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 LoadStockDailyOrMinute()
{
Candles.Clear();
CandlesBasic.Clear();
CandlesHistory.Clear();
try
{
string fName = LoadPathFileCsv();
bool bDate1 = false;
bool bDate2 = false;
bool fileOrderDescending;
DateTime date1 = DateTime.Today;
DateTime date2 = DateTime.Today;
string[] time1 = null;
string[] time2 = null;
int candleInfoIndex;
StreamReader stream = new StreamReader(fName);
string row;
bool goodSoFar = false;
while ((row = stream.ReadLine()) != null)
{
string[] splitRow = row.Split(';');
if (splitRow.Length < 6 || splitRow[0].Equals("#"))
{
continue;
}
if (!bDate1)
{
DateTime.TryParse(splitRow[1], out date1);
bDate1 = true;
time1 = splitRow[2].Split(':');
continue;
}
if (!bDate2)
{
DateTime.TryParse(splitRow[1], out date2);
bDate2 = true;
time2 = splitRow[2].Split(':');
goodSoFar = true;
stream.Close();
break;
}
}
if (!goodSoFar)
{
throw new Exception("Invalid CSV File - 1 Each row must be Symbol, Date, Time (optional), Open, High, Low, Close, and Volume (optional).");
}
if (time1.Length == 3 && time2.Length == 3)
{
candleInfoIndex = 3;
DateTime date1Tmp = new DateTime(date1.Year, date1.Month, date1.Day,
Convert.ToInt32(time1[0]), Convert.ToInt32(time1[1]), Convert.ToInt32(time1[2]));
DateTime date2Tmp = new DateTime(date2.Year, date2.Month, date2.Day,
Convert.ToInt32(time2[0]), Convert.ToInt32(time2[1]), Convert.ToInt32(time2[2]));
fileOrderDescending = (date1Tmp > date2Tmp) ? false : true;
}
else if (time1.Length == 1 && time2.Length == 1)
{
candleInfoIndex = 2;
fileOrderDescending = (date1 > date2) ? false : true;
}
else
{
throw new Exception("Invalid CSV File" + " 2 Each row must be Symbol, Date, Time (optional), Open, High, Low, Close, and Volume (optional).");
}
int hr;
int mn;
int sc;
stream = new StreamReader(fName);
List <string> listRowCollection = new List <string>();
while ((row = stream.ReadLine()) != null)
{
listRowCollection.Add(row);
}
stream.Close();
if (fileOrderDescending)
{
foreach (string t in listRowCollection)
{
string[] splitRow = t.Split(';');
if (splitRow.Length < 6 || splitRow[0].Equals("#"))
{
continue;
}
DateTime dt;
if (!DateTime.TryParseExact(splitRow[1], "dd/MM/yyyy", null, DateTimeStyles.None, out dt))
{
continue;
}
hr = dt.Hour;
mn = dt.Minute;
sc = dt.Second;
if (dt.Hour == 0)
{
hr = 0;
mn = 0;
sc = 0;
}
if (candleInfoIndex == 3)
{
string[] strTime = splitRow[2].Split(':');
if (strTime.Length == 3)
{
hr = Convert.ToInt16(strTime[0]);
mn = Convert.ToInt16(strTime[1]);
sc = Convert.ToInt16(strTime[2]);
}
}
CandlesBasic.Add(new RegCandle
{
Date = new DateTime(dt.Year, dt.Month, dt.Day, hr, mn, sc),
Open = Convert.ToDouble(splitRow[candleInfoIndex]),
High = Convert.ToDouble(splitRow[candleInfoIndex + 1]),
Low = Convert.ToDouble(splitRow[candleInfoIndex + 2]),
Close = Convert.ToDouble(splitRow[candleInfoIndex + 3]),
Volume = Convert.ToDouble(splitRow[candleInfoIndex + 4])
});
}
}
else
{
for (int i = listRowCollection.Count - 1; i >= 0; i--)
{
string[] splitRow = listRowCollection[i].Split(';');
if (splitRow.Length < 6 || splitRow[0].Equals("#"))
{
continue;
}
DateTime dt;
if (!DateTime.TryParseExact(splitRow[1], "dd/MM/yyyy", null, DateTimeStyles.None, out dt))
{
continue;
}
hr = dt.Hour;
mn = dt.Minute;
sc = dt.Second;
if (dt.Hour == 0)
{
hr = 0;
mn = 0;
sc = 0;
}
if (candleInfoIndex == 3)
{
string[] strTime = splitRow[2].Split(':');
if (strTime.Length == 3)
{
hr = Convert.ToInt16(strTime[0]);
mn = Convert.ToInt16(strTime[1]);
sc = Convert.ToInt16(strTime[2]);
}
}
CandlesBasic.Add(new RegCandle
{
Date = new DateTime(dt.Year, dt.Month, dt.Day, hr, mn, sc),
Open = Convert.ToDouble(splitRow[candleInfoIndex]),
High = Convert.ToDouble(splitRow[candleInfoIndex + 1]),
Low = Convert.ToDouble(splitRow[candleInfoIndex + 2]),
Close = Convert.ToDouble(splitRow[candleInfoIndex + 3]),
Volume = Convert.ToDouble(splitRow[candleInfoIndex + 4])
});
}
}
if (((Periodicity == Periodicity.Daily) || ((Periodicity == Periodicity.Minutely))) &&
(Interval == 1))
{
Candles.AddRange(CandlesBasic);
}
else
{
Transform();
}
CandlesHistory.AddRange((Candles.Count - History) > 0
? Candles.GetRange(Candles.Count - History, History)
: Candles);
}
catch (Exception ex)
{
throw new Exception(ex.Message);
}
}
