protected void signalPerformanceOptimization(TA.PriceVolumeSeries series, double[] data, int windowSize)
{
double stopLossFrom = 0.02;
double stopLossTo = 0.04;
double stopLossStep = 0.001;
double buySignalFrom = 0.9;;
double buySignalTo = 1.1;
double sellSignalFrom = 0.9;
double sellSignalTo = 1.1;
double signalStep = 0.002;
int maxDays = 1000;
int daysFrom = 1;
int daysTo = 10;
int daysStep = 1;
long loopsTotal = (long)(((buySignalTo - buySignalFrom) / signalStep) * ((sellSignalFrom - sellSignalTo) / signalStep) * ((stopLossTo - stopLossFrom) / stopLossStep) * (daysFrom - daysTo));
System.Collections.Generic.List <TradeSession> bestBlocks = new System.Collections.Generic.List <TradeSession>(40);
double buySignal = buySignalFrom;
while (buySignal < buySignalTo)
{
double sellSignal = sellSignalFrom;
while (sellSignal < sellSignalTo)
{
double stopLoss = stopLossFrom;
while (stopLoss < stopLossTo)
{
int days = daysFrom;
while (days < daysTo)
{
signalPerformanceOptimization(series, data, windowSize, stopLoss, maxDays, sellSignal, buySignal, days, bestBlocks);
loopsTotal--;
if ((loopsTotal & 0xFFFF) == 0)
{
System.Console.Write("." + loopsTotal);
}
days = days + daysStep;
}
stopLoss += stopLossStep;
}
sellSignal += signalStep;
}
buySignal += signalStep;
}
TradeSession bs = findBest(bestBlocks);
System.Console.WriteLine("pTotal=" + (int)(100 * bs.p) + ", days=" + bs.days +
", hits=" + bs.hits + ", maxDrawDown=" + (int)(100 * bs.maxDrawDown) + "" +
", trades=" + bs.trades.Count + ", stopLoss=" + bs.stopLoss + ", maxDays=" + bs.maxDays +
", sellSig=" + bs.sellSignal + ", buySig=" + bs.buySignal + ", wind=" + windowSize);
signalPerformancePrintTrades(bs.trades);
}
protected bool signalBuy(TA.PriceVolumeSeries series, int idx, double diff, int days)
{
bool res = false;
if (idx >= days)
{
TA.Candle candleCur = (TA.Candle)series.Data[idx];
TA.Candle candlePrev = (TA.Candle)series.Data[idx - days];
res = (candleCur.high * diff > candlePrev.high);
}
return(res);
}
protected void feedFisherTransformCallback(IWrite iWrite, string cmdName, object[] cmdArguments)
{
TA.PriceVolumeSeries series = FeedSeries;
// first step is to calculate max, min, average etc.
series.CalculateParams();
iWrite.WriteLine("Series: count=" + series.Data.Count + ", max=" + series.Max + ", min=" + series.Min + ", average=" + series.Average + ", sd=" + series.StdDeviation);
double average, max, min;
double[] data = TA.PriceVolumeSeries.GetClose(series);
TA.PriceVolumeSeries.CalculateAverage(data, 0, data.Length, out average, out max, out min);
iWrite.WriteLine("Data: count=" + data.Length + ",max=" + series.Max + ", min=" + series.Min + ", average=" + series.Average + ", sd=" + series.StdDeviation);
int windowSize = 10;
// now normalize the data
data = TA.PriceVolumeSeries.Normalize(data, windowSize);
TA.PriceVolumeSeries.CalculateAverage(data, 0, data.Length, out average, out max, out min);
iWrite.WriteLine("Normalize(data): count=" + data.Length + ",max=" + max + ", min=" + min + ", average=" + average);
TA.PriceVolumeSeries.EMA(data, 0.5);
TA.PriceVolumeSeries.CalculateAverage(data, 0, data.Length, out average, out max, out min);
iWrite.WriteLine("EMA(Normalize(data)): count=" + data.Length + ",max=" + max + ", min=" + min + ", average=" + average);
TA.PriceVolumeSeries.Fisher(data);
TA.PriceVolumeSeries.CalculateAverage(data, 0, data.Length, out average, out max, out min);
iWrite.WriteLine("Fisher(EMA(Normalize(data))): count=" + data.Length + ",max=" + max + ", min=" + min + ", average=" + average);
TA.PriceVolumeSeries.EMA(data, 0.5);
TA.PriceVolumeSeries.CalculateAverage(data, 0, data.Length, out average, out max, out min);
iWrite.WriteLine("EMA(Fisher(EMA(Normalize(data)))): count=" + data.Length + ",max=" + max + ", min=" + min + ", average=" + average);
int i;
for (i = 0; i < data.Length; i++)
{
// iWrite.WriteLine(""+data[i]);
}
signalPerformanceOptimization(series, data, windowSize);
}
protected void _signalPerformanceOptimization(TA.PriceVolumeSeries series, double[] data, int windowSize)
{
double stopLossStep = 0.001;
System.Collections.Generic.List <TradeSession> bestBlocks = new System.Collections.Generic.List <TradeSession>(40);
double buySignal = -1.94;
double sellSignal = 1.7;
double stopLoss = 0.026;
signalPerformanceOptimization(series, data, windowSize, stopLoss, 1000, 1.05, 0.9, 3, bestBlocks);
TradeSession bs = findBest(bestBlocks);
System.Console.WriteLine("pTotal=" + (int)(100 * bs.p) + ", days=" + bs.days +
", hits=" + bs.hits + ", maxDrawDown=" + (int)(100 * bs.maxDrawDown) + "" +
", trades=" + bs.trades.Count + ", stopLoss=" + bs.stopLoss + ", maxDays=" + bs.maxDays +
", sellSig=" + bs.sellSignal + ", buySig=" + bs.buySignal + ", wind=" + windowSize);
signalPerformancePrintTrades(bs.trades);
}
public bool GetSeries(DateTime start, DateTime end, Equity equity, DataFeed.DataType dataType, out TA.PriceVolumeSeries series)
{
string symbol = equity.Symbol;
bool result = false;
series = null;
do
{
int size = (int)Math.Round((end - start).TotalDays);
if (size <= 0)
{
break;
}
// preallocate some memory
series = new TA.PriceVolumeSeries(size);
string url;
result = buildURL(symbol, start, end, dataType, out url);
if (!result)
{
break;
}
Console.WriteLine("Get data from URL " + url + " between " + start + " and " + end);
HttpWebRequest httpRequest = (HttpWebRequest)WebRequest.Create(url);
HttpWebResponse httpResponse = (HttpWebResponse)httpRequest.GetResponse();
Stream readStream = httpResponse.GetResponseStream();
result = fillDataArray(readStream, series);
}while (false);
return(result);
}
protected void feedGetSeriesFromFileCallback(IWrite iWrite, string cmdName, object[] cmdArguments)
{
int argsNum = cmdArguments.Length;
string[] args = (string[])cmdArguments;
// string filename = "yahoo_feed_data.csv";
string filename = "yahoo_feed_data_5y.csv";
switch (argsNum)
{
case 2:
filename = args[1];
break;
default:
break;
}
if (filename == null)
{
iWrite.WriteLine("Filename is not specified");
}
else
{
IDataFeed dataFeed = new FeedYahoo();
bool result = dataFeed.GetSeries(filename, out FeedSeries);
TA.PriceVolumeSeries series = FeedSeries;
if (result)
{
iWrite.WriteLine("Parsed " + series.Data.Count + " entries");
}
else
{
iWrite.WriteLine("Failed to read data from server");
}
}
}
public bool GetSeries(string fileName, out TA.PriceVolumeSeries series)
{
bool result = false;
series = null;
FileStream fileStream = null;
do
{
try
{
fileStream = new FileStream(fileName, FileMode.Open, FileAccess.Read, FileShare.Read);
}
catch (IOException e)
{
System.Console.WriteLine("Failed to open file " + fileName + " for reading");
System.Console.WriteLine(e.ToString());
break;
}
// preallocate some memory
series = new TA.PriceVolumeSeries(50);
result = fillDataArray(fileStream, series);
if (!result)
{
System.Console.WriteLine("Failed to parse file " + fileName);
}
}while (false);
if (fileStream != null)
{
fileStream.Close();
}
return(result);
}
static bool fillDataArray(Stream streamReader, TA.PriceVolumeSeries series)
{
bool result = false;
byte[] buf = new byte[8192];
StringBuilder sb = new StringBuilder();
// read all data from the stream
while (true)
{
int count = streamReader.Read(buf, 0, buf.Length);
// nothing to read ?
if (count == 0)
{
break;
}
// translate from bytes to ASCII text
string tempString = Encoding.ASCII.GetString(buf, 0, count);
// continue building the string
sb.Append(tempString);
}
string str = sb.ToString();
// buffer sb contains lines separated by 0x0A (line feed)
// skip first line
int indexEnd;
int indexStart = str.IndexOf((char)0x0A, 0);
result = false;
do
{
indexStart += 1;
indexEnd = str.IndexOf((char)0x0A, indexStart);
if (indexEnd <= 0)
{
System.Console.WriteLine("195:Failed to parse price data " + str);
break;
}
result = ((indexEnd - indexStart) > 1);
if (!result)
{
System.Console.WriteLine("202:Failed to parse price data " + str);
break;
}
string data = str.Substring(indexStart, indexEnd - indexStart);
TA.Candle candle;
result = strToCandle(data, out candle);
if (!result)
{
System.Console.WriteLine("211:Failed to parse candle data " + data + " indexStart=" + indexStart + " indexEnd=" + indexEnd);
break;
}
series.Data.Insert(0, candle);
indexStart = indexEnd;
// end of data ?
if (indexEnd >= (str.Length - 1))
{
result = true;
break;
}
}while (true);
if (!result)
{
}
return(result);
}
public bool GetSeries(string fileName, out TA.PriceVolumeSeries series)
{
bool result = false;
series = null;
FileStream fileStream = null;
do
{
try
{
fileStream = new FileStream(fileName, FileMode.Open, FileAccess.Read, FileShare.Read);
}
catch (IOException e)
{
System.Console.WriteLine("Failed to open file " + fileName + " for reading");
System.Console.WriteLine(e.ToString());
break;
}
// preallocate some memory
series = new TA.PriceVolumeSeries(50);
result = fillDataArray(fileStream, series);
if (!result)
{
System.Console.WriteLine("Failed to parse file " + fileName);
}
}
while (false);
if (fileStream != null)
{
fileStream.Close();
}
return result;
}
public bool GetSeries(DateTime start, DateTime end, Equity equity, DataFeed.DataType dataType, out TA.PriceVolumeSeries series)
{
string symbol = equity.Symbol;
bool result = false;
series = null;
do
{
int size = (int)Math.Round((end - start).TotalDays);
if (size <= 0)
{
break;
}
// preallocate some memory
series = new TA.PriceVolumeSeries(size);
string url;
result = buildURL(symbol, start, end, dataType, out url);
if (!result)
{
break;
}
Console.WriteLine("Get data from URL " + url + " between " + start + " and " + end);
HttpWebRequest httpRequest = (HttpWebRequest)WebRequest.Create(url);
HttpWebResponse httpResponse = (HttpWebResponse)httpRequest.GetResponse();
Stream readStream = httpResponse.GetResponseStream();
result = fillDataArray(readStream, series);
}
while (false);
return result;
}
protected void signalPerformance(TA.PriceVolumeSeries series, double stopLoss, int maxDays, int idx, bool isBuy, double diffSell, double diffBuy, int sigDays, out Trade trade)
{
trade = new Trade();
trade.isBuy = isBuy;
trade.idx = idx;
int count = series.Data.Count;
TA.Candle candle = (TA.Candle)series.Data[idx];
trade.candleEntry = candle;
double entryPoint = candle.close;
double close = entryPoint;
double bestClose = close;
bool isSell = !isBuy;
int i;
int days = 0;
for (i = idx + 1; i < count; i++)
{
candle = (TA.Candle)series.Data[i];
days++;
if (signalStop(isBuy, stopLoss, maxDays, entryPoint, close, candle.close, days, bestClose))
{
break;
}
if (isBuy && signalSell(series, idx, diffSell, sigDays))
{
break;
}
if (isSell && signalBuy(series, idx, diffSell, sigDays))
{
break;
}
close = candle.close;
if (isBuy)
{
if (bestClose < close)
{
bestClose = close;
}
}
else
{
if (bestClose > close)
{
bestClose = close;
}
}
}
double delta;
delta = entryPoint - candle.close;
if (isBuy)
{
delta = -delta;
}
double p = delta / entryPoint;
trade.candleExit = candle;
trade.entry = entryPoint;
trade.exit = candle.close;
trade.p = p;
trade.days = days;
}
protected void signalPerformanceOptimization(TA.PriceVolumeSeries series, double[] data, int windowSize,
double stopLoss,
int maxDays, double diffSell, double diffBuy, int days,
System.Collections.Generic.List <TradeSession> bestBlocks)
{
Trade trade;
System.Collections.Generic.List <Trade> trades = new System.Collections.Generic.List <Trade>(10);
int i = 0;
while (i < (data.Length - 1))
{
int idx = i + windowSize;
TA.Candle candle = (TA.Candle)series.Data[idx];
double p;
if (signalSell(series, idx, diffSell, days))
{
signalPerformance(series, stopLoss, maxDays, idx, false, diffSell, diffBuy, days, out trade);
if (trades.Count < 200)
{
trades.Add(trade);
}
else
{
break;
}
i += Math.Max(1, trade.days);
// System.Console.Write("\tSell at "+idx+" entry="+trade.entry+" exit="+trade.exit+" "+candle.ToString());
// System.Console.WriteLine(" p="+trade.p+", days="+trade.days+", exit at "+(idx+trade.days));
}
else if (signalBuy(series, idx, diffBuy, days)) // buy condition and trigger
{
signalPerformance(series, stopLoss, maxDays, idx, true, diffSell, diffBuy, days, out trade);
if (trades.Count < 200)
{
trades.Add(trade);
}
else
{
break;
}
i += Math.Max(1, trade.days);
// System.Console.Write("\tBuy at "+idx+" entry="+trade.entry+" exit="+trade.exit+" "+candle.ToString());
// System.Console.WriteLine(" p="+trade.p+", days="+trade.days+", exit at "+(idx+trade.days));
}
else
{
i++;
}
}
double pTotal;
int daysTotal;
int hits;
double maxDrawDown;
signalPerformanceGetTrades(trades, out daysTotal, out hits, out pTotal, out maxDrawDown);
int misses = trades.Count - hits;
if ((pTotal > 1.1) && (trades.Count > 5) && (bestBlocks.Count < 1000))
{
TradeSession ts = new TradeSession();
ts.trades = trades;
ts.maxDays = maxDays;
ts.p = pTotal;
ts.days = daysTotal;
ts.hits = hits;
ts.stopLoss = stopLoss;
ts.sellSignal = diffSell;
ts.buySignal = diffBuy;
ts.maxDays = maxDays;
ts.maxDrawDown = maxDrawDown;
bestBlocks.Add(ts);
System.Console.Write("+");
// System.Console.WriteLine("p="+pTotal);
// signalPerformancePrintTrades(trades);
}
if ((pTotal > 2) && (trades.Count > 5) && (bestBlocks.Count > 1000))
{
System.Console.Write("-");
}
// System.Console.Write("1");
}
protected void feedGetSeriesCallback(IWrite iWrite, string cmdName, object[] cmdArguments, bool outputToFile)
{
int argsNum = cmdArguments.Length;
string symbol = null;
DateTime from = DateTime.Today - TimeSpan.FromDays(30);
DateTime to = DateTime.Now;
DateTime tmp;
bool result = true;
string[] args = (string[])cmdArguments;
string filename = null;
switch (argsNum)
{
case 1:
result = false;
break;
case 2:
if (outputToFile)
{
result = false;
}
else
{
symbol = args[1];
}
break;
case 3:
if (outputToFile)
{
symbol = args[1];
filename = args[2];
}
else
{
symbol = args[1];
result = DateTime.TryParse(args[2], out tmp);
if (result)
{
from = tmp;
}
}
break;
case 4:
if (outputToFile)
{
symbol = args[1];
filename = args[2];
result = DateTime.TryParse(args[3], out tmp);
if (result)
{
from = tmp;
}
}
else
{
symbol = args[1];
result = DateTime.TryParse(args[2], out tmp);
if (result)
{
from = tmp;
}
result = DateTime.TryParse(args[3], out tmp);
if (result)
{
to = tmp;
}
}
break;
case 5:
default:
if (outputToFile)
{
symbol = args[1];
filename = args[2];
result = DateTime.TryParse(args[3], out tmp);
if (result)
{
from = tmp;
}
result = DateTime.TryParse(args[4], out tmp);
if (result)
{
to = tmp;
}
}
else
{
symbol = args[1];
result = DateTime.TryParse(args[2], out tmp);
if (result)
{
from = tmp;
}
result = DateTime.TryParse(args[3], out tmp);
if (result)
{
to = tmp;
}
}
break;
}
if (!result)
{
iWrite.WriteLine("Please, specify symbol, from and to date");
return;
}
IDataFeed dataFeed = new FeedYahoo();
result = dataFeed.GetSeries(from, to, new Equity(symbol), DataFeed.DataType.Daily, out FeedSeries);
TA.PriceVolumeSeries series = FeedSeries;
if (result)
{
System.IO.FileStream fileStream = null;
iWrite.WriteLine("Parsed " + series.Data.Count + " entries");
if (outputToFile)
{
bool shouldClose = false;
try
{
fileStream = new System.IO.FileStream(filename, FileMode.CreateNew, FileAccess.Write, FileShare.Read);
shouldClose = true;
StreamWriter streamWriter = new StreamWriter(fileStream);
streamWriter.Write(series.ToString(TA.PriceVolumeSeries.Format.Table));
streamWriter.Flush();
fileStream.Close();
shouldClose = false;
}
catch (IOException e)
{
iWrite.WriteLine(e.ToString());
}
if (shouldClose)
{
fileStream.Close();
}
}
else
{
iWrite.WriteLine(series.ToString(TA.PriceVolumeSeries.Format.Table));
}
}
else
{
iWrite.WriteLine("Failed to read data from server");
}
}
