/// <summary>
/// Returns if the conditions for a rebuy are met.
/// </summary>
/// <returns><c>true</c>, if rebuy is possible, <c>false</c> otherwise.</returns>
/// <param name="candles">candle history</param>
/// <param name="bar">currentcandle</param>
private bool CanRebuy(List <MarketCandle> candles, int bar)
{
var bbands = new BollingerBands(candles, bar);
var stoch = new Stochastics(candles, bar);
var candle = candles[bar];
// for long we do a rebuy when price closes under the lower bollinger bands and both stochastics are below 20
// and price is 1.75% below the previous buy
if (_trade.TradeType == TradeType.Long && candle.ClosePrice < bbands.Lower && stoch.K < 20 && stoch.D < 20)
{
var price = _trade.OpenPrice * RebuyPercentage;
if (_trade.Rebuys.Count > 0)
{
price = _trade.Rebuys.Last().Price *RebuyPercentage;
}
return(candle.ClosePrice < price);
}
// for short we do a rebuy when price closes above the upper bollinger bands and both stochastics are above 80
// and price is 1.75% above the previous sell
if (_trade.TradeType == TradeType.Short && candle.ClosePrice > bbands.Upper && stoch.K > 80 && stoch.D > 80)
{
var factor = 1m + (1m - RebuyPercentage);
var price = _trade.OpenPrice * factor;
if (_trade.Rebuys.Count > 0)
{
price = _trade.Rebuys.Last().Price *factor;
}
return(candle.ClosePrice > price);
}
return(false);
}
private TrendDirection Get15MinuteDirection()
{
EMA fastEMA = EMA(EMAFastPeriod);
EMA slowEMA = EMA(EMASlowPeriod);
Stochastics stoch = Stochastics(StochPeriodD, StochPeriodK, StochSmooth);
RSI rsi = RSI(RSIPeriod, RSISmooth);
MACD macd = MACD(MACDFast, MACDSlow, MACDSmooth);
// long
if (CrossAbove(slowEMA, fastEMA[0], CrossoverLookbackPeriod) &&
rsi[0] > RSIUpper &&
Rising(stoch) &&
stoch[0] < StochUpper &&
(CrossAbove(0, macd.Diff, CrossoverLookbackPeriod) || (macd.Diff[0] < 0 && Rising(macd.Diff)))) // macd.diff should be just starting to rise
{
return(TrendDirection.Long);
}
// short
if (CrossBelow(slowEMA, fastEMA[0], CrossoverLookbackPeriod) &&
rsi[0] < RSIUpper &&
Falling(stoch) &&
stoch[0] > StochLower &&
(CrossBelow(0, macd.Diff, CrossoverLookbackPeriod) || (macd.Diff[0] > 0 && Falling(macd.Diff)))) // macd.diff should be just starting to fall
{
return(TrendDirection.Short);
}
return(TrendDirection.Neutral);
}
// Cycle Counter Vars
#endregion
/// <summary>
/// This method is used to configure the strategy and is called once before any strategy method is called.
/// </summary>
protected override void Initialize()
{
pitColor = PitColor(Color.Black, 80000, 25, 161500);
Add(pitColor);
stoc = Stochastics(stocD, stocK, stocS);
Add(stoc);
stoc.Plots[0].Pen.Color = Color.Blue; // D color
stoc.Plots[1].Pen.Color = Color.Black; // K color
stoc.Plots[0].Pen.Width = 2; // D color
stoc.Plots[1].Pen.Width = 1; // K color
stoc.Lines[0].Pen.Color = Color.Black; // Lower
stoc.Lines[1].Pen.Color = Color.Black; // Upper
stoc.Lines[0].Pen.DashStyle = DashStyle.Dot; // Lower
stoc.Lines[1].Pen.DashStyle = DashStyle.Dot; // Upper
stoc.Lines[0].Pen.Width = 2; // Lower
stoc.Lines[1].Pen.Width = 2; // Upper
stoc.Lines[0].Value = 20; // Lower
stoc.Lines[1].Value = 80; // Upper
constantLines = ConstantLines(45, 55, 0, 0);
constantLines.Panel = 1; // specifying to use the first indicator's panel
Add(constantLines);
constantLines.Plots[0].Pen.Color = Color.Red;
constantLines.Plots[1].Pen.Color = Color.Red;
CalculateOnBarClose = true;
}
private TrendDirection Get4HDirection()
{
// check the 4h chart
EMA fastEMA = EMA(BarsArray[1], EMAFastPeriod);
EMA slowEMA = EMA(BarsArray[1], EMASlowPeriod);
Stochastics stoch = Stochastics(BarsArray[1], StochPeriodD, StochPeriodK, StochSmooth);
RSI rsi = RSI(BarsArray[1], RSIPeriod, RSISmooth);
// long
if (fastEMA[0] > slowEMA[0] && Rising(fastEMA) && rsi[0] > RSIUpper && Rising(stoch) && stoch[0] < StochUpper)
{
// BackColor = Color.LightGreen;
return(TrendDirection.Long);
}
// short
if (fastEMA[0] < slowEMA[0] && Falling(fastEMA) && rsi[0] < RSIUpper && Falling(stoch) && stoch[0] > StochLower)
{
// BackColor = Color.Pink;
return(TrendDirection.Short);
}
return(TrendDirection.Neutral);
}
/// <summary>
/// Checks if a valid entry appeard
/// </summary>
/// <returns><c>true</c>, if valid entry was found, <c>false</c> otherwise.</returns>
/// <param name="candles">History of candles</param>
/// <param name="bar">The current candle</param>
/// <param name="tradeType">returns trade type.</param>
public bool IsValidEntry(List <MarketCandle> candles, int bar, out TradeType tradeType)
{
var candle = candles[bar];
var bbands = new BollingerBands(candles, bar);
var stoch = new Stochastics(candles, bar);
tradeType = TradeType.Long;
// is bolling bands width > 2%
if (bbands.Bandwidth >= 2m)
{
if (candle.ClosePrice < bbands.Lower && stoch.K < 20 && stoch.D < 20)
{
// open buy order when price closes below lower bollinger bands
// and stochastics K & D are both below 20
tradeType = TradeType.Long;
return(true);
}
else if (candle.ClosePrice > bbands.Upper && stoch.K > 80 && stoch.D > 80 && AllowShorting)
{
// open sell order when price closes above upper bollinger bands
// and stochastics K & D are both above 80
tradeType = TradeType.Short;
return(true);
}
}
return(false);
}
/// <summary>
/// This method is used to configure the strategy and is called once before any strategy method is called.
/// </summary>
protected override void Initialize()
{
Add(PitColor(Color.Black, 83000, 25, 161500));
Add(EMA(EmaPeriod));
EMA(EmaPeriod).Plots[0].Pen.Color = Color.Gray;
//Add(SMARick(SmaPeriod));
Add(HMARick(HmaPeriod, 75));
//SMARick(SmaPeriod).Plots[0].Pen.Color = Color.Red;
//Add(SMARick(SmaPeriod * 3));
// Add(StochasticsCycles(stocD, stocK, MAType.HMA, false, false, stocS, 75, 3, HmaPeriod));
stoc = Stochastics(stocD, stocK, stocS);
Add(stoc);
stoc.Plots[0].Pen.Color = Color.Blue; // D color
stoc.Plots[1].Pen.Color = Color.Black; // K color
stoc.Plots[0].Pen.Width = 2; // D color
stoc.Plots[1].Pen.Width = 1; // K color
stoc.Lines[0].Pen.Color = Color.Black; // Lower
stoc.Lines[1].Pen.Color = Color.Black; // Upper
stoc.Lines[0].Pen.DashStyle = DashStyle.Dot; // Lower
stoc.Lines[1].Pen.DashStyle = DashStyle.Dot; // Upper
stoc.Lines[0].Pen.Width = 2; // Lower
stoc.Lines[1].Pen.Width = 2; // Upper
stoc.Lines[0].Value = 20; // Lower
stoc.Lines[1].Value = 80; // Upper
ConstantLines(45, 55, 0, 0).Panel = 1; // specifying to use the first indicator's panel
Add(ConstantLines(45, 55, 0, 0));
ConstantLines(45, 55, 0, 0).Plots[0].Pen.Color = Color.Red;
ConstantLines(45, 55, 0, 0).Plots[1].Pen.Color = Color.Red;
macd = MACDrick(macdFast, macdSlow, macdSmooth);
Add(macd);
//Add(MACDRick2(Color.Green, Color.Red, true, macdFast, 20, macdSlow,macdSmooth));
// Add(MACD(macdFast,macdSlow,macdSmooth));
// MACD(macdFast,macdSlow,macdSmooth).CalculateOnBarClose = true;
// MACD(macdFast,macdSlow,macdSmooth).Plots[0].Pen.Color = Color.Black; // Macd
// MACD(macdFast,macdSlow,macdSmooth).Plots[1].Pen.Color = Color.Blue; // Avg
// MACD(macdFast,macdSlow,macdSmooth).Plots[2].Pen.Color = Color.Red; //downBard
// // MACD(macdFast,macdSlow,macdSmooth).Plots[3].Pen.Color = Color.Transparent; // Diff
// MACD(macdFast,macdSlow,macdSmooth).Plots[0].Pen.Width = 2;
// MACD(macdFast,macdSlow,macdSmooth).Plots[1].Pen.Width = 3;
// MACD(macdFast,macdSlow,macdSmooth).Plots[0].PlotStyle = PlotStyle.Bar;
//SetProfitTarget("", CalculationMode.Ticks, 205);
//SetTrailStop("", CalculationMode.Ticks, 5, false);
//SetStopLoss("", CalculationMode.Ticks, 200, false);
CalculateOnBarClose = true;
ClearOutputWindow();
TimeInForce = Cbi.TimeInForce.Day;
ExitOnClose = true;
ExitOnCloseSeconds = 3600; // 60 min before session close
}
/// <summary>
/// Checks if a valid entry appeard
/// </summary>
/// <returns><c>true</c>, if valid entry was found, <c>false</c> otherwise.</returns>
/// <param name="candles">History of candles</param>
/// <param name="bar">The current candle</param>
/// <param name="tradeType">returns trade type.</param>
/// <param name="bandwidth">returns BB bandwidth.</param>
public bool IsValidEntry(List <MarketCandle> candles, int bar, out TradeType tradeType, out decimal bandwidth)
{
tradeType = TradeType.Long;
bandwidth = 0m;
if (candles.Count < bar + 20)
{
return(false);
}
var candle = candles[bar];
var bbands = new BollingerBands(candles, bar);
var stoch = new Stochastics(candles, bar);
// more then 5 flat candles in last 15 candles ?
var flatCandles = 0;
for (int i = 0; i < _settings.MaxFlatCandleCount; ++i)
{
var candleStick = candles[bar + i];
if (candleStick.BaseCurrencyVolume <= 0)
{
flatCandles++;
}
}
if (flatCandles > _settings.MaxFlatCandles)
{
return(false);
}
// check for panic
var panic = (double)((candle.ClosePrice / candle.OpenPrice) * 100m);
if (panic < (100 - _settings.MaxPanic) || panic > (100 + _settings.MaxPanic))
{
// more then 5% panic
return(false);
}
bandwidth = bbands.Bandwidth;
// is bolling bands width > 2%
if (bbands.Bandwidth >= (decimal)_settings.MinBollingerBandWidth)
{
if (candle.ClosePrice < bbands.Lower && stoch.K < 20 && stoch.D < 20)
{
// open buy order when price closes below lower bollinger bands
// and stochastics K & D are both below 20
tradeType = TradeType.Long;
return(true);
}
else if (candle.ClosePrice > bbands.Upper && stoch.K > 80 && stoch.D > 80 && _settings.AllowShorts)
{
// open sell order when price closes above upper bollinger bands
// and stochastics K & D are both above 80
tradeType = TradeType.Short;
return(true);
}
}
return(false);
}
public StochasticLinesCrossover(BarItemType barType)
{
this.barType = barType;
this.identityCode = string.Format("{0}({1})", IDENTITY_CODE, barType.Code);
stoch = new Stochastics(barType, 14, 3, 3);
Register(stoch);
}
private static void ExportFeaturesAndLabel(string code)
{
string filePath = (Environment.OSVersion.Platform == PlatformID.Unix || Environment.OSVersion.Platform == PlatformID.MacOSX) ? Environment.GetEnvironmentVariable("HOME") : Environment.ExpandEnvironmentVariables("%HOMEDRIVE%%HOMEPATH%");
filePath += "\\indicatorOutput.txt";
DateTime targetDate = IndicatorService.LastDate(code);
int numberOfData = 4000;
var data = IndicatorService.GetData(code, targetDate, new string[] { "Tarih", "Kapanis" }, numberOfData + 1);
double[] sma = MovingAverage.Simple(code, targetDate, 14, numberOfData);
double[] wma = MovingAverage.Weighted(code, targetDate, 14, numberOfData);
double[] ema = MovingAverage.Exponential(code, targetDate, 14, numberOfData);
MovingAverageConvergenceDivergence macd = new MovingAverageConvergenceDivergence(code, targetDate, 12, 26, 9, numberOfData);
double[] rsi = RelativeStrengthIndex.Rsi(code, targetDate, 14, numberOfData);
double[] williams = WilliamsR.Wsr(code, targetDate, 14, numberOfData);
Stochastics stochastics = new Stochastics(code, targetDate, 14, 3, 3, numberOfData);
double[] closesOut = IndicatorDataPreprocessor.GetClosesOut(numberOfData, data);
double[] smaOut = IndicatorDataPreprocessor.GetSMAOut(sma);
double[] wmaOut = IndicatorDataPreprocessor.GetWMAOut(wma);
double[] emaOut = IndicatorDataPreprocessor.GetEMAOut(ema);
double[] macdOut = IndicatorDataPreprocessor.GetMACDOut(macd);
double[] rsiOut = IndicatorDataPreprocessor.GetRSIOut(rsi);
double[] williamsROut = IndicatorDataPreprocessor.GetWilliamsROut(williams);
double[] stochasticsOut = IndicatorDataPreprocessor.GetStochasticsOut(stochastics);
int minRowCount;
minRowCount = smaOut.Length;
minRowCount = minRowCount < wmaOut.Length ? minRowCount : wmaOut.Length;
minRowCount = minRowCount < emaOut.Length ? minRowCount : emaOut.Length;
minRowCount = minRowCount < macdOut.Length ? minRowCount : macdOut.Length;
minRowCount = minRowCount < rsiOut.Length ? minRowCount : rsiOut.Length;
minRowCount = minRowCount < williamsROut.Length ? minRowCount : williamsROut.Length;
minRowCount = minRowCount < stochasticsOut.Length ? minRowCount : stochasticsOut.Length;
minRowCount = minRowCount < closesOut.Length ? minRowCount : closesOut.Length;
FeatureVector vector = new FeatureVector();
vector.AddColumn("SMA", smaOut.Select(p => (object)p.ToString(CultureInfo.InvariantCulture)).Take(minRowCount).ToArray());
vector.AddColumn("WMA", wmaOut.Select(p => (object)p.ToString(CultureInfo.InvariantCulture)).Take(minRowCount).ToArray());
vector.AddColumn("EMA", emaOut.Select(p => (object)p.ToString(CultureInfo.InvariantCulture)).Take(minRowCount).ToArray());
vector.AddColumn("MACD", macdOut.Select(p => (object)p.ToString(CultureInfo.InvariantCulture)).Take(minRowCount).ToArray());
vector.AddColumn("RSI", rsiOut.Select(p => (object)p.ToString(CultureInfo.InvariantCulture)).Take(minRowCount).ToArray());
vector.AddColumn("WilliamsR", williamsROut.Select(p => (object)p.ToString(CultureInfo.InvariantCulture)).Take(minRowCount).ToArray());
vector.AddColumn("Stochastics", stochasticsOut.Select(p => (object)p.ToString(CultureInfo.InvariantCulture)).Take(minRowCount).ToArray());
vector.AddColumn("label", closesOut.Select(p => (object)string.Format("{0:0.0}", p).ToString(CultureInfo.InvariantCulture)).Take(minRowCount).ToArray());
new CSVExporter(vector).Export(filePath);
Console.WriteLine("Operations completed.");
}
public TeodosiSimpleSystem(BarItemType barType)
{
this.barType = barType;
this.identityCode = string.Format("{0}({1})", IDENTITY_CODE, barType.Code);
rsi = new RSI(barType, 7);
stoch = new Stochastics(barType, 5, 3, 3);
Register(rsi, stoch);
}
public DoubleStochastic(BarItemType barType)
{
this.barType = barType;
this.identityCode = string.Format("{0}({1})", IDENTITY_CODE, barType.Code);
stochMajor = new Stochastics(barType, 26, 14, 14);
stochRetrace = new Stochastics(barType, 14, 3, 3);
Register(stochMajor, stochRetrace);
}
public ArsalanStochasticAndEMA(BarItemType barType)
{
this.barType = barType;
this.identityCode = string.Format("{0}({1})", IDENTITY_CODE, barType.Code);
ema2 = new EMA(barType, 2);
ema4 = new EMA(barType, 4);
stoch = new Stochastics(barType, 5, true);
Register(ema2, ema4, stoch);
}
public PSARandStochastic(BarItemType barType)
{
this.barType = barType;
this.identityCode = string.Format("{0}({1})", IDENTITY_CODE, barType.Code);
psar = new ParabolicSAR(barType, 5);
stoc = new Stochastics(barType, 14);
ema = new EMA(barType, 100);
Register(psar, stoc, ema);
}
/// <summary>
/// This method is used to configure the strategy and is called once before any strategy method is called.
/// </summary>
protected override void Initialize()
{
pitColor = PitColor(Color.Black, 80000, 25, 161500);
Add(pitColor);
ema = EMA(EmaPeriod);
Add(ema);
ema.Plots[0].Pen.Color = Color.Gray;
sma = SMARick(SmaPeriod);
Add(sma);
//sma.Plots[0].Pen.Color = Color.Red;
stoc = Stochastics(stocD, stocK, stocS);
Add(stoc);
stoc.Plots[0].Pen.Color = Color.Blue; // D color
stoc.Plots[1].Pen.Color = Color.Black; // K color
stoc.Plots[0].Pen.Width = 2; // D color
stoc.Plots[1].Pen.Width = 1; // K color
stoc.Lines[0].Pen.Color = Color.Black; // Lower
stoc.Lines[1].Pen.Color = Color.Black; // Upper
stoc.Lines[0].Pen.DashStyle = DashStyle.Dot; // Lower
stoc.Lines[1].Pen.DashStyle = DashStyle.Dot; // Upper
stoc.Lines[0].Pen.Width = 2; // Lower
stoc.Lines[1].Pen.Width = 2; // Upper
stoc.Lines[0].Value = 20; // Lower
stoc.Lines[1].Value = 80; // Upper
constantLines = ConstantLines(45, 55, 0, 0);
constantLines.Panel = 1; // specifying to use the first indicator's panel
Add(constantLines);
constantLines.Plots[0].Pen.Color = Color.Red;
constantLines.Plots[1].Pen.Color = Color.Red;
macd = MACD(macdFast, macdSlow, macdSmooth);
Add(macd);
macd.CalculateOnBarClose = true;
macd.Plots[0].Pen.Color = Color.Black; // Macd
macd.Plots[1].Pen.Color = Color.Blue; // Avg
macd.Plots[2].Pen.Color = Color.Transparent; //downBar
//macd.Plots[3].Pen.Color = Color.Transparent; // Diff
macd.Plots[0].Pen.Width = 2;
macd.Plots[1].Pen.Width = 3;
macd.Plots[0].PlotStyle = PlotStyle.Bar;
SetProfitTarget("", CalculationMode.Ticks, ProfitTarget);
SetStopLoss("", CalculationMode.Ticks, StopLoss, false);
SetTrailStop("", CalculationMode.Ticks, TrailingStop, false);
CalculateOnBarClose = true;
}
public SimpleBalancedSystem(BarItemType barType)
{
this.barType = barType;
this.identityCode = string.Format("{0}({1})", IDENTITY_CODE, barType.Code);
ema5 = new EMA(barType, 5);
ema10 = new EMA(barType, 10);
stoch = new Stochastics(barType, 14, 3, 3);
rsi = new RSI(barType, 14);
Register(ema5, ema10, stoch, rsi);
}
public ThoseFourIndicators(BarItemType barType)
{
this.barType = barType;
this.identityCode = string.Format("{0}({1})", IDENTITY_CODE, barType.Code);
cci = new CCI(barType, 14);
stoch = new Stochastics(barType, 14, 2, 2);
macd = new MACD(barType, 8, 40, 8);
adx = new ADX(barType, 14);
Register(cci, stoch, macd, adx);
}
/// <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);
Stochastics ind = (Stochastics)Dependents[0];
if (DataSeries.IsAbove(ind.D, 80, currentBar, 0) != -1)
{
if (DataSeries.IsAboutToCrossBelow(ind.K, ind.D, currentBar) == true)
{
WasFound[currentBar] = true;
}
}
}
/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
stddev = this.StdDev(Bars, StdDevCount);
Stochastics sto = Stochastics(Bars, 9, 10, 3);
double stdDev1 = stddev.Value[0] * 1;
double stdDev2 = stddev.Value[0] * 2;
double stdDev3 = stddev.Value[0] * 3;
double currentSMA = sma.Value[0];
double lastSMA = sma.Value[1];
string shortName = "BuyShort1";
string longName = "BuyLong1";
if (lastbarcount < Bars.Count)
{
if (sto.D[0] < 80 && sto.D[1] > 80)
{
if (Position.MarketPosition == MarketPosition.Long) // get out of a long.
{
SetStopLoss(longName, CalculationMode.Price, GetCurrentBid(), false);
}
// Get in a Short
SetStopLoss(shortName, CalculationMode.Price, Bollinger(bollingerDeviations, StdDevCount).Upper[0] + stdDev2, false);
EnterShort(0, GetQuantityToPurchase(), shortName);
}
if (sto.D[0] > 20 && sto.D[1] < 20)
{
if (Position.MarketPosition == MarketPosition.Short) // get out of a Short.
{
SetStopLoss(shortName, CalculationMode.Price, GetCurrentAsk(), false);
}
// Get in a Long
SetStopLoss(longName, CalculationMode.Price, Bollinger(bollingerDeviations, StdDevCount).Lower[0] - stdDev2, false);
EnterLong(0, GetQuantityToPurchase(), longName);
}
}
lastbarcount = Bars.Count;
}
/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
stoc = Stochastics(stocD, stocK, stocS);
int currentTrend = Rising(SMA(SmaPeriod)) ? 1: -1;
MarkCycleHigh();
MarkCycleLow();
if ((trend <= 0 && currentTrend == 1) ||
(trend >= 0 && currentTrend == -1))
{
// reset trend
trend = currentTrend;
trendStartBar = CurrentBar;
}
/*
* uptrend conditions
* 1 - new
* 2 - cross above 45, look for cycle high
* 3 - cross above 55
* 4 - cross below 55, stop cycle high search
*/
if (currentTrend == 1)
{
switch (trend)
{
case 1:
if (stoc.D[0] > 45)
{
trend = 2;
}
if (stoc.D[0] > 55)
{
trend = 3;
}
break;
case 2:
if (stoc.D[0] > 55)
{
trend = 3;
}
if (CrossBelow(stoc.D, 45, 1))
{
trend = 1;
}
break;
case 3:
if (CrossBelow(stoc.D, 55, 1))
{
trend = 4;
}
break;
default:
break;
}
}
if (currentTrend == -1)
{
switch (trend)
{
case -1:
if (stoc.D[0] < 55)
{
trend = -2;
}
if (stoc.D[0] < 45)
{
trend = -3;
}
break;
case -2:
if (stoc.D[0] < 45)
{
trend = -3;
}
if (CrossAbove(stoc.D, 55, 1))
{
trend = -1;
}
break;
case -3:
if (CrossAbove(stoc.D, 55, 1))
{
trend = -4;
}
break;
default:
break;
}
}
if (trend >= 1)
{
cycleHigh = HighestBar(High, CurrentBar - trendStartBar);
}
if (trend <= -1)
{
cycleLow = LowestBar(Low, CurrentBar - trendStartBar);
}
if (trend < 0)
{
//DrawDot("Low" + CurrentBar, false, 0, Low[cycleLow], Color.Black);
}
if (trend > 0)
{
//DrawDot("High" + CurrentBar, false, 0, High[cycleHigh], Color.Black);
Print(Time + " cycleHigh: " + cycleHigh);
if (stoc.D[2] > stoc.D[1] &&
stoc.D[1] < stoc.D[0]
)
{
DrawArrowUp("My up arrow" + CurrentBar, false, 0, Low[0], Color.Black);
if (Position.MarketPosition == MarketPosition.Flat)
{
EnterLongStop(High[0] + 1 * TickSize);
}
}
}
}
/// <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);
}
private static void RunFeatureSelector(int mlAlgorithm, bool isCrossValidationEnabled, double trainingSetPercentage)
{
string code = "AKBNK";
DateTime targetDate = new DateTime(2018, 11, 1).ToLocalTime();
int numberOfData = 4000;
var data = IndicatorService.GetData(code, targetDate, new string[] { "Tarih", "Kapanis" }, numberOfData + 1);
double[] sma = MovingAverage.Simple(code, targetDate, 14, numberOfData);
double[] wma = MovingAverage.Weighted(code, targetDate, 14, numberOfData);
double[] ema = MovingAverage.Exponential(code, targetDate, 14, numberOfData);
MovingAverageConvergenceDivergence macd = new MovingAverageConvergenceDivergence(code, targetDate, 12, 26, 9, numberOfData);
double[] rsi = RelativeStrengthIndex.Rsi(code, targetDate, 14, numberOfData);
double[] williams = WilliamsR.Wsr(code, targetDate, 14, numberOfData);
Stochastics stochastics = new Stochastics(code, targetDate, 14, 3, 3, numberOfData);
double[] closesOut = IndicatorDataPreprocessor.GetClosesOut(numberOfData, data);
double[] smaOut = IndicatorDataPreprocessor.GetSMAOut(sma);
double[] wmaOut = IndicatorDataPreprocessor.GetWMAOut(wma);
double[] emaOut = IndicatorDataPreprocessor.GetEMAOut(ema);
double[] macdOut = IndicatorDataPreprocessor.GetMACDOut(macd);
double[] rsiOut = IndicatorDataPreprocessor.GetRSIOut(rsi, false);
double[] williamsROut = IndicatorDataPreprocessor.GetWilliamsROut(williams, false);
double[] stochasticsOut = IndicatorDataPreprocessor.GetStochasticsOut(stochastics, false);
int minRowCount;
minRowCount = smaOut.Length;
minRowCount = minRowCount < wmaOut.Length ? minRowCount : wmaOut.Length;
minRowCount = minRowCount < emaOut.Length ? minRowCount : emaOut.Length;
minRowCount = minRowCount < macdOut.Length ? minRowCount : macdOut.Length;
minRowCount = minRowCount < rsiOut.Length ? minRowCount : rsiOut.Length;
minRowCount = minRowCount < williamsROut.Length ? minRowCount : williamsROut.Length;
minRowCount = minRowCount < stochasticsOut.Length ? minRowCount : stochasticsOut.Length;
minRowCount = minRowCount < closesOut.Length ? minRowCount : closesOut.Length;
int numberOfIndicators = IndicatorService.indicators.Length;
int numberOfCombinations = (int)Math.Pow(2, numberOfIndicators) - 1;
for (int i = 1; i <= numberOfCombinations; i++)
{
int tmp = i;
List <int> indicators = new List <int>();
for (int j = 0; j < numberOfIndicators; j++)
{
if ((tmp & 1) == 1)
{
indicators.Add(IndicatorService.indicators[j]);
}
tmp >>= 1;
}
double accuracy = CalculateAccuracy(indicators, mlAlgorithm, isCrossValidationEnabled, minRowCount, trainingSetPercentage, smaOut, wmaOut, emaOut, macdOut, rsiOut, williamsROut, stochasticsOut, closesOut);
if (indicators.Contains(IndicatorService.SMA))
{
Console.Write("SMA ");
}
if (indicators.Contains(IndicatorService.WMA))
{
Console.Write("WMA ");
}
if (indicators.Contains(IndicatorService.EMA))
{
Console.Write("EMA ");
}
if (indicators.Contains(IndicatorService.MACD))
{
Console.Write("MACD ");
}
if (indicators.Contains(IndicatorService.RSI))
{
Console.Write("RSI ");
}
if (indicators.Contains(IndicatorService.WilliamsR))
{
Console.Write("WilliamsR ");
}
if (indicators.Contains(IndicatorService.Stochastics))
{
Console.Write("Stochastics ");
}
Console.WriteLine("=>\t" + accuracy);
}
}
private static void RunConsoleApplication()
{
string filePath = (Environment.OSVersion.Platform == PlatformID.Unix || Environment.OSVersion.Platform == PlatformID.MacOSX) ? Environment.GetEnvironmentVariable("HOME") : Environment.ExpandEnvironmentVariables("%HOMEDRIVE%%HOMEPATH%");
filePath += "\\indicatorOutput.txt";
string code = "AKBNK";
DateTime targetDate = new DateTime(2018, 11, 1).ToLocalTime();
int numberOfData = 1000;
var data = IndicatorService.GetData(code, targetDate, new string[] { "Tarih", "Kapanis" }, numberOfData + 1);
double[] sma = MovingAverage.Simple(code, targetDate, 14, numberOfData);
double[] wma = MovingAverage.Weighted(code, targetDate, 14, numberOfData);
double[] ema = MovingAverage.Exponential(code, targetDate, 14, numberOfData);
MovingAverageConvergenceDivergence macd = new MovingAverageConvergenceDivergence(code, targetDate, 12, 26, 9, numberOfData);
double[] rsi = RelativeStrengthIndex.Rsi(code, targetDate, 14, numberOfData);
double[] williams = WilliamsR.Wsr(code, targetDate, 14, numberOfData);
Stochastics stochastics = new Stochastics(code, targetDate, 14, 3, 3, numberOfData);
double[] closesOut = IndicatorDataPreprocessor.GetClosesOut(numberOfData, data);
double[] smaOut = IndicatorDataPreprocessor.GetSMAOut(sma);
double[] wmaOut = IndicatorDataPreprocessor.GetWMAOut(wma);
double[] emaOut = IndicatorDataPreprocessor.GetEMAOut(ema);
double[] macdOut = IndicatorDataPreprocessor.GetMACDOut(macd);
double[] rsiOut = IndicatorDataPreprocessor.GetRSIOut(rsi);
double[] williamsROut = IndicatorDataPreprocessor.GetWilliamsROut(williams);
double[] stochasticsOut = IndicatorDataPreprocessor.GetStochasticsOut(stochastics);
int minRowCount;
minRowCount = smaOut.Length;
minRowCount = minRowCount < wmaOut.Length ? minRowCount : wmaOut.Length;
minRowCount = minRowCount < emaOut.Length ? minRowCount : emaOut.Length;
minRowCount = minRowCount < macdOut.Length ? minRowCount : macdOut.Length;
minRowCount = minRowCount < rsiOut.Length ? minRowCount : rsiOut.Length;
minRowCount = minRowCount < williamsROut.Length ? minRowCount : williamsROut.Length;
minRowCount = minRowCount < stochasticsOut.Length ? minRowCount : stochasticsOut.Length;
minRowCount = minRowCount < closesOut.Length ? minRowCount : closesOut.Length;
FeatureVector vector = new FeatureVector();
vector.AddColumn("SMA", smaOut.Select(p => (object)p.ToString(CultureInfo.InvariantCulture)).Take(minRowCount).ToArray());
vector.AddColumn("WMA", wmaOut.Select(p => (object)p.ToString(CultureInfo.InvariantCulture)).Take(minRowCount).ToArray());
vector.AddColumn("EMA", emaOut.Select(p => (object)p.ToString(CultureInfo.InvariantCulture)).Take(minRowCount).ToArray());
vector.AddColumn("MACD", macdOut.Select(p => (object)p.ToString(CultureInfo.InvariantCulture)).Take(minRowCount).ToArray());
vector.AddColumn("RSI", rsiOut.Select(p => (object)p.ToString(CultureInfo.InvariantCulture)).Take(minRowCount).ToArray());
vector.AddColumn("WilliamsR", williamsROut.Select(p => (object)p.ToString(CultureInfo.InvariantCulture)).Take(minRowCount).ToArray());
vector.AddColumn("Stochastics", stochasticsOut.Select(p => (object)p.ToString(CultureInfo.InvariantCulture)).Take(minRowCount).ToArray());
vector.AddColumn("label", closesOut.Select(p => (object)string.Format("{0:0.0}", p).ToString(CultureInfo.InvariantCulture)).Take(minRowCount).ToArray());
new LabeledPointExporter(vector).Export(filePath);
int count = vector.Values[0].Length;
FeatureVector training = new FeatureVector();
for (int i = 0; i < vector.ColumnName.Count; i++)
{
training.AddColumn(vector.ColumnName[i], vector.Values[i].Take(count / 2).ToArray());
}
FeatureVector test = new FeatureVector();
for (int i = 0; i < vector.ColumnName.Count; i++)
{
test.AddColumn(vector.ColumnName[i], vector.Values[i].Skip(count / 2).Take(count / 2).ToArray());
}
//TestNaiveBayes(training, test);
//TestNaiveBayesUsingCrossValidation(training, test);
//TestLinearRegression(training, test);
//TestLinearRegressionUsingCrossValidation(training, test);
//TestLogisticRegression(training, test);
//TestLogisticRegressionUsingCrossValidation(training, test);
}
/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
/// Lines with comments like these were commented out to help read a cleaner chart
// Checks to make sure we have at least 20 or more bars
if (CurrentBar < 30)
{
return;
}
// dad = macd.Avg
// mom = macd.Mom
macdTrend = 0;
if (macd.Mom[0] > 0 && macd.Avg[0] > 0)
{
macdTrend = 1;
if (BackgroundColorEnabled)
{
BackColorAll = Color.FromArgb(Opacity, BackgroundLongColor);
}
}
else if (macd.Mom[0] < 0 && macd.Avg[0] < 0)
{
macdTrend = -1;
if (BackgroundColorEnabled)
{
BackColorAll = Color.FromArgb(Opacity, BackgroundShortColor);
}
}
stoc = Stochastics(stocD, stocK, stocS);
//stocX3 = Stochastics(IDataSeries, stocD, stocK, stocS);
//int currentTrend = Rising(SMARick(SmaPeriod)) ? RISING: FALLING;
int currentTrend = Rising(HMARick(HmaPeriod, 75)) ? RISING: FALLING;
// is SMA trend changing
//if ((( Rising(SMARick(SmaPeriod))&& (SMARick(SmaPeriod)[1] - SMARick(SmaPeriod)[2]) < 0 ))
// || (Falling(SMARick(SmaPeriod)) && (SMARick(SmaPeriod)[1] - SMARick(SmaPeriod)[2]) > 0))
//{
if (currentTrend != previousTrend)
{
//if (Rising(SMARick(SmaPeriod)) != Rising(SMARick(SmaPeriod))[1])
//{
//if (currentTrend > 0 && trend < 0 ||
// currentTrend < 0 && trend > 0)
//|| (trend >= 0 && currentTrend == -1))
//{
// reset trend
//trend = currentTrend;
trendStartBar = CurrentBar;
trendCount++;
cycleHigh = int.MaxValue;
cycleLow = int.MinValue;
/// if (currentTrend == FALLING)
/// DrawText(CurrentBar + " barCount", CurrentBar + " ", 0, 2 * (High[0] - Low[0]) + High[0], Color.DarkRed);
/// if (currentTrend == RISING)
/// DrawText(CurrentBar + " barCount", CurrentBar + " ", 0, 2 * (High[0] - Low[0]) + High[0], Color.DarkGreen);
// cycleCount = 0;
}
//if (((SMARick(SmaPeriod)[0] - SMARick(SmaPeriod)[1]) > 0 && (SMARick(SmaPeriod)[1] - SMARick(SmaPeriod)[2]) < 0 )
// || ((SMARick(SmaPeriod)[0] - SMARick(SmaPeriod)[1]) < 0 && (SMARick(SmaPeriod)[1] - SMARick(SmaPeriod)[2]) > 0 ))
//{
// cycleCount = 0;
//}
MarkCycleHigh();
MarkCycleLow();
IdentifySecondChance();
Scalp();
// In-Trend note:
// multi-hook entry pattern provides a higher probability that we are making a cycle high or low, than a single hook.
// even more so, is when the price falls with the hooks are going up (long entry)
// example in doc on pg 24 is using Stoc D
// for the example above, if it's down trend and you're short, it could signal time to exit
/*
* uptrend conditions
* 1 - new
* 2 - cross above 45, look for cycle high
* 3 - cross above 55
* 4 - cross below 55, stop cycle high search
*/
if (currentTrend == 1)
{
switch (trend)
{
case 1:
if (stoc.D[0] > 45)
{
trend = 2;
}
if (stoc.D[0] > 55)
{
trend = 3;
}
break;
case 2:
if (stoc.D[0] > 55)
{
trend = 3;
}
if (CrossBelow(stoc.D, 45, 1))
{
trend = 1;
}
break;
case 3:
if (CrossBelow(stoc.D, 55, 1))
{
trend = 4;
}
break;
default:
break;
}
}
if (currentTrend == -1)
{
switch (trend)
{
case -1:
if (stoc.D[0] < 55)
{
trend = -2;
}
if (stoc.D[0] < 45)
{
trend = -3;
}
break;
case -2:
if (stoc.D[0] < 45)
{
trend = -3;
}
if (CrossAbove(stoc.D, 55, 1))
{
trend = -1;
}
break;
case -3:
if (CrossAbove(stoc.D, 55, 1))
{
trend = -4;
}
break;
default:
break;
}
}
if (trend >= 1)
{
cycleHigh = HighestBar(High, CurrentBar - trendStartBar);
}
if (trend <= -1)
{
cycleLow = LowestBar(Low, CurrentBar - trendStartBar);
}
if (trend < 0)
{
//DrawDot("Low" + CurrentBar, false, 0, Low[cycleLow], Color.Black);
}
if (trend > 0)
{
//DrawDot("High" + CurrentBar, false, 0, High[cycleHigh], Color.Black);
// Print(Time + " cycleHigh: " + cycleHigh);
if (stoc.D[2] > stoc.D[1] &&
stoc.D[1] < stoc.D[0]
)
{
//DrawDot(CurrentBar + "ELx", false, 1, High[0] + 1 * TickSize, Color.Magenta);
//DrawArrowUp("My up arrow" + CurrentBar, false, 0, Low[0], Color.Lime);
if (Position.MarketPosition == MarketPosition.Flat)
{
//DrawDot(CurrentBar + "EL", false, 0, High[0] + 1 * TickSize, Color.Black);
//EnterLongStop(High[0] + 1 * TickSize);
}
}
}
previousTrend = currentTrend;
}
/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
double stopPrice = 0;
double limitPrice = 0;
int qty = 1;
if (BarsPeriod.Id != PeriodType.Range)
{
DrawTextFixed("error msg", "This Strategy only works on Intraday Range Bars", TextPosition.BottomRight);
return;
}
if (Bars.BarsSinceSession == 1)
{
ResetTrade();
}
RcMACD macd = RcMACD(12, 26, 9);
RSI rsi = RSI(7, 3);
Stochastics stoc = Stochastics(3, 5, 2);
Bollinger bollinger = Bollinger(2, 12);
if (UseRSIFilter == 1)
{
if (rsi[0] > 70)
{
this.DrawTriangleUp(CurrentBar + "Up", false, 0, Low[0] - 2 * TickSize, Color.Green);
}
else if (rsi[0] < 30)
{
DrawTriangleDown(CurrentBar + "Down", false, 0, High[0] + 2 * TickSize, Color.Red);
}
}
else
{
if (stoc.D[0] > 80)
{
DrawTriangleUp(CurrentBar + "Up", false, 0, Low[0] - 2 * TickSize, Color.Green);
}
else if (stoc.D[0] < 20)
{
DrawTriangleDown(CurrentBar + "Down", false, 0, High[0] + 2 * TickSize, Color.Red);
}
}
if (Position.MarketPosition == MarketPosition.Flat)
{
if (entryOrderLong != null)
{
CancelOrder(entryOrderLong);
entryOrderLong = null;
}
else
// Long Entry Conditions
if (longTrades && entryOrderLong == null &&
macd.Mom[0] > 0 && macd.Mom[0] > macd.Avg[0] &&
((UseRSIFilter == 1 && rsi[0] > 70) || (UseRSIFilter == 0 && stoc.D[0] < 20)) &&
Rising(bollinger.Upper) &&
Close[0] > (bollinger.Upper[0] - 2 * TickSize)
//&& Time[0].DayOfWeek != DayOfWeek.Friday
//&& (ToTime(Time[0]) >= 83000 && ToTime(Time[0]) <= 103000)
)
{
DrawArrowUp(CurrentBar + "Long", false, 0, Low[0] - 8 * TickSize, Color.Green);
if (Close[0] == High[0])
{
//DrawDot(CurrentBar + "marketPrice", false, 1, Close[0], Color.Gray);
if (!reverseTrades)
{
entryOrderLong = SubmitOrder(0, OrderAction.Buy, OrderType.Market, qty, limitPrice, stopPrice, orderPrefix + "ocoEnter", "Long");
}
else
{
entryOrderLong = SubmitOrder(0, OrderAction.SellShort, OrderType.Market, qty, limitPrice, stopPrice, orderPrefix + "ocoEnter", "!Long");
}
}
else
{
stopPrice = Close[0] + 1 * TickSize;
limitPrice = Close[0] + 1 * TickSize;
//DrawDot(CurrentBar + "stopPrice", false, 1, stopPrice, Color.DarkGray);
//DrawDot(CurrentBar + "limitPrice", false, 1, limitPrice, Color.Black);
if (!reverseTrades)
{
entryOrderLong = SubmitOrder(0, OrderAction.Buy, OrderType.StopLimit, qty, limitPrice, stopPrice, orderPrefix + "ocoEnter", "Long");
}
else
{
entryOrderLong = SubmitOrder(0, OrderAction.SellShort, OrderType.StopLimit, qty, limitPrice, stopPrice, orderPrefix + "ocoEnter", "!Long");
}
}
}
// Short Entry Conditions
if (shortTrades && entryOrderShort == null &&
macd.Mom[0] < 0 && macd.Mom[0] < macd.Avg[0] &&
((UseRSIFilter == 1 && rsi[0] < 30) || (UseRSIFilter == 0 && stoc.D[0] > 80)) &&
Falling(bollinger.Lower) &&
Close[0] < (bollinger.Lower[0] + 2 * TickSize))
{
DrawArrowDown(CurrentBar + "Short", false, 0, High[0] + 8 * TickSize, Color.Red);
if (Close[0] == Low[0])
{
//DrawDot(CurrentBar + "marketPrice", false, 1, Close[0], Color.Gray);
if (!reverseTrades)
{
entryOrderShort = SubmitOrder(0, OrderAction.SellShort, OrderType.Market, qty, limitPrice, stopPrice, orderPrefix + "ocoEnter", "Short");
}
else
{
entryOrderShort = SubmitOrder(0, OrderAction.Buy, OrderType.Market, qty, limitPrice, stopPrice, orderPrefix + "ocoEnter", "!Short");
}
}
else
{
stopPrice = Close[0] - 1 * TickSize;
limitPrice = Close[0] - 1 * TickSize;
//DrawDot(CurrentBar + "stopPrice", false, 1, stopPrice, Color.DarkGray);
//DrawDot(CurrentBar + "limitPrice", false, 1, limitPrice, Color.Black);
if (!reverseTrades)
{
entryOrderShort = SubmitOrder(0, OrderAction.SellShort, OrderType.StopLimit, qty, limitPrice, stopPrice, orderPrefix + "ocoEnter", "Short");
}
else
{
entryOrderShort = SubmitOrder(0, OrderAction.Buy, OrderType.StopLimit, qty, limitPrice, stopPrice, orderPrefix + "ocoEnter", "!Short");
}
}
}
}
}
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"Enter the description for your new custom Strategy here.";
Name = "Fastigium";
Calculate = Calculate.OnBarClose;
EntriesPerDirection = 1;
EntryHandling = EntryHandling.AllEntries;
IsExitOnSessionCloseStrategy = true;
ExitOnSessionCloseSeconds = 30;
IsFillLimitOnTouch = false;
MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
OrderFillResolution = OrderFillResolution.Standard;
Slippage = 0;
StartBehavior = StartBehavior.WaitUntilFlat;
TimeInForce = TimeInForce.Gtc;
TraceOrders = false;
RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
StopTargetHandling = StopTargetHandling.PerEntryExecution;
BarsRequiredToTrade = 20;
RecordHistoricalTrades = false;
TradingAccountId = 0;
Quantity = 2;
FireSns = false;
Contrarian = false;
StochasticsFilter = false;
Conservative = true;
StopLossTicks = 15;
ProfitTakerTicks = 10;
// Disable this property for performance gains in Strategy Analyzer optimizations
// See the Help Guide for additional information
IsInstantiatedOnEachOptimizationIteration = true;
}
else if (State == State.Configure)
{
shootingStarIndicator = GuerillaStickIndicator(GuerillaChartPattern.ShootingStar, false, false, false, 0);
AddChartIndicator(shootingStarIndicator);
hammerIndicator = GuerillaStickIndicator(GuerillaChartPattern.Hammer, false, false, false, 0);
AddChartIndicator(hammerIndicator);
dojiIndicator = GuerillaStickIndicator(GuerillaChartPattern.Doji, false, false, false, 0);
AddChartIndicator(dojiIndicator);
indecisionBarIndicator = GuerillaStickIndicator(GuerillaChartPattern.IndecisionBar, false, false, false, 0);
AddChartIndicator(indecisionBarIndicator);
bullishTrendBarIndicator = GuerillaStickIndicator(GuerillaChartPattern.BullishTrendBar, false, false, false, 0);
AddChartIndicator(bullishTrendBarIndicator);
bearishTrendBarIndicator = GuerillaStickIndicator(GuerillaChartPattern.BearishTrendBar, false, false, false, 0);
AddChartIndicator(bearishTrendBarIndicator);
greenBarIndicator = GuerillaStickIndicator(GuerillaChartPattern.GreenBar, false, false, false, 0);
AddChartIndicator(greenBarIndicator);
redBarIndicator = GuerillaStickIndicator(GuerillaChartPattern.RedBar, false, false, false, 0);
AddChartIndicator(redBarIndicator);
stochastics = Stochastics(7, 14, 3);
AddChartIndicator(stochastics);
disableManager.AddRange(DayOfWeek.Sunday, 13, 30, 24, 0);
disableManager.AddRange(DayOfWeek.Monday, 13, 30, 16, 40);
disableManager.AddRange(DayOfWeek.Tuesday, 13, 30, 16, 40);
disableManager.AddRange(DayOfWeek.Wednesday, 13, 30, 16, 40);
disableManager.AddRange(DayOfWeek.Thursday, 13, 30, 16, 40);
disableManager.AddRange(DayOfWeek.Friday, 13, 30, 16, 40);
}
}
private void PreprocessIndicators()
{
var data = IndicatorService.GetData(code, targetDate, new string[] { "Tarih", "Kapanis" }, numberOfData + 1);
double[] sma = null;
double[] wma = null;
double[] ema = null;
MovingAverageConvergenceDivergence macd = null;
double[] rsi = null;
double[] williamsR = null;
Stochastics stochastics = null;
if (isSMA)
{
sma = MovingAverage.Simple(code, targetDate, 14, numberOfData);
}
if (isWMA)
{
wma = MovingAverage.Weighted(code, targetDate, 14, numberOfData);
}
if (isEMA)
{
ema = MovingAverage.Exponential(code, targetDate, 14, numberOfData);
}
if (isMACD)
{
macd = new MovingAverageConvergenceDivergence(code, targetDate, 12, 26, 9, numberOfData);
}
if (isRSI)
{
rsi = RelativeStrengthIndex.Rsi(code, targetDate, 14, numberOfData);
}
if (isWilliamsR)
{
williamsR = WilliamsR.Wsr(code, targetDate, 14, numberOfData);
}
if (isStochastics)
{
stochastics = new Stochastics(code, targetDate, 14, 3, 3, numberOfData);
}
double[] closesOut = IndicatorDataPreprocessor.GetClosesOut(numberOfData, data);
double[] smaOut = null;
double[] wmaOut = null;
double[] emaOut = null;
double[] macdOut = null;
double[] rsiOut = null;
double[] williamsROut = null;
double[] stochasticsOut = null;
if (isSMA)
{
smaOut = IndicatorDataPreprocessor.GetSMAOut(sma);
}
if (isWMA)
{
wmaOut = IndicatorDataPreprocessor.GetWMAOut(wma);
}
if (isEMA)
{
emaOut = IndicatorDataPreprocessor.GetEMAOut(ema);
}
if (isMACD)
{
macdOut = IndicatorDataPreprocessor.GetMACDOut(macd);
}
if (isRSI)
{
rsiOut = IndicatorDataPreprocessor.GetRSIOut(rsi, false);
}
if (isWilliamsR)
{
williamsROut = IndicatorDataPreprocessor.GetWilliamsROut(williamsR, false);
}
if (isStochastics)
{
stochasticsOut = IndicatorDataPreprocessor.GetStochasticsOut(stochastics, false);
}
minRowCount = closesOut.Length;
if (isSMA)
{
minRowCount = minRowCount < smaOut.Length ? minRowCount : smaOut.Length;
}
if (isWMA)
{
minRowCount = minRowCount < wmaOut.Length ? minRowCount : wmaOut.Length;
}
if (isEMA)
{
minRowCount = minRowCount < emaOut.Length ? minRowCount : emaOut.Length;
}
if (isMACD)
{
minRowCount = minRowCount < macdOut.Length ? minRowCount : macdOut.Length;
}
if (isRSI)
{
minRowCount = minRowCount < rsiOut.Length ? minRowCount : rsiOut.Length;
}
if (isWilliamsR)
{
minRowCount = minRowCount < williamsROut.Length ? minRowCount : williamsROut.Length;
}
if (isStochastics)
{
minRowCount = minRowCount < stochasticsOut.Length ? minRowCount : stochasticsOut.Length;
}
FeatureVector featureVector = new FeatureVector();
if (isSMA)
{
featureVector.AddColumn("SMA", smaOut.Select(p => (object)p.ToString(CultureInfo.InvariantCulture)).Take(minRowCount).ToArray());
}
if (isWMA)
{
featureVector.AddColumn("WMA", wmaOut.Select(p => (object)p.ToString(CultureInfo.InvariantCulture)).Take(minRowCount).ToArray());
}
if (isEMA)
{
featureVector.AddColumn("EMA", emaOut.Select(p => (object)p.ToString(CultureInfo.InvariantCulture)).Take(minRowCount).ToArray());
}
if (isMACD)
{
featureVector.AddColumn("MACD", macdOut.Select(p => (object)p.ToString(CultureInfo.InvariantCulture)).Take(minRowCount).ToArray());
}
if (isRSI)
{
featureVector.AddColumn("RSI", rsiOut.Select(p => (object)p.ToString(CultureInfo.InvariantCulture)).Take(minRowCount).ToArray());
}
if (isWilliamsR)
{
featureVector.AddColumn("WilliamsR", williamsROut.Select(p => (object)p.ToString(CultureInfo.InvariantCulture)).Take(minRowCount).ToArray());
}
if (isStochastics)
{
featureVector.AddColumn("Stochastics", stochasticsOut.Select(p => (object)p.ToString(CultureInfo.InvariantCulture)).Take(minRowCount).ToArray());
}
featureVector.AddColumn("label", closesOut.Select(p => (object)string.Format("{0:0.0}", p).ToString(CultureInfo.InvariantCulture)).Take(minRowCount).ToArray());
int count = featureVector.Values[0].Length;
training = new FeatureVector();
test = new FeatureVector();
for (int i = 0; i < featureVector.ColumnName.Count; i++)
{
training.AddColumn(featureVector.ColumnName[i], featureVector.Values[i].Take((int)(count * trainingPercentage / 100.0)).ToArray());
test.AddColumn(featureVector.ColumnName[i], featureVector.Values[i].Skip((int)(count * trainingPercentage / 100.0)).Take(count).ToArray()); // Take(count) means take the rest of all elements, number of the rest of the elements is smaller than count.
}
}
private void stochasticsParameterNext_Click(object sender, EventArgs e)
{
stochasticsResultTitle.Text = Code + " için Stochastics sonucu";
FastKPeriod = (int)fastKPeriod.Value;
FastDPeriod = (int)fastDPeriod.Value;
SlowDPeriod = (int)slowDPeriod.Value;
stochasticsCloseChart.Series.Clear();
stochasticsIndicatorChart.Series.Clear();
var closeSeries = new Series
{
Name = "Kapanış",
Color = System.Drawing.Color.Black,
ChartType = SeriesChartType.Line
};
stochasticsCloseChart.Series.Add(closeSeries);
var fastKSeries = new Series
{
Name = "Fast K",
Color = System.Drawing.Color.Red,
ChartType = SeriesChartType.Line
};
var fastDSeries = new Series
{
Name = "Fast D",
Color = System.Drawing.Color.Green,
ChartType = SeriesChartType.Line
};
var slowDSeries = new Series
{
Name = "Slow D",
Color = System.Drawing.Color.Blue,
ChartType = SeriesChartType.Line
};
stochasticsIndicatorChart.Series.Add(fastKSeries);
stochasticsIndicatorChart.Series.Add(fastDSeries);
stochasticsIndicatorChart.Series.Add(slowDSeries);
var closeData = IndicatorService.GetData(Code, TargetDate, new string[] { "Tarih", "Kapanis" }, NumberOfData);
Stochastics stochastics;
if (MapReduceAllowed)
{
stochastics = new Stochastics(Code, TargetDate, FastKPeriod, FastDPeriod, SlowDPeriod, NumberOfData, true);
}
else
{
stochastics = new Stochastics(Code, TargetDate, FastKPeriod, FastDPeriod, SlowDPeriod, NumberOfData, false);
}
int i;
DateTime date;
for (i = 0; i < stochastics.SlowD.Length; i++)
{
var close = closeData.ElementAt(i);
date = close.GetElement("Tarih").Value.AsBsonDateTime.ToLocalTime();
fastKSeries.Points.AddXY(date, stochastics.FastK[i]);
fastDSeries.Points.AddXY(date, stochastics.FastD[i]);
slowDSeries.Points.AddXY(date, stochastics.SlowD[i]);
closeSeries.Points.AddXY(date, close.GetElement("Kapanis").Value.ToDouble());
}
for (; i < stochastics.FastD.Length; i++)
{
var close = closeData.ElementAt(i);
date = close.GetElement("Tarih").Value.AsBsonDateTime.ToLocalTime();
fastKSeries.Points.AddXY(date, stochastics.FastK[i]);
fastDSeries.Points.AddXY(date, stochastics.FastD[i]);
closeSeries.Points.AddXY(date, close.GetElement("Kapanis").Value.ToDouble());
}
for (; i < stochastics.FastK.Length; i++)
{
var close = closeData.ElementAt(i);
date = close.GetElement("Tarih").Value.AsBsonDateTime.ToLocalTime();
fastKSeries.Points.AddXY(date, stochastics.FastK[i]);
closeSeries.Points.AddXY(date, close.GetElement("Kapanis").Value.ToDouble());
}
stochasticsCloseChart.ChartAreas[0].AxisY.Minimum = Math.Floor(closeData.Select(p => p.GetElement("Kapanis").Value.ToDouble()).Min());
stochasticsCloseChart.ChartAreas[0].AxisY.Maximum = Math.Ceiling(closeData.Select(p => p.GetElement("Kapanis").Value.ToDouble()).Max());
stochasticsIndicatorChart.ChartAreas[0].AxisY.Minimum = 0;
stochasticsIndicatorChart.ChartAreas[0].AxisY.Maximum = 100;
stochasticsCloseChart.Invalidate();
stochasticsIndicatorChart.Invalidate();
stochasticsResultPanel.BringToFront();
}
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"RideTheTrendSkipTheBS";
Name = "RideTheTrendSkipTheBS";
Calculate = Calculate.OnBarClose;
EntriesPerDirection = 1;
EntryHandling = EntryHandling.AllEntries;
IsExitOnSessionCloseStrategy = true;
ExitOnSessionCloseSeconds = 30;
IsFillLimitOnTouch = false;
MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
OrderFillResolution = OrderFillResolution.Standard;
Slippage = 0;
StartBehavior = StartBehavior.WaitUntilFlat;
TimeInForce = TimeInForce.Gtc;
TraceOrders = false;
RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
StopTargetHandling = StopTargetHandling.PerEntryExecution;
BarsRequiredToTrade = 20;
// Disable this property for performance gains in Strategy Analyzer optimizations
// See the Help Guide for additional information
IsInstantiatedOnEachOptimizationIteration = true;
TradingAccountId = 0;
ExitPeriod = 3;
AdxPeriod = 14;
MinAdx = 25;
ExitSlopeThreshold = -15;
UseBoundaryHours = true;
StartHour = 7;
StartMinute = 30;
EndHour = 12;
EndMinute = 30;
LossExitTicks = 8;
EnterPeriod = 3;
EnterSlopeThreshold = 20;
RecordHistoricalTrades = false;
EnterBarsLength = 2;
ExitBarsLength = 2;
ExitStopBuffer = 2;
ExitLimitBuffer = 2;
Quantity = 1;
FireSns = false;
MinTrendLength = 1;
BsWindowLength = 5;
TargetDollars = 0;
TrailingStopMinDollars = 0;
TrailingStopDivisorDollars = 0;
TrailingStopCushionDollars = 0;
OverrideRealTimeOnly = false;
}
else if (State == State.Configure)
{
//SetOrderQuantity = SetOrderQuantity.DefaultQuantity;
trailingStopEnabled = TrailingStopMinDollars > 0;
if (trailingStopEnabled)
{
AddDataSeries(BarsPeriodType.Tick, 300);
}
stochastics = Stochastics(7, 14, 3);
AddChartIndicator(stochastics);
//tickCounter = TickCounter(true, false);
//AddChartIndicator(tickCounter);
fastMaIndicator = EMA(5);
//AddChartIndicator(fastMaIndicator);
slowMaIndicator = EMA(10);
//AddChartIndicator(slowMaIndicator);
rangeIndicator = MyRange(3, MinTickRange);
//AddChartIndicator(rangeIndicator);
adxIndicator = EnhancedADX(AdxPeriod, MinAdx);
AddChartIndicator(adxIndicator);
if (EnterPeriod > 1)
{
enterAdxSlopeIndicator = AdxSlope(AdxPeriod, EnterPeriod, EnterSlopeThreshold);
//AddChartIndicator(enterAdxSlopeIndicator);
}
if (ExitPeriod > 1)
{
exitAdxSlopeIndicator = AdxSlope(AdxPeriod, ExitPeriod, ExitSlopeThreshold);
//AddChartIndicator(exitAdxSlopeIndicator);
}
// disableManager.AddRange(DayOfWeek.Monday, 6, 25, 6, 50);
// disableManager.AddRange(DayOfWeek.Tuesday, 6, 25, 6, 50);
// disableManager.AddRange(DayOfWeek.Wednesday, 6, 25, 6, 50);
// disableManager.AddRange(DayOfWeek.Thursday, 6, 25, 6, 50);
// disableManager.AddRange(DayOfWeek.Friday, 6, 25, 6, 50);
//disableManager.AddRange(DayOfWeek.Sunday, 13, 45, 24, 0);
//disableManager.AddRange(DayOfWeek.Monday, 13, 45, 24, 0);
//disableManager.AddRange(DayOfWeek.Tuesday, 13, 45, 24, 0);
//disableManager.AddRange(DayOfWeek.Wednesday, 13, 45, 24, 0);
//disableManager.AddRange(DayOfWeek.Thursday, 13, 45, 24, 0);
//disableManager.AddRange(DayOfWeek.Friday, 13, 45, 24, 0);
PrintTrade("Direction",
"TickRange", "TickRangeBucket",
"MaSlope", "MaSlopeBucket",
"MaDiff", "MaDiffBucket",
"Adx", "AdxBucket",
"AdxSlope", "AdxSlopeBucket",
"Hour", "Fifteen", "PL", "Win");
}
else if (State == State.DataLoaded)
{
//fastMaIndicator.PlotBrushes[0][0] = Brushes.DodgerBlue;
//slowMaIndicator.PlotBrushes[0][0] = Brushes.HotPink;
}
}
