public DTDRichCheap(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
requireOrdered("exitShortLevel", "triggerShort");
requireOrdered("triggerLong", "exitLongLevel");
requireOrdered("triggerLong", "exitShortLevel");
requireOrdered("exitLongLevel", "triggerShort");
if (!isActive())
{
return;
}
richCheap = symbol.relatedSuffix("RICHCHEAP").doubles(bars);
dtd = symbol.relatedSuffix("DTD").doubles(bars);
lengthZScore = parameter <int>("lengthZScore");
zScore = new ZScoreSpud(richCheap, lengthZScore, true);
triggerLong = parameter <double>("triggerLong");
triggerShort = parameter <double>("triggerShort");
exitShort = parameter <double>("exitShortLevel");
exitLong = parameter <double>("exitLongLevel");
stopLoss = parameter <double>("lossStopLevel");
deactivate(() => dtd.hasContent() && richCheap.count() >= lengthZScore);
addToPlot(dtd, "DTD", Color.Red, "dtd");
addToPlot(richCheap, "Rich / Cheap", Color.Blue, "richCheap");
}
public ReverseDTD(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
requireOrdered("exitShortLevel", "triggerShort");
requireOrdered("triggerLong", "exitLongLevel");
requireOrdered("triggerLong", "exitShortLevel");
requireOrdered("exitLongLevel", "triggerShort");
if (!isActive())
{
return;
}
richCheap = symbol.relatedSuffixFromFirstDot(".DTD.EQUITY.RICHCHEAP").doubles(bars);
dtd = symbol.relatedSuffixFromFirstDot(".DTD.EQUITY").doubles(bars);
stockPrice = symbol.relatedSuffixFromFirstDot(".UNADJSTOCKPRICE").doubles(bars);
lengthZScore = parameter <int>("lengthZScore");
zScore = new ZScoreSpud(richCheap, lengthZScore, true);
triggerLong = parameter <double>("triggerLong");
triggerShort = parameter <double>("triggerShort");
exitShort = parameter <double>("exitShortLevel");
exitLong = parameter <double>("exitLongLevel");
stopLoss = parameter <double>("stopLoss");
timeStopBars = parameter <double>("timeStopBars");
trailingStopFlag = parameter <double>("trailingStopFlag");
minPrice = parameter <double>("minPrice");
tradeSize = parameter <double>("tradeSize");
atr = new AverageTrueRangeEW(bars, parameter <int>("ATRLen"));
trailingStop = 0;
deactivate(() => dtd.hasContent() && richCheap.count() >= lengthZScore);
addToPlot(dtd, "DTD", Color.Red, "dtd");
addToPlot(richCheap, "Rich / Cheap", Color.Blue, "richCheap");
}
public DTDRichCheapV2(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
requireOrdered("exitShortLevel", "triggerShort");
requireOrdered("triggerLong", "exitLongLevel");
requireOrdered("triggerLong", "exitShortLevel");
requireOrdered("exitLongLevel", "triggerShort");
if (!isActive())
{
return;
}
richCheap = symbol.relatedSuffix("RICHCHEAP").doubles(bars);
dtd = symbol.relatedSuffix("DTD").doubles(bars);
spread = symbol.relatedSuffix("SPREAD").doubles(bars);
lengthZScore = parameter <int>("lengthZScore");
zScore = new ZScoreSpud(richCheap, lengthZScore, true);
dv01 = symbol.relatedSuffix("DV01").doubles(bars);
triggerLong = parameter <double>("triggerLong");
triggerShort = parameter <double>("triggerShort");
exitShort = parameter <double>("exitShortLevel");
exitLong = parameter <double>("exitLongLevel");
stopLoss = parameter <double>("lossStopLevel");
timeStopBars = parameter <double>("timeStopBars");
trailingStopFlag = parameter <double>("trailingStopFlag");
maxSpread = parameter <double>("maxSpread");
profitObjectiveMultiple = parameter <double>("profitObjectiveMultiple");
trailingStop = 0;
deactivate(() => dtd.hasContent() && richCheap.count() >= lengthZScore);
addToPlot(dtd, "DTD", Color.Red, "dtd");
addToPlot(richCheap, "Rich / Cheap", Color.Blue, "richCheap");
}
