static IEnumerable <Models.Rate> GetRsi(List <Rate> rates, int func, int index)
{
if (rates.Count == index)
{
yield break;
}
var date = DateTime.Now;
var rsi = new Rsi(func);
for (int i = index; i < func + index; i++)
{
rsi.AddValue(rates[index].Value);
date = rates[index].Time;
}
yield return(new Models.Rate {
Date = date, Value = rsi.Last
});
foreach (var r in GetRate(rates, func, index + 1))
{
yield return(r);
}
}
public TwoLegArbitrage(string name, StartProgram startProgram)
: base(name, startProgram)
{
TabCreate(BotTabType.Index);
_tabIndex = TabsIndex[0];
TabCreate(BotTabType.Simple);
_tab1 = TabsSimple[0];
TabCreate(BotTabType.Simple);
_tab2 = TabsSimple[1];
_tab1.CandleFinishedEvent += Tab1_CandleFinishedEvent;
_tab2.CandleFinishedEvent += Tab2_CandleFinishedEvent;
_tabIndex.SpreadChangeEvent += TabIndex_CandleFinishedEvent;
Regime = CreateParameter("Regime", "Off", new[] { "Off", "On", "OnlyLong", "OnlyShort", "OnlyClosePosition" });
Upline = CreateParameter("Upline", 10, 50, 80, 3);
Downline = CreateParameter("Downline", 10, 25, 50, 2);
Volume = CreateParameter("Volume", 3, 1, 50, 4);
Slippage = CreateParameter("Slipage", 0, 0, 20, 1);
RsiLength = CreateParameter("RsiLength", 10, 5, 150, 2);
_rsi = new Rsi(name + "RSI", false)
{
Lenght = 20, ColorBase = Color.Gold,
};
_rsi = (Rsi)_tabIndex.CreateCandleIndicator(_rsi, "RsiArea");
_rsi.Lenght = RsiLength.ValueInt;
_rsi.Save();
ParametrsChangeByUser += TwoLegArbitrage_ParametrsChangeByUser;
}
public void AverageLoss_PeriodBiggerOrEqualToDataLength_ReturnZero()
{
//When
var result = Rsi.AverageLoss(ascending_data, period: 10);
//Then
Assert.Equal(0, result);
}
public void RsiSingle_PeriodBiggerOrEqualToDataLength_ReturnNull()
{
//When
var result = Rsi.RsiSingle(descending_data, period: 10);
//Then
Assert.Null(result);
}
public void Rsi_SimpleValues_Calculated(int period, params double?[] expected)
{
//When
var result = Rsi.RSI(_ascendingData, period);
//Then
Assert.Equal(expected, result);
}
public void AverageLoss_SimpleValues_Calculated(int period, double expected)
{
//When
var result = Rsi.AverageLoss(_descendingData, period);
//Then
Assert.Equal(expected, result);
}
public void AverageGain_Must_Return_Zero_On_Descending_Values(int period, double expected)
{
//When
var result = Rsi.AverageGain(_descendingData, period);
//Then
Assert.Equal(expected, result);
}
public void AverageLoss_SimpleValues_Calculated()
{
//When
var result = Rsi.AverageLoss(descending_data, period: 9);
//Then
Assert.Equal(1, result);
}
public void Rsi_Test_14()
{
var rsi = new Rsi(BuildCandleSticks(), 14, "");
Assert.AreEqual(37.77m, Math.Round(rsi.Value, 2));
var results = rsi.rsi.Select(value => Math.Round(value, 2)).ToList();
Compare(RsiResults().ToList(), results);
}
public static List <decimal?> Rsi(this IEnumerable <ICandle> candles, int?period = null)
{
period ??= 14;
IIndicatorOptions options = new RsiOptions(period.Value);
Rsi rsi = new Rsi();
return(rsi.Get(candles, options));
}
public void Rsi_Simplevalues_Calculated()
{
//When
var result = Rsi.RSI(ascending_data, period: 9);
double?[] expected = { null, null, null, null, null, null, null, null, null, 100 };
//Then
Assert.Equal(expected, result);
}
public DataNode Write(ISerializationManager serializationManager, Rsi value, bool alwaysWrite = false,
ISerializationContext?context = null)
{
var mapping = new MappingDataNode();
mapping.Add("sprite", serializationManager.WriteValue(value.RsiPath));
mapping.Add("state", new ValueDataNode(value.RsiState));
return(mapping);
}
public void RsiSingle_SimpleValues_Calculated(int period)
{
//When
var result = Rsi.RsiSingle(_descendingData, period);
var result2 = Rsi.RsiSingle(_ascendingData, period);
//Then
Assert.Equal(0D, result);
Assert.Equal(100D, result2);
}
public void RsiSingle_SimpleValues_Calculated()
{
//When
var result = Rsi.RsiSingle(descending_data, period: 9);
var result2 = Rsi.RsiSingle(ascending_data, period: 9);
//Then
Assert.Equal(0D, result);
Assert.Equal(100D, result2);
}
/// <summary>
/// Called on every new bar of data.
/// </summary>
/// <param name="currentBar">The current bar of the simulation</param>
protected override void OnBarUpdate(int currentBar)
{
base.OnBarUpdate(currentBar);
Rsi rsi = (Rsi)Dependents[0];
if (DataSeries.CrossBelow(rsi.Value, 70, currentBar, 0) != -1)
{
WasFound[currentBar] = true;
}
}
/// <summary>
/// Called on every new bar of data.
/// </summary>
/// <param name="currentBar">The current bar of the simulation</param>
protected override void OnBarUpdate(int currentBar)
{
base.OnBarUpdate(currentBar);
Rsi rsi = (Rsi)Dependents[0];
if (DataSeries.IsAboutToCrossAbove(rsi.Value, 30, currentBar) == true)
{
WasFound[currentBar] = true;
}
}
public RsiContrtrend(string name, StartProgram startProgram)
: base(name, startProgram)
{
TabCreate(BotTabType.Simple);
_tab = TabsSimple[0];
_ma = new MovingAverage(name + "MA", false)
{
Lenght = 50, ColorBase = Color.CornflowerBlue,
};
_ma = (MovingAverage)_tab.CreateCandleIndicator(_ma, "Prime");
_rsi = new Rsi(name + "RSI", false)
{
Lenght = 20, ColorBase = Color.Gold,
};
_rsi = (Rsi)_tab.CreateCandleIndicator(_rsi, "RsiArea");
Upline = new LineHorisontal("upline", "RsiArea", false)
{
Color = Color.Green,
Value = 0,
};
_tab.SetChartElement(Upline);
Downline = new LineHorisontal("downline", "RsiArea", false)
{
Color = Color.Yellow,
Value = 0
};
_tab.SetChartElement(Downline);
_rsi.Save();
_ma.Save();
_tab.CandleFinishedEvent += Strateg_CandleFinishedEvent;
Slipage = 0;
VolumeFix = 1;
Upline.Value = 65;
Downline.Value = 35;
Load();
Upline.TimeEnd = DateTime.Now;
Downline.TimeEnd = DateTime.Now;
DeleteEvent += Strategy_DeleteEvent;
}
public StochRsi(IEnumerable <Candlestick> candleSticks, int rsiLength, int shochRsiLength, int smoothK,
int smoothD, string ticker)
{
this._candleSticks = candleSticks;
this._rsiLength = rsiLength;
this._shochRsiLength = shochRsiLength;
this._smoothK = smoothK;
this._smoothD = smoothD;
rsi = new Rsi(candleSticks, _rsiLength, "");
var candlesticks = _candleSticks.Skip(_rsiLength + _shochRsiLength - 1).ToList();
CalculateShochRsi(candlesticks);
}
static Models.Rate GetRsi(List <Rate> rates, int func)
{
var date = DateTime.Now;
var rsi = new Rsi(func);
foreach (var rate in rates)
{
rsi.AddValue(rate.Value);
date = rate.Time;
}
return(new Models.Rate {
Date = date, Value = rsi.Last
});
}
public DataNode Write(ISerializationManager serializationManager, SpriteSpecifier value, bool alwaysWrite = false,
ISerializationContext?context = null)
{
return(value switch
{
Rsi rsi
=> Write(serializationManager, rsi, alwaysWrite, context),
Texture texture
=> Write(serializationManager, texture, alwaysWrite, context),
EntityPrototype entityPrototype
=> Write(serializationManager, entityPrototype, alwaysWrite, context),
_ => throw new InvalidOperationException("Invalid SpriteSpecifier specified!")
});
public Prices()
{
Type = Price.Close;
Map = new Dictionary <Price, List <double> >();
foreach (Price type in Enum.GetValues(typeof(Price)))
{
Map[type] = new List <double>();
}
FastEma = new Ema(Const.DIRECTIONAL_FAST_EMA_LENGTH);
SlowEma = new Ema(Const.DIRECTIONAL_SLOW_EMA_LENGTH);
Bb = new Bb(Const.BB_WIDTH, Const.BB_PERIOD);
//Kc = new Kc(Const.BB_WIDTH, Const.BB_PERIOD);
//Mc = new Mc(Const.BB_PERIOD);
Macd = new Macd(FastEma, SlowEma, Const.MACD_SIGNAL_LENGTH);
Rsi = new Rsi(Const.RSI_LENGTH);
StochRsi = new StochRsi(Rsi, Const.STOCH_RSI_LENGTH, Const.STOCH_RSI_D_LENGTH);
Indicators = new List <IIndicator>
{
FastEma, SlowEma, Bb, /*Kc,*/ /*Mc,*/ Macd, Rsi, StochRsi
};
}
private void BuildIndicators()
{
Sma.Add(5, new Sma(_candleSticks, 5, pair));
Sma.Add(10, new Sma(_candleSticks, 10, pair));
Sma.Add(15, new Sma(_candleSticks, 15, pair));
Sma.Add(20, new Sma(_candleSticks, 20, pair));
Sma.Add(40, new Sma(_candleSticks, 40, pair));
Sma.Add(100, new Sma(_candleSticks, 100, pair));
Ema.Add(5, new Ema(_candleSticks, 5, pair));
Ema.Add(10, new Ema(_candleSticks, 10, pair));
Ema.Add(15, new Ema(_candleSticks, 15, pair));
Ema.Add(20, new Ema(_candleSticks, 20, pair));
Ema.Add(40, new Ema(_candleSticks, 40, pair));
Ema.Add(80, new Ema(_candleSticks, 80, pair));
Gsma.Add(20, new Gsma(_candleSticks, 20, 10, pair));
stochRsi = new StochRsi(_candleSticks, 14, 14, 8, 8, pair);
rsi = new Rsi(_candleSticks, 14, pair);
macd = new Macd(_candleSticks, 12, 26, 9, pair);
}
/// <summary>
/// If the runnable has already been created, returns that object. If not then
/// returns an new runnable object based on the name and the instrument.
/// </summary>
/// <param name="nameAndParameters">Name of the runnable</param>
/// <returns>The runnable object</returns>
public Runnable GetRunnable(string nameAndParameters)
{
Runnable requestedItem = null;
// The name can have parameters to pass to the runnable construtor
// and are separated by commas.
// Ex: Rsi,11,3 would create the Rsi and pass the numbers to it in a
// list. Its up to the indicator to do what it will with each number.
string[] splitParams = nameAndParameters.Split(',');
string runnableName = splitParams[0];
string[] runnableParams = splitParams.Skip(1).Take(splitParams.Length - 1).ToArray();
// See if the runnable is created already and return that object if it is.
int key = nameAndParameters.GetHashCode();
if (_createdItems.ContainsKey(key))
{
requestedItem = _createdItems[key];
}
else
{
switch (runnableName)
{
// Indicators.
case "Bollinger":
requestedItem = new Bollinger(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "BressertDss":
requestedItem = new BressertDss(_tickerData, this, runnableParams);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "BressertTimingBands":
requestedItem = new BressertTimingBands(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "BearBeltHold":
requestedItem = new BearBeltHold(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "BearEngulfing":
requestedItem = new BearEngulfing(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "BearHarami":
requestedItem = new BearHarami(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "BearHaramiCross":
requestedItem = new BearHaramiCross(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "BullBeltHold":
requestedItem = new BullBeltHold(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "BullEngulfing":
requestedItem = new BullEngulfing(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "BullHarami":
requestedItem = new BullHarami(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "BullHaramiCross":
requestedItem = new BullHaramiCross(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "Cci14":
requestedItem = new Cci(_tickerData, this, 14);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "DarkCloudCover":
requestedItem = new DarkCloudCover(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "Doji":
requestedItem = new Doji(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "BearDoji":
requestedItem = new BearDoji(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "DownsideTasukiGap":
requestedItem = new DownsideTasukiGap(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "EaseOfMovement":
requestedItem = new EaseOfMovement(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "EveningStar":
requestedItem = new EveningStar(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "FallingThreeMethods":
requestedItem = new FallingThreeMethods(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "Hammer":
requestedItem = new Hammer(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "HangingMan":
requestedItem = new HangingMan(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "InvertedHammer":
requestedItem = new InvertedHammer(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "KeltnerChannel":
requestedItem = new KeltnerChannel(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "Macd":
requestedItem = new Macd(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "Momentum14":
requestedItem = new Momentum(_tickerData, this, 14);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "MorningStar":
requestedItem = new MorningStar(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "PiercingLine":
requestedItem = new PiercingLine(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "PriceOscillator":
requestedItem = new PriceOscillator(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "RisingThreeMethods":
requestedItem = new RisingThreeMethods(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "Rsi":
requestedItem = new Rsi(_tickerData, this, runnableParams);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "Rsi3m3":
requestedItem = new Rsi3m3(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "ShootingStar":
requestedItem = new ShootingStar(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "Sma":
requestedItem = new Sma(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "StickSandwitch":
requestedItem = new StickSandwitch(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "StochasticsFast":
requestedItem = new StochasticsFast(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "Stochastics":
requestedItem = new Stochastics(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "StochRsi":
requestedItem = new StochRsi(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "Trend":
requestedItem = new Trend(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "ThreeBlackCrows":
requestedItem = new ThreeBlackCrows(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "ThreeWhiteSoldiers":
requestedItem = new ThreeWhiteSoldiers(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "Trix":
requestedItem = new Trix(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "UpsideGapTwoCrows":
requestedItem = new UpsideGapTwoCrows(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "UpsideTasukiGap":
requestedItem = new UpsideTasukiGap(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "WilliamsR":
requestedItem = new WilliamsR(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "Dmi":
requestedItem = new Dmi(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "DtOscillator":
requestedItem = new DtOscillator(_tickerData, this, runnableParams);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "FibonacciZones":
requestedItem = new FibonacciZones(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "ElliotWaves":
requestedItem = new ElliotWaves(_tickerData, this);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
case "ZigZag":
requestedItem = new ZigZag(_tickerData, this, runnableParams);
Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
break;
///////////////////////////// Strategies ////////////////////////////
case "BestOfRootStrategies":
requestedItem = new BestOfRootStrategies(_tickerData, this);
break;
case "ComboStrategy":
requestedItem = new ComboStrategy(_tickerData, this);
break;
case "BressertApproach":
requestedItem = new BressertApproach(_tickerData, this);
break;
case "BressertComboStrategy":
requestedItem = new BressertComboStrategy(_tickerData, this);
break;
case "FibonacciRsi3m3":
requestedItem = new FibonacciRsi3m3(_tickerData, this);
break;
case "FibonacciDtOscillator":
requestedItem = new FibonacciDtOscillator(_tickerData, this);
break;
case "ElliotWavesStrategy":
requestedItem = new ElliotWavesStrategy(_tickerData, this);
break;
//
// Bull
//
case "BullBollingerExtended":
requestedItem = new BullBollingerExtended(_tickerData, this);
break;
case "BullBeltHoldFound":
requestedItem = new BullBeltHoldFound(_tickerData, this);
break;
case "BullEngulfingFound":
requestedItem = new BullEngulfingFound(_tickerData, this);
break;
case "BullHaramiFound":
requestedItem = new BullHaramiFound(_tickerData, this);
break;
case "BullHaramiCrossFound":
requestedItem = new BullHaramiCrossFound(_tickerData, this);
break;
case "BullCciCrossover":
requestedItem = new BullCciCrossover(_tickerData, this);
break;
case "BullEaseOfMovement":
requestedItem = new BullEaseOfMovement(_tickerData, this);
break;
case "BullDojiFound":
requestedItem = new BullDojiFound(_tickerData, this);
break;
case "HammerFound":
requestedItem = new HammerFound(_tickerData, this);
break;
case "BullKeltnerExtended":
requestedItem = new BullKeltnerExtended(_tickerData, this);
break;
case "BullMacdCrossover":
requestedItem = new BullMacdCrossover(_tickerData, this);
break;
case "BullMacdMomentum":
requestedItem = new BullMacdMomentum(_tickerData, this);
break;
case "BullMomentumCrossover":
requestedItem = new BullMomentumCrossover(_tickerData, this);
break;
case "MorningStarFound":
requestedItem = new MorningStarFound(_tickerData, this);
break;
case "PiercingLineFound":
requestedItem = new PiercingLineFound(_tickerData, this);
break;
case "RisingThreeMethodsFound":
requestedItem = new RisingThreeMethodsFound(_tickerData, this);
break;
case "BullRsiCrossover":
requestedItem = new BullRsiCrossover(_tickerData, this);
break;
case "BullSmaCrossover":
requestedItem = new BullSmaCrossover(_tickerData, this);
break;
case "StickSandwitchFound":
requestedItem = new StickSandwitchFound(_tickerData, this);
break;
case "BullStochasticsFastCrossover":
requestedItem = new BullStochasticsFastCrossover(_tickerData, this);
break;
case "BullStochasticsCrossover":
requestedItem = new BullStochasticsCrossover(_tickerData, this);
break;
case "BullStochRsiCrossover":
requestedItem = new BullStochRsiCrossover(_tickerData, this);
break;
case "ThreeWhiteSoldiersFound":
requestedItem = new ThreeWhiteSoldiersFound(_tickerData, this);
break;
case "BullTrendStart":
requestedItem = new BullTrendStart(_tickerData, this);
break;
case "BullTrixSignalCrossover":
requestedItem = new BullTrixSignalCrossover(_tickerData, this);
break;
case "BullTrixZeroCrossover":
requestedItem = new BullTrixZeroCrossover(_tickerData, this);
break;
case "UpsideTasukiGapFound":
requestedItem = new UpsideTasukiGapFound(_tickerData, this);
break;
case "BullWilliamsRCrossover":
requestedItem = new BullWilliamsRCrossover(_tickerData, this);
break;
case "BullPriceOscillator":
requestedItem = new BullPriceOscillator(_tickerData, this);
break;
case "BullDmi":
requestedItem = new BullDmi(_tickerData, this);
break;
case "BullBressertDss":
requestedItem = new BullBressertDss(_tickerData, this, runnableParams);
break;
case "BullRsi3m3":
requestedItem = new BullRsi3m3(_tickerData, this);
break;
case "BullDtOscillator":
requestedItem = new BullDtOscillator(_tickerData, this);
break;
//////////// Predicted bull strategies ///////////
case "BullCciCrossoverPredicted":
requestedItem = new BullCciCrossoverPredicted(_tickerData, this);
break;
case "BullDmiPredicted":
requestedItem = new BullDmiPredicted(_tickerData, this);
break;
case "BullEaseOfMovementPredicted":
requestedItem = new BullEaseOfMovementPredicted(_tickerData, this);
break;
case "BullKeltnerExtendedPredicted":
requestedItem = new BullKeltnerExtendedPredicted(_tickerData, this);
break;
case "BullMacdCrossoverPredicted":
requestedItem = new BullMacdCrossoverPredicted(_tickerData, this);
break;
case "BullMomentumCrossoverPredicted":
requestedItem = new BullMomentumCrossoverPredicted(_tickerData, this);
break;
case "BullPriceOscillatorPredicted":
requestedItem = new BullPriceOscillatorPredicted(_tickerData, this);
break;
case "BullRsiCrossoverPredicted":
requestedItem = new BullRsiCrossoverPredicted(_tickerData, this);
break;
case "BullSmaCrossoverPredicted":
requestedItem = new BullSmaCrossoverPredicted(_tickerData, this);
break;
case "BullStochasticsCrossoverPredicted":
requestedItem = new BullStochasticsCrossoverPredicted(_tickerData, this);
break;
case "BullStochasticsFastCrossoverPredicted":
requestedItem = new BullStochasticsFastCrossoverPredicted(_tickerData, this);
break;
case "BullStochRsiCrossoverPredicted":
requestedItem = new BullStochRsiCrossoverPredicted(_tickerData, this);
break;
case "BullTrixSignalCrossoverPredicted":
requestedItem = new BullTrixSignalCrossoverPredicted(_tickerData, this);
break;
case "BullTrixZeroCrossoverPredicted":
requestedItem = new BullTrixZeroCrossoverPredicted(_tickerData, this);
break;
case "BullWilliamsRCrossoverPredicted":
requestedItem = new BullWilliamsRCrossoverPredicted(_tickerData, this);
break;
//
// Bear
//
case "BearBollingerExtended":
requestedItem = new BearBollingerExtended(_tickerData, this);
break;
case "BearCciCrossover":
requestedItem = new BearCciCrossover(_tickerData, this);
break;
case "BearEaseOfMovement":
requestedItem = new BearEaseOfMovement(_tickerData, this);
break;
case "BearDojiFound":
requestedItem = new BearDojiFound(_tickerData, this);
break;
case "BearKeltnerExtended":
requestedItem = new BearKeltnerExtended(_tickerData, this);
break;
case "BearMacdMomentum":
requestedItem = new BearMacdMomentum(_tickerData, this);
break;
case "BearMacdCrossover":
requestedItem = new BearMacdCrossover(_tickerData, this);
break;
case "BearMomentumCrossover":
requestedItem = new BearMomentumCrossover(_tickerData, this);
break;
case "BearRsiCrossover":
requestedItem = new BearRsiCrossover(_tickerData, this);
break;
case "BearSmaCrossover":
requestedItem = new BearSmaCrossover(_tickerData, this);
break;
case "BearStochasticsCrossover":
requestedItem = new BearStochasticsCrossover(_tickerData, this);
break;
case "BearStochasticsFastCrossover":
requestedItem = new BearStochasticsFastCrossover(_tickerData, this);
break;
case "BearStochRsiCrossover":
requestedItem = new BearStochRsiCrossover(_tickerData, this);
break;
case "BearTrendStart":
requestedItem = new BearTrendStart(_tickerData, this);
break;
case "BearTrixSignalCrossover":
requestedItem = new BearTrixSignalCrossover(_tickerData, this);
break;
case "BearTrixZeroCrossover":
requestedItem = new BearTrixZeroCrossover(_tickerData, this);
break;
case "BearWilliamsRCrossover":
requestedItem = new BearWilliamsRCrossover(_tickerData, this);
break;
case "BearBeltHoldFound":
requestedItem = new BearBeltHoldFound(_tickerData, this);
break;
case "BearEngulfingFound":
requestedItem = new BearEngulfingFound(_tickerData, this);
break;
case "BearHaramiFound":
requestedItem = new BearHaramiFound(_tickerData, this);
break;
case "BearHaramiCrossFound":
requestedItem = new BearHaramiCrossFound(_tickerData, this);
break;
case "DarkCloudCoverFound":
requestedItem = new DarkCloudCoverFound(_tickerData, this);
break;
case "DownsideTasukiGapFound":
requestedItem = new DownsideTasukiGapFound(_tickerData, this);
break;
case "EveningStarFound":
requestedItem = new EveningStarFound(_tickerData, this);
break;
case "FallingThreeMethodsFound":
requestedItem = new FallingThreeMethodsFound(_tickerData, this);
break;
case "HangingManFound":
requestedItem = new HangingManFound(_tickerData, this);
break;
case "InvertedHammerFound":
requestedItem = new InvertedHammerFound(_tickerData, this);
break;
case "ShootingStarFound":
requestedItem = new ShootingStarFound(_tickerData, this);
break;
case "ThreeBlackCrowsFound":
requestedItem = new ThreeBlackCrowsFound(_tickerData, this);
break;
case "UpsideGapTwoCrowsFound":
requestedItem = new UpsideGapTwoCrowsFound(_tickerData, this);
break;
case "BearPriceOscillator":
requestedItem = new BearPriceOscillator(_tickerData, this);
break;
case "BearDmi":
requestedItem = new BearDmi(_tickerData, this);
break;
case "BearBressertDss":
requestedItem = new BearBressertDss(_tickerData, this, runnableParams);
break;
case "BearRsi3m3":
requestedItem = new BearRsi3m3(_tickerData, this);
break;
case "BearDtOscillator":
requestedItem = new BearDtOscillator(_tickerData, this);
break;
//////////// Predicted bear strategies ///////////
case "BearCciCrossoverPredicted":
requestedItem = new BearCciCrossoverPredicted(_tickerData, this);
break;
case "BearDmiPredicted":
requestedItem = new BearDmiPredicted(_tickerData, this);
break;
case "BearEaseOfMovementPredicted":
requestedItem = new BearEaseOfMovementPredicted(_tickerData, this);
break;
case "BearKeltnerExtendedPredicted":
requestedItem = new BearKeltnerExtendedPredicted(_tickerData, this);
break;
case "BearMacdCrossoverPredicted":
requestedItem = new BearMacdCrossoverPredicted(_tickerData, this);
break;
case "BearMomentumCrossoverPredicted":
requestedItem = new BearMomentumCrossoverPredicted(_tickerData, this);
break;
case "BearPriceOscillatorPredicted":
requestedItem = new BearPriceOscillatorPredicted(_tickerData, this);
break;
case "BearRsiCrossoverPredicted":
requestedItem = new BearRsiCrossoverPredicted(_tickerData, this);
break;
case "BearSmaCrossoverPredicted":
requestedItem = new BearSmaCrossoverPredicted(_tickerData, this);
break;
case "BearStochasticsCrossoverPredicted":
requestedItem = new BearStochasticsCrossoverPredicted(_tickerData, this);
break;
case "BearStochasticsFastCrossoverPredicted":
requestedItem = new BearStochasticsFastCrossoverPredicted(_tickerData, this);
break;
case "BearStochRsiCrossoverPredicted":
requestedItem = new BearStochRsiCrossoverPredicted(_tickerData, this);
break;
case "BearTrixSignalCrossoverPredicted":
requestedItem = new BearTrixSignalCrossoverPredicted(_tickerData, this);
break;
case "BearTrixZeroCrossoverPredicted":
requestedItem = new BearTrixZeroCrossoverPredicted(_tickerData, this);
break;
case "BearWilliamsRCrossoverPredicted":
requestedItem = new BearWilliamsRCrossoverPredicted(_tickerData, this);
break;
default:
throw new Exception(nameAndParameters + " doesn't exist");
}
_createdItems[key] = requestedItem;
}
return(requestedItem);
}
public FastDelta(string name, StartProgram startProgram) : base(name, startProgram)
{
TabCreate(BotTabType.Simple);
TabCreate(BotTabType.Simple);
_tab = TabsSimple[0];
_tab_Slow = TabsSimple[1];
_tab.CandleFinishedEvent += _tab_CandleFinishedEvent;
_tab.PositionOpeningSuccesEvent += _tab_PositionOpeningSuccesEvent;
_tab.PositionClosingSuccesEvent += _tab_PositionClosingSuccesEvent;
_tab_Slow.CandleFinishedEvent += _tab_Slow_CandleFinishedEvent;
this.ParametrsChangeByUser += FastDelta_ParametrsChangeByUser;
Regime = CreateParameter("Regime", "Off", new[] { "Off", "On" });
Slippage = CreateParameter("Slippage", 0, 0, 20, 1);
TrailStop = CreateParameter("Trail Stop", 0.1m, 0m, 5, 0.1m);
MinProfitTraling = CreateParameter("Минимальный профит для трэйлинга", 0.2m, 0.2m, 2, 0.1m);
leverage = CreateParameter("Маржинальное плечо", 0.1m, 0.1m, 10, 0.1m);
MaxStop = CreateParameter("MaxStop", 1, 1, 10, 0.1m);
isContract = CreateParameter("Торгуем контрактами", false);
DepoCurrency = CreateParameter("DepoCurrency", "Currency2", new[] { "Currency1", "Currency2" });
TimeFastLenth = CreateParameter("MA Time fast", 10, 5, 200, 5);
TimeSlowLenth = CreateParameter("MA Time slow", 10, 5, 200, 5);
VolFastLenth = CreateParameter("MA Vol fast", 10, 5, 200, 5);
VolSlowLenth = CreateParameter("MA Vol slow", 10, 5, 200, 5);
TralingMaLenth = CreateParameter("MA Traling", 10, 5, 200, 5);
maLenth = CreateParameter("Период скользящей по объему", 24, 24, 48, 1);
DeltaSizeK = CreateParameter("Коэфт для размера дельты", 6, 1, 40, 1);
TimeMaFast = new MovingAverage(name + "TimeMaFast", false)
{
ColorBase = System.Drawing.Color.Yellow, TypePointsToSearch = PriceTypePoints.Time
};
TimeMaFast.Lenght = TimeFastLenth.ValueInt;
TimeMaFast = (MovingAverage)_tab.CreateCandleIndicator(TimeMaFast, "New1");
TimeMaFast.Save();
TimeMaSlow = new MovingAverage(name + "TimeMaSlow", false)
{
ColorBase = System.Drawing.Color.Green, TypePointsToSearch = PriceTypePoints.Time
};
TimeMaSlow = (MovingAverage)_tab.CreateCandleIndicator(TimeMaSlow, "New1");
TimeMaSlow.Lenght = TimeSlowLenth.ValueInt;
TimeMaSlow.Save();
VolMaFast = new MovingAverage(name + "VolMaFast", false)
{
ColorBase = System.Drawing.Color.Yellow, Lenght = 10, TypePointsToSearch = PriceTypePoints.Volume, TypeCalculationAverage = MovingAverageTypeCalculation.Exponential
};
VolMaFast = (MovingAverage)_tab.CreateCandleIndicator(VolMaFast, "New2");
VolMaFast.Lenght = VolFastLenth.ValueInt;
VolMaFast.Save();
VolMaSlow = new MovingAverage(name + "VolMaSlow", false)
{
ColorBase = System.Drawing.Color.Green, TypePointsToSearch = PriceTypePoints.Volume, TypeCalculationAverage = MovingAverageTypeCalculation.Exponential
};
VolMaSlow = (MovingAverage)_tab.CreateCandleIndicator(VolMaSlow, "New2");
VolMaSlow.Lenght = VolSlowLenth.ValueInt;
VolMaSlow.Save();
TralingStopMa = new MovingAverage(name + "TralingStopMa", false)
{
ColorBase = System.Drawing.Color.Blue, TypePointsToSearch = PriceTypePoints.Close
};
TralingStopMa = (MovingAverage)_tab.CreateCandleIndicator(TralingStopMa, "Prime");
TralingStopMa.Lenght = TralingMaLenth.ValueInt;
TralingStopMa.Save();
maVolume = new MovingAverage(name + "_maVolume", false);
maVolume = (MovingAverage)_tab_Slow.CreateCandleIndicator(maVolume, "New1");
maVolume.Lenght = maLenth.ValueInt;
maVolume.TypeCalculationAverage = MovingAverageTypeCalculation.Exponential;
maVolume.TypePointsToSearch = PriceTypePoints.Volume;
maVolume.Save();
delta = new Delta(name + "delta", false);
delta = (Delta)_tab.CreateCandleIndicator(delta, "New3");
delta.Save();
rsi = new Rsi(name + "Rsi", false);
rsi = (Rsi)_tab.CreateCandleIndicator(rsi, "New4");
rsi.Lenght = 21;
rsi.Save();
/*
* _envelop = new Envelops(name + "Envelop", false);
* _envelop = (Envelops)_tab.CreateCandleIndicator(_envelop, "Prime");
* _envelop.MovingAverage.Lenght = 21;
* _envelop.Deviation = 0.3m;
* _envelop.Save();
*/
CanTrade = false;
}
public Rsi Copy(ISerializationManager serializationManager, Rsi source, Rsi target, bool skipHook,
ISerializationContext?context = null)
{
return(new(source.RsiPath, source.RsiState));
}
internal static TradeIdeasGeneratorArgument Create(List <Signal> signals, HistoricalData historicalData)
{
TradeIdeasGeneratorArgument result = new TradeIdeasGeneratorArgument();
SmaVol smaVol20 = new SmaVol(20);
Sma sma50 = new Sma(50);
Rsi stRsi5 = new Rsi(5);
Rsi rsi14 = new Rsi(14);
Rsi ltrsi50 = new Rsi(50);
Cci stCci5 = new Cci(5);
Cci cci14 = new Cci(14);
Cci ltCci50 = new Cci(50);
Stoch stoch14 = new Stoch(14, 14, 3);
WillR willr14 = new WillR(14);
Mfi mfi14 = new Mfi(14);
Adx adx20 = new Adx(20);
Atr atr20 = new Atr(20);
//Assuming that signals are sorted by dates descending and all signals are present. otherwize an exception will be thrown during fetching signals (First())
#region Indicators
result.Rsi14 = GetValue(signals.LatestForIndicator(rsi14));
result.YesterdayRsi14 = GetValue(signals.PreviousForIndicator(rsi14, 1));
result.StRsi5 = GetValue(signals.LatestForIndicator(stRsi5));
result.YesterdayStRsi5 = GetValue(signals.PreviousForIndicator(stRsi5, 1));
result.LtRsi50 = GetValue(signals.LatestForIndicator(ltrsi50));
result.Cci14 = GetValue(signals.LatestForIndicator(cci14));
result.YesterdayCci14 = GetValue(signals.PreviousForIndicator(cci14, 1));
result.StCci5 = GetValue(signals.LatestForIndicator(stCci5));
result.YesterdayStCci5 = GetValue(signals.PreviousForIndicator(stCci5, 1));
result.LtCci50 = GetValue(signals.LatestForIndicator(ltCci50));
result.Stoch14 = GetValue(signals.LatestForIndicator(stoch14));
result.YesterdayStoch14 = GetValue(signals.PreviousForIndicator(stoch14, 1));
result.WillR14 = GetValue(signals.LatestForIndicator(willr14));
result.YesterdayWillR14 = GetValue(signals.PreviousForIndicator(willr14, 1));
result.Mfi14 = GetValue(signals.LatestForIndicator(mfi14));
result.YesterdayMfi14 = GetValue(signals.PreviousForIndicator(mfi14, 1));
result.SmaVol20 = GetValue(signals.LatestForIndicator(smaVol20));
result.Sma50 = GetValue(signals.LatestForIndicator(sma50));
result.Adx20 = GetValue(signals.LatestForIndicator(adx20));
result.Atr20 = GetValue(signals.LatestForIndicator(atr20));
//Long Term Sentiment(6 months)
Signal syrahSentiment = signals.LatestForIndicator(LongTermSentimentForDependencies);
int? sentimentValue = syrahSentiment == null
? null
: (int?)syrahSentiment.Value;
result.LongTermSentiment = SyrahSentiment.MakeInterpretationInTermsOfSentiment(sentimentValue);
//Short Term Sentiment(1 month)
syrahSentiment = signals.LatestForIndicator(ShortTermSentimentForDependencies);
sentimentValue = syrahSentiment == null
? null
: (int?)syrahSentiment.Value;
result.ShortTermSentiment = SyrahSentiment.MakeInterpretationInTermsOfSentiment(sentimentValue);
#endregion
//if (expandedQuote == null)
//{
// result.LastPrice = historicalData.Close[historicalData.Count - 1];
//}
//else
//{
// result.LastPrice = expandedQuote.Last;
// result.HasOption = expandedQuote.HasOption;
//}
result.RangeStdDev = historicalData.GetPriceRangeStdDevFor6Months();
//result.NearestSupport = supportAndResistance.GetClosestSupport(expandedQuote.Last);
//result.NearestResistance = supportAndResistance.GetClosestResistance(expandedQuote.Last);
//TODO: check
int yesterdayIndex = historicalData.High.Length - 2;
result.YesterdayHigh = historicalData.High[yesterdayIndex];
result.YesterdayLow = historicalData.Low[yesterdayIndex];
return(result);
}
public static void CalculateRsiOriginal()
{
var data = Rsi.CalculateRsi(HistoricalData, 14, CancellationToken.None);
Debug.WriteLine(data.ToList().Count);
}
public static void CalculateRsiFixed()
{
var dataFromFixed = Rsi.CalculateRsiFixed(HistoricalData, 14, CancellationToken.None);
Debug.WriteLine(dataFromFixed.ToList().Count);
}
// Example:
//
// rax=000007f7d5e4e000 rbx=0000000000000000 rcx=0000000000000000
// rdx=000007fcac628f98 rsi=0000000000000000 rdi=0000000000000000
// rip=000007fcac571e00 rsp=0000000b9879fb78 rbp=0000000000000000
// r8=0000000000000000 r9=000007fcac628f98 r10=0000000000000000
// r11=0000000000000000 r12=0000000000000000 r13=0000000000000000
// r14=0000000000000000 r15=0000000000000000
// iopl=0 nv up ei pl zr na po nc
// cs=0033 ss=002b ds=002b es=002b fs=0053 gs=002b efl=00000246
// ntdll!DbgBreakPoint:
//
public override ColorString ToColorString()
{
if (null == m_colorString)
{
ConsoleColor color;
ColorString cs = new ColorString("rax=");
color = GetColorForDiffAgainstBaseline("rax");
cs.Append(Rax.GetColorizedValueString(color));
cs.Append(" rbx=");
color = GetColorForDiffAgainstBaseline("rbx");
cs.Append(Rbx.GetColorizedValueString(color));
cs.Append(" rcx=");
color = GetColorForDiffAgainstBaseline("rcx");
cs.Append(Rcx.GetColorizedValueString(color));
cs.AppendLine();
cs.Append("rdx=");
color = GetColorForDiffAgainstBaseline("rdx");
cs.Append(Rdx.GetColorizedValueString(color));
cs.Append(" rsi=");
color = GetColorForDiffAgainstBaseline("rsi");
cs.Append(Rsi.GetColorizedValueString(color));
cs.Append(" rdi=");
color = GetColorForDiffAgainstBaseline("rdi");
cs.Append(Rdi.GetColorizedValueString(color));
cs.AppendLine();
cs.Append("rip=");
color = GetColorForDiffAgainstBaseline("rip");
cs.Append(Rip.GetColorizedValueString(color));
cs.Append(" rsp=");
color = GetColorForDiffAgainstBaseline("rsp");
cs.Append(Rsp.GetColorizedValueString(color));
cs.Append(" rbp=");
color = GetColorForDiffAgainstBaseline("rbp");
cs.Append(Rbp.GetColorizedValueString(color));
cs.AppendLine();
cs.Append(" r8=");
color = GetColorForDiffAgainstBaseline("r8");
cs.Append(R8.GetColorizedValueString(color));
cs.Append(" r9=");
color = GetColorForDiffAgainstBaseline("r9");
cs.Append(R9.GetColorizedValueString(color));
cs.Append(" r10=");
color = GetColorForDiffAgainstBaseline("r10");
cs.Append(R10.GetColorizedValueString(color));
cs.AppendLine();
cs.Append("r11=");
color = GetColorForDiffAgainstBaseline("r11");
cs.Append(R11.GetColorizedValueString(color));
cs.Append(" r12=");
color = GetColorForDiffAgainstBaseline("r12");
cs.Append(R12.GetColorizedValueString(color));
cs.Append(" r13=");
color = GetColorForDiffAgainstBaseline("r13");
cs.Append(R13.GetColorizedValueString(color));
cs.AppendLine();
cs.Append("r14=");
color = GetColorForDiffAgainstBaseline("r14");
cs.Append(R14.GetColorizedValueString(color));
cs.Append(" r15=");
color = GetColorForDiffAgainstBaseline("r15");
cs.Append(R15.GetColorizedValueString(color));
cs.AppendLine();
cs.Append("iopl=");
color = GetColorForDiffAgainstBaseline("iopl");
cs.AppendPushPopFg(color, ((ulong)Iopl.Value).ToString("x"));
// TODO:
cs.AppendLine(" TBD: flags");
cs.Append("cs=");
color = GetColorForDiffAgainstBaseline("cs");
cs.AppendPushPopFg(color, ((ushort)Cs.Value).ToString("x4"));
cs.Append(" ss=");
color = GetColorForDiffAgainstBaseline("ss");
cs.AppendPushPopFg(color, ((ushort)Ss.Value).ToString("x4"));
cs.Append(" ds=");
color = GetColorForDiffAgainstBaseline("ds");
cs.AppendPushPopFg(color, ((ushort)Ds.Value).ToString("x4"));
cs.Append(" es=");
color = GetColorForDiffAgainstBaseline("es");
cs.AppendPushPopFg(color, ((ushort)Es.Value).ToString("x4"));
cs.Append(" fs=");
color = GetColorForDiffAgainstBaseline("fs");
cs.AppendPushPopFg(color, ((ushort)Fs.Value).ToString("x4"));
cs.Append(" gs=");
color = GetColorForDiffAgainstBaseline("gs");
cs.AppendPushPopFg(color, ((ushort)Gs.Value).ToString("x4"));
cs.Append(" efl=");
color = GetColorForDiffAgainstBaseline("efl");
cs.Append(Efl.GetColorizedValueString(color));
cs.AppendLine();
cs.Append(DbgProvider.ColorizeSymbol(StackFrame.SymbolName));
if (0 != StackFrame.Displacement)
{
cs.Append("+0x");
cs.Append(StackFrame.Displacement.ToString("x"));
}
cs.AppendLine(":");
cs.Append(Disasm(Rip.ValueAsPointer));
m_colorString = cs;
}
return(m_colorString);
} // end ToString()
