/// <summary>
/// Constructor
/// </summary>
public FatFollower()
: base()
{
//// Base class parameters.
//StopLoss = CreateParameter("StopLoss", 0.75, 0, 5, 0.1);
//TakeProfit = CreateParameter("TakeProfit", 3.56, 0, 5, 0.1);
//// Trailing stop sets when price is reached TakeProfit. If zero, close on TakeProfit
//TrailingStop = CreateParameter("TrailingStop", 3.63, 0, 5, 0.1);
StopLoss.Start = 0;
StopLoss.Stop = 50;
StopLoss.DefaultValue = 10;
StopLoss.Step = 5;
TakeProfit.Start = 0;
TakeProfit.Stop = 100;
TakeProfit.DefaultValue = 10;
TakeProfit.Step = 10;
TakeProfit.Start = 0;
TakeProfit.Stop = 50;
TakeProfit.DefaultValue = 0;
TakeProfit.Step = 10;
// FatOrderCriteria = FatOrder.Volume / averageVolume
fatOrderCriteria = CreateParameter("FatOrderCriteria", 2, 1, 5, 0.5);
}
/// <summary>
/// Constructor
/// </summary>
public FatFollower() : base()
{
//// Base class parameters.
//StopLoss = CreateParameter("StopLoss", 0.75, 0, 5, 0.1);
//TakeProfit = CreateParameter("TakeProfit", 3.56, 0, 5, 0.1);
//// Trailing stop sets when price is reached TakeProfit. If zero, close on TakeProfit
//TrailingStop = CreateParameter("TrailingStop", 3.63, 0, 5, 0.1);
StopLoss.Start = 0;
StopLoss.Stop = 50;
StopLoss.DefaultValue = 10;
StopLoss.Step = 5;
TakeProfit.Start = 0;
TakeProfit.Stop = 100;
TakeProfit.DefaultValue = 10;
TakeProfit.Step = 10;
TakeProfit.Start = 0;
TakeProfit.Stop = 50;
TakeProfit.DefaultValue = 0;
TakeProfit.Step = 10;
// FatOrderCriteria = FatOrder.Volume / averageVolume
fatOrderCriteria = CreateParameter("FatOrderCriteria", 2, 1, 5, 0.5);
}
public MyStrategy()
{
//Pushed indicator CreateParameter statements
slider1 = CreateParameter("EMA_Period_1",10,2,200,20);
slider2 = CreateParameter("EMA_Period_2",30,2,200,20);
slider3 = CreateParameter("WilliamsR_Period_3",3,2,200,20);
}
public MyStrategy()
{
//Pushed indicator CreateParameter statements
slider1 = CreateParameter("EMA_Period_1", 10, 2, 200, 20);
slider2 = CreateParameter("EMA_Period_2", 30, 2, 200, 20);
slider3 = CreateParameter("WilliamsR_Period_3", 3, 2, 200, 20);
}
public bool Test()
{
InputData inData = new InputData();
inData.LoadFromDirectory(this.SourceDirectory, null);
List <StratergyParameterRange> ranges = new BuyLimitAndWaitConfigReader().GetRanges(new List <string>());
BuyLimitAndWaitStrategy blwStrategy = new BuyLimitAndWaitStrategy();
StrategyParameter sParam = ranges[0].GetAllParameters()[0];
sParam["InitHistoryMinutes"] = 0;
blwStrategy.TesterInit(sParam, null);
FuturePredictor fPredictor = new FuturePredictor(inData.Data);
EngineFast engineFast = new EngineFast();
engineFast.StartTest(inData, blwStrategy, fPredictor, true, 100);
blwStrategy = new BuyLimitAndWaitStrategy();
sParam = ranges[0].GetAllParameters()[0];
sParam["InitHistoryMinutes"] = 0;
blwStrategy.TesterInit(sParam, null);
Engine engine = new Engine(null, null);
engine.StartTest(inData, blwStrategy, new Account(10000000, 3));
return(engineFast.HistoryOpenBuyPoints.Count() + engineFast.HistoryOpenSellPoints.Count()
== engine.ClosedOrders.Count());
}
public double EstimateFunction(StrategyParameter sParam, string directory)
{
if (previosResult.ContainsKey(sParam.ToString()))
{
return(previosResult[sParam.ToString()]);
}
using (Log4Smart.Logger logger = new Log4Smart.Logger(false))
{
Engine engine = new Engine(logger, logger);
SuperAdaptStrategy strategy = new SuperAdaptStrategy(sParam, logger);
int initialMoney = 10000000;
Account acc = new Account(initialMoney);
engine.StartTest(SampleData, strategy, acc);
if (!engine.IsTestSuccessfull)
{
logger.SaveLogToFile("errors", SampleData.Symbol + "_" + StartTime.ToString("yyyyMMdd"));
previosResult[sParam.ToString()] = 0;
return(0);
}
if (directory != string.Empty)
{
logger.SaveLogToFile(directory + "/" + this.StartTime.ToString("yyyyMMdd") + "_" + (acc.Balance.ToString()) + "$", "allData");
}
previosResult[sParam.ToString()] = acc.Balance;
return(acc.Balance);
}
}
public TestStrategyScript()
{
strategyParameter1 = CreateParameter("Fractals", 15, 3, 100, 3);
// strategyParameter2 = CreateParameter("SMA", 4, 1, 10, 2);
// strategyParameter3 = CreateParameter("Sdvig", 3, 1, 4, 1);
strategyParameter4 = CreateParameter("Stop", 0.002, 0.001, 0.01, 0.001);
strategyParameter5 = CreateParameter("Profit", 0.006, 0.002, 0.01, 0.001);
}
public bool TesterInit(StrategyParameter param, IStrategyLogger logger)
{
TestingMode = true;
this.param = param;
this.logger = logger;
return(true);
}
public override bool IsValid(StrategyParameter param)
{
//if (param["TP"] > param["OpenOrderShift"])
// return false;
param.NewsFilePath = System.Configuration.ConfigurationManager.AppSettings["NewsFilePath"];
return(true);
}
public Doroob()
{
rocPeriod = CreateParameter("ROC_Period", 20, 20, 20, -1);
rsiPeriod = CreateParameter("RSI Period", 29, 29, 29, -1);
oversold = CreateParameter("Oversold", 35, 30, 44, 1);
overbought = CreateParameter("Overbought", 66, 70, 90, 2);
stopLose = CreateParameter("StopLose", 2, 1, 10, 1);
priceRise = CreateParameter("PriceRise", 3, 1, 6, 1);
}
private Pixel2 PixelFromParameter(StrategyParameter parameter)
{
int tp = parameter[cFirstName];
int shift = parameter[cSecondName];
int y = (tp - m_minFirst) / cStepFirst;
int x = (shift - m_minSecond) / cStepFirst;
return(new Pixel2(x, y));
}
int trendRating = 0; // 0 nutral, 1 bulish, 2 strong bulish. if trend bearish then 1 bearish, 2 strong brerish
#endregion Fields
#region Constructors
public Doroob()
{
rocPeriod = CreateParameter("ROC_Period", 20, 20, 20, -1);
rsiPeriod = CreateParameter("RSI Period", 29, 29, 29, -1);
oversold = CreateParameter("Oversold", 35, 30, 44, 1);
overbought = CreateParameter("Overbought",66, 70, 90, 2);
stopLose = CreateParameter("StopLose", 2, 1, 10, 1);
priceRise = CreateParameter("PriceRise", 3, 1, 6, 1);
}
public override void EstimateAll(string directory)
{
StrategyParameter param = new StrategyParameter();
foreach (KeyValuePair <string, AForge.IntStepRange> range in Range.ranges)
{
param.Add(range.Key, range.Value.Max);
}
OptimizationFunction(param, directory);
}
public override bool IsValid(StrategyParameter param)
{
if (param["NumberStartFluctuation"] > param["NumberEndFluctuation"])
{
return(false);
}
param.NewsFilePath = System.Configuration.ConfigurationManager.AppSettings["NewsFilePath"];
return(true);
}
static public string BuildMQLStrategy(string strategyName, StrategyParameter sParam, List <string> arrExportParameters)
{
using (StreamReader streamReader = new StreamReader("strategy.template"))
{
string strategyTemplate = streamReader.ReadToEnd();
return(strategyTemplate.Replace(ADVISOR_NAME, strategyName)
.Replace(MAGIC_NUMBER, sParam["MagicNumber"].ToString())
.Replace(DECLARATION_VARIABLE, GetVariableDeclaration(sParam, arrExportParameters))
.Replace(INITIALIZATION_PARAM, GetVariableInitialization(sParam, arrExportParameters)));
}
}
/// <summary>
/// Constructor
/// </summary>
public GapCatcher()
: base()
{
MinGapSize = CreateParameter("MinGapSize", 0, 0, 3, 0.1);
// Base class parameters.
/* StopLoss = CreateParameter("StopLoss", 0.75, 0, 5, 0.1);
TakeProfit = CreateParameter("TakeProfit", 3.56, 0, 5, 0.1);
// Trailing stop sets when price is reached TakeProfit. If zero, close on TakeProfit
TrailingStop = CreateParameter("TrailingStop", 3.63, 0, 5, 0.1);
*/
}
/// <summary>
/// Constructor
/// </summary>
public GapCatcher()
: base()
{
MinGapSize = CreateParameter("MinGapSize", 0, 0, 3, 0.1);
// Base class parameters.
/* StopLoss = CreateParameter("StopLoss", 0.75, 0, 5, 0.1);
* TakeProfit = CreateParameter("TakeProfit", 3.56, 0, 5, 0.1);
* // Trailing stop sets when price is reached TakeProfit. If zero, close on TakeProfit
* TrailingStop = CreateParameter("TrailingStop", 3.63, 0, 5, 0.1);
*/
}
internal override void OnRemmoteAdvisorInit(RemoteAdvisor rmAdviser)
{
try
{
Meta = rmAdviser;
ForexAPI fAPI = new ForexAPI(Meta, rmAdviser.MagicNumber);
OrderOperation = fAPI;
Account = fAPI;
History = fAPI;
this.Symbol = rmAdviser.Symbol();
if (this.param != null)
{
throw new ApplicationException("Param was initalized");
}
this.param = new StrategyParameter();
foreach (string paramKey in rmAdviser.Parameters.Keys)
{
if (paramKey == "NewsFilePath")
{
this.param.NewsFilePath = rmAdviser.Parameters[paramKey];
continue;
}
if (paramKey.EndsWith("String"))
{
this.param.Add(paramKey, rmAdviser.Parameters[paramKey]);
continue;
}
if (paramKey == "InvertedMetaStrategy")
{
rmAdviser.IsInverted = rmAdviser.Parameters[paramKey] == "1" || rmAdviser.Parameters[paramKey] == "true";
continue;
}
this.param[paramKey] = Int32.Parse(rmAdviser.Parameters[paramKey]);
}
this.logger = new MetaStrategyLogger(Meta);
onStart(0);
this.Meta.Print("onStart finidshed successfully");
}
catch (Exception exc)
{
string excString = "Start up exception: " + exc.ToString();
Meta.Comment(excString);
Meta.Print(excString);
}
}
static private string GetVariableDeclaration(StrategyParameter sParam, List <string> arrExportParameters)
{
StringBuilder strBuilder = new StringBuilder();
foreach (string currKey in sParam.Keys)
{
if (arrExportParameters.Contains(currKey))
{
strBuilder.AppendFormat("extern int {0} = {1};\n", currKey, sParam[currKey]);
}
}
return(strBuilder.ToString());
}
public HistorySimulator(BasicParam customParam, bool IsTestingMode, FxAdvisorCore.SimpleAdvisor advisor, StrategyParameter currentStrategyParam, string symbol, IMeta meta)
{
this.CustomParam = customParam;
this.IsSuccessful = false;
if (IsTestingMode)
{
rootPath = System.Configuration.ConfigurationManager.AppSettings["QuotesFullPath"];
}
this.Advisor = advisor;
this.CurrentStrategyParam = currentStrategyParam;
this.Symbol = InputData.ConvertToStandardName(symbol);
this.Meta = meta;
}
/// <summary>
/// Constructor
/// </summary>
public VertexExplorer()
: base()
{
// Base class parameters.
/* StopLoss = CreateParameter("StopLoss", 0.75, 0, 5, 0.1);
TakeProfit = CreateParameter("TakeProfit", 3.56, 0, 5, 0.1);
// Trailing stop sets when price is reached TakeProfit. If zero, close on TakeProfit
TrailingStop = CreateParameter("TrailingStop", 3.63, 0, 5, 0.1);
*/
deltaDown = CreateParameter("DeltaDown", 0.53, 0.1, 1, 0.05);
deltaUp = CreateParameter("DeltaUp", 0.98, 0.1, 1, 0.05);
priceMaPeriod = CreateParameter("PriceMAPeriod", 4, 1, 10, 1);
trendMaPeriod = CreateParameter("TrendMAPeriod", 174, 30, 500, 10);
}
private void ProcessAndFill(string name, Pixel2 pixel)
{
int tp = CalcTp(pixel.Y);
int shift = CalcShift(pixel.X);
StrategyParameter parameter = new StrategyParameter();
parameter[cFirstName] = tp;
parameter[cSecondName] = shift;
Tuple <StrategyParameter, double[], double[]> entry =
new Tuple <StrategyParameter, double[], double[]>(parameter, m_param2equity[pixel].ToArray(), m_param2margin[pixel].ToArray());
dictEquityAndMargin[name] = entry;
}
/// <summary>
/// Constructor
/// </summary>
public VertexExplorer()
: base()
{
// Base class parameters.
/* StopLoss = CreateParameter("StopLoss", 0.75, 0, 5, 0.1);
* TakeProfit = CreateParameter("TakeProfit", 3.56, 0, 5, 0.1);
* // Trailing stop sets when price is reached TakeProfit. If zero, close on TakeProfit
* TrailingStop = CreateParameter("TrailingStop", 3.63, 0, 5, 0.1);
*/
deltaDown = CreateParameter("DeltaDown", 0.53, 0.1, 1, 0.05);
deltaUp = CreateParameter("DeltaUp", 0.98, 0.1, 1, 0.05);
priceMaPeriod = CreateParameter("PriceMAPeriod", 4, 1, 10, 1);
trendMaPeriod = CreateParameter("TrendMAPeriod", 174, 30, 500, 10);
}
public StrategyParameter Translate(IChromosome chromosome)
{
// get chromosome's value
ushort[] val = ((ShortArrayChromosome)chromosome).Value;
StrategyParameter sParam = new StrategyParameter();
int i = 0;
foreach (KeyValuePair <string, AForge.IntStepRange> kvp in sparamRange.ranges)
{
int result = val[i++] * (kvp.Value.Max - kvp.Value.Min + 1) / ((ShortArrayChromosome)chromosome).MaxValue;
result = result - result % kvp.Value.Step + kvp.Value.Min;
sParam.Add(kvp.Key, result);
}
return(sParam);
}
static private string GetVariableInitialization(StrategyParameter sParam, List <string> arrExportParameters)
{
StringBuilder strBuilder = new StringBuilder();
foreach (string currKey in sParam.Keys)
{
if (arrExportParameters.Contains(currKey))
{
strBuilder.AppendFormat("bridge_setParameter( \"{0}\", DoubleToStr({0}, 0));\n", currKey);
}
}
if (!string.IsNullOrEmpty(sParam.NewsFilePath))
{
strBuilder.AppendFormat("bridge_setParameter( \"{0}\", \"{1}\");\n", "NewsFilePath", sParam.NewsFilePath.Replace("\\", "\\\\"));
}
return(strBuilder.ToString());
}
static public void CalculatePoints(StrategyParameter currParam, InputData inData, FuturePredictor fPredictor, int countDiff,
out IEnumerable <int> buyArray, out IEnumerable <int> sellArray)
{
buyArray = null;
sellArray = null;
BuyLimitAndWaitStrategy blwStrategy = new BuyLimitAndWaitStrategy();
currParam["InitHistoryMinutes"] = 0;
blwStrategy.TesterInit(currParam, null);
EngineFast engineFast = new EngineFast();
engineFast.StartTest(inData, blwStrategy, fPredictor, false, 100);
buyArray = Enumerable.Select(engineFast.HistoryOpenBuyPoints, p => p + countDiff);
sellArray = Enumerable.Select(engineFast.HistoryOpenSellPoints, p => p + countDiff);
}
static public double CalculateTimeOfOnePips(string sourceDirectory, string symbolName, ResetTimeAnalysis.SideAnalyser side)
{
InputData inData = new InputData();
inData.LoadFromDirectory(sourceDirectory, null);
double swap = 0;
if (ResetTimeAnalysis.SideAnalyser.Buy == side)
{
swap = inData.SwapBuy;
}
if (ResetTimeAnalysis.SideAnalyser.Sell == side)
{
swap = inData.SwapSell;
}
FuturePredictor fPredictor = new FuturePredictor(inData.Data);
List <StratergyParameterRange> ranges = new BuyLimitAndWaitConfigReader().GetRanges(new List <string>());
StrategyParameter currParam = ranges[0].GetAllParameters().Last();
IEnumerable <int> buyArray, sellArray;
ResetTimeAnalysis.CalculatePoints(currParam, inData, out buyArray, out sellArray);
string profitSymbol = ForexSuite.SymbolsManager.GetProfitSymbol(symbolName);
double coefToUSD = ForexSuite.QuotesManager.ConvertCurrency(profitSymbol, "USD", DateTime.Now.AddMonths(-7), ForexSuite.SymbolsManager.ValueFromPips(profitSymbol, 1));
ResetTimeAnalyzer rta = new ResetTimeAnalyzer(currParam["TP"], 1 / 60d, fPredictor.Bids, fPredictor.Asks, coefToUSD, swap);
if (side == SideAnalyser.Buy)
{
rta.Process(buyArray, null);
}
else
{
rta.Process(null, sellArray);
}
if (rta.RealProfit == 0)
{
throw new ApplicationException("RealProfit=0");
}
return(rta.AverageTime / rta.RealProfit);
}
public override double OptimizationFunction(StrategyParameter sParam, string directory)
{
if (!IsValid(sParam))
{
return(0);
}
if (previosResult.ContainsKey(sParam.ToString()))
{
return(previosResult[sParam.ToString()]);
}
using (Log4Smart.Logger logger = new Log4Smart.Logger(false))
{
Engine engine = new Engine(logger, logger);
MartinGaleStrategy strategy = new MartinGaleStrategy(sParam, logger);
int initialMoney = 10000000;
Account acc = new Account(initialMoney);
engine.StartTest(SampleData, strategy, acc);
if (!engine.IsTestSuccessfull)
{
logger.SaveLogToFile(directory + "/errors", SampleData.Symbol + "_" + StartTime.ToString("yyyyMMdd"));
previosResult[sParam.ToString()] = 0;
return(0);
}
if (directory != string.Empty)
{
logger.SaveLogToFile(directory + "/" + this.StartTime.ToString("yyyyMMdd") + "_" + (acc.Balance.ToString()) + "$", "allData");
}
if (acc.Balance > initialMoney && this.EstimationFunctionType == EstimationFunctionType.MostMoney8Deviation)
{
previosResult[sParam.ToString()] = initialMoney + (acc.Balance - initialMoney) * (1 - acc.Statistics.GetDeviation);
}
else
{
previosResult[sParam.ToString()] = acc.Balance;
}
return(previosResult[sParam.ToString()]);
}
}
/// <summary>
/// Parameters initialization
/// </summary>
protected void InitParameters()
{
StopLoss.Start = 0;
StopLoss.Stop = 50;
StopLoss.DefaultValue = 10;
StopLoss.Step = 5;
TakeProfit.Start = 0;
TakeProfit.Stop = 100;
TakeProfit.DefaultValue = 10;
TakeProfit.Step = 10;
TakeProfit.Start = 0;
TakeProfit.Stop = 50;
TakeProfit.DefaultValue = 0;
TakeProfit.Step = 10;
momentumPeriod = CreateParameter("MomentumPeriod", 12, 5, 100, 5);
stochKPeriod = CreateParameter("StockKPeriod", 11, 11, 100, 5);
stochDSmooth = CreateParameter("StockKSmoothPeriod", 5, 5, 50, 5);
stochDPeriod = CreateParameter("StockDPeriod", 5, 5, 100, 5);
}
//public StrategyParameter GetMainParameters
//{
// get
// {
// StrategyParameter param = new StrategyParameter();
// foreach (KeyValuePair<string, AForge.IntStepRange> range in GetRanges(null)[0].ranges)
// {
// param.Add(range.Key, range.Value.Current);
// }
// return param;
// }
//}
public void SaveCurrentParameters(string strategyName, StrategyParameter sParam, string directory)
{
if (!Directory.Exists(directory))
{
Directory.CreateDirectory(directory);
}
else
{
Array.ForEach(Directory.GetFiles(directory), delegate(string path) { File.Delete(path); });
}
List <string> arrExportParameters = new List <string>();
using (FileStream fs = new FileStream(GetConfigName(), FileMode.Open, FileAccess.Read, FileShare.Read))
using (XmlDictionaryReader reader = XmlDictionaryReader.CreateTextReader(fs, new XmlDictionaryReaderQuotas()))
{
DataContractSerializer ser2 = new DataContractSerializer(typeof(StratergyParameterRange));
StratergyParameterRange deserializedStratergyParameterRange = (StratergyParameterRange)ser2.ReadObject(reader, true);
foreach (KeyValuePair <string, AForge.IntStepRange> currKeyValuePair in deserializedStratergyParameterRange.ranges)
{
if (currKeyValuePair.Value.IsNonExport == 0)
{
arrExportParameters.Add(currKeyValuePair.Key);
}
}
}
arrExportParameters.Add("GMT");
sParam["GMT"] = Int32.Parse(System.Configuration.ConfigurationManager.AppSettings["GMT"]);
sParam["MagicNumber"] = Int32.Parse(System.Configuration.ConfigurationManager.AppSettings["MagicNumber"]);
sParam.NewsFilePath = System.Configuration.ConfigurationManager.AppSettings["NewsFilePath"];
using (StreamWriter streamWriter = new StreamWriter(Path.Combine(directory, "external" + strategyName + sParam["MagicNumber"].ToString() + ".mq4")))
{
streamWriter.Write(StrategyMqlTemplate.BuildMQLStrategy(strategyName, sParam, arrExportParameters));
}
}
public ATMDec2009()
{
paramBrk = CreateParameter("Low/high period", 20, 10, 40, 5);
paramExit = CreateParameter("Exit after", 5, 5, 30, 5);
paramTimeout = CreateParameter("Timeout", 30, 10, 40, 10);
}
int trendRating = 0; // 0 nutral, 1 bulish, 2 strong bulish. if trend bearish then 1 bearish, 2 strong brerish
#endregion Fields
#region Constructors
public Doroob()
{
overbought = CreateParameter("Overbought",84, 70, 90, 2);
}
public override double OptimizationFunction(StrategyParameter sParam, out StrategyResultStatistics srResult, string directory)
{
return(StandardOptimizationFunction(sParam, directory, new BuyLimitAndWaitStrategy(), new BuyLimitAndWaitConfigReader(), out srResult));
}
public ATMNov2009()
{
paramRectLength = CreateParameter("Rectangle Length", 4, 3, 12, 1);
L2 = CreateParameter("Range Length", 12, 10, 20, 1);
L8 = CreateParameter("Range Factor", 1, 1, 3, 0.5);
L3 = CreateParameter("ATR Length", 30, 10, 40, 10);
paramRectRatio = CreateParameter("Rectangle Ratio", 0.3, 0.2, 0.5, 0.1);
paramProfit = CreateParameter("ATR Profit", 2, 1, 4, 1);
paramStop = CreateParameter("ATR Stop", 1, 1, 4, 1);
paramATRBreakout = CreateParameter("ATR Breakout", 0.25, 0.25, 1, 0.25);
}
public SuperAdaptStrategy(StrategyParameter param, IStrategyLogger logger)
{
this.logger = logger;
this.param = param;
this.logger.AddMessage("Start strategy with parameter {0}", param.ToString());
}
public override bool IsValid(StrategyParameter param)
{
param.NewsFilePath = System.Configuration.ConfigurationManager.AppSettings["NewsFilePath"];
return(true);
}
public ATMSep2009()
{
paramMode = CreateParameter("Filter off/on (0/1)", 0, 0, 1, 1);
down = CreateParameter("Down Days", 3, 2, 10, 1);
up = CreateParameter("Up Days", 2, 2, 10, 1);
}
public FOTFeb2008()
{
lookbackPeriod = CreateParameter("Lookback Period", 100, 50, 200, 25);
}
public FOTJan2008()
{
bbPeriod = CreateParameter("Bands Period", 20, 5, 50, 5);
bbStdDev = CreateParameter("Std Dev", 2, 1, 5, 0.25);
bbSqueezeLookback = CreateParameter("Squeeze lookback", 100, 5, 150, 5);
}
public ATMAug2008_2()
{
paramPeriod = CreateParameter("Period", 20, 5, 100, 5);
paramMult = CreateParameter("Multiple", 1, 0.50, 1.50, 0.1);
}
public ATMFeb2008()
{
ma1Period = CreateParameter("SMA1 period", 10, 10, 30, 2);
ma2Period = CreateParameter("EMA2 period", 30, 20, 60, 2);
ma3Period = CreateParameter("EMA3 period", 50, 30, 100, 2);
paramConv = CreateParameter("Convergence %", 2.5, 0.5, 3, 0.25);
paramChannel = CreateParameter("Channel length", 30, 2, 30, 2);
}
public ATMJul2008()
{
paramSwing = CreateParameter("Swing %", 3, 2, 10, 0.5);
paramDays = CreateParameter("Time-based", 30, 15, 50, 5);
paramDistance = CreateParameter("Distance", 30, 10, 50, 10);
paramSupport = CreateParameter("Support, days", 30, 10, 100, 10);
}
public ATMMar2008()
{
bbPeriod = CreateParameter("Bollinger Period", 20, 5, 50, 5);
bbStdDev = CreateParameter("Std Dev", 2, 1, 5, 0.25);
bbSqueezeLookback = CreateParameter("Squeeze lookback", 100, 5, 150, 1);
}
public ATMNov2008()
{
paramPeriod = CreateParameter("Time span, days", 50, 5, 300, 5);
paramThreshold = CreateParameter("Threshold $", 300000, 100000, 3000000, 100000);
paramDecline = CreateParameter("Decline %", 50, 10, 95, 5); //40
paramExitAfter = CreateParameter("Exit after, days", 50, 5, 300, 5); //150|200
}
public ATMAug2009()
{
paramExit = CreateParameter("Exit after", 20, 5, 50, 5);
}
public ATMApr2009_2()
{
paramWeekly = CreateParameter("Weekly EMA", 26, 12, 36, 2);
paramSwitch = CreateParameter("Impulse Off/On", 1, 0, 1, 1);
}
public ATMAug2008_1()
{
paramMult = CreateParameter("Multiple", 1.5, 1, 4, 0.25);
paramMode = CreateParameter("White/Johnson", 1, 1, 2, 1);
/*
paramMult: A close X% of price higher than yesterday's close that
fails to become a new 20-day highest close.
paramMode: Selects between original "percentage change" (Adam White)
and "ATR change" (Mark Johnson) approach.
*/
paramChEx = CreateParameter("Chandelier mult.", 4, 2, 5, 0.25);
}
public ATMApr2009_1()
{
paramEMA = CreateParameter("EMA", 13, 6, 18, 1);
paramSwitch = CreateParameter("Filter Off/On", 1, 0, 1, 1);
}
public Doroob()
{
line = CreateParameter("Line", 27, 20, 50, 1);
minDays = CreateParameter("Min Days", 2, 2, 40, 1);
}
public override double OptimizationFunction(StrategyParameter sParam, string directory)
{
StrategyResultStatistics srResult;
return(StandardOptimizationFunction(sParam, directory, new SuperStrategy(), new SuperStrategyConfigReader(), out srResult));
}
public ATMSep2008_2()
{
paramX = CreateParameter("X ATRs", 2.5, 0.5, 5, 0.5);
paramPeriod = CreateParameter("n-Period High", 10, 5, 50, 5);
paramLookback = CreateParameter("ATR Period", 10, 5, 30, 1);
}
public override double OptimizationFunction(StrategyParameter sParam)
{
return(EstimateFunction(sParam, string.Empty));
}
public ATMOct2008_2()
{
paramThreshold = CreateParameter("Threshold $", 20000000, 1000000, 50000000, 1000000);
paramExitAfter = CreateParameter("Exit after, days", 30, 5, 50, 5);
}
public ATMMay2009()
{
paramSwings = CreateParameter("Nr. of swings", 6, 1, 20, 1);
paramMode = CreateParameter("Use all", 0, 0, 1, 1);
}
/// <summary>
/// Parameters initialization
/// </summary>
protected void InitParameters()
{
StopLoss.Start = 0;
StopLoss.Stop = 50;
StopLoss.DefaultValue = 10;
StopLoss.Step = 5;
TakeProfit.Start = 0;
TakeProfit.Stop = 100;
TakeProfit.DefaultValue = 10;
TakeProfit.Step = 10;
TakeProfit.Start = 0;
TakeProfit.Stop = 50;
TakeProfit.DefaultValue = 0;
TakeProfit.Step = 10;
momentumPeriod = CreateParameter("MomentumPeriod", 12, 5, 100, 5);
stochKPeriod = CreateParameter("StockKPeriod", 11, 11, 100, 5);
stochDSmooth = CreateParameter("StockKSmoothPeriod", 5, 5, 50, 5);
stochDPeriod = CreateParameter("StockDPeriod", 5, 5, 100, 5);
}
public ATMJuly2009()
{
paramMode = CreateParameter("Adaptive", 1, 0, 1, 1);
paramSwings = CreateParameter("Nr. of swings", 5, 1, 20, 1);
paramDays = CreateParameter("Exit after", 15, 3, 50, 1);
}
public ATMJune2009()
{
paramRatio = CreateParameter("Ratio", 150, 100, 300, 25);
}
