private bool IsShortSetup(PriceBars priceBar)
{
if (!upperBandPierced)
{
upperBandPierced = bb.UpperBand() < priceBar.LastItem.High && bb.UpperBand() > priceBar.LastItem.Close;
if (upperBandPierced)
{
lowerBandPierced = false;
piercingBar = priceBar.LastItem.GetHashCode();
piercingBarBandWidth = bb.UpperBand() - bb.LowerBand();
}
}
return(upperBandPierced && priceBar.LastItem.GetHashCode() != piercingBar && priceBar.LastItem.Close < bb.UpperBand() && (bb.UpperBand() - bb.LowerBand()) > piercingBarBandWidth);
}
private bool IsLongSetup(PriceBars priceBar)
{
if (!crossedBelow20)
{
crossedBelow20 = stoch.PercentD() < 20;
}
if (!reached10)
{
reached10 = crossedBelow20 && stoch.PercentD() >= 10;
}
return(reached10 && stoch.PercentD() > 20);
}
private bool BearishReversal(PriceBars priceBar, int lookbackPeriod = 1)
{
bool hasReversed = false;
for (int i = 0; i < lookbackPeriod; i++)
{
if (psar.NextSAR(i) > priceBar.Last(i).High&& psar.NextSAR(i + 1) < priceBar.Last(i + 1).Low)
{
hasReversed = true;
break;
}
}
return(hasReversed);
}
protected override void Calculate(PriceBars priceAction)
{
if (priceChangeCore.HasValue(maxBarIndex))
{
double averageChangeUp = priceChangeCore.Average(barCount, 1);
double averageChangeDown = priceChangeCore.Average(barCount, 2);
this.Add(new SingleValueIndicatorItem(
priceAction.LastItem.Time,
100 - (100 / (1 + (averageChangeUp / averageChangeDown)))
));
lastCalculationSuccessful = true;
}
}
private bool IsShortSetup(PriceBars priceBar)
{
if (!crossedAbove80)
{
crossedAbove80 = stoch.PercentD() > 80;
}
if (!reached90)
{
reached90 = crossedAbove80 && stoch.PercentD() >= 90;
}
return(reached90 && stoch.PercentD() <= 80);
}
protected override void OutPosition(PriceBars priceBar, BarItemType barType)
{
if (CrossesAbove(macd.MACDValue(1), macd.MACDValue(), macd.SignalLine(1), macd.SignalLine()))
{
buySignal++;
sellSignal = 0;
}
else if (CrossesBelow(macd.MACDValue(1), macd.MACDValue(), macd.SignalLine(1), macd.SignalLine()))
{
sellSignal++;
buySignal = 0;
}
if (psar.Direction(1) == -1 && psar.Direction() == 1)
{
buySignal++;
sellSignal = 0;
}
else if (psar.Direction(1) == 1 && psar.Direction() == -1)
{
sellSignal++;
buySignal = 0;
}
if (buySignal > 0 || sellSignal > 0)
{
barSignalCount++;
}
if (barSignalCount > signalLookbackPeriod)
{
buySignal = 0;
sellSignal = 0;
barSignalCount = 0;
}
if (IsLongSetup(priceBar))
{
Enter(PositionMode.Long);
buySignal = 0;
sellSignal = 0;
}
else if (IsShortSetup(priceBar))
{
Enter(PositionMode.Short);
buySignal = 0;
sellSignal = 0;
}
}
public void PriceBasicTest()
{
_priceBars = new PriceBars(100);
_priceBarReader = new PriceBarReader(_priceBars);
TestFeedFactory testFeed = new TestFeedFactory();
_maxwellFeed = testFeed.CreateMaxwellFeed(IntervalTypeOption.M1, DateTime.Now);
_maxwellFeed.PushFeed += OnPushFeed;
EMAOfPrices ema = new EMAOfPrices(3);
ProbeReader <float, float> reader = ema.GetReader();
IPriceEvaluate evaluator = ema;
_maxwellFeed.PushNext(1);
evaluator.Evaluate(_priceBarReader);
Assert.AreEqual(0, reader.Count);
_maxwellFeed.PushNext(1);
evaluator.Evaluate(_priceBarReader);
Assert.AreEqual(0, reader.Count);
_maxwellFeed.PushNext(1);
evaluator.Evaluate(_priceBarReader);
Assert.AreEqual(0, reader.Count);
_maxwellFeed.PushNext(1);
evaluator.Evaluate(_priceBarReader);
Assert.AreEqual(1, reader.Count);
Assert.AreEqual(4, reader.Current);
_maxwellFeed.PushNext(1);
evaluator.Evaluate(_priceBarReader);
Assert.AreEqual(2, reader.Count);
Assert.AreEqual(4, reader.Current);
}
protected override void OutPosition(PriceBars priceBar, BarItemType barType)
{
if (IsLongSetup(priceBar))
{
Enter(PositionMode.Long);
stopLossPrice = priceBar.LastItem.Close - (20 * 0.0001);
enteredPosition = true;
}
else if (IsShortSetup(priceBar))
{
Enter(PositionMode.Short);
stopLossPrice = priceBar.LastItem.Close + (20 * 0.0001);
enteredPosition = true;
}
}
protected override void Calculate(PriceBars priceAction)
{
if (dxCore.HasValue(maxBarIndex))
{
double average = dxCore.Average(barCount);
this.Add(new MultiValueIndicatorItem(
priceAction.LastItem.Time,
average,
dxCore.LastItem.Values[DirectionalMovementIndexCore.PLUS_DI_FIELD_INDEX],
dxCore.LastItem.Values[DirectionalMovementIndexCore.MINUS_DI_FIELD_INDEX]
));
lastCalculationSuccessful = true;
}
}
protected override void OutPosition(PriceBars priceBar, BarItemType barType)
{
if (priceBar.LastItem.Time >= new DateTime(2012, 8, 2, 4, 0, 0))
{
}
if (IsLongSetup(priceBar))
{
Enter(PositionMode.Long);
}
else if (IsShortSetup(priceBar))
{
Enter(PositionMode.Short);
}
}
protected override void OutPosition(PriceBars priceBar, BarItemType barType)
{
if (IsLongSetup(priceBar))
{
Enter(PositionMode.Long);
crossedBelow20 = false;
reached10 = false;
}
else if (IsShortSetup(priceBar))
{
Enter(PositionMode.Short);
crossedAbove80 = false;
reached90 = false;
}
}
protected override void OutPosition(PriceBars priceBar, BarItemType barType)
{
if (IsLongSetup(priceBar))
{
Enter(PositionMode.Long);
lowerBandPierced = false;
upperBandPierced = false;
}
else if (IsShortSetup(priceBar))
{
Enter(PositionMode.Short);
lowerBandPierced = false;
upperBandPierced = false;
}
}
protected override void Calculate(PriceBars priceAction)
{
if (priceAction.HasValue(maxBarIndex))
{
double previousEMA = HasValue() ? LastItem.Value : priceAction.Average(barCount);
double ema = (priceAction.LastItem.Close * smoothingConstant) + (previousEMA * (1 - smoothingConstant));
this.Add(new SingleValueIndicatorItem(
priceAction.LastItem.Time,
ema //Exponential Moving Average
));
lastCalculationSuccessful = true;
}
}
protected override void Calculate(PriceBars priceAction)
{
if (priceAction.HasValue(maxBarIndex))
{
double change = priceAction.LastItem.Close - priceAction.Last(1).Close;
this.Add(new MultiValueIndicatorItem(
priceAction.LastItem.Time,
change, //Raw change
change > 0? change: 0, //Change Up
change <= 0? Math.Abs(change): 0 //Change down
));
lastCalculationSuccessful = true;
}
}
protected override void Calculate(PriceBars priceAction)
{
if (priceAction.HasValue(maxBarIndex) && tpmaCore.HasValue(maxBarIndex))
{
double smatp = tpmaCore.LastItem.Value;
double meanDeviation = GetMeanDeviation(priceAction);
double cci = (priceAction.LastItem.TypicalPrice() - smatp) / (0.015 * meanDeviation);
this.Add(new SingleValueIndicatorItem(
priceAction.LastItem.Time,
cci
));
lastCalculationSuccessful = true;
}
}
private bool IsShortSetup(PriceBars priceBar)
{
if (!crossedBelow25)
{
crossedBelow25 = CrossesBelow(ema10.Value(1), ema10.Value(), ema25.Value(1), ema25.Value());
}
bool crossedBelow50 = crossedBelow25 && CrossesBelow(ema10.Value(1), ema10.Value(), ema50.Value(1), ema50.Value());
if (crossedBelow50)
{
crossedAbove25 = false;
}
return(crossedBelow50);
}
private bool IsShortSetup(PriceBars priceBar)
{
if (!crossedBelow14)
{
crossedBelow14 = CrossesBelow(sma7.Value(1), sma7.Value(), sma14.Value(1), sma14.Value());
}
bool crossedBelow21 = crossedBelow14 && CrossesBelow(sma7.Value(1), sma7.Value(), sma21.Value(1), sma21.Value());
if (crossedBelow21)
{
crossedAbove14 = false;
}
return(crossedBelow21);
}
protected override void Calculate(PriceBars priceAction)
{
if (priceAction.HasValue(maxBarIndex))
{
BarItem currentPrice = priceAction.LastItem;
BarItem previousPrice = priceAction.Last(1);
double trueRange = Math.Max(currentPrice.High - currentPrice.Low,
Math.Max(Math.Abs(currentPrice.High - previousPrice.Close), Math.Abs(currentPrice.Low - previousPrice.Close)));
this.Add(new SingleValueIndicatorItem(
priceAction.LastItem.Time,
trueRange
));
lastCalculationSuccessful = true;
}
}
public void TestBookmarkedPriceBarWritesShouldWork()
{
PriceBars priceBars = new PriceBars(10);
PriceBarReader reader = new PriceBarReader(priceBars);
priceBars.NextPoolItem.Write(DateTime.Now, 1, 2, 3, 4);
priceBars.MoveNext();
Bookmark <IPriceBar> bookmark = reader.GetBookmark();
Assert.AreEqual(priceBars.Current.Open, bookmark.Current.Open);
priceBars.NextPoolItem.Write(DateTime.Now, 5, 6, 7, 8);
priceBars.MoveNext();
Assert.AreNotEqual(priceBars.Current.Open, bookmark.Current.Open);
}
public void RecurseCalculationDependencies(ICoreIndicator coreIndicator, PriceBars priceAction)
{
foreach (CalculationDependencyItem dependency in coreIndicator.Dependencies)
{
ICoreIndicator subIndicator = indicators[dependency.BarType.Code].CoreIndicators[dependency.Identity.IdentityCode];
List <CalculationDependencyItem> subDependencies = subIndicator.Dependencies;
if (subDependencies.Count > 0)
{
RecurseCalculationDependencies(subIndicator, priceAction);
}
}
if (!coreIndicator.PriceAction.HasCalculated(priceAction))
{
coreIndicator.PriceAction.Calculator(priceAction);
}
}
protected override void Calculate(PriceBars priceAction)
{
if (priceAction.HasValue(maxBarIndex))
{
BarItem currentPrice = priceAction.LastItem;
BarItem previousPrice = priceAction.Last(1);
double plusDM = (currentPrice.High - previousPrice.High) > (previousPrice.Low - currentPrice.Low) ? Math.Max(currentPrice.High - previousPrice.High, 0) : 0;
double minusDM = (previousPrice.Low - currentPrice.Low) > (currentPrice.High - previousPrice.High) ? Math.Max(previousPrice.Low - currentPrice.Low, 0) : 0;
this.Add(new MultiValueIndicatorItem(
priceAction.LastItem.Time,
plusDM,
minusDM
));
lastCalculationSuccessful = true;
}
}
protected override void OutPosition(PriceBars priceBar, BarItemType barType)
{
if (CrossesAbove(sma10.Value(1), sma10.Value(), sma50.Value(1), sma50.Value()))
{
trend = TrendDirectionMode.Bullish;
}
else if (CrossesBelow(sma10.Value(1), sma10.Value(), sma50.Value(1), sma50.Value()))
{
trend = TrendDirectionMode.Bearish;
}
if (IsLongSetup(priceBar))
{
Enter(PositionMode.Long);
}
else if (IsShortSetup(priceBar))
{
Enter(PositionMode.Short);
}
}
private bool ExitShort(PriceBars priceBar)
{
bool emaCross = CrossesAbove(ema9.Value(1), ema9.Value(), ema26.Value(1), ema26.Value()) && adx.PlusDI() > adx.MinusDI();
if (!emaCross)
{
bool diCross = CrossesAbove(adx.PlusDI(1), adx.PlusDI(), adx.MinusDI(1), adx.MinusDI()) || CrossesBelow(adx.PlusDI(1), adx.PlusDI(), adx.MinusDI(1), adx.MinusDI());
if (diCross)
{
return(false);
}
if (priceBar.LastItem.High > ema9.Value() && priceBar.LastItem.Low < ema9.Value())
{
return(false);
}
}
return(emaCross && adx.MinusDI() > adx.PlusDI());
}
protected override void Calculate(PriceBars priceAction)
{
if (priceAction.HasValue(maxBarIndex) && slowEMA.HasValue(maxBarIndex))
{
double macd = fastEMA.LastItem.Value - slowEMA.LastItem.Value;
double emaOfMACD = double.NaN;
if (HasValue(signalLinePeriod - 1, 0))
{
double previousEMA = double.IsNaN(LastItem.Values[SIGNAL_LINE_FIELD_INDEX]) ? this.Average(signalLinePeriod, 0) : LastItem.Values[SIGNAL_LINE_FIELD_INDEX];
emaOfMACD = (macd * signalLineSmoothingConstant) + (previousEMA * (1 - signalLineSmoothingConstant));
}
this.Add(new MultiValueIndicatorItem(
priceAction.LastItem.Time,
macd,
emaOfMACD,
double.IsNaN(emaOfMACD)? double.NaN: macd - emaOfMACD //Histogram
));
lastCalculationSuccessful = true;
}
}
protected override void OutPosition(PriceBars priceBar, BarItemType barType)
{
if (CrossesAbove(ema5.Value(1), ema5.Value(), ema10.Value(1), ema10.Value()))
{
ema5CrossedAboveEMA10 = true;
emaCrossed = true;
}
else if (CrossesBelow(ema5.Value(1), ema5.Value(), ema10.Value(1), ema10.Value()))
{
ema5CrossedAboveEMA10 = false;
emaCrossed = true;
}
if (IsLongSetup(priceBar))
{
Enter(PositionMode.Long);
}
else if (IsShortSetup(priceBar))
{
Enter(PositionMode.Short);
}
}
public void ReceivePriceAction(BarItemType barType, PriceBars priceAction)
{
lastPriceBar = priceAction.LastItem;
foreach (CoreSignal core in signals[barType.Code].CoreSignals.Values)
{
if (this.cachingEnabled)
{
UpdateCache(priceAction.LastItem.Time, core.Signal.RegisteredAnalytics);
}
if (core.Signal.IsInPosition)
{
core.Signal.InPositionState(priceAction, barType);
}
if (!core.Signal.IsInPosition)
{
core.Signal.OutPositionState(priceAction, barType);
}
}
}
protected override void Calculate(PriceBars priceAction)
{
if (priceAction.HasValue(maxBarIndex) && smaCore.HasValue(maxBarIndex))
{
BarItem lastBar = priceAction.LastItem;
double lastSMA = this.smaCore.LastItem.Value;
double sumOfDeviations = 0;
for (int index = 0; index < barCount; index++)
{
sumOfDeviations += Math.Pow(priceAction.Last(index).Close - smaCore.Last(index).Value, 2);
}
double std = Math.Sqrt(sumOfDeviations / barCount);
this.Add(new MultiValueIndicatorItem(
lastBar.Time,
lastSMA + (stdMultiplier * std), //Upper band
lastSMA, //Middle band
lastSMA - (stdMultiplier * std) // Lower band
));
lastCalculationSuccessful = true;
}
}
protected override void InPosition(PositionMode position, PriceBars priceBar, BarItemType barType)
{
if (bouncedOff)
{
if ((position == PositionMode.Long && (priceBar.LastItem.High > bb.UpperBand())) ||
(position == PositionMode.Short && (priceBar.LastItem.Low < bb.LowerBand())))
{
bouncedOff = false;
bouncedOffPreviousClose = double.NaN;
Exit();
}
}
else
{
if (BouncesOff(position, priceBar))
{
lastPosition = position;
bouncedOff = true;
bouncedOffPreviousClose = priceBar.Last(1).Close;
Exit();
}
}
}
private bool IsShortSetup(PriceBars priceBar)
{
return(stoc.PercentK() < 37 && psar.Direction(1) != psar.Direction() && psar.Direction() == -1 && priceBar.LastItem.Close < ema.Value());
}
private bool IsLongSetup(PriceBars priceBar)
{
return(stoc.PercentK() > 63 && psar.Direction(1) != psar.Direction() && psar.Direction() == 1 && priceBar.LastItem.Close > ema.Value());
}
