public void ComputeStrategy2(object selectedItem)
{
var candlesCount = Candles.Count;
double[] maxes100 = new double[101];
Parallel.For(1, 100, paramALength =>
{
var maxes = new List <double>(candlesCount)
{
Candles.First().Close
};
var kon = candlesCount - 1;
var localparamALength = paramALength;
for (var i = 1; i < kon; i++)
{
maxes.Add(GetCandlesRange(i, localparamALength).Min(candle => candle.Close)); //TODO: Change to High
}
maxes100[localparamALength] = maxes[1000];
});
maxes100[0] = 1;
}
public void ComputeStrategy(object selectedItem)
{
string filename = selectedItem + "." + ResultFileExtension;
var bestReturn = -120.0;
var candlesCount = Candles.Count;
//var bestCalmar = 0.0;
//var bestMa = 0;
//var bestparamAVolLength = 0;
//var bestparamADuration = 0;
//var bestparamABuffer = 0.0;
//var bestparamAVolThreshold = 0.0;
//var bestparamAsl = 0.0;
const double spread = 0.00016;
using (var writer = new StreamWriter(filename, false))
{
writer.WriteLine("results");
}
//paramALength: 9 paramAVolLength: 26 paramABuffer: -0.00416 paramAVolThreshold: 100 paramADuration: 16 paramASL: 0.00576 Calmar: 2.6312
//const int paramALength=9;
for (var paramALength = 9; paramALength <= 19; paramALength += 1)//liczba swiec wstecz do obliczenia maksimum
{
var maxes = new List <double>(candlesCount)
{
Candles.First().Close
};
var kon = candlesCount - 1;
for (var i = 1; i < kon; i++)
{
maxes.Add(GetCandlesRange(i, paramALength).Max(candle => candle.Close));//TODO: Change to High
}
const int paramAVolLength = 26;
//for (int paramAVolLength = 26; paramAVolLength <= 26/*38*/; paramAVolLength++)
{
//CreateStatus("paramALength: {0}", paramALength);
//AppendStatus(" paramAVolLength: {0}\r\n", paramAVolLength);
var volAverages = new List <double>(candlesCount)
{
0
};
for (var i = 1; i < kon; i++)
{
volAverages.Add(GetCandlesRange(i, paramALength).Average(candle => candle.Volume) - Candles[i].Volume);
}
//const int paramADuration = 16;
for (var paramADuration = 6; paramADuration <= 16; paramADuration++)//liczba kroków wprzód do zamkniecia pozycji
{
//for (var paramAVolThreshold = -100; paramAVolThreshold <= 100; paramAVolThreshold += 100)//próg dla sredniego wolumenu
const int paramAVolThreshold = 100;
{
for (var paramABuffer = -spread * 28; paramABuffer <= spread; paramABuffer += spread)
//dla kwadrantu a i b szukamy ujemnych wartości, dla kwadrantów c i d dodatnich wartości bufora
//const double paramABuffer = -0.00416;
{
//const double paramAsl = 0.00576;
for (var paramAsl = spread * 35; paramAsl <= spread * 48; paramAsl += spread)//Stop Loss minimalnie może być równy 8*spread 0.00384%
{
var sumRa = new List <double>(candlesCount);
var returnValues = new List <double>(candlesCount);
var drawdowns = new List <double>(candlesCount);
var candlesBegin = Math.Max(paramAVolLength, paramALength) + 1;
//var positionCount = 0; //liczba otwieranych pozycji
//var stopLossCount = 0; //liczba stop lossów
var lastCandle = kon - Math.Max(paramALength, paramAVolLength) - paramADuration;
for (int i = 0; i < candlesBegin; i++)
{
sumRa.Add(0);
returnValues.Add(0);
}
for (int i = candlesBegin; i < lastCandle; i++)
{
returnValues.Add(0);
if (maxes[i] + paramABuffer < Candles[i].Close && volAverages[i] < paramAVolThreshold)
{
returnValues[i] = Candles[i + paramADuration].Close - Candles[i + 1].Open - spread;
//zysk z i-tej pozycji long zamykanej na zamknięciu po paramADuration kroku
var minLow = Candles.GetRange(i + 1, paramADuration - 1).Min(candle => candle.Low);
if ((-Candles[i + 1].Open + minLow) < -paramAsl)
{
returnValues[i] = -paramAsl;
//stopLossCount++;
}
//positionCount++;
}
sumRa.Add(sumRa[i - 1] + returnValues[i]); //krzywa narastania kapitału
}
var recordReturn = 0.0; //rekord zysku
var recordDrawdown = 0.0; //rekord obsuniecia
for (int j = 0; j < lastCandle; j++)
{
if (sumRa[j] > recordReturn)
{
recordReturn = sumRa[j];
}
drawdowns.Add(sumRa[j] - recordReturn);//róznica pomiedzy bieżącą wartoscia kapitału skumulowanego a dotychczasowym rekordem
if (drawdowns[j] < recordDrawdown)
{
recordDrawdown = drawdowns[j]; //obsuniecie maksymalne
}
}
//wyniki końcowe
var sumReturn = sumRa[lastCandle - 1];
//var calmar = -sumReturn / recordDrawdown; //wskaznik Calmara
if (bestReturn < sumReturn)
{
bestReturn = sumReturn; //bestCalmar = calmar;
//bestMa = paramALength;
//bestparamAVolLength = paramAVolLength;
//bestparamADuration = paramADuration;
//bestparamABuffer = paramABuffer;
//bestparamAVolThreshold = paramAVolThreshold;
//bestparamAsl = paramAsl;
//using (var writer = new StreamWriter(filename, true))
//{
// writer.WriteLine("{0}\t{1}\t{2}\t{3}\t{4}\t{5}\t{6}\t{7}",
// getDouble(sumReturn), getDouble(paramALength),
// getDouble(paramAVolLength), getDouble(paramADuration), getDouble(paramAVolThreshold),
// getDouble(paramABuffer), getDouble(paramAsl), getDouble(calmar));
//}
//CreateStatus(" \r\nzysk: {0}", sumReturn);
//AppendStatus(" paramALength: {0}", paramALength);
//AppendStatus(" paramAVolLength: {0}", paramAVolLength);
//AppendStatus(" paramADuration: {0}", paramADuration);
//AppendStatus(" paramAVolThreshold: {0}", paramAVolThreshold);
//AppendStatus(" paramABuffer: {0}", paramABuffer);
//AppendStatus(" paramASL: {0}", paramAsl);
//AppendStatus(" Calmar: {0}", calmar);
//Application.DoEvents();
}
}
}
}
}
}
}
//CreateStatus("zysk: {0}", 0);
//AppendStatus(" paramALength: {0}", bestMa);
//AppendStatus(" paramAVolLength: {0}", bestparamAVolLength);
//AppendStatus(" paramABuffer: {0}", bestparamABuffer);
//AppendStatus(" paramAVolThreshold: {0}", bestparamAVolThreshold);
//AppendStatus(" paramADuration: {0}", bestparamADuration);
//AppendStatus(" paramASL: {0}", bestparamAsl);
//AppendStatus(" Calmar: {0}", bestCalmar);
}
public void ComputeStrategy(object selectedItem)
{
string filename = selectedItem + "." + ResultFileExtension;
var bestReturn = -120.0;
var candlesCount = Candles.Count;
var bestCalmar = 0.0;
var bestMa = 0;
using (var writer = new StreamWriter(filename, false))
{
writer.WriteLine("results");
}
//paramALength: 9 paramAVolLength: 26 paramABuffer: -0.00416 paramAVolThreshold: 100 paramADuration: 16 paramASL: 0.00576 Calmar: 2.6312
//const int paramALength=24;
for (var paramALength = 10; paramALength <= 1000; paramALength += 1)//liczba swiec wstecz do obliczenia maksimum
{
var means = new List <double>(candlesCount)
{
Candles.First().Close
};
var kon = candlesCount - 1;
for (var i = 1; i < kon; i++)
{
means.Add(GetCandlesRange(i, paramALength).Average(candle => candle.Close));
}
//CreateStatus("paramALength: {0}", paramALength);
//AppendStatus(" paramAVolLength: {0}\r\n", paramAVolLength);
var sumRa = new List <double>(candlesCount);
var returnValues = new List <double>(candlesCount);
var drawdowns = new List <double>(candlesCount);
var candlesBegin = paramALength + 1;
var positionCount = 0; //liczba otwieranych pozycji
//var stopLossCount = 0; //liczba stop lossów
var lastCandle = kon;
for (int i = 0; i < candlesBegin; i++)
{
sumRa.Add(0);
returnValues.Add(0);
}
for (int i = candlesBegin; i < lastCandle; i++)
{
returnValues.Add(0);
if (means[i] < Candles[i].Close)
{
returnValues[i] = Candles[i + 1].Close - Candles[i + 1].Open;
//zysk z i-tej pozycji long zamykanej na zamknięciu po 1 kroku
positionCount++;
}
sumRa.Add(sumRa[i - 1] + returnValues[i]); //krzywa narastania kapitału
}
var recordReturn = 0.0; //rekord zysku
var recordDrawdown = 0.0; //rekord obsuniecia
for (int j = 0; j < lastCandle; j++)
{
if (sumRa[j] > recordReturn)
{
recordReturn = sumRa[j];
}
drawdowns.Add(sumRa[j] - recordReturn);//róznica pomiedzy bieżącą wartoscia kapitału skumulowanego a dotychczasowym rekordem
if (drawdowns[j] < recordDrawdown)
{
recordDrawdown = drawdowns[j]; //obsuniecie maksymalne
}
}
//wyniki końcowe
var sumReturn = sumRa[lastCandle - 1];
var calmar = -sumReturn / recordDrawdown; //wskaznik Calmara
if (bestReturn < sumReturn)
{
bestReturn = sumReturn; bestCalmar = calmar;
bestMa = paramALength;
using (var writer = new StreamWriter(filename, true))
{
writer.WriteLine("{0}\t{1}\t{2}",
GetDouble(sumReturn), GetDouble(paramALength),
GetDouble(calmar));
}
}
}
using (var writer = new StreamWriter(filename, true))
{
writer.WriteLine("{0}\t{1}\t{2}",
GetDouble(bestReturn), GetDouble(bestMa),
GetDouble(bestCalmar));
}
}
public void ComputeStrategy(object selectedItem)
{
string filename = selectedItem + "." + ResultFileExtension;
var bestReturn = -120.0;
var candlesCount = Candles.Count;
var bestCalmar = 0.0;
var bestMa = 0;
var bestLa = 0;
using (var writer = new StreamWriter(filename, false))
{
writer.WriteLine("results");
}
Parallel.For(5, 100, paramALength =>
{
var localparamALength = paramALength;
var means = new List <double>(candlesCount)
{
Candles.First().Close
};
var kon = candlesCount - 1;
for (var i = 1; i < kon; i++)
{
means.Add(GetCandlesRange(i, localparamALength).Average(candle => candle.Close));
}
//CreateStatus("paramALength: {0}", paramALength);
//AppendStatus(" paramAVolLength: {0}\r\n", paramAVolLength);
var sumRa = new List <double>(candlesCount);
var returnValues = new List <double>(candlesCount);
var drawdowns = new List <double>(candlesCount);
var candlesBegin = localparamALength + 1;
var positionCount = 0; //liczba otwieranych pozycji
//var stopLossCount = 0; //liczba stop lossów
var lastCandle = kon;
for (int i = 0; i < candlesBegin; i++)
{
sumRa.Add(0);
returnValues.Add(0);
}
for (int i = candlesBegin; i < lastCandle; i++)
{
returnValues.Add(0);
if (ComputePredicate(means[i], Candles[i].Close))
{
returnValues[i] = ComputeProfit(i);
//zysk z i-tej pozycji long zamykanej na zamknięciu po 1 kroku
positionCount++;
}
sumRa.Add(sumRa[i - 1] + returnValues[i]); //krzywa narastania kapitału
}
var recordReturn = 0.0; //rekord zysku
var recordDrawdown = 0.0; //rekord obsuniecia
for (int j = 0; j < lastCandle; j++)
{
if (sumRa[j] > recordReturn)
{
recordReturn = sumRa[j];
}
drawdowns.Add(sumRa[j] - recordReturn);
//róznica pomiedzy bieżącą wartoscia kapitału skumulowanego a dotychczasowym rekordem
if (drawdowns[j] < recordDrawdown)
{
recordDrawdown = drawdowns[j]; //obsuniecie maksymalne
}
}
//wyniki końcowe
var sumReturn = sumRa[lastCandle - 1];
var calmar = -sumReturn / recordDrawdown; //wskaznik Calmara
if (bestReturn < sumReturn)
{
bestReturn = sumReturn;
bestCalmar = calmar;
bestMa = localparamALength;
bestLa = positionCount;
using (var writer = new StreamWriter(filename + "_" + localparamALength, true))
{
writer.WriteLine("{0}\t{1}\t{2}",
GetDouble(sumReturn), GetDouble(localparamALength),
GetDouble(calmar));
}
}
});
using (var writer = new StreamWriter(ResultFilename, false))
{
writer.WriteLine("{0}\t{1}\t{2}\t{3}",
GetDouble(bestReturn), GetDouble(bestCalmar), GetDouble(bestMa), GetDouble(bestLa));
}
}
