public static List <Trade> EmaSar(Parameter_EMA_SAR P, List <Price> price, bool tradeOnly)
{
A_1 = Factory_Indicator.createEMA(P.A_EMA1, price);
A_6 = Factory_Indicator.createEMA(P.A_EMA2, price);
B_1 = Factory_Indicator.createEMA(P.B_EMA1, price);
B_6 = Factory_Indicator.createEMA(P.B_EMA2, price);
E1 = Factory_Indicator.createEMA(P.C_EMA, price);
SAR = Factory_Indicator.createSAR(P.SAR_STEP, P.SAR_MAXP, price);
DateTime sd = E1[0].TimeStamp;
CutToSize(sd);
TradeStrategy _strategy = new TradeStrategy(price, P, B_6[0].TimeStamp, CalcTriggers, CalcTriggers2);
_strategy.Calculate();
_T = _strategy.getStrategyList();
//for (int x = 0; x < _T.Count; x++) DP(x);
// _strategy.ClearList(); //FOR SIMULATOR
return(GetTradeData(tradeOnly)); // REAL TRADING
// Clear();//FOR SIMULATOR
return(new List <Trade>());
}
public static List <Trade> MAMAScalp(Parameter_MAMA P, List <Price> price, bool tradeOnly)
{
A_1 = Factory_Indicator.createEMA(P.A_EMA1, price);
A_6 = Factory_Indicator.createEMA(P.A_EMA2, price);
B_1 = Factory_Indicator.createEMA(P.B_EMA1, price);
B_6 = Factory_Indicator.createEMA(P.B_EMA2, price);
E1 = Factory_Indicator.createEMA(P.C_EMA, price);
MA = Factory_Indicator.createAdaptiveMA_MAMA(P.Fast, P.Slow, price);
//StreamWriter sr = new StreamWriter(@"d:\MAMA.txt");
//foreach (var m in MA.Skip(1000))
//{
// sr.WriteLine(m.TimeStamp + "," + m.Price_Close + "," + m.Mama + "," + m.Fama);//+","+E1.Where(z=>z.TimeStamp==m.TimeStamp).First().Ema );
//}
//sr.Close();
//Environment.Exit(0);
DateTime sd = E1[0].TimeStamp;
CutToSize(sd);
TradeStrategy _strategy = new TradeStrategy(price, P, B_6[0].TimeStamp, CalcTriggers, CalcTriggers2);
_strategy.Calculate();
_T = _strategy.getStrategyList();
//for (int x = 0; x < _T.Count; x++) DP(x);
// _strategy.ClearList(); //FOR SIMULATOR
return(GetTradeData(tradeOnly)); // REAL TRADING
// Clear();//FOR SIMULATOR
return(new List <Trade>());
}
public static List <IndicatorBasket> CalcIndicators()
{
// Console.WriteLine("Calculating Indicators...");
var Indicators = new List <IndicatorBasket>();
//Base Level Calcs
var ohlc = Trades.Select(z => z.OHLC);
var OHLC_LIST = ohlc.ToList();
var volume = Trades.ToDictionary(x => x.TimeStamp, x => x.TradeVolume);
var trigger = Trades.ToDictionary(x => x.TimeStamp, x => x.TradeTrigger);
var EM = AlsiUtils.Factory_Indicator.createAdaptiveMA_MAMA(P.Mamapar1, P.Mamapar2, OHLC_LIST).ToDictionary(x => x.TimeStamp, x => x.Mama);
var adx_DMI = AlsiUtils.Factory_Indicator.createADX(P.ADX_period, OHLC_LIST);
var RSI = AlsiUtils.Factory_Indicator.createRSI(P.RSI_period, OHLC_LIST);
//Second Level Clacs
//EMA OF DMI+ and DMI-
List <VariableIndicator> varDmiUP = new List <VariableIndicator>();
List <VariableIndicator> varDmiDOWN = new List <VariableIndicator>();
foreach (var f in adx_DMI)
{
var vdown = new VariableIndicator()
{
TimeStamp = f.TimeStamp,
Value = f.DI_Down,
};
var vup = new VariableIndicator()
{
TimeStamp = f.TimeStamp,
Value = f.DI_Up,
};
varDmiUP.Add(vup);
varDmiDOWN.Add(vdown);
}
var Dmi_Up_EMA = Factory_Indicator.createEMA(P.Di_UP_avg_period, varDmiUP);
var Dmi_Down_EMA = Factory_Indicator.createEMA(P.Di_DOWN_avg_period, varDmiDOWN);
//EMA OF RSI
List <VariableIndicator> varRsi = new List <VariableIndicator>();
foreach (var r in RSI)
{
var rsi = new VariableIndicator()
{
TimeStamp = r.TimeStamp,
Value = r.RSI,
};
varRsi.Add(rsi);
}
var RSI_EMA = Factory_Indicator.createEMA(P.RSI_EMA, varRsi);
//slope OF RSI
var rsi_slope = Factory_Indicator.createRegression(P.RSI_Slope_period, varRsi);
//CREATE DICTIONARY
var DMI_UP_DIC = Dmi_Up_EMA.ToDictionary(x => x.TimeStamp, x => x.Ema);
var DMI_Down_DIC = Dmi_Down_EMA.ToDictionary(x => x.TimeStamp, x => x.Ema);
var RSI_DIC = RSI_EMA.ToDictionary(x => x.TimeStamp, x => x.Ema);
var RSI_SLOPE = rsi_slope.ToDictionary(x => x.TimeStamp, x => x.Slope);
// var sw = new StreamWriter(@"d:\Indicators.csv");
// sw.WriteLine("Trade" + "," + "Stamp" + "," + "PriceClose" + "," + "MAMA" + "," + "DI-UP" + "," + "DI-DOWN" + "," + "VOL" + "," + "RSI" + "," + "RSI SLOPE" + "," + "extra 3" + "," + "extra 4");
foreach (var r in adx_DMI)
{
double em = 0;
EM.TryGetValue(r.TimeStamp, out em);
double rs = 0;
RSI_DIC.TryGetValue(r.TimeStamp, out rs);
double rsslope = 0;
RSI_SLOPE.TryGetValue(r.TimeStamp, out rsslope);
int vol = 0;
volume.TryGetValue(r.TimeStamp, out vol);
double DI_up = 0;
DMI_UP_DIC.TryGetValue(r.TimeStamp, out DI_up);
double DI_Down = 0;
DMI_Down_DIC.TryGetValue(r.TimeStamp, out DI_Down);
Trade.Trigger Trig;
trigger.TryGetValue(r.TimeStamp, out Trig);
var topband = DI_up;
var midband = em;
var lowband = DI_Down;
var b1 = rs;
var adjVol = (vol == null) ? 0 : vol;
var b2 = rsslope;;
var b3 = 0;
var b4 = 0;
var trade = Trig;
var i = new IndicatorBasket()
{
Action = trade,
Timestamp = r.TimeStamp,
DI_DOWN = DI_Down,
DI_UP = DI_up,
Mama = em,
RSI = rs,
RSI_SLOPE = rsslope,
Price = r.Price_Close,
Volume = adjVol,
};
Indicators.Add(i);
// sw.WriteLine(trade + "," + r.TimeStamp + "," + r.Price_Close + "," + midband + "," + topband + "," + lowband + "," + adjVol + "," + b1 + "," + b2 + "," + b3 + "," + b4);
}
// sw.Close();
return(Indicators);
}
private static void Apply_2nd_AlgoLayer(int EMA)
{
List <VariableIndicator> _st = new List <VariableIndicator>();
foreach (var t in _ST)
{
if (t.TotalProfit != 0)
{
VariableIndicator v = new VariableIndicator()
{
TimeStamp = t.TimeStamp,
Value = t.TotalProfit,
};
_st.Add(v);
}
}
var ema = Factory_Indicator.createEMA(EMA, _st);
double newprof = ema[0].CustomValue;
TradeStrategy mt = null;
bool cantradeA = false;
bool cantradeB = false;
bool closepos = false;
bool first = true;
int count = 0;
foreach (var v in ema)
{
count++;
// if (count > 30) break;
if (first)
{
;
}
mt = _ST.Where(z => z.TimeStamp == v.TimeStamp).First();
if (!first)
{
closepos = (mt.ActualTrade == Trade.Trigger.CloseShort || mt.ActualTrade == Trade.Trigger.CloseLong);
}
if (closepos && cantradeA)
{
cantradeB = true;
}
else
{
cantradeB = false;
}
cantradeA = (v.CustomValue > v.Ema);
if (!first && closepos && cantradeB)
{
newprof += mt.RunningProfit;
}
//Debug.WriteLine(((cantradeA) ? "**" : "") + ((cantradeB) ? "**" : "") + v.Timestamp + " " + v.CustomValue + " " + v.Ema +
// " TradeA :" + cantradeA + " TradeB :" + cantradeB + " Prof " + newprof +
// " " + ((!first && mt != null) ? mt.ActualTrade.ToString() : ""));
first = false;
}
Debug.WriteLine(EMA + " " + newprof);
Debug.WriteLine("----------------------------------------------");
}