protected void Init(
bool takeLongsParameter,
bool takeShortsParameter,
string initialStopLossRule,
string trailingStopLossRule,
string lotSizingRule,
int initialStopLossInPips = 0,
int takeProfitInPips = 0)
{
_takeLongsParameter = takeLongsParameter;
_takeShortsParameter = takeShortsParameter;
_initialStopLossRule = (StopLossRule)Enum.Parse(typeof(StopLossRule), initialStopLossRule);
_trailingStopLossRule = (StopLossRule)Enum.Parse(typeof(StopLossRule), trailingStopLossRule);
_lotSizingRule = (LotSizingRule)Enum.Parse(typeof(LotSizingRule), lotSizingRule);
_initialStopLossInPips = initialStopLossInPips;
_takeProfitInPips = takeProfitInPips;
_canOpenPosition = true;
Positions.Opened += OnPositionOpened;
Positions.Closed += OnPositionClosed;
Print("Symbol.TickSize: {0}, Symbol.Digits: {1}, Symbol.PipSize: {2}",
Symbol.TickSize, Symbol.Digits, Symbol.PipSize);
}
public override StopValue GetStopValue(StopLossRule rule, double profitPercentage)
{
if (profitPercentage > rule.UpperProfitPercentage)
{
// Use a very tight stop
return(new StopValue
{
TrailingPercent = 1
});
}
// Use an equation that produces a parabola curve
// to move the stop closer the more profit we make
var height = rule.UpperProfitPercentage - rule.LowerProfitPercentage;
var divisor = height / 3; // 3 works for the lower/upper of 10/28
var scale = rule.Percentage.Value;
var x = (profitPercentage - scale) / divisor;
x *= x;
var y = scale - x;
return(new StopValue
{
TrailingPercent = y
});
}
public override StopValue GetStopValue(StopLossRule rule, double percentage)
{
return(new StopValue
{
TrailingPercent = rule.Percentage.Value
});
}
public void IsSatisfied()
{
decimal tradedAmount = Decimals.ONE;
// 5% stop-loss
StopLossRule rule = new StopLossRule(closePrice, 5);
Assert.IsFalse(rule.IsSatisfied(0, null));
Assert.IsFalse(rule.IsSatisfied(1, tradingRecord));
// Enter at 114
tradingRecord.Enter(2, 114, tradedAmount);
Assert.IsFalse(rule.IsSatisfied(2, tradingRecord));
Assert.IsFalse(rule.IsSatisfied(3, tradingRecord));
Assert.IsTrue(rule.IsSatisfied(4, tradingRecord));
// Exit
tradingRecord.Exit(5);
// Enter at 128
tradingRecord.Enter(5, 128, tradedAmount);
Assert.IsFalse(rule.IsSatisfied(5, tradingRecord));
Assert.IsTrue(rule.IsSatisfied(6, tradingRecord));
Assert.IsTrue(rule.IsSatisfied(7, tradingRecord));
}
public virtual void IsSatisfied()
{
Decimal tradedAmount = Decimal.One;
// 5% stop-loss
_rule = new StopLossRule(_closePrice, Decimal.ValueOf("5"));
Assert.IsFalse(_rule.IsSatisfied(0, null));
Assert.IsFalse(_rule.IsSatisfied(1, _tradingRecord));
// Enter at 114
_tradingRecord.Enter(2, Decimal.ValueOf("114"), tradedAmount);
Assert.IsFalse(_rule.IsSatisfied(2, _tradingRecord));
Assert.IsFalse(_rule.IsSatisfied(3, _tradingRecord));
Assert.IsTrue(_rule.IsSatisfied(4, _tradingRecord));
// Exit
_tradingRecord.Exit(5);
// Enter at 128
_tradingRecord.Enter(5, Decimal.ValueOf("128"), tradedAmount);
Assert.IsFalse(_rule.IsSatisfied(5, _tradingRecord));
Assert.IsTrue(_rule.IsSatisfied(6, _tradingRecord));
Assert.IsTrue(_rule.IsSatisfied(7, _tradingRecord));
}
public abstract StopValue GetStopValue(StopLossRule rule, double percentage);
public override StopValue GetStopValue(StopLossRule rule, double percentage)
{
return(null);
}
