
.Select(StockUtils.ParseCsvRow).Select(line => new HistoricalPriceVolumeEntry
{
Date = DateTime.Parse(line[0]),
Open = NumberUtils.ParseDecimal(line[1]),
High = NumberUtils.ParseDecimal(line[2]),
Low = NumberUtils.ParseDecimal(line[3]),
Close = NumberUtils.ParseDecimal(line[4]),
Volume = NumberUtils.ParseInt(line[5])
}) /*.Reverse()*/.ToList());
return(data);
}
public BacktestResult BackTest(StockInfo stock, HistoricalPriceVolume historicalData)
{
Stock = stock;
HistoricalData = historicalData;
Account = Capital;
SharesOwned = 0;
Indicators.Clear();
Trades = new List <TradeInfo>();
Reset();
Initialize(HistoricalData);
int offset = Indicators.Values.Max(ind => ind.BeginCalculationOffset);
for (int i = HistoricalData.Items.Count - offset - 1; i >= 0; i--)
{
CurrentSharePrice = HistoricalData.Items[i].Open; // Wrong
Signal(HistoricalData.Items[i]);
}
return(new BacktestResult(Capital, Account + SharesOwned * CurrentSharePrice, Stock, Trades, HistoricalData.Items[0]));
}
protected abstract void Initialize(HistoricalPriceVolume historicalData);
