public void StoreData(string[] _timeFrame)
{
//shouldn't need to do this
SqlConnection dbConnect = new SqlConnection(connectionString);
dbConnect.Open();
EUR_USDDataContext linqInterop = new EUR_USDDataContext(dbConnect);
ProgressBarOptions progressBarOptions = new ProgressBarOptions {
ProgressCharacter = '*'
};
ProgressBar progressBar = new ProgressBar(runLength * _timeFrame.Count() - 1, "Saving bar data to local storage", progressBarOptions);
foreach (var tf in _timeFrame)
{
for (int i = 0; i < runLength - 1; i++)
{
DateTime runDate = startDate.AddDays(i);
//can't trade on weekends and december 25th, Jan 1st
if (!(runDate.DayOfWeek == DayOfWeek.Saturday) && !(runDate.DayOfWeek == DayOfWeek.Sunday) && !(runDate.Date == new DateTime(runDate.Year, 12, 25)) && !(runDate.Date == new DateTime(runDate.Year, 1, 1)))
{
DateTime startTime = runDate.Add(new TimeSpan(00, 00, 00));
DateTime endTime = runDate.Add(new TimeSpan(23, 59, 59));
bars = instruments.GetBars(startTime, endTime, tf);
for (int i2 = 0; i2 < bars.candles.Count - 1; i2++)
{
//write rows to db
BarData row = new BarData
{
SystemTime = DateTime.Now,
BarTime = bars.candles[i2].time,
c = bars.candles[i2].mid.c,
o = bars.candles[i2].mid.o,
h = bars.candles[i2].mid.h,
l = bars.candles[i2].mid.l,
Volume = bars.candles[i2].volume,
Timeframe = tf
};
linqInterop.BarDatas.InsertOnSubmit(row);
}
linqInterop.SubmitChanges();
}
progressBar.Tick();
}
}
//clean up
linqInterop.Dispose();
dbConnect.Close();
}
public void Reset(string[] _tables)
//delete all rows in specified tables, tables names should be from DataContext NOT SQL server table names
{
SqlConnection dbConnect = new SqlConnection(connectionString);
dbConnect.Open();
EUR_USDDataContext linqInterop = new EUR_USDDataContext(dbConnect);
foreach (var i in _tables)
{
var table = (ITable)linqInterop.GetType().GetProperty(i).GetValue(linqInterop, null);
table.DeleteAllOnSubmit(table);
linqInterop.SubmitChanges();
}
linqInterop.Dispose();
dbConnect.Close();
}
private void SimpleTrendFollowing()
{
SqlConnection dbConnect = new SqlConnection(connectionString);
dbConnect.Open();
EUR_USDDataContext linqInterop = new EUR_USDDataContext(dbConnect);
void BuildLog(int _i)
//build object for logging to database
{
SimpleTrendFollowing row = new SimpleTrendFollowing
{
BarTime = bars.candles[_i].time,
SystemTime = DateTime.Now,
StandardDeviation = standardDeviation,
TimeFrame = timeFrame,
SMA50 = indicator[_i].result,
LossTrades = lossTrades,
ProfitTrades = profitTrades,
TakeProfit = takeProfit,
Distance = distance,
TotalTrades = totalTrades,
Trade = trade,
StopLoss = stopLoss,
AccountBalance = accountBalance,
Trend = trend.ToString()
};
linqInterop.SimpleTrendFollowings.InsertOnSubmit(row);
linqInterop.SubmitChanges();
}
decimal padding = 1.0M; //added to standard deviation for stoploss calculation
int tradesPerDay = maxTradesPerDay;
bool openOrder = false;
int windowSize = 50; //should be same as SMA period
//trade when market is strongest, EST
TimeSpan start = new TimeSpan(05, 00, 00);
TimeSpan end = new TimeSpan(22, 59, 00);
for (int i = 1; i <= bars.candles.Count - 1; i++)
{
trade = default;
//create sliding window
OandaRootInstrumentObject barWindow = new OandaRootInstrumentObject();
if (i < windowSize)
{
barWindow.candles = new List <Candle>();
barWindow.candles = bars.candles.GetRange(0, i + 1);
}
/*
* else if (i>bars.candles.Count-1-windowSize)
* {
* barWindow.candles = new List<Candle>();
* barWindow.candles = bars.candles.GetRange(i, bars.candles.Count-i);
* }
*/
else
{
barWindow.candles = new List <Candle>();
barWindow.candles = bars.candles.GetRange(i - windowSize, windowSize);
}
indicator.Add(new IndicatorOverTime {
result = Indicators.SMA(barWindow), time = bars.candles[i].time
});
trend = Indicators.Trend(indicator);
//if time of bar within trading window
if (bars.candles[i].time.TimeOfDay <= end && bars.candles[i].time.TimeOfDay >= start && openOrder == false)
{
if (tradesPerDay > 0)
{
if (trend == TrendDirection.StrongUp) //go long
{
trade = "Long:Start";
closingPrice = new List <double>();
//get closing price for last 100 bars to calc standard deviation
for (int i2 = 0; i2 < barWindow.candles.Count - 1; i2++)
{
closingPrice.Add((double)barWindow.candles[i2].mid.c);
}
standardDeviation = (decimal)MathNet.Numerics.Statistics.ArrayStatistics.StandardDeviation(closingPrice.ToArray());
distance = (standardDeviation * 2 + (standardDeviation * padding));
stopLoss = (decimal)bars.candles[i].mid.c - distance;
takeProfit = (decimal)bars.candles[i].mid.c + (distance * riskVsReward);
tradesPerDay = tradesPerDay - 1;
openOrder = true;
BuildLog(i);
}
else if (trend == TrendDirection.StrongDown) //short
{
trade = "Short:Start";
closingPrice = new List <double>();
//get closing price for last 100 bars to calc standard deviation
for (int i2 = 0; i2 < barWindow.candles.Count - 1; i2++)
{
closingPrice.Add((double)barWindow.candles[i2].mid.c);
}
standardDeviation = (decimal)MathNet.Numerics.Statistics.ArrayStatistics.StandardDeviation(closingPrice.ToArray());
distance = (standardDeviation * 2 + (standardDeviation * padding));
stopLoss = (decimal)bars.candles[i].mid.c + distance;
takeProfit = (decimal)bars.candles[i].mid.c - (distance * riskVsReward);
tradesPerDay = tradesPerDay - 1;
openOrder = true;
BuildLog(i);
}
}
}
else if (openOrder == true) //check if price targets have been met
{
if (stopLoss > takeProfit) //short
{
if (bars.candles[i].mid.c <= takeProfit) //profit
{
openOrder = false;
trade = "Short:Profit";
profitTrades++;
totalTrades = profitTrades + lossTrades;
Profit();
BuildLog(i);
}
else if (bars.candles[i].mid.c >= stopLoss) //loss
{
openOrder = false;
trade = "Short:Loss";
lossTrades++;
totalTrades = profitTrades + lossTrades;
Loss();
BuildLog(i);
}
}
else //long
{
if (bars.candles[i].mid.c >= takeProfit) //profit
{
openOrder = false;
trade = "Long:Profit";
profitTrades++;
totalTrades = profitTrades + lossTrades;
Profit();
BuildLog(i);
}
else if (bars.candles[i].mid.c <= stopLoss) //loss
{
openOrder = false;
trade = "Long:Loss";
lossTrades++;
totalTrades = profitTrades + lossTrades;
Loss();
BuildLog(i);
}
}
}
if (bars.candles[i].time.TimeOfDay == new TimeSpan(00, 00, 00)) //check for end of day, reset count
{
tradesPerDay = maxTradesPerDay;
//closingPrice = new List<double>();
//closedTrade = default;
}
}
linqInterop.Dispose();
dbConnect.Close();
}
public void Run(string _algorithim, string[] _timeFrames)
{
//run backtesting against specific algorithim against multiple timeframes
SqlConnection dbConnect = new SqlConnection(connectionString);
dbConnect.Open();
EUR_USDDataContext linqInterop = new EUR_USDDataContext(dbConnect);
ProgressBarOptions progressBarOptions = new ProgressBarOptions {
ProgressCharacter = '-'
};
ProgressBar progressBar = new ProgressBar(runLength * _timeFrames.Count(), "Backtesting against Bar data", progressBarOptions);
foreach (var tf in _timeFrames)
{
timeFrame = tf;
totalTrades = default;
profitTrades = default;
lossTrades = default;
accountBalance = startingBalance;
for (int i = 0; i < runLength - 1; i++)
{
bars = new OandaRootInstrumentObject {
candles = new List <Candle>(), granularity = tf, instrument = "EUR_USD"
};
DateTime runDate = startDate.AddDays(i);
//won't be days in DB for weekends, or december 25th, jan 01
if (!(runDate.DayOfWeek == DayOfWeek.Saturday) && !(runDate.DayOfWeek == DayOfWeek.Sunday) && !(runDate.Date == new DateTime(runDate.Year, 12, 25)) && !(runDate.Date == new DateTime(runDate.Year, 1, 1)))
{
//get all bars for the day for the selected timeframe, ordered by ID ascending, ID is identity and PK so these should always be unique in ascending order
var results = from r in linqInterop.BarDatas where (r.BarTime.Date == runDate.Date && r.Timeframe == tf) orderby r.ID ascending select r;
//need to massage data from sql db to OandaRootInstrumentObject
foreach (var bar in results)
{
bars.candles.Add(new Candle {
volume = bar.Volume, mid = (new Mid {
c = bar.c, h = bar.h, l = bar.l, o = bar.o
}), time = bar.BarTime
});
}
indicator = new List <IndicatorOverTime>();
indicator.Add(new IndicatorOverTime {
result = bars.candles[0].mid.c, time = bars.candles[0].time
});
trend = new TrendDirection();
//set because log file is written before trend is actually calculated, so should be sideways until there is enough data to actually determine the trend
trend = TrendDirection.Sideways;
switch (_algorithim)
{
case "SimpleTrendFollowing":
{
SimpleTrendFollowing();
break;
}
}
}
progressBar.Tick();
}
}
linqInterop.Dispose();
dbConnect.Close();
}
