public List <PositionModel> RunBackTest(string ticker, SortedDictionary <DateTime, ConsolidatedStockModel> stockDictionary, DateTime from, DateTime to, int rsiLow, int rsiHigh, int stopLoss)
{
IDictionaryEnumerator myEnumerator =
stockDictionary.GetEnumerator();
List <PositionModel> positions = new List <PositionModel>();
PositionModel openPosition = null;
while (myEnumerator.MoveNext())
{
ConsolidatedStockModel model = (ConsolidatedStockModel)myEnumerator.Value;
DateTime date = (DateTime)myEnumerator.Key;
if (date >= from && date <= to)
{
if (model.RsiLow <= rsiLow && openPosition == null && model.Sma200 <= model.Close)
{
openPosition = new PositionModel()
{
Open = model.Close, Size = 2000 / model.Close, OpenDate = date
};
Console.WriteLine($"Buy Date {date} Rsi Low {model.RsiLow} Open {openPosition.Open}");
}
if (model.RsiHigh >= rsiHigh && openPosition != null)
{
openPosition.Close = model.Close;
openPosition.CloseDate = date;
positions.Add(new PositionModel()
{
Ticker = ticker, Open = openPosition.Open, Close = openPosition.Close, Size = openPosition.Size, OpenDate = openPosition.OpenDate, CloseDate = openPosition.CloseDate
});
Console.WriteLine($"Sell Date {date} Rsi Low {model.RsiLow} Profit {(openPosition.CloseValue - openPosition.OpenValue).ToString("N2")} Open {openPosition.Open} Close {openPosition.Close}");
openPosition = null;
}
if (stopLoss != 0 && openPosition != null && model.Close <= (openPosition.Open * (1 - ((double)stopLoss / 100))))
{
openPosition.Close = model.Close;
openPosition.CloseDate = date;
openPosition.Stop = true;
positions.Add(new PositionModel()
{
Ticker = ticker, Open = openPosition.Open, Close = openPosition.Close, Size = openPosition.Size, OpenDate = openPosition.OpenDate, CloseDate = openPosition.CloseDate, Stop = openPosition.Stop
});
Console.WriteLine($"Date {date} Rsi Low {model.RsiLow}");
Console.WriteLine($"Sell STOP LOSS Profit {(openPosition.CloseValue-openPosition.OpenValue).ToString("N2")}");
openPosition = null;
}
}
}
return(positions);
}
public List <PositionModel> RunBackTest(string ticker, SortedDictionary <DateTime, ConsolidatedStockModel> stockDictionary, DateTime from, DateTime to, int rsiLow, int rsiHigh, int stopLoss)
{
IDictionaryEnumerator myEnumerator =
stockDictionary.GetEnumerator();
List <PositionModel> positions = new List <PositionModel>();
PositionModel openPosition = null;
while (myEnumerator.MoveNext())
{
ConsolidatedStockModel model = (ConsolidatedStockModel)myEnumerator.Value;
DateTime date = (DateTime)myEnumerator.Key;
if (date >= from && date <= to)
{
if (model.RsiLow <= rsiLow && openPosition == null && model.Sma200 <= model.Close)
{
openPosition = new PositionModel()
{
Open = model.Close, Size = 2000 / model.Close, OpenDate = date, Ticker = ticker
};
}
if (model.RsiHigh >= rsiHigh && openPosition != null)
{
openPosition.PassedTest = true;
}
if (openPosition != null && openPosition.PassedTest && model.RsiHigh <= rsiHigh)
{
openPosition.Close = model.Close;
openPosition.CloseDate = date;
positions.Add(new PositionModel()
{
Ticker = ticker, Open = openPosition.Open, Close = openPosition.Close, Size = openPosition.Size, OpenDate = openPosition.OpenDate, CloseDate = openPosition.CloseDate
});
openPosition = null;
}
if (stopLoss != 0 && openPosition != null && model.Close <= openPosition.Open * (1 - (double)stopLoss / 100))
{
openPosition.Close = model.Close;
openPosition.CloseDate = date;
openPosition.Stop = true;
positions.Add(new PositionModel()
{
Ticker = ticker, Open = openPosition.Open, Close = openPosition.Close, Size = openPosition.Size, OpenDate = openPosition.OpenDate, CloseDate = openPosition.CloseDate, Stop = openPosition.Stop
});
openPosition = null;
}
}
}
return(positions);
}
public List <PositionModel> RunBackTest(string ticker, SortedDictionary <DateTime, ConsolidatedStockModel> stockDictionary, DateTime from, DateTime to, int rsiLow, int rsiHigh, int stopLoss)
{
IDictionaryEnumerator myEnumerator =
stockDictionary.GetEnumerator();
List <PositionModel> positions = new List <PositionModel>();
PositionModel openPosition = null;
DateTime lastStockDate = GetLastStockPostionDateInFile(stockDictionary, to);
while (myEnumerator.MoveNext())
{
ConsolidatedStockModel model = (ConsolidatedStockModel)myEnumerator.Value;
DateTime date = (DateTime)myEnumerator.Key;
if (date >= from && date <= to)
{
if (date.Date >= from.Date && openPosition == null)
{
openPosition = new PositionModel()
{
Open = model.Close, Size = 2000 / model.Close, OpenDate = date
};
Console.WriteLine($"Buy Date {date} Open {openPosition.Open}");
}
if (date.Date == lastStockDate && openPosition != null)
{
openPosition.Close = model.Close;
openPosition.CloseDate = date;
positions.Add(new PositionModel()
{
Ticker = ticker, Open = openPosition.Open, Close = openPosition.Close, Size = openPosition.Size, OpenDate = openPosition.OpenDate, CloseDate = openPosition.CloseDate
});
Console.WriteLine($"Sell Date {date} Force Close End Of Period. Profit {(openPosition.CloseValue - openPosition.OpenValue).ToString("N2")} Open {openPosition.Open} Close {openPosition.Close}");
openPosition = null;
}
}
}
return(positions);
}
private SortedDictionary <DateTime, ConsolidatedStockModel> GetData(string alphaKey, string ticker)
{
List <PriceModel> alphaPriceResult = new PriceQuery().Get(alphaKey, ticker);
List <RsiModel> alphaRsiResult = new RsiQuery().Get(alphaKey, ticker, 4, "low");
List <RsiModel> alphaRsiResultHigh = new RsiQuery().Get(alphaKey, ticker, 4, "high");
List <SmaModel> alphaSmaResult = new SmaQuery().Get(alphaKey, ticker, 200);
SortedDictionary <DateTime, ConsolidatedStockModel> stockDictionary = new SortedDictionary <DateTime, ConsolidatedStockModel>();
foreach (RsiModel rsiModel in alphaRsiResult)
{
ConsolidatedStockModel consolidatedStock;
if (!stockDictionary.ContainsKey(rsiModel.Time))
{
consolidatedStock = new ConsolidatedStockModel();
consolidatedStock.RsiLow = rsiModel.Rsi;
stockDictionary.Add(rsiModel.Time, consolidatedStock);
}
else
{
stockDictionary[rsiModel.Time].RsiLow = rsiModel.Rsi;
}
}
foreach (RsiModel rsiModel in alphaRsiResultHigh)
{
ConsolidatedStockModel consolidatedStock;
if (!stockDictionary.ContainsKey(rsiModel.Time))
{
consolidatedStock = new ConsolidatedStockModel();
consolidatedStock.RsiHigh = rsiModel.Rsi;
stockDictionary.Add(rsiModel.Time, consolidatedStock);
}
else
{
stockDictionary[rsiModel.Time].RsiHigh = rsiModel.Rsi;
}
}
foreach (SmaModel smaModel in alphaSmaResult)
{
ConsolidatedStockModel consolidatedStock;
if (!stockDictionary.ContainsKey(smaModel.Time))
{
consolidatedStock = new ConsolidatedStockModel();
consolidatedStock.Sma200 = smaModel.Sma;
stockDictionary.Add(smaModel.Time, consolidatedStock);
}
else
{
stockDictionary[smaModel.Time].Sma200 = smaModel.Sma;
}
}
foreach (PriceModel priceModel in alphaPriceResult)
{
ConsolidatedStockModel consolidatedStock;
if (!stockDictionary.ContainsKey(priceModel.Time))
{
consolidatedStock = new ConsolidatedStockModel();
consolidatedStock.Close = priceModel.Close;
stockDictionary.Add(priceModel.Time, consolidatedStock);
}
else
{
stockDictionary[priceModel.Time].Close = priceModel.Close;
}
}
return(stockDictionary);
}
public List <PositionModel> RunBackTest(string ticker, SortedDictionary <DateTime, ConsolidatedStockModel> stockDictionary, DateTime from, DateTime to, int rsiLow, int rsiHigh, int stopLoss)
{
IDictionaryEnumerator myEnumerator =
stockDictionary.GetEnumerator();
List <PositionModel> positions = new List <PositionModel>();
PositionModel openPosition = null;
bool rsiDropped = false;
while (myEnumerator.MoveNext())
{
ConsolidatedStockModel currentStock = (ConsolidatedStockModel)myEnumerator.Value;
DateTime date = (DateTime)myEnumerator.Key;
if (date >= from && date <= to)
{
if (currentStock.RsiLow <= rsiLow && openPosition == null && currentStock.Sma200 <= currentStock.Close)
{
rsiDropped = true;
}
if (rsiDropped && currentStock.RsiLow >= rsiLow && openPosition == null)
{
rsiDropped = false;
// open position
openPosition = new PositionModel()
{
Open = currentStock.Close, Size = 2000 / currentStock.Close, OpenDate = date, Ticker = ticker
};
}
if (openPosition != null && currentStock.RsiHigh >= rsiHigh)
{
// close position
openPosition.Close = currentStock.Close;
openPosition.CloseDate = date;
positions.Add(new PositionModel()
{
Ticker = ticker, Open = openPosition.Open, Close = openPosition.Close, Size = openPosition.Size, OpenDate = openPosition.OpenDate, CloseDate = openPosition.CloseDate
});
openPosition = null;
}
if (stopLoss != 0 && openPosition != null && currentStock.Close <= openPosition.Open * (1 - (double)stopLoss / 100))
{
// close position
openPosition.Close = currentStock.Close;
openPosition.CloseDate = date;
openPosition.Stop = true;
positions.Add(new PositionModel()
{
Ticker = ticker, Open = openPosition.Open, Close = openPosition.Close, Size = openPosition.Size, OpenDate = openPosition.OpenDate, CloseDate = openPosition.CloseDate, Stop = openPosition.Stop
});
openPosition = null;
}
}
}
return(positions);
}