Dictionary <String, String> IStrategy.select(DataStoreHelper dsh, SelectMode selectMode, ref String sigInfo)
{
var zf = dsh.Ref(Info.ZF);
if (zf > 0.095 || zf < -0.095)
{
return(null);
}
if (zf > 0.03 || zf < 0.02)
{
return(null);
}
if (!dsh.IsReal())
{
return(null);
}
if (dsh.UpShadow() > 0.04)
{
return(null);
}
var of = dsh.Ref(Info.OF);
if (of > 0.02 || of < -0.04)
{
return(null);
}
if ((dsh.Ref(Info.H) - dsh.Ref(Info.H, 1)) / dsh.Ref(Info.C, 1) < -0.03)
{
return(null);
}
int nOccurCount = 0;
bool bSearchDown = true;
int iMaxSearchIndex = 1;
float maxDownVol = float.MinValue;
float maxUpVol = float.MinValue;
for (int i = 1; i < 100; ++i)
{
var curZF = dsh.Ref(Info.ZF, i);
var curOf = dsh.Ref(Info.OF, i);
if (curOf > 0.04 && curZF < 0)
{
return(null);
}
if (curOf < -0.02 && curZF < 0)
{
return(null);
}
if (curZF < -0.095)
{
break;
}
if (!dsh.IsReal(i))
{
return(null);
}
if (bSearchDown && curZF > 0)
{
break;
}
if (!bSearchDown && curZF < 0)
{
break;
}
if (dsh.Ref(Info.CO, i) / dsh.Ref(Info.C, 1) < 0.01)
{
break;
}
if (dsh.IsReal(i) && curZF < -0.01 &&
dsh.IsReal(i + 1) && dsh.Ref(Info.ZF, i + 1) > 0.01 &&
dsh.IsReal(i + 2) && dsh.Ref(Info.ZF, i + 2) < -0.01)
{
++nOccurCount;
iMaxSearchIndex = i;
}
bSearchDown = !bSearchDown;
if (curZF > 0)
{
maxUpVol = Math.Max(maxUpVol, dsh.Ref(Info.V, i));
}
else
{
maxDownVol = Math.Max(maxDownVol, dsh.Ref(Info.V, i));
}
}
if (nOccurCount != 2)
{
return(null);
}
if (dsh.Ref(Info.V) > Math.Max(maxDownVol, maxUpVol) * 1.5)
{
return(null);
}
if (maxUpVol > maxDownVol * 2)
{
return(null);
}
var szZF = dsh.SZRef(Info.ZF);
if (szZF > 0 && szZF < 0.011 && dsh.SZAcc(Info.ZF, 7, 1) > 0.03)
{
return(null);
}
if (!selectBySZ(dsh))
{
return(null);
}
return(EmptyRateItemButSel);
}
Dictionary <String, String> IStrategy.select(DataStoreHelper dsh, SelectMode selectMode, ref String sigInfo)
{
var zf = dsh.Ref(Info.ZF);
if (zf > 0 || zf < -0.095)
{
return(null);
}
if (!dsh.IsReal())
{
return(null);
}
if (dsh.Ref(Info.OF, 1) < -0.03)
{
return(null);
}
if (dsh.Ref(Info.LF) < -0.06)
{
return(null);
}
int iSigDateIndex = -1;
int nUpCount = 0;
int nDownCount = 0;
int nUStopCount = 0;
int nDStopCount = 0;
bool bMeetTradeSigAllready = false;
bool bMeetRealUp = false;
float sigDateVol = 0;
float otherMaxVol = 0;
bool bHasUpShadowTooHight = false;
bool bHasDownShadowTooLow = false;
float otherMaxZF = 0;
float otherMinZF = float.MaxValue;
float otherMaxC = 0;
float otherMaxH = 0;
float sumOfSigDateZF = 0;
float otherMaxDownV = 0;
float minSigV = float.MaxValue;
float totalUp = 0;
float totalDown = 0;
for (int i = 1; i < 8; ++i)
{
var curOf = dsh.Ref(Info.OF, i);
var curHf = dsh.Ref(Info.HF, i);
var curZf = dsh.Ref(Info.ZF, i);
var curPreZf = dsh.Ref(Info.ZF, i + 1);
var vol = dsh.Ref(Info.V, i);
var preVol = dsh.Ref(Info.V, i + 1);
if (dsh.Ref(Info.OF, i) > 0.03 && curZf < 0)
{
return(null);
}
float ma5 = dsh.MA(Info.V, 10, i + 2);
float hhv = dsh.Ref(Info.V, dsh.HH(Info.V, 5, i + 2));
if (curZf > 0.01 && curPreZf > 0.01 && vol > 1.3 * hhv && preVol > 1.3 * hhv && (vol < vRate_ * preVol && preVol < vRate_ * vol) && vol / ma5 > vRate_ &&
preVol / ma5 > vRate_ && dsh.Ref(Info.ZF, i + 2) < 0.05 &&
dsh.Ref(Info.V, i + 2) / dsh.MA(Info.V, 5, i + 3) < vRate_)
{
for (int j = i + 2; j < i + 7; j++)
{
if (dsh.Ref(Info.ZF, j) < -0.095)
{
return(null);
}
}
if (dsh.AccZF(2, i) < 0.05)
{
return(null);
}
{
iSigDateIndex = i;
sigDateVol = Math.Max(dsh.Ref(Info.V, i + 1), vol);
minSigV = Math.Min(dsh.Ref(Info.V, i + 1), vol);
break;
}
}
otherMaxVol = Math.Max(vol, otherMaxVol);
if (curZf > 0.005 && dsh.IsReal(i))
{
nUpCount++;
}
else if (curZf < -0.005 && dsh.IsReal(i))
{
nDownCount++;
}
if (curZf > 0.095)
{
nUStopCount++;
}
else if (curZf < -0.095)
{
nDStopCount++;
}
if (curZf < -0.03)
{
bMeetTradeSigAllready = true;
}
if (curZf > 0)
{
totalUp += curZf;
}
else
{
totalDown += curZf;
}
if (curZf > 0.012)
{
bMeetRealUp = true;
}
if (dsh.UpShadow(i) > 0.03)
{
bHasUpShadowTooHight = true;
}
if (dsh.DownShadow(i) < -0.03)
{
bHasDownShadowTooLow = true;
}
otherMaxZF = Math.Max(otherMaxZF, curZf);
otherMinZF = Math.Min(otherMinZF, curZf);
otherMaxC = Math.Max(dsh.Ref(Info.C, i), otherMaxC);
otherMaxH = Math.Max(dsh.Ref(Info.H, i), otherMaxH);
if (curZf < 0)
{
otherMaxDownV = Math.Max(otherMaxDownV, vol);
}
}
if (iSigDateIndex == -1)
{
return(null);
}
// sigInfo = dsh.Date(iSigDateIndex).ToString();
if (totalDown + totalUp < -0.01)
{
return(null);
}
if (nUpCount < 2)
{
return(null);
}
if (/*nUStopCount > 0 ||*//* nDStopCount > 0 || */ bMeetTradeSigAllready || !bMeetRealUp)
{
return(null);
}
float maxUpF = (otherMaxC - dsh.Ref(Info.C, iSigDateIndex)) / dsh.Ref(Info.C, iSigDateIndex);
if (maxUpF < 0.015 /* || maxUpF > 0.04*/)
{
return(null);
}
if (sigDateVol < otherMaxVol * 1.2)
{
return(null);
}
if (otherMaxZF + zf > 0)
{
return(null);
}
sigInfo = (otherMaxZF + zf).ToString("F4");
if (otherMaxZF + zf < -0.02)
{
return(null);
}
if (bHasUpShadowTooHight || bHasDownShadowTooLow)
{
return(null);
}
if (
dsh.Ref(Info.ZF, 2) < 0.005 &&
dsh.Ref(Info.ZF, 3) < 0.005)
{
return(null);
}
if (dsh.Ref(Info.C, iSigDateIndex) < dsh.Ref(Info.O, iSigDateIndex))
{
return(null);
}
if (dsh.Ref(Info.C, iSigDateIndex + 1) < dsh.Ref(Info.O, iSigDateIndex + 1))
{
return(null);
}
if (Math.Min(dsh.Ref(Info.ZF, iSigDateIndex), dsh.Ref(Info.ZF, iSigDateIndex + 1)) + dsh.Ref(Info.ZF, iSigDateIndex + 2) < -0.01)
{
return(null);
}
var delta = (dsh.Ref(Info.C) - dsh.Ref(Info.O, 1)) / dsh.Ref(Info.C, 1);
if (delta > -0.01)
{
return(null);
}
var szZF = dsh.SZRef(Info.ZF);
if (szZF > 0 && szZF < 0.011 && dsh.SZAcc(Info.ZF, 7, 1) > 0.03)
{
return(null);
}
if (!selectBySZ(dsh))
{
return(null);
}
var ret = new Dictionary <String, String>();
ret[String.Format("sumSig/{0}", sumOfSigDateZF > 0.12 ? "1" : "0")] = "";
ret[String.Format("delta/{0}", delta < -0.02 ? "1" : "0")] = "";
ret[String.Format("maxUp/{0}", maxUpF > 0.02 ? "1" : "0")] = "";
ret[String.Format("maxZF/{0}", otherMaxZF + zf > -0.01 ? "1" : "0")] = "";
ret[String.Format("diffzf/{0}", otherMaxZF + zf > -0.02 ? "1" : "0")] = "";
return(ret);
}