public SVMBaselineSignal(
QuoteBarConsolidator dailyConsolidator,
ExponentialMovingAverage dailyALMA,
QuoteBarConsolidator shortTermConsolidator,
ArnaudLegouxMovingAverage alma5,
ArnaudLegouxMovingAverage alma8,
ArnaudLegouxMovingAverage alma13,
ArnaudLegouxMovingAverage alma21,
ArnaudLegouxMovingAverage alma34,
ArnaudLegouxMovingAverage alma55,
ArnaudLegouxMovingAverage alma89,
ArnaudLegouxMovingAverage alma144,
SchaffTrendCycle schaffTrendCycle,
AverageTrueRange atr,
AverageDirectionalIndex adx,
SecurityHolding securityHolding,
Security security,
SVMBaselineStrategy qcAlgorithm)
{
_dailyConsolidator = dailyConsolidator;
_dailyALMA = dailyALMA;
_rollingDailyAlma = HistoryTracker.Track(_dailyALMA);
_shortTermConsolidator = shortTermConsolidator;
_rollingConsolidator = HistoryTracker.Track(_shortTermConsolidator);
_schaffTrendCycle = schaffTrendCycle;
_rollingSchaffTrendCycle = HistoryTracker.Track(_schaffTrendCycle);
_atr = atr;
_adx = adx;
_alma5 = alma5;
_alma8 = alma8;
_alma13 = alma13;
_alma21 = alma21;
_alma34 = alma34;
_alma55 = alma55;
_alma89 = alma89;
_alma144 = alma144;
_rollingAlma5 = HistoryTracker.Track(_alma5, 100);
_rollingAlma8 = HistoryTracker.Track(_alma8, 100);
_rollingAlma13 = HistoryTracker.Track(_alma13, 100);
_rollingAlma21 = HistoryTracker.Track(_alma21, 100);
_rollingAlma34 = HistoryTracker.Track(_alma34, 100);
_rollingAlma55 = HistoryTracker.Track(_alma55, 100);
_rollingAlma89 = HistoryTracker.Track(_alma89, 100);
_rollingAlma144 = HistoryTracker.Track(_alma144, 100);
_windows = new List <RollingWindow <IndicatorDataPoint> > {
_rollingAlma5, _rollingAlma8, _rollingAlma13, _rollingAlma21, _rollingAlma34, _rollingAlma55, _rollingAlma89, _rollingAlma144
};
_windowCombinations = _windows.Combinations(3);
_maCross = new MovingAverageCross(_rollingAlma8, _rollingAlma21, _rollingAlma144);
_securityHolding = securityHolding;
_security = security;
_minimumPriceVariation = 10000m;
_qcAlgorithm = qcAlgorithm;
var eader = new string[] { "Time", "Signal" };
Storage.CreateFile($"C:\\Users\\M\\Desktop\\{_security.Symbol.Value}_ALMA_Signal.csv", eader);
if (_store)
{
var path = @"C:\Users\M\Desktop\EURUSD.csv";
var header = new string[] { "Time", "End Time", "Open", "High", "Low", "Close", "STC", "STC Previous", "EMA", "Slope", "Diff", "Prediction", "Signal" };
File.WriteAllText(path, string.Join(";", header) + Environment.NewLine);
var ohlcHeader = new string[] { "Time", "Open", "High", "Low", "Close" };
Storage.CreateFile($"C:\\Users\\M\\Desktop\\{_security.Symbol.Value}_OHLC_1D.csv", ohlcHeader);
Storage.CreateFile($"C:\\Users\\M\\Desktop\\{_security.Symbol.Value}_OHLC_15M.csv", ohlcHeader);
//Storage.CreateFile($"C:\\Users\\M\\Desktop\\{_security.Symbol.Value}_OHLC_1M.csv", ohlcHeader);
}
shortTermConsolidator.DataConsolidated += (sender, args) =>
{
if (_previousBar == null)
{
_previousBar = args;
return;
}
if (_dailyConsolidator.Consolidated == null)
{
return;
}
/*var maSignals = _windowCombinations.Select((wc) =>
* {
* var buySignal = wc[0].DoubleCrossAbove(wc[1], wc[2], 5, 0.05m / 10000m) && wc[0].Rising(3, 0.05m / 10000m) && wc[1].Rising(3, 0.05m / 10000m) && wc[2].Rising(3, 0.05m / 10000m);
* var sellSignal = wc[0].DoubleCrossBelow(wc[1], wc[2], 5, 0.05m / 10000m) && wc[0].Falling(3, 0.05m / 10000m) && wc[1].Falling(3, 0.05m / 10000m) && wc[2].Falling(3, 0.05m / 10000m);
* return buySignal ? SignalType.Long : sellSignal ? SignalType.Short : SignalType.NoSignal;
* });
*
* var longCondition = maSignals.Where((s) => s == SignalType.Long).Count() > 9 && args.Close > _alma144 + (10m / 10000m) && args.Close > _alma21 && args.Close > _alma8;
* var shortCondition = maSignals.Where((s) => s == SignalType.Short).Count() > 9 && args.Close < _alma144 - (10m / 10000m) && args.Close < _alma21 && args.Close < _alma8;
*
* var longExit = Signal == SignalType.Long
* && (maSignals.Where((s) => s == SignalType.Short).Count() > 4);
* var shortExit = Signal == SignalType.Short
* && (maSignals.Where((s) => s == SignalType.Long).Count() > 4);*/
var dailyQuote = (QuoteBar)_dailyConsolidator.Consolidated;
// If mean reverting and no slow cross within ?, close
var longMeanReversion = _maCross.CrossAbove(6, 0.7m / 10000m) &&
_rollingAlma8.InRangeExclusive(_alma21, _alma144) &&
_adx >= 23
//&& _atr > 7m / 10000m
//&& _rollingAlma144.Diff(_rollingAlma21, 10).Average() * 10000m >= 15m
&& _rollingAlma8.Rising(1, 1m / 10000m) &&
_rollingAlma21.Rising(1, 0.1m / 10000m)
? TradeType.Direction.MeanRevertingUp
: TradeType.Direction.Flat;
var longTrend = _maCross.DoubleCrossAbove(6, 0.4m / 10000m)
//&& _adx < 20
//&& _rollingAlma144.Diff(_rollingAlma21, 10).Sum() * 10000m > 5m
&& _rollingAlma8.Rising(2, 1m / 10000m) &&
_rollingAlma21.Rising(2, 0.1m / 10000m) &&
_rollingAlma55.Rising(2) &&
args.Close > _alma144
? TradeType.Direction.TrendUp
: TradeType.Direction.Flat;
var longCondition = args.Close > _dailyALMA && (longMeanReversion == TradeType.Direction.MeanRevertingUp || longTrend == TradeType.Direction.TrendUp);
var shortMeanReversion = _maCross.CrossBelow(6, 0.6m / 10000m) &&
_rollingAlma8.InRangeExclusive(_alma144, _alma21) &&
_adx >= 23
//&& _atr > 7m / 10000m
//&& _rollingAlma21.Diff(_rollingAlma144, 10).Average() * 10000m >= 15m
&& _rollingAlma8.Falling(1, 1m / 10000m) &&
_rollingAlma21.Falling(1, 0.1m / 10000m)
? TradeType.Direction.MeanRevertingDown
: TradeType.Direction.Flat;
var shortTrend = _maCross.DoubleCrossBelow(6, 0.4m / 10000m)
//&& _adx < 20
//&& _rollingAlma21.Diff(_rollingAlma144, 10).Sum() * 10000m > 5m
&& _rollingAlma8.Falling(2, 1m / 10000m) &&
_rollingAlma21.Falling(2, 0.1m / 10000m) &&
_rollingAlma55.Falling(2) &&
args.Close < _alma144
? TradeType.Direction.TrendDown
: TradeType.Direction.Flat;
var shortCondition = args.Close < _dailyALMA && (shortMeanReversion == TradeType.Direction.MeanRevertingDown || shortTrend == TradeType.Direction.TrendDown);
var longExit = Signal == SignalType.Long &&
((shortTrend == TradeType.Direction.TrendDown ||
_rollingAlma34.CrossBelow(_rollingAlma144, 7, 0.1m / 10000m)) ||
(_lastTradeType == TradeType.Direction.MeanRevertingUp &&
args.Time.Subtract(_triggerBar.Time).CompareTo(TimeSpan.FromMinutes(15 * 6)) > 0 &&
_maCross.CrossBelow(6, 0.3m / 10000m) &&
_alma144 > _alma21));
//var longExit = Signal == SignalType.Long && (_rollingAlma21.CrossBelow(_rollingAlma144, 7, 0.1m / 10000m)); NZDUSD
//_rollingConsolidator.Diff(_rollingAlma144, Field.Close, 8).All((d) => d < 5m)
/*&& (((_rollingAlma8.CrossBelow(_rollingAlma21, 5, 0.1m / 10000m) && _rollingAlma21.Falling())
|| (_rollingConsolidator.CrossBelow(_alma144.Current.Value) && _rollingAlma21.Falling())));*/
var shortExit = Signal == SignalType.Short &&
((longTrend == TradeType.Direction.TrendUp ||
_rollingAlma34.CrossAbove(_rollingAlma144, 7, 0.1m / 10000m)) ||
(_lastTradeType == TradeType.Direction.MeanRevertingDown &&
args.Time.Subtract(_triggerBar.Time).CompareTo(TimeSpan.FromMinutes(15 * 6)) > 0 &&
_maCross.CrossAbove(6, 0.3m / 10000m) &&
_alma144 < _alma21));
//var shortExit = Signal == SignalType.Short && ( _rollingAlma21.CrossAbove(_rollingAlma144, 7, 0.1m / 10000m)); NZDUSD
//_rollingConsolidator.Diff(_rollingAlma144, Field.Close, 8).All((d) => d > 5m)
/*&& (((_rollingAlma8.CrossAbove(_rollingAlma21, 5, 0.1m / 10000m) && _rollingAlma21.Rising())
|| (_rollingConsolidator.CrossAbove(_alma144.Current.Value) && _rollingAlma21.Rising())));*/
if (!_securityHolding.Invested && longCondition && !shortCondition && (_triggerBar == null || args.Time.Subtract(_triggerBar.Time).CompareTo(TimeSpan.FromMinutes(15 * 6)) > 0))
{
Signal = Signal != SignalType.PendingLong ? SignalType.Long : SignalType.Long;
_triggerBar = args;
_maEntry = _windows.Select((w) => w[0]);
_lastTradeType = longTrend != TradeType.Direction.Flat ? longTrend : longMeanReversion;
}
else if (!_securityHolding.Invested && shortCondition && !longCondition && (_triggerBar == null || args.Time.Subtract(_triggerBar.Time).CompareTo(TimeSpan.FromMinutes(15 * 6)) > 0))
{
Signal = Signal != SignalType.PendingShort ? SignalType.Short : SignalType.Short;
_triggerBar = args;
_maEntry = _windows.Select((w) => w[0]);
_lastTradeType = shortTrend != TradeType.Direction.Flat ? shortTrend : shortMeanReversion;
}
else if ((_securityHolding.Invested && longExit) || (_securityHolding.Invested && shortExit))
{
Signal = (Signal == SignalType.Long && shortCondition) || (Signal == SignalType.Short && longCondition) ? SignalType.Reverse : SignalType.Exit;
_pendingSignal = Signal == SignalType.Reverse && shortCondition ? SignalType.Short : Signal == SignalType.Reverse && longCondition ? SignalType.Long : SignalType.NoSignal;
_waitingForScan = true;
_triggerBar = args;
_maEntry = _windows.Select((w) => w[0]);
_lastTradeType = _pendingSignal == SignalType.Long
? longTrend != TradeType.Direction.Flat ? longTrend : longMeanReversion
: shortTrend != TradeType.Direction.Flat ? shortTrend : shortMeanReversion;
}
else if (!_securityHolding.Invested)
{
Signal = SignalType.NoSignal;
//_triggerBar = null;
_maEntry = null;
}
_previousBar = args;
//_qcAlgorithm.PlotSignal(args, _rollingEMA[0], _rollingEmaSlope[0], _rollingSchaffTrendCycle[0], _rollingStoch[0], (int)shortTermTrend, (int) Signal);
if (_store)
{
/*var line = new object[] { Storage.ToUTCTimestamp(args.Time), Storage.ToUTCTimestamp(args.EndTime), args.Open, args.High, args.Low, args.Close, _rollingSchaffTrendCycle[0].Value, _rollingSchaffTrendCycle[1].Value,
* _rollingEMA[0].Value, _rollingEmaSlope[0].Value, (args.Close - _rollingEMA[0]) * _minimumPriceVariation, (int)shortTermTrend, (int) Signal };
* Storage.AppendToFile($"C:\\Users\\M\\Desktop\\{_security.Symbol.Value}.csv", line);
*
* var ohlcLine = new object[] { Storage.ToUTCTimestamp(args.Time), args.Open, args.High, args.Low, args.Close };
* Storage.AppendToFile($"C:\\Users\\M\\Desktop\\{_security.Symbol.Value}_OHLC_15M.csv", ohlcLine);*/
}
};
}
// TODO: check volatilitymodel https://github.com/QuantConnect/Lean/blob/master/Common/Securities/RelativeStandardDeviationVolatilityModel.cs
public override void Initialize()
{
SetStartDate(2016, 1, 1);
SetEndDate(2017, 1, 1);
SetCash(3000);
SetBrokerageMessageHandler(new CustomBrokerageMessageHandler(this));
foreach (var symbol in Symbols)
{
AddForex(symbol, _dataResolution, Market.Oanda, false, 1m);
Securities[symbol].TransactionModel = new OandaTransactionModel();
//Securities[symbol].SlippageModel = new ConstantSlippageModel(0m);
SetBrokerageModel(BrokerageName.OandaBrokerage);
var consolidator = new QuoteBarConsolidator(TimeSpan.FromMinutes(20));
var stoch = new Stochastic(symbol, 10, 3, 3);
var stochMA = new ExponentialMovingAverage(symbol, 25).Of(stoch);
var stochEmaLSMA = new LeastSquaresMovingAverage(symbol, 5).Of(stochMA);
var ema = new ExponentialMovingAverage(symbol, 40);
var emaMA = new LeastSquaresMovingAverage(symbol, 5).Of(ema);
var rollingStochMA = HistoryTracker.Track(stochMA);
var rollingEmaSlope = HistoryTracker.Track(emaMA.Slope);
var rollingStochEmaSlope = HistoryTracker.Track(stochEmaLSMA.Slope);
var shortTermMA = EMA(symbol, 30, Resolution.Minute, Field.Close);
RegisterIndicator(symbol, stoch, consolidator);
RegisterIndicator(symbol, ema, consolidator);
SubscriptionManager.AddConsolidator(symbol, consolidator);
_stoch[symbol] = stoch;
_ema[symbol] = ema;
var consolidatorDaily = new QuoteBarConsolidator(TimeSpan.FromHours(1));
var dailyMA = new HullMovingAverage(symbol, 7);
var dailyEmaLSMA = new LeastSquaresMovingAverage(symbol, 3).Of(dailyMA);
var rollingDailyEmaSlope = HistoryTracker.Track(dailyEmaLSMA.Slope);
RegisterIndicator(symbol, dailyMA, consolidatorDaily);
SubscriptionManager.AddConsolidator(symbol, consolidatorDaily);
stochMA.Updated += (sender, args) =>
{
if (Securities[symbol].Price > 0)
{
Plot("Indicator", "STO", rollingStochMA[0]);
}
};
stochEmaLSMA.Updated += (sender, args) =>
{
if (Securities[symbol].Price > 0)
{
Plot("IndicatorTrend", "STO", stochEmaLSMA.Slope);
}
};
/*emaMA.Updated += (sender, args) =>
* {
* if (Securities[symbol].Price > 0)
* {
* Plot("Trend", "LSMA", emaMA.Slope);
* }
* };*/
dailyEmaLSMA.Updated += (sender, args) =>
{
if (Securities[symbol].Price > 0)
{
Plot("Trend", "LSMA", dailyEmaLSMA.Slope);
Plot("Trend", "EMA", dailyMA);
}
};
var std = ATR(symbol, 100, MovingAverageType.DoubleExponential, _dataResolution);
var history = History <QuoteBar>(symbol, TimeSpan.FromDays(40), _dataResolution);
foreach (var bar in history)
{
std.Update(bar);
consolidator.Update(bar);
shortTermMA.Update(bar.EndTime, bar.Close);
consolidatorDaily.Update(bar);
}
var signal = new SVMBaselineSignalWIP(consolidator, stoch, stochMA, rollingStochMA, stochEmaLSMA, rollingStochEmaSlope, ema, emaMA,
rollingEmaSlope, shortTermMA, dailyEmaLSMA, rollingDailyEmaSlope, Portfolio[symbol], Securities[symbol], this);
Securities[symbol].VolatilityModel = new AverageTrueRangeVolatilityModel(std);
_tradingAssets.Add(symbol,
new TradingAsset(Securities[symbol],
new OneShotTrigger(signal),
new ProfitTargetSignalExit(null, _targetProfitLoss),
_maximumTradeRisk,
_maximumTradeSize,
this
));
}
//AddData<DailyFx>("DFX", Resolution.Second, TimeZones.Utc);
Schedule.On(DateRules.Every(DayOfWeek.Monday, DayOfWeek.Tuesday, DayOfWeek.Wednesday, DayOfWeek.Thursday),
TimeRules.At(7, 0, TimeZones.London), () =>
{
var tradeableDay = TradingCalendar.GetTradingDay().BusinessDay;
if (tradeableDay)
{
foreach (var s in Symbols)
{
_tradingAssets[s].IsTradable = true;
}
}
});
Schedule.On(DateRules.Every(DayOfWeek.Monday, DayOfWeek.Tuesday, DayOfWeek.Wednesday, DayOfWeek.Thursday, DayOfWeek.Friday),
TimeRules.At(20, 0, TimeZones.London), () =>
{
foreach (var s in Symbols)
{
_tradingAssets[s].IsTradable = false;
}
});
Schedule.On(DateRules.Every(DayOfWeek.Friday),
TimeRules.BeforeMarketClose(Symbols.First(), 60), () =>
{
foreach (var s in Symbols)
{
_tradingAssets[s].Liquidate();
}
});
Chart plotter = new Chart("Plotter");
plotter.AddSeries(new Series("Price", SeriesType.Line, 0));
plotter.AddSeries(new Series("EMA", SeriesType.Line, 0));
plotter.AddSeries(new Series("Buy", SeriesType.Scatter, "", Color.Green, ScatterMarkerSymbol.Triangle));
plotter.AddSeries(new Series("Sell", SeriesType.Scatter, "", Color.Red, ScatterMarkerSymbol.TriangleDown));
plotter.AddSeries(new Series("Stopped", SeriesType.Scatter, "", Color.Yellow, ScatterMarkerSymbol.Diamond));
plotter.AddSeries(new Series("Prediction", SeriesType.Bar, 1));
plotter.AddSeries(new Series("Probability", SeriesType.Bar, 2));
AddChart(plotter);
Chart indicator = new Chart("Indicator");
indicator.AddSeries(new Series("STO", SeriesType.Line, 0));
AddChart(indicator);
Chart indicatorTrend = new Chart("IndicatorTrend");
indicatorTrend.AddSeries(new Series("STO", SeriesType.Line, 0));
AddChart(indicatorTrend);
Chart trend = new Chart("Trend");
trend.AddSeries(new Series("LSMA", SeriesType.Line, 0));
trend.AddSeries(new Series("EMA", SeriesType.Line, 1));
AddChart(trend);
Chart prediction = new Chart("Prediction");
prediction.AddSeries(new Series("Pred", SeriesType.Bar, 0));
AddChart(prediction);
Chart probability = new Chart("Probability");
probability.AddSeries(new Series("Prob", SeriesType.Bar, 0));
AddChart(probability);
}
