public void MultiChain()
{
var identity = new Identity("identity");
var sma = new SimpleMovingAverage(2);
var delay = new Delay(2);
// create the SMA of the delay of the identity
sma.Of(delay.Of(identity));
identity.Update(DateTime.UtcNow, 1m);
Assert.IsTrue(identity.IsReady);
Assert.IsFalse(delay.IsReady);
Assert.IsFalse(sma.IsReady);
identity.Update(DateTime.UtcNow, 2m);
Assert.IsTrue(identity.IsReady);
Assert.IsFalse(delay.IsReady);
Assert.IsFalse(sma.IsReady);
identity.Update(DateTime.UtcNow, 3m);
Assert.IsTrue(identity.IsReady);
Assert.IsTrue(delay.IsReady);
Assert.IsFalse(sma.IsReady);
identity.Update(DateTime.UtcNow, 4m);
Assert.IsTrue(identity.IsReady);
Assert.IsTrue(delay.IsReady);
Assert.IsTrue(sma.IsReady);
Assert.AreEqual(1.5m, sma);
}
public override void Initialize()
{
SetStartDate(2013, 10, 7);
SetEndDate(2013, 10, 9);
SetCash(250000);
AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
PSARList.Add(new ParabolicStopAndReverse());
PSARList.Add(new ParabolicStopAndReverse(afStart: 0.1m, afIncrement: 0.1m, afMax: 0.2m));
PSARList.Add(new ParabolicStopAndReverse(afStart: 0.001m, afIncrement: 0.001m, afMax: 0.1m));
RegisterIndicator(symbol, PSARList[0], Resolution.Minute);
RegisterIndicator(symbol, PSARList[1], Resolution.Minute);
RegisterIndicator(symbol, PSARList[2], Resolution.Minute);
testerAcum = 0m;
counter = 0;
Identity close = new Indicators.Identity("SPY");
RegisterIndicator(symbol, close, Resolution.Minute, Field.Close);
var chart = new Chart("SPY");
chart.AddSeries(new Series(close.Name));
chart.AddSeries(new Series(PSARList[0].Name, SeriesType.Scatter));
chart.AddSeries(new Series(PSARList[1].Name, SeriesType.Scatter));
chart.AddSeries(new Series(PSARList[2].Name, SeriesType.Scatter));
PlotIndicator("SPY", close);
PlotIndicator("SPY", true, PSARList[0], PSARList[1], PSARList[2]);
}
public override void Initialize()
{
SetStartDate(2013, 10, 7);
SetEndDate(2013, 10, 9);
SetCash(250000);
AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
PSARList.Add(new ParabolicStopAndReverse());
PSARList.Add(new ParabolicStopAndReverse(afStart: 0.1m, afIncrement: 0.1m, afMax: 0.2m));
PSARList.Add(new ParabolicStopAndReverse(afStart: 0.001m, afIncrement: 0.001m, afMax: 0.1m));
RegisterIndicator(symbol, PSARList[0], Resolution.Minute);
RegisterIndicator(symbol, PSARList[1], Resolution.Minute);
RegisterIndicator(symbol, PSARList[2], Resolution.Minute);
testerAcum = 0m;
counter = 0;
Identity close = new Indicators.Identity("SPY");
RegisterIndicator(symbol, close, Resolution.Minute, Field.Close);
var chart = new Chart("SPY");
chart.AddSeries(new Series(close.Name));
chart.AddSeries(new Series(PSARList[0].Name, SeriesType.Scatter));
chart.AddSeries(new Series(PSARList[1].Name, SeriesType.Scatter));
chart.AddSeries(new Series(PSARList[2].Name, SeriesType.Scatter));
PlotIndicator("SPY", close);
PlotIndicator("SPY", true, PSARList[0], PSARList[1], PSARList[2]);
}
/// <summary>
/// Initializes a new instance of the <see cref="HeikinAshi"/> class using the specified name.
/// </summary>
/// <param name="name">The name of this indicator</param>
public HeikinAshi(string name)
: base(name)
{
Open = new Identity(name + "_Open");
High = new Identity(name + "_High");
Low = new Identity(name + "_Low");
Close = new Identity(name + "_Close");
}
/// <summary>
/// Initializes a new instance of the VWAP class with a given name and period
/// </summary>
/// <param name="name">string - the name of the indicator</param>
/// <param name="period">The period of the VWAP</param>
public VolumeWeightedAveragePriceIndicator(string name, int period)
: base(name)
{
_price = new Identity("Price");
_volume = new Identity("Volume");
// This class will be using WeightedBy indicator extension
_vwap = _price.WeightedBy(_volume, period);
}
public void TestIdentityInvariants()
{
// the invariants of the identity indicator is to be ready after
// a single sample has been added, and always produce the same value
// as the last ingested value
var identity = new Identity("test");
Assert.IsFalse(identity.IsReady);
const decimal value = 1m;
identity.Update(new IndicatorDataPoint(DateTime.UtcNow, value));
Assert.IsTrue(identity.IsReady);
Assert.AreEqual(value, identity.Current.Value);
}
public void CallsDelegateCorrectly()
{
var left = new Identity("left");
var right = new Identity("right");
var composite = new CompositeIndicator<IndicatorDataPoint>(left, right, (l, r) =>
{
Assert.AreEqual(left, l);
Assert.AreEqual(right, r);
return l + r;
});
composite.Update(DateTime.Today, 1m);
Assert.AreEqual(2m, composite.Current.Value);
}
public void NewDataPushesToDerivedIndicators()
{
var identity = new Identity("identity");
var sma = new SimpleMovingAverage(3);
identity.Updated += (sender, consolidated) =>
{
sma.Update(consolidated);
};
identity.Update(DateTime.UtcNow, 1m);
identity.Update(DateTime.UtcNow, 2m);
Assert.IsFalse(sma.IsReady);
identity.Update(DateTime.UtcNow, 3m);
Assert.IsTrue(sma.IsReady);
Assert.AreEqual(2m, sma);
}
public void ResetsProperly()
{
var identity = new Identity("test");
Assert.IsFalse(identity.IsReady);
Assert.AreEqual(0m, identity.Current.Value);
foreach (var data in TestHelper.GetDataStream(2))
{
identity.Update(data);
}
Assert.IsTrue(identity.IsReady);
Assert.AreEqual(2, identity.Samples);
identity.Reset();
Assert.IsFalse(identity.IsReady);
Assert.AreEqual(0, identity.Samples);
}
public void GoLongAndClosePosition()
{
int _trendPeriod = 5;
int _invFisherPeriod = 6;
decimal _tolerance = 0.001m;
decimal _threshold = 0.9m;
DateTime time = DateTime.Now;
# region Arrays inputs
decimal[] prices = new decimal[15]
{
24.51m, 24.51m, 20.88m, 15m, 9.12m,
5.49m, 5.49m, 9.12m, 15m, 20.88m,
24.51m, 24.51m, 20.88m, 15m, 9.12m,
};
OrderSignal[] expectedOrders = new OrderSignal[15]
{
OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing,
OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.goLong , OrderSignal.doNothing,
OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.closeLong, OrderSignal.doNothing
};
# endregion
OrderSignal[] actualOrders = new OrderSignal[expectedOrders.Length];
Identity VoidIndicator = new Identity("Void");
DIFStrategy strategy = new DIFStrategy(VoidIndicator, _trendPeriod, _invFisherPeriod, _threshold, _tolerance);
for (int i = 0; i < prices.Length; i++)
{
strategy.DecycleTrend.Update(new IndicatorDataPoint(time, prices[i]));
// Update the InverseFisher indicator from here, if not it took 11 bars until the first signal.
strategy.InverseFisher.Update(strategy.DecycleTrend.Current);
actualOrders[i] = strategy.ActualSignal;
if (actualOrders[i] == OrderSignal.goLong) strategy.Position = StockState.longPosition;
Console.WriteLine(i + "| Actual Order:" + actualOrders[i]);
time.AddDays(1);
}
Assert.AreEqual(expectedOrders, actualOrders);
}
public void PipesDataFirstWeightedBySecond()
{
const int period = 4;
var value = new Identity("Value");
var weight = new Identity("Weight");
var third = value.WeightedBy(weight, period);
var data = Enumerable.Range(1, 10).ToList();
var window = Enumerable.Reverse(data).Take(period);
var current = window.Sum(x => 2 * x * x) / (decimal)window.Sum(x => x);
foreach (var item in data)
{
value.Update(new IndicatorDataPoint(DateTime.UtcNow, Convert.ToDecimal(2 * item)));
weight.Update(new IndicatorDataPoint(DateTime.UtcNow, Convert.ToDecimal(item)));
}
Assert.AreEqual(current, third.Current.Value);
}
public override void Initialize()
{
SetStartDate(2013, 10, 7);
SetEndDate(2013, 10, 11);
SetCash(250000);
foreach (var symbol in Symbols)
{
AddSecurity(SecurityType.Equity, symbol, Resolution.Second);
// Define an Identity Indicator with the close price.
Identity priceIdentityIndicator = new Identity(symbol + "PriceIdentityIndicator");
RegisterIndicator(symbol, priceIdentityIndicator, Resolution.Second, Field.Close);
// Define an EMA.
ExponentialMovingAverage EMA = new ExponentialMovingAverage("EMA_" + symbol, 100);
RegisterIndicator(symbol, EMA, Resolution.Minute, Field.Close);
// Inject the Price Identity indicator and the EMA in the Strategy object.
StrategyDict.Add(symbol, new NoStrategy(symbol, priceIdentityIndicator, EMA));
stockLogging.Add(symbol, new StringBuilder());
}
}
public void GoShortAndClosePosition()
{
int _period = 7;
decimal _tolerance = 0.00001m;
decimal _revertPct = 1.015m;
DateTime time = DateTime.Now;
# region Arrays inputs
decimal[] prices = new decimal[20]
{
91m, 91m, 91m, 91m, 91m,
91m, 92m, 93m, 94m, 95m, 96m, 97m, 98m, 99m, 100m,
85m, 84m, 83m, 100m, 100m,
};
OrderSignal[] expectedOrders = new OrderSignal[20]
{
OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing,
OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing,
OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing,
OrderSignal.goShortLimit , OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.closeShort
};
# endregion
OrderSignal[] actualOrders = new OrderSignal[expectedOrders.Length];
Identity priceIdentity = new Identity("IdentityIndicator");
ITrendStrategy strategy = new ITrendStrategy(priceIdentity, _period, _tolerance, _revertPct, RevertPositionCheck.vsClosePrice);
for (int i = 0; i < prices.Length; i++)
{
priceIdentity.Update(new IndicatorDataPoint(time, prices[i]));
actualOrders[i] = strategy.ActualSignal;
if (actualOrders[i] == OrderSignal.goShortLimit) strategy.Position = StockState.shortPosition;
Console.WriteLine(i + "| Actual Order:" + actualOrders[i]);
time.AddDays(1);
}
Assert.AreEqual(expectedOrders, actualOrders);
}
public void ResetsProperly()
{
DateTime time = DateTime.Parse("2000-01-01");
# region Arrays inputs
decimal[] prices = new decimal[10]
{
100m, 100m, 100m, 100m, 100m, 100m, 100m, 100m, 100m, 100m
};
#endregion
Identity priceIdentity = new Identity("IdentityIndicator");
ITrendStrategy strategy = new ITrendStrategy(priceIdentity, 5);
for (int i = 0; i < prices.Length; i++)
{
priceIdentity.Update(new IndicatorDataPoint(time, prices[i]));
time.AddDays(1);
}
Assert.IsTrue(strategy.ITrend.IsReady, "Instantaneous Trend Ready");
Assert.IsTrue(strategy.ITrendMomentum.IsReady, "Instantaneous Trend Momentum Ready");
Assert.IsTrue(strategy.MomentumWindow.IsReady, "Instantaneous Trend Momentum Window Ready");
strategy.Reset();
TestHelper.AssertIndicatorIsInDefaultState(strategy.ITrend);
TestHelper.AssertIndicatorIsInDefaultState(strategy.ITrendMomentum);
Assert.IsFalse(strategy.MomentumWindow.IsReady, "Instantaneous Trend Momentum Windows was Reset");
}
public void TestingTolerance()
{
int _period = 7;
decimal _tolerance = 0.15m;
decimal _revertPct = 1.015m;
DateTime time = DateTime.Now;
# region Arrays inputs
decimal[] prices = new decimal[20]
{
99m, 99m, 99m, 99m, 99m,
99m, 99.25m, 99.5m, 99.75m, 100m, 100.25m, 100.5m, 100.75m, 100m, 100m,
100.1m, 100.2m, 100.3m, 100.4m, 100.5m,
};
OrderSignal[] expectedOrders = new OrderSignal[20]
{
OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing,
OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing,
OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.goShortLimit,
OrderSignal.doNothing , OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing
};
# endregion
OrderSignal[] actualOrders = new OrderSignal[expectedOrders.Length];
Identity priceIdentity = new Identity("IdentityIndicator");
ITrendStrategy strategy = new ITrendStrategy(priceIdentity, _period, _tolerance, _revertPct, RevertPositionCheck.vsClosePrice);
for (int i = 0; i < prices.Length; i++)
{
priceIdentity.Update(new IndicatorDataPoint(time, prices[i]));
actualOrders[i] = strategy.ActualSignal;
Console.WriteLine(i + "| Actual Order:" + actualOrders[i]);
time.AddDays(1);
}
Assert.AreEqual(expectedOrders, actualOrders);
}
public SymbolData(Symbol symbol, QCAlgorithm algorithm)
{
Symbol = symbol;
Security = algorithm.Securities[symbol];
Close = algorithm.Identity(symbol);
ADX = algorithm.ADX(symbol, 14);
EMA = algorithm.EMA(symbol, 14);
MACD = algorithm.MACD(symbol, 12, 26, 9);
// if we're receiving daily
_algorithm = algorithm;
}
public void MultiChainEMA()
{
var identity = new Identity("identity");
var delay = new Delay(2);
// create the EMA of chained methods
var ema = delay.Of(identity).EMA(2, 1);
// Assert.IsTrue(ema. == 1);
identity.Update(DateTime.UtcNow, 1m);
Assert.IsTrue(identity.IsReady);
Assert.IsFalse(delay.IsReady);
Assert.IsFalse(ema.IsReady);
identity.Update(DateTime.UtcNow, 2m);
Assert.IsTrue(identity.IsReady);
Assert.IsFalse(delay.IsReady);
Assert.IsFalse(ema.IsReady);
identity.Update(DateTime.UtcNow, 3m);
Assert.IsTrue(identity.IsReady);
Assert.IsTrue(delay.IsReady);
Assert.IsFalse(ema.IsReady);
identity.Update(DateTime.UtcNow, 4m);
Assert.IsTrue(identity.IsReady);
Assert.IsTrue(delay.IsReady);
Assert.IsTrue(ema.IsReady);
}
public void ResetsProperly()
{
DateTime time = DateTime.Parse("2000-01-01");
# region Arrays inputs
decimal[] prices = new decimal[10]
{
100m, 110m, 120m, 130m, 140m, 150m, 160m, 170m, 180m, 190m
};
#endregion
Identity VoidIndicator = new Identity("Void");
DIFStrategy strategy = new DIFStrategy(VoidIndicator, 5, 5);
for (int i = 0; i < prices.Length; i++)
{
strategy.DecycleTrend.Update(new IndicatorDataPoint(time, prices[i]));
strategy.InverseFisher.Update(strategy.DecycleTrend.Current);
time.AddDays(1);
}
Assert.IsTrue(strategy.DecycleTrend.IsReady, "Decycle Trend Ready");
Assert.IsTrue(strategy.InverseFisher.IsReady, "Decycle Inverse Fisher Ready");
Assert.IsTrue(strategy.InvFisherRW.IsReady, "Inverse Fisher Window Ready");
strategy.Reset();
TestHelper.AssertIndicatorIsInDefaultState(strategy.DecycleTrend);
TestHelper.AssertIndicatorIsInDefaultState(strategy.InverseFisher);
Assert.IsFalse(strategy.InvFisherRW.IsReady, "Inverse Fisher Window was Reset");
}
public void ToleranceTesting()
{
// This is the same GoLongAndClosePosition Test, only the tolerance is increased to avoid signals.
int _trendPeriod = 5;
int _invFisherPeriod = 6;
decimal _tolerance = 2m;
decimal _threshold = 0.9m;
DateTime time = DateTime.Now;
# region Arrays inputs
decimal[] prices = new decimal[15]
{
24.51m, 24.51m, 20.88m, 15m, 9.12m,
5.49m, 5.49m, 9.12m, 15m, 20.88m,
24.51m, 24.51m, 20.88m, 15m, 9.12m,
};
OrderSignal[] expectedOrders = new OrderSignal[15]
{
OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing,
OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing,
OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing
};
# endregion
OrderSignal[] actualOrders = new OrderSignal[expectedOrders.Length];
Identity VoidIndicator = new Identity("Void");
DIFStrategy strategy = new DIFStrategy(VoidIndicator, _trendPeriod, _invFisherPeriod, _threshold, _tolerance);
for (int i = 0; i < prices.Length; i++)
{
strategy.DecycleTrend.Update(new IndicatorDataPoint(time, prices[i]));
strategy.InverseFisher.Update(strategy.DecycleTrend.Current);
actualOrders[i] = strategy.ActualSignal;
if (actualOrders[i] == OrderSignal.goLong) strategy.Position = StockState.longPosition;
Console.WriteLine(i + "| Actual Order:" + actualOrders[i]);
time.AddDays(1);
}
Assert.AreEqual(expectedOrders, actualOrders);
}
public void MinusSubtractsLeftAndRightAfterBothUpdated()
{
var left = new Identity("left");
var right = new Identity("right");
var composite = left.Minus(right);
left.Update(DateTime.Today, 1m);
right.Update(DateTime.Today, 1m);
Assert.AreEqual(0m, composite.Current.Value);
left.Update(DateTime.Today, 2m);
Assert.AreEqual(0m, composite.Current.Value);
left.Update(DateTime.Today, 3m);
Assert.AreEqual(0m, composite.Current.Value);
right.Update(DateTime.Today, 4m);
Assert.AreEqual(-1m, composite.Current.Value);
}
public void RealDataTest()
{
int _trendPeriod = 5;
int _invFisherPeriod = 6;
decimal _tolerance = 0.001m;
decimal _threshold = 0.9m;
DateTime time = DateTime.Now;
# region Arrays inputs
// Real AMZN minute data
decimal[] prices = new decimal[30]
{
427.30m, 427.24m, 427.57m, 427.71m, 427.59m, 427.95m, 427.27m, 427.19m, 427.45m, 427.81m,
427.62m, 427.66m, 427.67m, 427.62m, 427.67m, 427.20m, 426.89m, 427.27m, 427.46m, 427.31m,
427.11m, 427.29m, 427.54m, 427.87m, 427.80m, 427.35m, 427.34m, 427.75m, 427.94m, 429.00m,
};
OrderSignal[] expectedOrders = new OrderSignal[30]
{
OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing , OrderSignal.doNothing , OrderSignal.doNothing,
OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.goShort , OrderSignal.doNothing , OrderSignal.closeShort,
OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing , OrderSignal.doNothing , OrderSignal.goShort,
OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing , OrderSignal.closeShort, OrderSignal.doNothing,
OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing , OrderSignal.doNothing , OrderSignal.doNothing,
OrderSignal.doNothing, OrderSignal.goShort , OrderSignal.closeShort, OrderSignal.doNothing , OrderSignal.doNothing
};
# endregion
OrderSignal[] actualOrders = new OrderSignal[expectedOrders.Length];
Identity VoidIndicator = new Identity("Void");
DIFStrategy strategy = new DIFStrategy(VoidIndicator, _trendPeriod, _invFisherPeriod, _threshold, _tolerance);
for (int i = 0; i < prices.Length; i++)
{
strategy.DecycleTrend.Update(new IndicatorDataPoint(time, prices[i]));
strategy.InverseFisher.Update(strategy.DecycleTrend.Current);
actualOrders[i] = strategy.ActualSignal;
if (actualOrders[i] == OrderSignal.goShort && strategy.Position == StockState.noInvested) strategy.Position = StockState.shortPosition;
if (actualOrders[i] == OrderSignal.closeShort && strategy.Position == StockState.shortPosition) strategy.Position = StockState.noInvested;
if (actualOrders[i] == OrderSignal.goLong && strategy.Position == StockState.noInvested) strategy.Position = StockState.longPosition;
if (actualOrders[i] == OrderSignal.closeLong && strategy.Position == StockState.longPosition) strategy.Position = StockState.noInvested;
Console.WriteLine(i + "| Actual Order:" + actualOrders[i]);
Console.WriteLine(strategy.DecycleTrend.Current.ToString());
Console.WriteLine(strategy.InverseFisher.Current.ToString() + "\n");
time = time.AddDays(1);
}
Assert.AreEqual(expectedOrders, actualOrders);
}
public void MultiChainMIN()
{
var identity = new Identity("identity");
var delay = new Delay(2);
// create the MIN of the delay of the identity
var min = delay.Of(identity).MIN(2);
identity.Update(DateTime.UtcNow, 1m);
Assert.IsTrue(identity.IsReady);
Assert.IsFalse(delay.IsReady);
Assert.IsFalse(min.IsReady);
identity.Update(DateTime.UtcNow, 2m);
Assert.IsTrue(identity.IsReady);
Assert.IsFalse(delay.IsReady);
Assert.IsFalse(min.IsReady);
identity.Update(DateTime.UtcNow, 3m);
Assert.IsTrue(identity.IsReady);
Assert.IsTrue(delay.IsReady);
Assert.IsFalse(min.IsReady);
identity.Update(DateTime.UtcNow, 4m);
Assert.IsTrue(identity.IsReady);
Assert.IsTrue(delay.IsReady);
Assert.IsTrue(min.IsReady);
}
public void OverHandlesDivideByZero()
{
var left = new Identity("left");
var right = new Identity("right");
var composite = left.Over(right);
var updatedEventFired = false;
composite.Updated += delegate { updatedEventFired = true; };
left.Update(DateTime.Today, 1m);
Assert.IsFalse(updatedEventFired);
right.Update(DateTime.Today, 0m);
Assert.IsFalse(updatedEventFired);
// submitting another update to right won't cause an update without corresponding update to left
right.Update(DateTime.Today, 1m);
Assert.IsFalse(updatedEventFired);
left.Update(DateTime.Today, 1m);
Assert.IsTrue(updatedEventFired);
}
public void MSAFullTest()
{
#region Fields
int idx = 0;
int day = 0;
DateTime Time = DateTime.Today;
DateTime testTime = Time;
double amplitude = 1;
int shift = 100;
int waveLength = 45;
IndicatorDataPoint ssObs;
Indicator smoothedSeries = new Identity("SmoothedSeries");
MSAStrategy strategy = new MSAStrategy(smoothedSeries, 2, 3, 0m);
#endregion Fields
#region Warming up
Console.WriteLine("Warming up");
do
{
ssObs = new IndicatorDataPoint(testTime, SineWave(idx, amplitude * idx, waveLength, shift));
smoothedSeries.Update(ssObs);
testTime = testTime.AddMinutes(1);
idx++;
if (idx > 59)
{
day++;
testTime = Time.AddDays(day);
idx = 0;
switch (day)
{
case 1:
amplitude = 2;
shift = 150;
waveLength = 15;
break;
case 2:
amplitude = 1.5;
shift = 100;
waveLength = 20;
break;
case 3:
amplitude = 3;
shift = 180;
waveLength = 12;
break;
default:
break;
}
Console.WriteLine("New day: " + day);
}
} while (!strategy.IsReady);
Console.WriteLine("Strategy ready!\nStarting signal test.");
#endregion Warming up
#region Testing signals
var expectedSignals = new Dictionary<int, OrderSignal>();
expectedSignals.Add(34, OrderSignal.goLong);
expectedSignals.Add(40, OrderSignal.goShort);
expectedSignals.Add(46, OrderSignal.goLong);
expectedSignals.Add(52, OrderSignal.goShort);
expectedSignals.Add(58, OrderSignal.goLong);
for (int i = 0; i < 60; i++)
{
ssObs = new IndicatorDataPoint(testTime, SineWave(i, amplitude * i, waveLength, shift));
smoothedSeries.Update(ssObs);
Console.WriteLine(string.Format("{0}\t|\t{1}\t|\t{2}",
i,
ssObs.Value.SmartRounding(),
strategy.ActualSignal
));
if (expectedSignals.ContainsKey(i))
{
Assert.AreEqual(expectedSignals[i], strategy.ActualSignal, string.Format("Bar {0} test.", i));
}
else
{
Assert.AreEqual(OrderSignal.doNothing, strategy.ActualSignal, string.Format("Bar {0} test.", i));
}
testTime = testTime.AddMinutes(1);
}
#endregion Testing signals
}
public void RealDataTest2()
{
// Almost the same test, but in this case, the strategy should send a doNothing instead a repeated goShort.
int _trendPeriod = 5;
int _invFisherPeriod = 6;
decimal _tolerance = 0.001m;
decimal _threshold = 0.9m;
DateTime time = DateTime.Now;
# region Arrays inputs
// Real AMZN minute data
decimal[] prices = new decimal[30]
{
428.78m, 428.79m, 428.72m, 428.67m, 428.66m, 428.62m, 428.83m, 428.89m, 428.85m, 428.78m,
428.77m, 429.29m, 429.53m, 429.33m, 429.30m, 429.04m, 429.29m, 428.90m, 428.88m, 429.07m,
429.03m, 429.35m, 429.42m, 429.75m, 430.43m, 430.33m, 430.52m, 430.41m, 430.22m, 430.25m
};
OrderSignal[] expectedOrders = new OrderSignal[30]
{
OrderSignal.doNothing , OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing,
OrderSignal.doNothing , OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing,
OrderSignal.goShort , OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing,
OrderSignal.doNothing , OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing,
OrderSignal.closeShort, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing,
OrderSignal.doNothing , OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.goShort
};
# endregion
OrderSignal[] actualOrders = new OrderSignal[expectedOrders.Length];
Identity VoidIndicator = new Identity("Void");
DIFStrategy strategy = new DIFStrategy(VoidIndicator, _trendPeriod, _invFisherPeriod, _threshold, _tolerance);
for (int i = 0; i < prices.Length; i++)
{
strategy.DecycleTrend.Update(new IndicatorDataPoint(time, prices[i]));
strategy.InverseFisher.Update(strategy.DecycleTrend.Current);
actualOrders[i] = strategy.ActualSignal;
if (actualOrders[i] == OrderSignal.goShort && strategy.Position == StockState.noInvested) strategy.Position = StockState.shortPosition;
if (actualOrders[i] == OrderSignal.closeShort && strategy.Position == StockState.shortPosition) strategy.Position = StockState.noInvested;
if (actualOrders[i] == OrderSignal.goLong && strategy.Position == StockState.noInvested) strategy.Position = StockState.longPosition;
if (actualOrders[i] == OrderSignal.closeLong && strategy.Position == StockState.longPosition) strategy.Position = StockState.noInvested;
Console.WriteLine(i + "| Actual Order:" + actualOrders[i]);
Console.WriteLine(strategy.DecycleTrend.Current.ToString());
Console.WriteLine(strategy.InverseFisher.Current.ToString() + "\n");
time = time.AddDays(1);
}
Assert.AreEqual(expectedOrders, actualOrders);
}
public override void Initialize()
{
SetStartDate(_startDate); //Set Start Date
SetEndDate(_endDate); //Set End Date
SetCash(_portfolioAmount); //Set Strategy Cash
#region Logging stuff - Initializing Operations Logging
transactionLogging.AppendLine("Time,Symbol,Order");
int i = 0; // Only used for logging.
#endregion Logging stuff - Initializing Portfolio Logging
foreach (string symbol in Symbols)
{
AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
// Define and register an Identity indicator with the price, this indicator will be
// injected in the Strategy.
Identity PriceIdentity = new Identity("Price" + symbol);
RegisterIndicator(symbol, PriceIdentity, Resolution.Minute, Field.Close);
// Define the Strategy
Strategy.Add(symbol, new DIFStrategy(PriceIdentity, DecyclePeriod, InvFisherPeriod, Threshold, Tolerance));
// Define the PSAR for each symbol
PSARDict.Add(symbol, new ParabolicStopAndReverse(afStart: 0.0001m, afIncrement: 0.0001m));
RegisterIndicator(symbol, PSARDict[symbol], Resolution.Minute);
// Define the Share size for each symbol.
ShareSize.Add(symbol, (maxLeverage * (1 - leverageBuffer)) / Symbols.Count());
// Fill the stop order dictionary with the symbols keys.
StopLossTickets.Add(symbol, null);
// Fill the start Psar trailing stop flag dictionary.
EnablePsarTrailingStop.Add(symbol, false);
// At 15 minutes after market open, check for a entry signal.
Schedule.Event("CheckEarlyEntry")
.EveryDay()
.AfterMarketOpen(symbol, minutesAfterOpen: 15)
.Run(() => CheckEarlyEntry(symbol));
#region Logging stuff - Initializing Stock Logging
stockLogging.Add(new StringBuilder());
stockLogging[i].AppendLine("Time,Close,Decycle,InvFisher,LightSmoothPrice,Momersion,PSAR,Position");
i++;
#endregion Logging stuff - Initializing Stock Logging
}
// Set flags correctly at market open
Schedule.Event("MarketOpen")
.EveryDay()
.At(9, 29)
//.AfterMarketOpen(Symbols[0], minutesAfterOpen: -1)
.Run(() =>
{
isMarketJustOpen = true;
isMarketAboutToClose = false;
Log(string.Format("========== {0} Market Open ==========", Time.DayOfWeek));
});
Schedule.Event("MarketOpenSpan")
.EveryDay()
.At(9, 50)
//.BeforeMarketClose(Symbols[0], minuteBeforeClose: 10)
.Run(() => isMarketJustOpen = false);
Schedule.Event("MarketAboutToClose")
.EveryDay()
.At(15, 50)
//.BeforeMarketClose(Symbols[0], minuteBeforeClose: 10)
.Run(() => isMarketAboutToClose = true);
Schedule.Event("MarketClose")
.EveryDay()
.At(15, 59)
//.BeforeMarketClose(Symbols[0], minuteBeforeClose: 10)
.Run(() => CloseDay());
}
public void TimesMultipliesLeftAndRightAfterBothUpdated()
{
var left = new Identity("left");
var right = new Identity("right");
var composite = left.Times(right);
left.Update(DateTime.Today, 1m);
right.Update(DateTime.Today, 1m);
Assert.AreEqual(1m, composite.Current.Value);
left.Update(DateTime.Today, 2m);
Assert.AreEqual(1m, composite.Current.Value);
left.Update(DateTime.Today, 3m);
Assert.AreEqual(1m, composite.Current.Value);
right.Update(DateTime.Today, 4m);
Assert.AreEqual(12m, composite.Current.Value);
}
