public static void Initialize(BBTrendFundsData data, string[] fundsNames, int bbPeriod, float bbSigmaWidth, int hlPeriod, IStockDataProvider dataProvider)
{
for (int i = 0; i < fundsNames.Length; i++)
{
data.Stocks[i] = dataProvider.GetStockDefinition(fundsNames[i]);
StockStat statBB = new StatBB("")
.SetParam(StatBBParams.Period, new MOParamInt()
{
Value = bbPeriod
})
.SetParam(StatBBParams.SigmaWidth, new MOParamFloat()
{
Value = bbSigmaWidth
});
data.StatsBB[i] = (StatBB)statBB;
data.CurrentTrends[i] = BBTrendType.Unknown;
data.CurrentExpectations[i] = BBTrendExpectation.Unknown;
StockStat statHL = new StatHLChannel("")
.SetParam(StatHLChannelParams.Period, new MOParamInt()
{
Value = hlPeriod
});
data.StatsHLChannel[i] = (StatHLChannel)statHL;
data.ExpectationChanged[i] = false;
}
}
public SignalsBBTrendFunds(ISystemDataLoader dataLoader, IStockDataProvider dataProvider, ISystemExecutionLogger systemExecutionLogger)
{
_dataLoader = dataLoader;
_systemExecutionLogger = systemExecutionLogger;
_dataRange = StockDataRange.Monthly;
_fundsData = new BBTrendFundsData(_fundsNames.Length);
BBTrendFundsDataCalculator.Initialize(_fundsData, _fundsNames, BBPeriod, BBSigmaWidth, HLPeriod, dataProvider);
_rebalanceSignal = new ModNCounter(RebalanceInterval);
}
private static bool PriceAbovePrevMaxH(BBTrendFundsData data, int stockIndex, int dataIndex, float price)
{
StatHLChannel statHL = data.StatsHLChannel[stockIndex];
if (dataIndex < statHL.BackBufferLength + 1)
{
return(false);
}
return(statHL.Data(StatHLChannelData.H)[dataIndex - statHL.BackBufferLength] < price);
}
//private readonly ModNCounter _rebalanceSignal;
public SignalsBBTrendMultiFunds(ISystemDataLoader dataLoader, IStockDataProvider dataProvider, ISystemExecutionLogger systemExecutionLogger)
{
_aggressiveFunds = _fundsNames.Select((_, i) => i > 0).ToArray();
if (_fundsNames.Length != _aggressiveFunds.Length)
{
throw new Exception("_fundsNames != _aggressiveFunds");
}
_dataLoader = dataLoader;
_systemExecutionLogger = systemExecutionLogger;
_dataRange = StockDataRange.Monthly;
_fundsData = new BBTrendFundsData(_fundsNames.Length);
BBTrendFundsDataCalculator.Initialize(_fundsData, _fundsNames, BBPeriod, BBSigmaWidth, HLPeriod, dataProvider);
//_rebalanceSignal = new ModNCounter(RebalanceInterval);
}
public static void CalculateMaxValuesAndStops(BBTrendFundsData data, float stopWidth, DateTime ts, StockDataRange dataRange, ISystemDataLoader dataLoader)
{
for (int i = 0; i < data.Stocks.Length; i++)
{
if (data.CurrentTrends[i] != BBTrendType.Up)
{
data.UpTrendMaxValues[i] = float.MinValue;
data.UpTrendStopValues[i] = float.MinValue;
continue;
}
if (!dataLoader.GetWithIndex(data.Stocks[i].FullName, dataRange, ts, out StockPricesData spData, out int dataIndex))
{
continue;
}
//data.UpTrendMaxValues[i] = Math.Max(spData.H[dataIndex], data.UpTrendMaxValues[i]);
data.UpTrendMaxValues[i] = Math.Max(spData.C[dataIndex], data.UpTrendMaxValues[i]);
data.UpTrendStopValues[i] = data.UpTrendMaxValues[i] * (1f - stopWidth);
}
}
public static void CalculateTrendsAndExpectations(BBTrendFundsData data, DateTime ts, StockDataRange dataRange, ISystemDataLoader dataLoader)
{
for (int i = 0; i < data.Stocks.Length; i++)
{
if (!dataLoader.GetWithIndex(data.Stocks[i].FullName, dataRange, ts, data.StatsBB[i].BackBufferLength, out StockPricesData spData, out int dataIndex))
{
continue;
}
BBTrendType lastTrend = data.CurrentTrends[i];
data.CurrentTrends[i] = BBTrendRecognizer.BBTrendRecognizer.RecognizeTrend(spData, data.StatsBB[i], dataIndex, data.CurrentTrends[i], out float trendStartLevel);
if (lastTrend != data.CurrentTrends[i])
{
data.UpTrendStartValues[i] = trendStartLevel;// spData.H[dataIndex];
data.TrendLength[i] = 0;
}
data.TrendLength[i]++;
BBTrendExpectation lastExpectation = data.CurrentExpectations[i];
data.CurrentExpectations[i] = BBTrendRecognizer.BBTrendRecognizer.GetExpectation(spData, data.StatsBB[i], dataIndex, data.CurrentTrends[i]);
data.ExpectationChanged[i] = (lastExpectation != data.CurrentExpectations[i]);
}
}
public static void CheckStops(BBTrendFundsData data, DateTime ts, StockDataRange dataRange, ISystemDataLoader dataLoader)
{
for (int i = 0; i < data.Stocks.Length; i++)
{
if (data.CurrentTrends[i] != BBTrendType.Up)
{
data.StoppedOut[i] = false;
continue;
}
if (!dataLoader.GetWithIndex(data.Stocks[i].FullName, dataRange, ts, out StockPricesData spData, out int dataIndex))
{
continue;
}
if (data.StoppedOut[i])
{
data.StoppedOut[i] = (spData.C[dataIndex] <= data.StoppedOutValues[i]) || !PriceAbovePrevMaxH(data, i, dataIndex, spData.C[dataIndex]);
}
else
{
data.StoppedOut[i] = (spData.C[dataIndex] <= data.UpTrendStopValues[i]);
}
}
}
public static Signal CreateSignal(float[] newBalance, StockDataRange dataRange, BBTrendFundsData fundsData) =>
