public override MarketExitingComponentResult ShouldExit(ITradingObject tradingObject)
{
var result = new MarketExitingComponentResult();
var code = tradingObject.Code;
if (Context.ExistsPosition(code))
{
int periodCount = Context.GetPositionDetails(code).Last().LastedPeriodCount;
if (periodCount >= HoldingPeriods)
{
var todayBar = Context.GetBarOfTradingObjectForCurrentPeriod(tradingObject);
var previousBar = _referenceBar.GetMetricValues(tradingObject);
var previousOpen = previousBar[1];
var previousClose = previousBar[0];
if (todayBar.OpenPrice < previousClose ||
todayBar.ClosePrice < previousClose ||
todayBar.ClosePrice < todayBar.OpenPrice)
{
result.Comments = string.Format(
"hold for {0} periods and no jump up and rise. today open {1:0.000}, today close {2:0.000} previous close {3:0.000}",
HoldingPeriods,
todayBar.OpenPrice,
todayBar.ClosePrice,
previousClose);
result.ShouldExit = true;
}
}
}
return(result);
}
public override MarketExitingComponentResult ShouldExit(ITradingObject tradingObject)
{
var result = new MarketExitingComponentResult();
if (Context.ExistsPosition(tradingObject.Code))
{
var position = Context.GetPositionDetails(tradingObject.Code).First();
if (position.LastedPeriodCount == 1)
{
var yesterdayBar = _yesterdayBarProxy.GetMetricValues(tradingObject);
var yesterDayClosePrice = yesterdayBar[0];
var yesterDayOpenPrice = yesterdayBar[1];
var todayBar = Context.GetBarOfTradingObjectForCurrentPeriod(tradingObject);
if (todayBar.ClosePrice < todayBar.OpenPrice && yesterDayClosePrice < yesterDayOpenPrice)
{
var lossPercentage = (todayBar.ClosePrice - yesterDayOpenPrice) / yesterDayOpenPrice * 100.0;
if (lossPercentage < -MinLossPercentage)
{
result.Comments = string.Format("Continue 2 days loss: today close price {0:0.000}, yesterday open price {1:0.000}", todayBar.ClosePrice, yesterDayOpenPrice);
result.Price = new TradingPrice(ExitingPeriod, ExitingPriceOption, ExitingCustomPrice);
result.ShouldExit = true;
}
}
}
}
return(result);
}
public override MarketExitingComponentResult ShouldExit(ITradingObject tradingObject)
{
var result = new MarketExitingComponentResult();
if (Context.ExistsPosition(tradingObject.Code))
{
var position = Context.GetPositionDetails(tradingObject.Code).First();
if (position.LastedPeriodCount == 1)
{
var firstDayBar = _firstDayBarProxy.GetMetricValues(tradingObject);
var theDayBeforeFirstDayBar = _theDayBeforeFirstDayBarProxy.GetMetricValues(tradingObject);
var firstDayClosePrice = firstDayBar[0];
var theDayBeforeFirstDayClosePrice = theDayBeforeFirstDayBar[0];
var lossPercentage = (firstDayClosePrice - position.BuyPrice) / position.BuyPrice * 100.0;
var lossPercentageToPreviousDay = (firstDayClosePrice - theDayBeforeFirstDayClosePrice) / theDayBeforeFirstDayClosePrice * 100.0;
if (lossPercentage < -MinLossPercentage ||
lossPercentageToPreviousDay < -MinLossPercentageToPreviousDayClose)
{
result.Comments = string.Format("Loss: buy price {0:0.000}, close price {1:0.000}, prev close price {2:0.000}", position.BuyPrice, firstDayClosePrice, theDayBeforeFirstDayClosePrice);
result.Price = new TradingPrice(ExitingPeriod, ExitingPriceOption, ExitingCustomPrice);
result.ShouldExit = true;
}
}
}
return(result);
}
public override MarketExitingComponentResult ShouldExit(ITradingObject tradingObject)
{
var result = new MarketExitingComponentResult();
var code = tradingObject.Code;
if (Context.ExistsPosition(code))
{
Bar todayBar = Context.GetBarOfTradingObjectForCurrentPeriod(tradingObject);
if (_codesSwitchedToSingleMovingAverageMarketExiting.Contains(code))
{
double movingAverage = _movingAverageMetricProxy.GetMetricValues(tradingObject)[0];
if (todayBar.ClosePrice < movingAverage)
{
result.ShouldExit = true;
result.Comments = string.Format(
"Close price {0:0.000} < MA[{1}]({2:0.000})",
todayBar.ClosePrice,
MovingAveragePeriods,
movingAverage);
result.Price = new TradingPrice(
TradingPricePeriod.CurrentPeriod,
TradingPriceOption.ClosePrice,
0.0);
}
}
else
{
int periodCount = Context.GetPositionDetails(code).Last().LastedPeriodCount;
if (periodCount >= HoldingPeriods)
{
var highestIndex = _highestMetricProxy.GetMetricValues(tradingObject)[1];
if (periodCount == HoldingPeriods &&
(int)highestIndex == HighestLookbackPeriods - 1 &&
todayBar.ClosePrice >= todayBar.OpenPrice)
{
// today is the highest price, switch to moving average exiting.
_codesSwitchedToSingleMovingAverageMarketExiting.Add(code);
}
else
{
result.Comments = string.Format("hold for {0} periods", HoldingPeriods);
result.ShouldExit = true;
}
}
}
}
else
{
_codesSwitchedToSingleMovingAverageMarketExiting.Remove(code);
}
return(result);
}
public override MarketExitingComponentResult ShouldExit(ITradingObject tradingObject)
{
var result = new MarketExitingComponentResult();
if (Context.ExistsPosition(tradingObject.Code))
{
var position = Context.GetPositionDetails(tradingObject.Code).First();
if (position.LastedPeriodCount == 1)
{
var firstDayBar = _firstDayBarProxy.GetMetricValues(tradingObject);
var firstDayClosePrice = firstDayBar[0];
var firstDayOpenPrice = firstDayBar[1];
var firstDayMinPrice = Math.Min(firstDayOpenPrice, firstDayClosePrice);
var secondDayBar = Context.GetBarOfTradingObjectForCurrentPeriod(tradingObject);
var lossPercentage = (secondDayBar.ClosePrice - secondDayBar.OpenPrice) / secondDayBar.OpenPrice * 100.0;
var lossPercentageOpenToFirstDayMin = (secondDayBar.OpenPrice - firstDayMinPrice) / firstDayMinPrice * 100.0;
var lossPercentageCloseToFirstDayMin = (secondDayBar.ClosePrice - firstDayMinPrice) / firstDayMinPrice * 100.0;
if (lossPercentageOpenToFirstDayMin < -MinLossPercentageOpenToFirstDayMin)
{
result.Comments = string.Format("2nd day loss: today open price {0:0.000}, first day min price {1:0.000}", secondDayBar.OpenPrice, firstDayMinPrice);
result.Price = new TradingPrice(TradingPricePeriod.CurrentPeriod, TradingPriceOption.OpenPrice, 0.0);
result.ShouldExit = true;
}
else if (lossPercentage < -MinLossPercentage)
{
result.Comments = string.Format("2nd day loss: today open price {0:0.000}, close price {1:0.000}", secondDayBar.OpenPrice, secondDayBar.ClosePrice);
result.Price = new TradingPrice(ExitingPeriod, ExitingPriceOption, ExitingCustomPrice);
result.ShouldExit = true;
}
else if (lossPercentageCloseToFirstDayMin < -MinLossPercentageCloseToFirstDayMin)
{
result.Comments = string.Format("2nd day loss: today close price {0:0.000}, first day min price {1:0.000}", secondDayBar.ClosePrice, firstDayMinPrice);
result.Price = new TradingPrice(ExitingPeriod, ExitingPriceOption, ExitingCustomPrice);
result.ShouldExit = true;
}
}
}
return(result);
}
public override MarketExitingComponentResult ShouldExit(ITradingObject tradingObject)
{
MarketExitingComponentResult result = new MarketExitingComponentResult();
if (!Context.ExistsPosition(tradingObject.Code))
{
return(result);
}
Position position = Context.GetPositionDetails(tradingObject.Code).First();
if (position.LastedPeriodCount < GrowthCalculationWindow - 1)
{
return(result);
}
ITradingObject boardIndexObject = Context.GetBoardIndexTradingObject(tradingObject);
var growth = _growthProxy.GetMetricValues(tradingObject)[0];
var values = _growthProxy.GetMetricValues(boardIndexObject);
if (values == null)
{
values = _growthProxy.GetMetricValues(Context.GetBoardIndexTradingObject(StockBoard.MainBoard));
}
var boardIndexGrowth = values[0];
if (growth < boardIndexGrowth)
{
result.ShouldExit = true;
result.Comments = string.Format("Growth {0:0.0000} < board index growth {1:0.0000}", growth, boardIndexGrowth);
if (position.LastedPeriodCount < Context.GetPositionFrozenDays())
{
result.Price = new TradingPrice(TradingPricePeriod.NextPeriod, TradingPriceOption.OpenPrice, 0.0);
}
else
{
result.Price = new TradingPrice(TradingPricePeriod.CurrentPeriod, TradingPriceOption.ClosePrice, 0.0);
}
}
return(result);
}
public override MarketExitingComponentResult ShouldExit(ITradingObject tradingObject)
{
var result = new MarketExitingComponentResult();
if (_holdingPeriods.Length != 0)
{
int period;
if (_codesShouldExit.TryGetValue(tradingObject.Index, out period))
{
_codesShouldExit.Remove(tradingObject.Index);
result.Comments = string.Format("hold for {0} periods, but no profit", period);
result.ShouldExit = true;
}
}
return(result);
}
public override MarketExitingComponentResult ShouldExit(ITradingObject tradingObject)
{
var result = new MarketExitingComponentResult();
if (!_trendDetector.HasTrend(tradingObject))
{
for (int i = 0; i < _trendDetector.PeriodsCount; ++i)
{
result.Comments += string.Format(
"MA[{0}]:{1:0.000} ",
_trendDetector.GetPeriod(i),
_trendDetector.GetMovingAverage(tradingObject, i));
}
result.ShouldExit = true;
}
return(result);
}
public override MarketExitingComponentResult ShouldExit(ITradingObject tradingObject)
{
var result = new MarketExitingComponentResult();
var code = tradingObject.Code;
if (Context.ExistsPosition(code))
{
int periodCount = Context.GetPositionDetails(code).Last().LastedPeriodCount;
if (periodCount >= HoldingPeriods)
{
result.Comments = string.Format("hold for {0} periods", HoldingPeriods);
result.ShouldExit = true;
}
}
return(result);
}
public override MarketExitingComponentResult ShouldExit(ITradingObject tradingObject)
{
var result = new MarketExitingComponentResult();
if (Context.ExistsPosition(tradingObject.Code))
{
var position = Context.GetPositionDetails(tradingObject.Code).First();
if (position.LastedPeriodCount >= MinKeepPeriods)
{
var bar = Context.GetBarOfTradingObjectForCurrentPeriod(tradingObject);
var price = BarPriceSelector.Select(bar, PriceSelector);
if (position.BuyPrice < price)
{
result.Comments = string.Format("Bailout: buy price {0:0.000}, current price {1:0.000}", position.BuyPrice, price);
result.ShouldExit = true;
}
}
}
return(result);
}
