/// <summary>Strategy step</summary>
protected override void Step()
{
// Look for trade entry
var sets_count = PositionSets.Count + PendingOrders.Count();
if (sets_count < MaxPositionSets && EntryCooldown == 0)
{
var mcs = Instrument.MCS;
{
var sign = -1;
var ep = Donchian[0, Bot];
var tt = CAlgo.SignToTradeType(sign);
var sl = ep - sign * mcs * SLFrac;
var tp = (QuoteCurrency?)null;
var vol = Broker.ChooseVolume(Instrument, Math.Abs(ep - sl), risk: Risk);
var trade = new Trade(Instrument, tt, Label, ep, sl, tp, vol, comment: Guid.NewGuid().ToString())
{
Expiration = Instrument.ExpirationTime(1)
};
Broker.CreatePendingOrder(trade);
}
{
var sign = +1;
var ep = Donchian[0, Top];
var tt = CAlgo.SignToTradeType(sign);
var sl = ep - sign * mcs * SLFrac;
var tp = (QuoteCurrency?)null;
var vol = Broker.ChooseVolume(Instrument, Math.Abs(ep - sl), risk: Risk);
var trade = new Trade(Instrument, tt, Label, ep, sl, tp, vol, comment: Guid.NewGuid().ToString())
{
Expiration = Instrument.ExpirationTime(1)
};
Broker.CreatePendingOrder(trade);
}
EntryCooldown = 1;
}
}
protected override void Step()
{
// Look for trade entry
var sets_count = PositionSets.Count + PendingOrders.Count();
if (sets_count < MaxPositionSets && EntryCooldown == 0)
{
var mcs = Instrument.MCS;
var price = Instrument.LatestPrice;
var trend_sign = Math.Sign(MA0[0].CompareTo(MA1[0]));
for (;;)
{
if (Math.Abs(MA1[0] - MA0[0]) < 0.5 * mcs)
{
break;
}
{
var sign = trend_sign;
var ep = MA1[0];
var tt = CAlgo.SignToTradeType(sign);
var sl = ep - sign * mcs * SLFrac;
var tp = MA0[0]; //(QuoteCurrency?)null;
var vol = Broker.ChooseVolume(Instrument, Math.Abs(ep - sl), risk: Risk);
var trade = new Trade(Instrument, tt, Label, ep, sl, tp, vol)
{
Expiration = Instrument.ExpirationTime(1)
};
Broker.CreatePendingOrder(trade);
break;
}
}
//var dist_ask = MA0[0] - price.Ask;
//var dist_bid = price.Bid - MA0[0];
//var trend0 = ((Monic)MA0.Extrapolate(1, 5).Curve).A;
//var trend1 = Instrument.EMASlope(0);
// //((Monic)MA1.Extrapolate(1, 5).Curve).A;
//// Bias the price distance from the MA by the trend
//dist_ask += trend0 * TrendWeight;
//dist_bid -= trend0 * TrendWeight;
//if (dist_ask > OpenDistance*mcs && Math.Sign(trend1) > 0)
//{
// var sign = +1;
// var ep = price.Ask;
// var tt = TradeType.Buy;
// var sl = ep - sign * mcs * SLFrac;
// var tp = (QuoteCurrency?)null;
// var vol = Broker.ChooseVolume(Instrument, Math.Abs(ep - sl), risk:Risk);
// var trade = new Trade(Instrument, tt, Label, price.Ask, sl, tp, vol);
// Broker.CreateOrder(trade);
//}
//if (dist_bid > OpenDistance*mcs && Math.Sign(trend1) < 0)
//{
// var sign = -1;
// var ep = price.Bid;
// var tt = TradeType.Sell;
// var sl = ep - sign * mcs * SLFrac;
// var tp = (QuoteCurrency?)null;
// var vol = Broker.ChooseVolume(Instrument, Math.Abs(ep - sl), risk:Risk);
// var trade = new Trade(Instrument, tt, Label, price.Bid, sl, tp, vol);
// Broker.CreateOrder(trade);
//}
}
// Break point helper
if (Instrument.NewCandle)
{
Dump();
}
}
protected override void Step()
{
if (!Instrument.NewCandle)
{
return;
}
// Look for trade entry
var sets_count = PositionSets.Count + PendingOrders.Count();
if (sets_count < MaxPositionSets && EntryCooldown == 0)
{
// Wait for a Doji candle
var mcs = Instrument.MCS;
var A = Instrument[-1];
var a_type = A.Type(mcs);
if (!a_type.IsIndecision())
{
return;
}
// Look for strong trade direction indications
var trade_sign = (int?)null;
for (;;)
{
// Divergent extrapolation
var q0 = (Quadratic)MA0.Future.Curve;
var q1 = (Quadratic)MA1.Future.Curve;
var intersect = Maths.Intersection(q0, q1);
if (Math.Sign(q0.A) != Math.Sign(q1.A) || intersect.Length == 0) // || intersect.FirstOrDefault() >= 0)
{
break;
}
trade_sign = Math.Sign(q0.A);
break;
}
// Look for Marubozu followed by doji
for (;;)
{
// Find the preceding non-doji
var i = -2;
var B = Instrument[i];
var b_type = B.Type(mcs);
for (; i > Instrument.IdxFirst && b_type.IsIndecision(); --i, B = Instrument[i], b_type = B.Type(mcs))
{
}
if (!b_type.IsTrend())
{
break;
}
{
var sign = trade_sign ?? -B.Sign;
var ep = A.Close;
var tt = CAlgo.SignToTradeType(sign);
var sl = ep - sign * mcs * SLFrac;
var tp = ep + sign * mcs * SLFrac * 4;
//var tp = (QuoteCurrency?)null;
var vol = Broker.ChooseVolume(Instrument, Math.Abs(ep - sl), risk: Risk);
var trade = new Trade(Instrument, tt, Label, ep, sl, tp, vol)
{
Expiration = Instrument.ExpirationTime(1)
};
Broker.CreateOrder(trade);
Debugging.Trace(" -Doji followed by Marubozu");
return;
}
}
// Look for a strong candle trend followed by a hammer or inverted hammer
for (;;)
{
// Get the candle trend leading up to 'A'
var candle_trend = Instrument.MeasureTrendFromCandles(-3, -1);
if (Math.Abs(candle_trend) < 0.8)
{
break;
}
// Look for a hammer pattern
if (a_type == Candle.EType.Hammer && Math.Sign(candle_trend) > 0)
{
break;
}
if (a_type == Candle.EType.InvHammer && Math.Sign(candle_trend) < 0)
{
break;
}
{
var sign = trade_sign ?? -Math.Sign(candle_trend);
var ep = A.Close;
var tt = CAlgo.SignToTradeType(sign);
var sl = ep - sign * mcs * SLFrac;
var tp = ep + sign * mcs * SLFrac * 4;
//var tp = (QuoteCurrency?)null;
var vol = Broker.ChooseVolume(Instrument, Math.Abs(ep - sl), risk: Risk);
var trade = new Trade(Instrument, tt, Label, ep, sl, tp, vol)
{
Expiration = Instrument.ExpirationTime(1)
};
Broker.CreateOrder(trade);
Debugging.Trace(" -{0} pattern".Fmt(a_type));
return;
}
}
//var trend_sign = Math.Sign(MA0[0].CompareTo(MA1[0]));
//var price_range = Instrument.PriceRange(i, 1).Inflate(1.05);
}
}
protected override void Step()
{
// Look for trade entry
var sets_count = PositionSets.Count + PendingOrders.Count();
if (sets_count < MaxPositionSets && EntryCooldown == 0)
{
// Wait for a sequence of candles entirely above or below the MA
var price = Instrument.LatestPrice;
var mcs = Instrument.MCS;
// Look for a sequence of candles that are entirely above or below the MA
var bulge = FindBulges(0, MA0).FirstOrDefault();
if (bulge.Sign != 0 && Instrument.IdxLast - bulge.Range.End <= NonIntersectingCount)
{
Debugging.AreaOfInterest(bulge.Range, append: false);
// Decide the direction
int sign = 0;
//// Trade in the direction of the slow MA if it is trending strongly
//var ma_slope = MA1.FirstDerivative(0) / Instrument.PipSize;
//if (Math.Abs(ma_slope) > MATrendSlope)
//{
// sign = Math.Sign(ma_slope);
//}
//else
{
// Using measured stats of bulge sequences, the probabilities are:
// 0 = below the MA, 1 = above the MA
var next_bulge_sign = new []
{
-1, // 000: -0.168091168091168 (count=351)
+1, // 001: 0.224489795918367 (count=245)
-1, // 010: -0.069767441860465 (count=172)
+1, // 011: 0.158730158730159 (count=252)
-1, // 100: -0.195121951219512 (count=246)
+1, // 101: 0.139664804469274 (count=179)
-1, // 110: -0.217391304347826 (count=253)
+1, // 111: 0.064102564102564 (count=312)
};
// Include the current bulge because the trade triggers when this bulge closes
var bulge_signs = new List <int>();
FindBulges(0, MA0).Take(3).ForEach(b => bulge_signs.Insert(0, b.Sign)); // Careful with order
sign = next_bulge_sign[Bit.SignsToIndex(bulge_signs)];
}
{ // Create a pending order
var ep = MA0[0];
var tt = CAlgo.SignToTradeType(sign);
var sl = ep - sign * mcs * SLFrac; // Note: the SL needs to be big enough that a paired order is triggered before this trade is closed
var tp = (QuoteCurrency?)null;
var vol = Broker.ChooseVolume(Instrument, Math.Abs(ep - sl), risk: Risk);
var trade = new Trade(Instrument, tt, Label, ep, sl, tp, vol, comment: Guid.NewGuid().ToString())
{
Expiration = Instrument.ExpirationTime(1)
};
Broker.CreatePendingOrder(trade);
}
EntryCooldown = 1;
}
}
// Increase position size on winning positions
//IncreasePosition();
// Break point helper
if (Instrument.NewCandle)
{
Dump();
}
}