private List <OHLCKandle> GetSmoothData(List <OHLCKandle> kandles, int lookback, string smoothing)
{
PineScriptFunction fn = new PineScriptFunction();
if (smoothing.ToUpper() == "DEMA")
{
kandles = fn.dema(kandles, lookback);
}
else
{
kandles = fn.smma(kandles, lookback);
}
return(kandles);
}
/// <summary>
/// Computes Bollinger Bands
/// </summary>
/// <param name="kandles">The input kandles over which bollinger bands will be calculated</param>
/// <param name="bollCrossDistance">The maximum distance till which cross with lower and upper sma is valid</param>
public void Calculate(List<OHLCKandle> kandles, int bollCrossDistance)
{
PineScriptFunction fn = new PineScriptFunction();
var close = kandles.Last().Close;
var openseries = kandles.Select(x => (decimal)x.Open).ToList();
var closeseries = kandles.Select(x => (decimal)x.Close).ToList();
this.BollingerData = fn.bollinger(kandles, 20);
this.BollingerUpper = BollingerData.Last().High;
this.BollingerMiddle = BollingerData.Last().Close;
this.BollingerLower = BollingerData.Last().Low;
this.BollingerUpperPercentage = Math.Round((100 * (this.BollingerUpper - close) / this.BollingerUpper), 3);
this.BollingerMiddlePercentage = Math.Round((100 * (close - this.BollingerMiddle) / this.BollingerMiddle), 3);
this.BollingerLowerPercentage = Math.Round((100 * (close - this.BollingerLower) / close), 3);
var pricecrosstopband = fn.crossunder(openseries, BollingerData.Select(x => x.High).ToList());
var pricecrossbottomband = fn.crossover(closeseries, BollingerData.Select(x => x.Low).ToList());
var pricecrossmiddleband1 = fn.crossunder(openseries, BollingerData.Select(x => x.Close).ToList());
var pricecrossmiddleband2 = fn.crossover(closeseries, BollingerData.Select(x => x.Close).ToList());
this.BollTopCrossed = pricecrosstopband.Skip(pricecrosstopband.Count - bollCrossDistance).Take(bollCrossDistance).Contains(true);
this.BollBottomCrossed = pricecrossbottomband.Skip(pricecrossbottomband.Count - bollCrossDistance).Take(bollCrossDistance).Contains(true);
this.BollMiddleCrossed = pricecrossmiddleband1.Skip(pricecrossmiddleband1.Count - 2).Take(2).Contains(true)||
pricecrossmiddleband2.Skip(pricecrossmiddleband2.Count - 2).Take(2).Contains(true);
}
public void RunStrategy(List <OHLCKandle> inputkandles, RobotInput robotInput, ref StrategyData strategyData, ref SimplePosition currentPosition)
{
PineScriptFunction fn = new PineScriptFunction();
//convert to higher timeframe
var largekandles = fn.converttohighertimeframe(inputkandles, KandleMultiplier);//3
if (Smoothing.ToUpper() == "DEMA")
{
//higher timeframe candles with dema values
largekandles = fn.dema(largekandles, 8);
//lower timeframe candles with dema values
inputkandles = fn.dema(inputkandles, 8);
}
else
{
//higher timeframe candles with smma values
largekandles = fn.smma(largekandles, 8);
//lower timeframe candles with smma values
inputkandles = fn.smma(inputkandles, 8);
}
var closeseriesmma = inputkandles.Select(x => x.Close).ToList();
//map higher timeframe values to lower timeframe values
var altkandles = fn.superimposekandles(largekandles, inputkandles);
var closeSeriesAlt = altkandles.Select(x => x.Close).ToList();
var openSeriesAlt = altkandles.Select(x => x.Open).ToList();
//trend and mood calculation-
strategyData.trend = closeSeriesAlt.Last() > openSeriesAlt.Last() ? "BULLISH" : "BEARISH";
strategyData.mood = closeseriesmma.Last() > openSeriesAlt.Last() ? "BULLISH" : "BEARISH";
//buy sell signal
var xlong = fn.crossover(closeSeriesAlt, openSeriesAlt);
var xshort = fn.crossunder(closeSeriesAlt, openSeriesAlt);
strategyData.isBuy = xlong.Last();
strategyData.isSell = xshort.Last();
//historical data
strategyData.histdata = "";
for (int i = 0; i < xlong.Count; i++)
{
if (xlong[i])
{
strategyData.histdata += " B" + (xlong.Count - i - 1).ToString();
}
else if (xshort[i])
{
strategyData.histdata += " S" + (xlong.Count - i - 1).ToString();
}
else
{
// meh :\
}
}
MakeBuySellDecision(ref strategyData, ref currentPosition, robotInput);
if (strategyData.Output != StrategyOutput.None)
{
ResetCounters();
strategyData.profitFactor = 1m;
}
}
public void RunStrategy(RobotInput robotInput, SimplePosition currentPosition, ref StrategyData strategyData)
{
List <OHLCKandle> inputkandles = strategyData.kandles.Select(x => new OHLCKandle
{
Close = x.Close,
CloseTime = x.CloseTime,
High = x.High,
Low = x.Low,
Open = x.Open,
OpenTime = x.OpenTime
}).ToList();
PineScriptFunction fn = new PineScriptFunction();
//convert to higher timeframe
var largekandles = fn.converttohighertimeframe(inputkandles, KandleMultiplier);//3
//higher timeframe candles with smoothened values
largekandles = GetSmoothData(largekandles, 8, Smoothing);
//lower timeframe candles with smoothened values
inputkandles = GetSmoothData(inputkandles, 8, Smoothing);
var inputcloseseriesmoothed = inputkandles.Select(x => x.Close).ToList();
//map higher timeframe values to lower timeframe values
var altkandles = fn.superimposekandles(largekandles, inputkandles);
var closeSeriesAlt = altkandles.Select(x => x.Close).ToList();
var openSeriesAlt = altkandles.Select(x => x.Open).ToList();
//end map higher timeframe values to lower timeframe values
//trend and mood calculation-
strategyData.trend = closeSeriesAlt.Last() > openSeriesAlt.Last() ? "BULLISH" : "BEARISH";
strategyData.mood = inputcloseseriesmoothed.Last() > openSeriesAlt.Last() ? "BULLISH" : "BEARISH";
//start buy sell signal
var xlong = fn.crossover(closeSeriesAlt, openSeriesAlt);
var xshort = fn.crossunder(closeSeriesAlt, openSeriesAlt);
strategyData.isBuy = xlong.Last();
strategyData.isSell = xshort.Last();
//end buy sell signal
UpdateBollingerData(ref strategyData);
UpdateSignalData(ref strategyData, xlong, xshort);
strategyDecision.Decide(ref strategyData, currentPosition, robotInput);
if (strategyData.Decision != StrategyDecision.None)
{
strategyDecision.ResetCounters();
strategyData.profitFactor = 1m;
}
}
public void RunStrategy(List <OHLCKandle> inputkandles, ref bool isBuy, ref bool isSell, ref string trend, ref string mood, ref string histdata)
{
PineScriptFunction fn = new PineScriptFunction();
var closevalues = inputkandles.Select(x => x.Close).ToList();
var highvalues = inputkandles.Select(x => x.High).ToList();
var lowvalues = inputkandles.Select(x => x.Low).ToList();
//start mood and trend code
var ema0 = fn.ema(closevalues, 13);
trend = fn.trend(ema0);
var _out = fn.sma(closevalues, 8);
if (fn.bearish(closevalues, _out))
{
mood = "BEARISH";
}
else if (fn.bullish(closevalues, _out))
{
mood = "BULLISH";
}
else
{
//meh :\
}
//end mood and trend code
//start signal code
var vh1 = fn.ema(fn.highest(fn.avgseries(lowvalues, closevalues), 5), 5);
var vl1 = fn.ema(fn.lowest(fn.avgseries(highvalues, closevalues), 8), 8);
var e_ema1 = fn.ema(closevalues, 1);
var e_ema2 = fn.ema(e_ema1, 1);
var e_ema3 = fn.ema(e_ema2, 1);
var tema = fn.tema(e_ema1, e_ema2, e_ema3);
var e_e1 = fn.ema(closevalues, 8);
var e_e2 = fn.ema(e_e1, 5);
var dema = fn.dema(e_e1, e_e2);
var signal = fn.signal(tema, dema, vh1, vl1);
var _isBuy = fn.and(fn.and(fn.greaterthan(tema, dema), fn.greaterthan(signal, lowvalues)), fn.signalcomparebuy(signal));
var _isSell = fn.and(fn.and(fn.lessthan(tema, dema), fn.lessthan(signal, highvalues)), fn.signalcomparesell(signal));
isBuy = _isBuy.Last();
isSell = _isSell.Last();
//end signal code
for (int i = _isBuy.Count - 10; i <= _isBuy.Count - 2; ++i)
{
if (_isBuy[i])
{
histdata += "B\t";
}
else if (_isSell[i])
{
histdata += "S\t";
}
else
{
histdata += "0\t";
}
}
}
