public void Indicators_Make_ATR_values()
{
List <Bar> bars = new List <Bar>();
bars.Add(new Bar(new DateTime(2013, 10, 11, 0, 0, 0), 148630, 149220, 148600, 149140, 35));
bars.Add(new Bar(new DateTime(2013, 10, 11, 11, 0, 0), 149170, 149310, 148380, 148800, 38));
bars.Add(new Bar(new DateTime(2013, 10, 11, 12, 0, 0), 148800, 148810, 147470, 147900, 38));
bars.Add(new Bar(new DateTime(2013, 10, 11, 13, 0, 0), 147910, 148370, 147800, 148250, 38));
bars.Add(new Bar(new DateTime(2013, 10, 11, 14, 0, 0), 148240, 148340, 147920, 148130, 38));
bars.Add(new Bar(new DateTime(2013, 10, 11, 15, 0, 0), 148110, 148290, 148000, 148260, 38));
bars.Add(new Bar(new DateTime(2013, 10, 11, 16, 0, 0), 148260, 148260, 147940, 147980, 38));
bars.Add(new Bar(new DateTime(2013, 10, 11, 17, 0, 0), 147990, 148110, 147670, 147680, 38));
bars.Add(new Bar(new DateTime(2013, 10, 11, 18, 0, 0), 147680, 147940, 147110, 147920, 38));
bars.Add(new Bar(new DateTime(2013, 10, 11, 19, 0, 0), 147920, 148030, 147550, 147810, 38));
IEnumerable <double> result = ATR.Values(bars, 5);
Assert.AreEqual(0, result.ElementAt(0));
Assert.AreEqual(0, result.ElementAt(1));
Assert.AreEqual(0, result.ElementAt(2));
Assert.AreEqual(0, result.ElementAt(3));
Assert.AreEqual(776, result.ElementAt(4));
Assert.AreEqual(710, result.ElementAt(5));
Assert.AreEqual(588, result.ElementAt(6));
Assert.AreEqual(408, result.ElementAt(7));
Assert.AreEqual(460, result.ElementAt(8));
Assert.AreEqual(472, result.ElementAt(9));
}
public async Task<IndSingleValueEntity[]> GetATR(string code, int period, int? start = 0, int? end = 0, string type = "day")
{
TickerEntity[] tickers = await base.getTickerEntityArray(code, start, end, type);
List<IndSingleValueEntity> outList = new List<IndSingleValueEntity>();
int len = tickers.Length;
double[] close = tickers.Select(t => (double)t.C).ToArray();
double[] high = tickers.Select(t => (double)t.H).ToArray();
double[] low = tickers.Select(t => (double)t.L).ToArray();
double?[] outATR = new double?[len];
ATR.Calculate(high, low, close, period, outATR);
for (int i = 0; i < len; i++)
{
outList.Add(new IndSingleValueEntity
{
T = tickers[i].T,
P = tickers[i].P,
V = outATR[i]
});
}
return outList.Where(r => (start == 0 || r.P >= start) && (end == 0 || r.P <= end)).ToArray();
}
public CMCSuperTrend(Bars bars, double ATRMultiple, int ATRPeriod, string description)
: base(bars, description)
{
base.FirstValidValue = ATRPeriod * 3;
int state = 1;
for (int bar = FirstValidValue; bar < bars.Count; bar++)
{
double Value = 0;
if (state == 1)
{
if (bars.Close[bar] < base[bar - 1])
{
state = -1;
Value = bars.High[bar] + ATRMultiple * ATR.Series(bars, ATRPeriod)[bar];
}
else
Value = Math.Max(this[bar - 1], bars.Low[bar] - ATRMultiple * ATR.Series(bars, ATRPeriod)[bar]);
}
else
{
if (bars.Close[bar] > base[bar - 1])
{
state = 1;
Value = bars.Low[bar] - ATRMultiple * ATR.Series(bars, ATRPeriod)[bar];
}
else
Value = Math.Min(this[bar - 1], bars.High[bar] + ATRMultiple * ATR.Series(bars, ATRPeriod)[bar]);
}
base[bar] = Value;
}
}
//populate
public override void Populate()
{
BarHistory source = Parameters[0].AsBarHistory;
Int32 period = Parameters[1].AsInt;
Double factor = Parameters[2].AsDouble;
DateTimes = source.DateTimes;
//ATR
ATR atr = new ATR(source, period);
//calculate ATR Trailing Stop
for (int n = period; n < source.Count; n++)
{
double loss = factor * atr[n];
if (source.Close[n] > Values[n - 1] && source.Close[n - 1] > Values[n - 1])
{
Values[n] = Math.Max(Values[n - 1], source.Close[n] - loss);
}
else if (source.Close[n] < Values[n - 1] && source.Close[n - 1] < Values[n - 1])
{
Values[n] = Math.Min(Values[n - 1], source.Close[n] + loss);
}
else
{
Values[n] = source.Close[n] > Values[n - 1] ? source.Close[n] - loss : source.Close[n] + loss;
}
}
}
public override void GetAll(IIndicatorValues Ind)
{
int period = (int)this.IndicatorParameters.List[0];
if (!Ind.ATR(period).IsPopulated)
{
int oldCurrentBar = Ind.Bar.CurrentBar;
for (int i = 1; i <= Ind.Bar.MaxBar; i++)
{
Ind.Bar.CurrentBar = i;
object prototype = null;
if (i == 1)
{
prototype = new ATR();
}
else
{
prototype = (ATR)Ind.ATR(period)[1].Clone();
}
Get(ref prototype, Ind);
Ind.ATR(period)[0] = (ATR)prototype;
Ind.ATR(period).IsPopulated = true; // set here so instance is guaranteed to exits
}
Ind.Bar.CurrentBar = oldCurrentBar;
}
}
// Описание:
// За основу взята стратегия Черепах - http://www.benvanvliet.net/Downloads/turtlerules.pdf
// Описание модификации - https://support.softalgotrade.com/forums/topic/turtle-system-revisited
// Исходные данные: свечки или тики. Рассмотрены оба варианта.
// Свечки используются для расчета индикаторов.
// Для более точного входа в позицию и расчета стоп заявок можем использовать тики.
// Алгоритм:
// Строится два канала Дончиана - ChannelOne и ChannelTwo. Канал Дончиана - это пара индикаторов Highest и Lowest.
// Период внутреннего канала ChannelTwo устанавливаем в процентах относительно внешнего канала ChannelOne.
// Входим в позицию:
// - Покупаем, когда цена касается канала UpperChannelOne.
// - Продаем, когда цена касается канала LowerChannelOne.
// Закрываем позицию:
// - Покупаем, когда цена касается канала UpperChannelTwo.
// - Продаем, когда цена касается канала LowerChannelTwo.
// Дополнительно:
// 1) Стратегия интрадей. Торгуем с 10:05, в конце торговой сессии (23:40) закрываем все открытые позиции - метод CheckIntraDayTime().
// 2) При входе/выходе ориентируемся на риск, который рассчитываем по формуле: risk = k * atr,
// Где к - коэффициент риска, atr - текущее значение индикатора ATR.
// 3) Для расчета стоп заявок используем соответствующие методы MarkуtToMarket для тиков и свечек.
// 4) Объем входа в позицию рассчитываем по формуле:
// Volume = Math.Min(currentFunds * riskPerTrade / risk, currentFunds / initialMargin),
// Где currentFunds - текущие доступные денежные средства, initialMargin - гарантийное обеспечение
// riskPerTrade - процент риска, risk - риск (см. выше).
// 5) Все лимитные заявки выставляем "глубоко в рынок" для мгновенного исполнения как маркет.
// Индикаторы:
// Две пары индикаторов Highest и Lowest - два канала Дончиана.
// Индикатор ATR (Average True Range) - для расчета риска.
public override void Initialization()
{
try
{
//Создаем индикаторы для торговой стратегии
//Период первого канала
var periodDonchianChannelOne = (int)Parameter(1);
_upperChannelOne = new Highest(periodDonchianChannelOne);
_lowerChannelOne = new Lowest(periodDonchianChannelOne);
//Период второго канала - процент от периода от первого канала
var periodDonchianChannelTwo = (int)(periodDonchianChannelOne * Parameter(2) * 0.01m);
_upperChannelTwo = new Highest(periodDonchianChannelTwo);
_lowerChannelTwo = new Lowest(periodDonchianChannelTwo);
//Для расчета риска и объема позиции
_atr = new ATR((int)Parameter(3));
_k = (int)Parameter(4);
_riskPerTrade = Parameter(5) * 0.01m;
//Для выставления лимитных заявок в рынок для гарантированного исполнения
_offset = GetSecurity().Tick * 10;
//Подписываемся на события при инициализации стратегии
Subscribe();
}
catch (Exception ex)
{
ExceptionMessage(ex, "Strategy");
}
}
public override void Initialization()
{
try
{
//Создаем индикаторы для торговой стратегии
_upperChannelOne = new Highest((int)Parameter(1));
_lowerChannelOne = new Lowest((int)Parameter(1));
_upperChannelTwo = new Highest((int)Parameter(1) / 2); //50% от P1
_lowerChannelTwo = new Lowest((int)Parameter(1) / 2); //50% от P1
_adxLookBack = new ADX((int)Parameter(2));
_adxThreshold = new ADX((int)Parameter(3));
_atr = new ATR((int)Parameter(4));
_atrStop = (int)Parameter(5);
_volume = (int)Parameter(6);
//Для выставления лимитных заявок в рынок для гарантированного исполнения
_offset = GetSecurity().Tick *10;
//Инициализируем алгоритмические заявки
InitializationAlgoOrders();
//Подписываемся на события при инициализации стратегии
Subscribe();
}
catch (Exception ex)
{
ExceptionMessage(ex, "Strategy");
}
}
public void Indicators_Make_ATR_for_one_bar_test()
{
List <Bar> bars = new List <Bar>();
bars.Add(new Bar(new DateTime(2013, 10, 1), 50, 55, 49, 51, 35));
Assert.AreEqual(6, ATR.Value(bars));
}
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"Buy when Fast EMA > Med EMA > Slow EMA, sell when Price < Prev-ATR(10)";
Name = "EMACrosswithSL";
Calculate = Calculate.OnBarClose;
EntriesPerDirection = 1;
EntryHandling = EntryHandling.AllEntries;
IsExitOnSessionCloseStrategy = true;
ExitOnSessionCloseSeconds = 30;
IsFillLimitOnTouch = false;
MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
OrderFillResolution = OrderFillResolution.Standard;
Slippage = 0;
StartBehavior = StartBehavior.WaitUntilFlat;
TimeInForce = TimeInForce.Gtc;
TraceOrders = true;
RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
StopTargetHandling = StopTargetHandling.PerEntryExecution;
BarsRequiredToTrade = 20;
// Disable this property for performance gains in Strategy Analyzer optimizations
// See the Help Guide for additional information
IsInstantiatedOnEachOptimizationIteration = true;
FastEma = 5;
MedEma = 20;
SlowEma = 50;
ATRPeriod = 10;
ATRMultipleSL = 2;
ATRMultipleLimit = 0.5;
InitialCapital = 100000;
AddLine(Brushes.Blue, 1, "ATR");
AddPlot(Brushes.LimeGreen, "FastEmaLine");
AddPlot(Brushes.Orange, "MedEmaLine");
AddPlot(Brushes.Salmon, "SlowEmaLine");
PrintTo = PrintTo.OutputTab2;
Print("set default");
}
else if (State == State.Configure)
{
//AddDataSeries("ADANIPORTS", Data.BarsPeriodType.Day, 1, Data.MarketDataType.Last);
_atr = ATR(this.ATRPeriod);
_atr.Lines = Lines.Where(l => l.Name == "ATR").ToArray();
_fast = EMA(FastEma);
_fast.Plots = Plots.Where(p => p.Name == "FastEmaLine").ToArray();
_med = EMA(MedEma);
_med.Plots = Plots.Where(p => p.Name == "MedEmaLine").ToArray();
_slow = EMA(SlowEma);
_slow.Plots = Plots.Where(p => p.Name == "SlowEmaLine").ToArray();
base.AddChartIndicator(_atr);
base.AddChartIndicator(_fast);
base.AddChartIndicator(_med);
base.AddChartIndicator(_slow);
Print("configured");
}
}
public void Indicators_Make_TrueRange_for_two_bars_test()
{
List <Bar> bars = new List <Bar>();
bars.Add(new Bar(new DateTime(2013, 10, 1), 50, 55, 49, 51, 35));
bars.Add(new Bar(new DateTime(2013, 10, 2), 51, 56, 48, 52, 38));
Assert.AreEqual(7, ATR.Value(bars));
}
public ATRSeries(C1FlexChart chart, string plotAreaName) : base()
{
Chart = chart;
Chart.BeginUpdate();
Axis axisY = new Axis();
axisY.TitleStyle = new ChartStyle();
axisY.TitleStyle.FontWeight = FontWeights.Bold;
axisY.Position = C1.Chart.Position.Right;
axisY.PlotAreaName = plotAreaName;
axisY.Title = "ATR";
axisY.Labels = false;
axisY.MajorTickMarks = axisY.MinorTickMarks = C1.Chart.TickMark.None;
ATR series = new ATR();
series.ChartType = C1.Chart.Finance.FinancialChartType.Line;
series.Style = new ChartStyle();
series.Style.Stroke = new SolidColorBrush(Color.FromArgb(255, 51, 103, 214));
series.Style.Fill = new SolidColorBrush(Color.FromArgb(128, 66, 133, 244));
series.Style.StrokeThickness = 1;
series.BindingX = "Date";
series.Binding = "High,Low,Close";
series.AxisY = axisY;
Chart.Series.Add(series);
Utilities.Helper.BindingSettingsParams(chart, series, typeof(ATR), "Average True Range (ATR)",
new Data.PropertyParam[]
{
new Data.PropertyParam("Period", typeof(int)),
new Data.PropertyParam("Style.Stroke", typeof(Brush)),
},
() =>
{
this.OnSettingParamsChanged();
}
);
//binding series color to axis title.
Binding binding = new Binding();
binding.Path = new Windows.UI.Xaml.PropertyPath("Stroke");
binding.Source = series.Style;
BindingOperations.SetBinding(axisY.TitleStyle, ChartStyle.StrokeProperty, binding);
Chart.EndUpdate();
this.Series = new FinancialSeries[] { series };
}
public void Indicators_Make_ATR_for_collection()
{
List <Bar> bars = new List <Bar>();
bars.Add(new Bar(new DateTime(2013, 10, 1), 50, 55, 49, 51, 35));
bars.Add(new Bar(new DateTime(2013, 10, 2), 51, 56, 48, 52, 38));
bars.Add(new Bar(new DateTime(2013, 10, 3), 49, 53, 44, 50, 41));
Assert.AreEqual(7.6667, ATR.Value(bars));
}
public override void OnInit()
{
if (HasPosition)
{
//60天日线
DateTime curDate = Clock.Now.Date;
ISeriesObject[] dailyBars = Util.GetNDailiesBeforeDate(this.instrument, curDate, 60);
Util.AdjustDailys(dailyBars); //向前复权
foreach (Daily dBar in dailyBars)
{
this.Bar.Add(dBar);
}
if (this.DailyBar.Count > this.lengthATR)
{
this.moveStopATR = ATR.Value(this.DailyBar, this.DailyBar.LastIndex, lengthATR, EIndicatorStyle.MetaStock); //昨日ATR
}
int n = this.DailyBar.Count;
int i;
for (i = n - 1; i >= 0; i--)
{
if (this.DailyBar[i].DateTime <= Position.EntryDate.Date)
{
break;
}
}
if (this.DailyBar[i].DateTime < Position.EntryDate.Date)
{
i++;
}
if (i < 0)
{
i = 0;
}
this.positionCycle = n - i + 1;
for (int j = i; j < n; j++)
{
if (this.DailyBar[j].High > this.positionMaxPrice)
{
this.positionMaxPrice = this.DailyBar[j].High; //入场后的最高价格，不包括入场那一天
}
}
this.calcMoveStopPrice();
int length = i > this.lengthATR?this.lengthATR:i - 1;
if (length > 0)
{
this.stopLossATR = ATR.Value(this.DailyBar, i - 1, length, EIndicatorStyle.MetaStock); //入场前一天的ATR
}
this.calcStopLossPrice();
//this.judgeStagnant();
Console.WriteLine("投资组合中的证券 {0} :", Position.Instrument.Symbol);
Console.WriteLine("持仓周期是 {0},绝对止损价格是 {1},持仓后最大价格是 {2}", this.positionCycle, this.stopLossPrice, this.positionMaxPrice);
}
}
public AverageDistance(Bars bars, int period, string description)
: base(bars, description)
{
base.FirstValidValue = period * 3;
DataSeries sma = Community.Indicators.FastSMA.Series(bars.Close, period);
ATR atr = ATR.Series(bars, period);
for (int bar = FirstValidValue; bar < bars.Count; bar++)
{
base[bar] = (bars.Close[bar] - sma[bar]) / atr[bar];
}
}
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"Enter the description for your new custom Strategy here.";
Name = "CesarSalad";
Calculate = Calculate.OnBarClose;
EntriesPerDirection = 1;
EntryHandling = EntryHandling.AllEntries;
IsExitOnSessionCloseStrategy = true;
ExitOnSessionCloseSeconds = 30;
IsFillLimitOnTouch = false;
MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
OrderFillResolution = OrderFillResolution.Standard;
Slippage = 0;
StartBehavior = StartBehavior.WaitUntilFlat;
TimeInForce = TimeInForce.Gtc;
TraceOrders = false;
RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
StopTargetHandling = StopTargetHandling.PerEntryExecution;
BarsRequiredToTrade = 20;
// Disable this property for performance gains in Strategy Analyzer optimizations
// See the Help Guide for additional information
IsInstantiatedOnEachOptimizationIteration = true;
RangeHighLow = 7;
RangeMA = 100;
RSIEntryLevel = 15;
RSIExitLevel = 30;
RSIPeriod = 5;
ATRPeriod = 10;
ATRMultiple = 0.5;
InitialCapital = 100000;
}
else if (State == State.Configure)
{
_rsi = RSI(this.RSIPeriod, 3);
_rsi.Plots[1].Brush = Brushes.Brown;
_rsi.Lines[0].Value = this.RSIEntryLevel;
_rsi.Lines[1].Value = this.RSIExitLevel;
base.AddChartIndicator(_rsi);
_regime = SMA(this.RangeMA);
_regime.Plots[0].Width = 3;
_regime.Plots[0].Brush = Brushes.AliceBlue;
base.AddChartIndicator(_regime);
_atr = ATR(this.ATRPeriod);
base.AddChartIndicator(_atr);
base.ClearOutputWindow();
}
}
public void ATR()
{
ATR atr = new ATR();
atr.Load(OhlcList);
ATRSerie serie = atr.Calculate();
Assert.IsNotNull(serie);
Assert.IsTrue(serie.ATR.Count > 0);
Assert.IsTrue(serie.TrueHigh.Count > 0);
Assert.IsTrue(serie.TrueLow.Count > 0);
Assert.IsTrue(serie.TrueRange.Count > 0);
}
public void ATR()
{
ATR atr = new ATR();
atr.Load(Directory.GetCurrentDirectory() + "\\table.csv");
ATRSerie serie = atr.Calculate();
Assert.IsNotNull(serie);
Assert.IsTrue(serie.ATR.Count > 0);
Assert.IsTrue(serie.TrueHigh.Count > 0);
Assert.IsTrue(serie.TrueLow.Count > 0);
Assert.IsTrue(serie.TrueRange.Count > 0);
}
protected override string GetPresentDetail(IOutputInstant Instant, IIndicatorValues Data, IndicatorParameters IndicatorParameters)
{
ATR atr = Data.ATR(IndicatorParameters)[Instant.ExposureDate];
if (atr != null)
{
return(String.Format("{0}|", atr.Value));
}
else
{
return(String.Format("{0}|", ""));
}
}
/// <summary>
/// This method is used to configure the strategy and is called once before any strategy method is called.
///
/// E-Mini Scalper: Trying to simulate trade2live.com or eminiTradingStrategy.com autotrader
///
/// Puts on positions on a pull back of a strong trend.
///
/// Ref:
/// http://trade2live.com/
/// http://scalpingemini.com/
///
/// </summary>
protected override void Initialize()
{
// Secondary bar which will be used when entering trades
// this will be the bar which contains the buy/sell orders
Add("ES 03-15", PeriodType.Minute, 5);
// Indicator Setup
// ---------------
hma = HMARick(Period1, 100);
hma.PaintPriceMarkers = false;
Add(hma);
Add(PitColor(Color.Black, 83000, 25, 161500));
atr = ATR(Period2);
Add(atr);
atrTrailing = ATRTrailing(atrTimes, Period2, Ratched);
//Add(atrTrailing);
kc = KeltnerChannel(offsetMultiplier, Period3);
//Add(kc);
Add(FiveBarPattern());
// dc = DonchianChannel(donchianPeriod);
// dc.Displacement = 2;
// dc.PaintPriceMarkers = false;
// Add(dc);
Unmanaged = true; // Use unmanaged order methods
// Methods BarsSinceEntry() and BarsSinceExit() are usuable in Unmanaged orders
// Managed Properties
// --------------------
//EntriesPerDirection = 2;
//EntryHandling = EntryHandling.UniqueEntries;
//SetProfitTarget("", CalculationMode.Percent, dparm2);
//SetStopLoss("", CalculationMode.Percent, dparm2, false);
//SetTrailStop("", CalculationMode.Percent, dparm2, false);
//Slippage = 2;
BarsRequired = 22;
CalculateOnBarClose = true; // Onbar update happens only on the start of a new bar vrs each tick
ExitOnClose = true; // Closes open positions at the end of the session
IncludeCommission = true; // Commissions are used in the calculation of the profit/loss
TraceOrders = false; // Trace orders in the output window, used for debugging, normally false
}
public void Indicators_Make_ATR_value()
{
List <Bar> bars = new List <Bar>();
bars.Add(new Bar(new DateTime(2013, 10, 11, 0, 0, 0), 148630, 149220, 148600, 149140, 35));
bars.Add(new Bar(new DateTime(2013, 10, 11, 11, 0, 0), 149170, 149310, 148380, 148800, 38));
bars.Add(new Bar(new DateTime(2013, 10, 11, 12, 0, 0), 148800, 148810, 147470, 147900, 38));
bars.Add(new Bar(new DateTime(2013, 10, 11, 13, 0, 0), 147910, 148370, 147800, 148250, 38));
bars.Add(new Bar(new DateTime(2013, 10, 11, 14, 0, 0), 148240, 148340, 147920, 148130, 38));
bars.Add(new Bar(new DateTime(2013, 10, 11, 15, 0, 0), 148110, 148290, 148000, 148260, 38));
bars.Add(new Bar(new DateTime(2013, 10, 11, 16, 0, 0), 148260, 148260, 147940, 147980, 38));
bars.Add(new Bar(new DateTime(2013, 10, 11, 17, 0, 0), 147990, 148110, 147670, 147680, 38));
bars.Add(new Bar(new DateTime(2013, 10, 11, 18, 0, 0), 147680, 147940, 147110, 147920, 38));
bars.Add(new Bar(new DateTime(2013, 10, 11, 19, 0, 0), 147920, 148030, 147550, 147810, 38));
Assert.AreEqual(624, ATR.Value(bars));
}
public override void OnInit()
{
DateTime curDate = Clock.Now.Date;
if (!HasPosition)
{
int length = this.DailyBar.Count > this.lengthATR?this.lengthATR:this.DailyBar.Count - 1;
if (length > 0)
{
this.lastATR = ATR.Value(this.DailyBar, this.DailyBar.LastIndex, length, EIndicatorStyle.MetaStock);
}
else
{
this.lastATR = 1;
}
this.canOrder = true;
}
this.openTime = curDate.Add(new TimeSpan(9, 30, 0));
this.portfolioRisk = this.portfolioRisk * this.strategy.PositionLevel;
}
public double[] CalculateATR(IEnumerable <Quote> quotes, int period)
{
var listOhlc = quotes.Select(
x => new Ohlc
{
Date = x.Date,
Close = x.Close,
AdjClose = x.Close,
High = x.High,
Low = x.Low,
Open = x.Open,
Volume = x.Volume
}).ToList();
var atr = new ATR(period);
atr.Load(listOhlc);
var result = atr.Calculate();
return(result.ATR.Select(x => x.GetValueOrDefault()).ToArray());
}
public MTSuperTrendSeries(Bars bars, int CCIPeriod, double ATRMultiple, int ATRPeriod, string description)
: base(bars, description)
{
base.FirstValidValue = Math.Max(CCIPeriod, ATRPeriod * 3);
for (int bar = FirstValidValue; bar < bars.Count; bar++)
{
double Value = 0;
if (CCI.Series(bars, CCIPeriod)[bar] >= 0)
{
Value = Math.Max(base[bar - 1], bars.Low[bar] - ATRMultiple * ATR.Series(bars, ATRPeriod)[bar]);
}
else
{
Value = Math.Min(base[bar - 1], bars.High[bar] + ATRMultiple * ATR.Series(bars, ATRPeriod)[bar]);
}
base[bar] = Value;
}
}
public KaseCD(Bars bars, int fastPeriod, int slowPeriod, string description)
: base(bars, description)
{
base.FirstValidValue = Math.Max(fastPeriod, slowPeriod);
DataSeries RWH = new DataSeries(bars, "RWH");
DataSeries RWL = new DataSeries(bars, "RWL");
for (int bar = FirstValidValue; bar < bars.Count; bar++)
{
RWH[bar] = (((bars.High[bar] - bars.Low[bar - slowPeriod])) / ((ATR.Series(bars, slowPeriod)[bar] * Math.Sqrt(slowPeriod))));
RWL[bar] = (((bars.High[bar - slowPeriod] - bars.Low[bar])) / ((ATR.Series(bars, slowPeriod)[bar] * Math.Sqrt(slowPeriod))));
}
DataSeries Pk = Community.Indicators.FastSMA.Series(WMA.Series((RWH - RWL), fastPeriod), fastPeriod);
DataSeries KCD = Pk - Community.Indicators.FastSMA.Series(Pk, slowPeriod);
for (int bar = FirstValidValue; bar < bars.Count; bar++)
{
base[bar] = KCD[bar];
}
}
public void TestATR()
{
double[] high = new double[] {
48.70, 48.72, 48.90, 48.87, 48.82,
49.05, 49.20, 49.35, 49.92, 50.19,
50.12, 49.66, 49.88, 50.19, 50.36,
50.57, 50.65, 50.43, 49.63, 50.33,
50.29, 50.17, 49.32, 48.50, 48.32,
46.80, 47.80, 48.39, 48.66, 48.79
};
double[] low = new double[] {
47.79, 48.14, 48.39, 48.37, 48.24,
48.64, 48.94, 48.86, 49.50, 49.87,
49.20, 48.90, 49.43, 49.73, 49.26,
50.09, 50.30, 49.21, 48.98, 49.61,
49.20, 49.43, 48.08, 47.64, 41.55,
44.28, 47.31, 47.20, 47.90, 47.73
};
double[] close = new double[] {
48.16, 48.61, 48.75, 48.63, 48.74,
49.03, 49.07, 49.32, 49.91, 50.13,
49.53, 49.50, 49.75, 50.03, 50.31,
50.52, 50.41, 49.34, 49.37, 50.23,
49.24, 49.93, 48.43, 48.18, 46.57,
45.41, 47.77, 47.72, 48.62, 47.85
};
int len = close.Length;
double?[] outATR = new double?[len];
ATR.Calculate(high, low, close, 14, outATR);
Console.WriteLine("di plus: " + ObjectHelper.ToJson(outATR));
}
public HasslerTSI(Bars bars, DataSeries ds, int period1, int period2, string description)
: base(ds, description)
{
base.FirstValidValue = Math.Max(period2, period1);
if (FirstValidValue > ds.Count || FirstValidValue < 0)
{
FirstValidValue = ds.Count;
}
if (ds.Count < period1 || ds.Count < period2)
{
return;
}
ATR atr = ATR.Series(bars, period1);
DataSeries Ratio = DataSeries.Abs(ds - (ds >> period1)) / atr;
DataSeries HasslerTSI = Community.Indicators.FastSMA.Series(Community.Indicators.FastSMA.Series(Ratio, period1), period2);
for (int i = FirstValidValue; i < ds.Count; i++)
{
base[i] = HasslerTSI[i];
}
}
/// <summary>
/// This method is used to configure the strategy and is called once before any strategy method is called.
///
/// </summary>
protected override void Initialize()
{
atr = ATR(14);
Add(atr);
dc = DonchianChannel(DonchianPeriod);
dc.Displacement = 1;
dc.PaintPriceMarkers = false;
Add(dc);
// // CL settings CST
// Add(PitColor(Color.Blue, 80000, 15, 143000));
SetProfitTarget(CalculationMode.Ticks, ProfitTarget);
SetStopLoss(CalculationMode.Ticks, StopLoss);
//SetTrailStop(CalculationMode.Ticks, Iparm2);
Unmanaged = false;
BarsRequired = 10;
CalculateOnBarClose = true;
ExitOnClose = false;
IncludeCommission = true;
}
public ATRBandLower(Bars bars, DataSeries ds, int atrPeriod, double atrMult, string description)
: base(bars, description)
{
base.FirstValidValue = Math.Max(ds.FirstValidValue, atrPeriod * 3);
if (FirstValidValue > ds.Count || FirstValidValue < 0)
{
FirstValidValue = ds.Count;
}
if (ds.Count < atrPeriod)
{
return;
}
var rangePartitioner = Partitioner.Create(FirstValidValue, ds.Count);
Parallel.ForEach(rangePartitioner, (range, loopState) =>
{
for (int bar = range.Item1; bar < range.Item2; bar++)
{
base[bar] = ds[bar] - atrMult * ATR.Series(bars, atrPeriod)[bar];
}
});
}
protected SingleOrder AddPosition(Position position)
{
if (position != null)
{
string text = "买进最佳持仓";
Instrument instrument = position.Instrument;
BarSeries dailyBars = this.strategy.Bars[instrument, BarType.Time, 86400];
double lastATR = 1.0;
if (dailyBars.Count > 5)
{
lastATR = ATR.Value(dailyBars, dailyBars.LastIndex, 5, EIndicatorStyle.MetaStock); //昨日ATR
}
int expectQty = (int)(this.strategy.Portfolio.GetTotalEquity() * this.strategy.PositionLevel * 0.01 / lastATR);
expectQty = expectQty / 100 * 100;
Signal signal;
switch (position.Side)
{
case PositionSide.Long:
signal = new Signal(Clock.Now, SignalType.Market, SignalSide.Buy, expectQty, 0, instrument, text);
signal.TimeInForce = TimeInForce.Day;
return(this.strategy.EmitSignal(signal));
case PositionSide.Short:
signal = new Signal(Clock.Now, SignalType.Market, SignalSide.SellShort, expectQty, 0, instrument, text);
signal.TimeInForce = TimeInForce.Day;
return(this.strategy.EmitSignal(signal));
default:
return(null);
}
}
else
{
return(null);
}
}
/// <summary>
/// keltner constructor.
/// </summary>
/// <param name="initialNextUpdateDateTime"></param>
/// <param name="keltnerTradingVariables"></param>
/// <param name="marketOpens"></param>
/// <param name="marketCloses"></param>
public KeltnerIndicatorManager(DateTime initialNextUpdateDateTime, KeltnerTradingVariables keltnerTradingVariables, List <DateTime> marketOpens, List <DateTime> marketCloses)
: base()
{
// Load keltner trading parameters.
m_KeltnerTradingVariables = keltnerTradingVariables;
m_EMALength = keltnerTradingVariables.EMALength;
m_ATRLength = keltnerTradingVariables.ATRLength;
m_MOMLength = keltnerTradingVariables.MomentumLength;
m_BarUpdateIntervalSecond = keltnerTradingVariables.BarIntervalInSeconds;
// Create indicators.
m_EMA = new EMA(m_EMASeriesID, m_EMASeriesName, m_EMALength);
m_ATR = new ATR(m_ATRSeriesID, m_ATRSeriesName, m_ATRLength);
m_MOM = new MOM(m_MOMSeriesID, m_MOMSeriesName, m_MOMLength);
this.AddIndicator(m_EMA, m_EMASeriesName);
this.AddIndicator(m_ATR, m_ATRSeriesName);
this.AddIndicator(m_MOM, m_MOMSeriesName);
// Initial setup for the trading indicators.
initialNextUpdateDateTime = Functions.GetNextBarUpdateDateTime(initialNextUpdateDateTime, m_BarUpdateIntervalSecond);
m_EMA.SetupIndicator(m_BarUpdateIntervalSecond, initialNextUpdateDateTime, marketOpens, marketCloses);
m_ATR.SetupIndicator(m_BarUpdateIntervalSecond, initialNextUpdateDateTime, marketOpens, marketCloses);
m_MOM.SetupIndicator(m_BarUpdateIntervalSecond, initialNextUpdateDateTime, marketOpens, marketCloses);
}
