/// <summary>
/// Called each time, the variants have changed.
/// Attention: May be called by different threads in parallel, dependend
/// on the number of Cores of the system CPU.
/// </summary>
/// <param name="strWKN"></param>
public void Prepare()
{
int nAveraging = this.RuleEngineInfo.Variants["averaging"];
Stock dax = DBEngine.GetInstance().GetStock("846900");
//Stock dax_short = DBEngine.GetInstance().GetStock("A0C4CT");
this.dax_close = dax.QuotesClose.Clone();
this.dax_ma = MovingAverage.CreateFrom(dax_close, nAveraging);
this.dax_rel_diff = RelativeDifference.CreateFrom(dax_close, dax_ma);
this.dax_price_osc = PriceOscillator.CreateFrom(dax_close, 38, 200).Clone(this.RuleEngineInfo.FromDate);
dax_price_osc.Scale(100);
dax_trend.Clear();
foreach (WorkDate keyDate in dax_price_osc.Dates)
{
dax_trend[keyDate] = (dax_price_osc[keyDate] > 0) ? 10 : -10;
}
dax_rel_diff = dax_rel_diff.Clone(this.RuleEngineInfo.FromDate);
dax_ma = dax_ma.Clone(this.RuleEngineInfo.FromDate);
dax_close = dax_close.Clone(this.RuleEngineInfo.FromDate);
this.buy_events = new DataContainer();
this.sell_events = new DataContainer();
this.buy_events_dax = new DataContainer();
this.sell_events_dax = new DataContainer();
}
public bool Buy(string strWKN)
{
WorkDate today = this.RuleEngineInfo.Today;
Depot depot = this.RuleEngineInfo.Depot;
double dPrice = DBEngine.GetInstance().GetPrice(strWKN, today);
int nQuantity = (int)(depot.Cash / dPrice);
depot.Buy(strWKN, nQuantity, today, dPrice);
return(true);
}
void UpdateDepotPositions()
{
WorkDate today = m_TradeRule.RuleEngineInfo.Today;
Depot depot = m_TradeRule.RuleEngineInfo.Depot;
foreach (DepotPosition position in depot)
{
double dPrice = DBEngine.GetInstance().GetPrice(position.WKN, today);
position.Price = dPrice;
}
depot.UpdateStopLoss();
}
// Called only once to init trade rule
public void Setup()
{
DataContainer dax = DBEngine.GetInstance().GetQuotes("846900");
this.RuleEngineInfo.FromDate = new WorkDate(2008, 1, 1);
this.RuleEngineInfo.ToDate = dax.YoungestDate.Clone();
this.RuleEngineInfo.Variants.Add("averaging", new int[] { 38 });
this.RuleEngineInfo.MinimumInvestment = 5000.0;
this.RuleEngineInfo.TargetPositions = 10;
this.RuleEngineInfo.MaxLoss = 0.90;
this.RuleEngineInfo.Depot.DefaultTrailingGap = 5;
// Create virtual instuments:
// Create DAXex from DAX-Index
dax_close = dax.Clone();
dax_etf = dax_close.Clone();
dax_etf.Scale(0.01);
DBEngine.GetInstance().AddVirtualInvestment("dbx1da", "DAX EX", dax_etf);
}
// Called only once to init trade rule
public void Setup()
{
this.RuleEngineInfo.FromDate = new WorkDate(1990, 1, 1);
this.RuleEngineInfo.ToDate = new WorkDate(2010, 10, 15);
this.RuleEngineInfo.Variants.Add("averaging", new int[] { 38 });
this.RuleEngineInfo.MinimumInvestment = 5000.0;
this.RuleEngineInfo.TargetPositions = 10;
this.RuleEngineInfo.MaxLoss = 0.90;
this.RuleEngineInfo.Depot.DefaultTrailingGap = 10;
// Create virtual instuments:
// Create DAXex from DAX-Index
DataContainer dax = DBEngine.GetInstance().GetQuotes("846900").Clone();
DataContainer put = new DataContainer();
double dRef = dax[dax.OldestDate];
for (WorkDate workdate = dax.OldestDate.Clone(); workdate <= dax.YoungestDate; workdate++)
{
put[workdate] = 100.0 * dRef / dax[workdate];
dax[workdate] = dax[workdate] / 100.0;
}
DBEngine.GetInstance().AddVirtualInvestment("dax_long", "DAX EX", dax);
DBEngine.GetInstance().AddVirtualInvestment("dax_short", "DAX EX Short", put);
// Create some fixed growth investment stocks
DataContainer fixedGrowth = FixedGrowthInvestment.CreateFrom(dax.OldestDate, dax.YoungestDate, 2);
DBEngine.GetInstance().AddVirtualInvestment("Bond", "Festgeld", fixedGrowth);
fixedGrowth = FixedGrowthInvestment.CreateFrom(dax.OldestDate, dax.YoungestDate, 10);
DBEngine.GetInstance().AddVirtualInvestment("TargetPerf", "Soll-Performance", fixedGrowth);
dax_trend = new DataContainer();
}
public static void Main(string[] args)
{
World.GetInstance().SetWorldPaths("Test");
DBEngine dbengine = DBEngine.GetInstance();
if (dbengine.Exists("846900") == false)
{
return;
}
Stock dax = dbengine.GetStock("846900");
DataContainer quotes = dax.QuotesLow;
Chart chart = new Chart();
chart.Add(quotes, Chart.LineType.Red, "Test");
chart.Create(World.GetInstance().ResultPath + "dax.png");
DataContainer dax_relperf = RelativePerformance.CreateFrom(quotes, new WorkDate(2008, 4, 21));
dax_relperf.Save(World.GetInstance().ResultPath + "dax_relperf.csv", ";");
}
private void analyzeFor(String wkn, String title)
{
const int nInvestPeriodStep = 5;
const int nMaxInvestPeriod = 30;
DBEngine dbengine = DBEngine.GetInstance();
DataContainer dcPerformancesAvg = new DataContainer();
DataContainer[] dcPerformances = new DataContainer[5];
for (int i = 0; i < dcPerformances.Length; i++)
{
dcPerformances[i] = new DataContainer();
}
if (dbengine.Exists(wkn) == false)
{
return;
}
Stock dax = dbengine.GetStock(wkn);
DataContainer quotes = dax.Quotes;
WorkDate fromDate = quotes.YoungestDate.Clone();
fromDate.Set(fromDate.Year - 4, fromDate.Month, 1);
WorkDate endDate = quotes.YoungestDate.Clone() - nMaxInvestPeriod;
DataContainer dax_ranged = quotes.Clone(fromDate);
DataContainer dax_ma200 = MovingAverage.CreateFrom(quotes, 200);
dax_ma200 = dax_ma200.Clone(fromDate);
DataContainer dax_ma38 = MovingAverage.CreateFrom(quotes, 38);
dax_ma38 = dax_ma38.Clone(fromDate);
DataContainer dax_rel_diff_38 = RelativeDifference.CreateFrom(quotes, dax_ma38);
dax_rel_diff_38 = dax_rel_diff_38.Clone(fromDate);
for (; fromDate < endDate; fromDate++)
{
for (int nInvestPeriod = 10; nInvestPeriod <= nMaxInvestPeriod; nInvestPeriod += nInvestPeriodStep)
{
double dPerf = ((quotes[fromDate + nInvestPeriod] / quotes[fromDate]) - 1) * 100.0;
dcPerformances[(nInvestPeriod / nInvestPeriodStep) - 2][fromDate] = dPerf;
}
}
foreach (WorkDate keydate in dcPerformances[0].Dates)
{
double dAvg = dcPerformances[0][keydate] + dcPerformances[1][keydate] + dcPerformances[2][keydate] +
dcPerformances[3][keydate] + dcPerformances[4][keydate];
dAvg /= 5;
dcPerformancesAvg[keydate] = dAvg;
}
DataContainer upperBarrier = dax_ranged.Clone();
upperBarrier.Set(5);
DataContainer middleBarrier = dax_ranged.Clone();
middleBarrier.Set(0);
DataContainer lowerBarrier = dax_ranged.Clone();
lowerBarrier.Set(-5);
// Create ProfitStatistik
Chart chart = new Chart();
chart.Width = 1500;
chart.Height = 800;
chart.Format = Chart.OutputFormat.SVG;
chart.Clear();
chart.LineWidth = 1;
chart.SubSectionsX = 6;
chart.TicsYInterval = 5;
chart.LogScaleY = false;
chart.Title = title + " Performance and MA 38/200\\n" +
dax_rel_diff_38.OldestDate.ToString() + " - " + dax_rel_diff_38.YoungestDate.ToString();
chart.LabelY = "Performance (%)";
chart.RightDate = quotes.YoungestDate + 10;
/*chart.Add(dcPerformances[0], Chart.LineType.SkyBlue, "10");
* chart.Add(dcPerformances[1], Chart.LineType.SkyBlue, "15");
* chart.Add(dcPerformances[2], Chart.LineType.SkyBlue, "20");
* chart.Add(dcPerformances[3], Chart.LineType.SkyBlue, "25");
* chart.Add(dcPerformances[4], Chart.LineType.SkyBlue, "30");*/
chart.Add(dcPerformancesAvg, Chart.LineType.Fuchsia, "Average Profit (5/10/15/20/25/30)");
chart.Add(dax_rel_diff_38, Chart.LineType.MediumBlue, "Rel. diff. to MA38");
chart.Add(upperBarrier, Chart.LineType.MediumRed);
chart.Add(middleBarrier, Chart.LineType.Black);
chart.Add(lowerBarrier, Chart.LineType.MediumGreen);
chart.Create(World.GetInstance().ResultPath + title + "ProfitStatistik");
// Create DAX
chart.Clear();
chart.LogScaleY = true;
chart.TicsYInterval = 200;
chart.Title = title + "\\n" +
dax_ranged.OldestDate.ToString() + " - " + dax_ranged.YoungestDate.ToString();
chart.LabelY = "Punkte (log.)";
chart.RightDate = quotes.YoungestDate + 10;
chart.Add(dax_ranged, Chart.LineType.MediumBlue, "Index");
//chart.Add(short_ranged, Chart.LineType.SeaGreen, "DAX Short");
chart.Add(dax_ma38, Chart.LineType.HeavyGreen, "Moving Average (38)");
chart.Add(dax_ma200, Chart.LineType.MediumRed, "Moving Average (200)");
chart.Create(World.GetInstance().ResultPath + title + "Overview");
}
public void Analyze()
{
DBEngine dbengine = DBEngine.GetInstance();
if (dbengine.Exists("846900") == false)
{
return;
}
Chart chart = new Chart();
chart.Width = 1500;
chart.Height = 800;
Stock dax = dbengine.GetStock("846900");
//Stock dax_short = dbengine.GetStock("A0C4CT");
DataContainer quotes = dax.Quotes;
DataContainer dax_ma38 = MovingAverage.CreateFrom(quotes, 38);
WorkDate startDate = quotes.YoungestDate.Clone();
startDate.Set(startDate.Year - 2, startDate.Month, 1);
DataContainer dax_ranged = quotes.Clone(startDate);
//DataContainer short_ranged = dax_short.Quotes.Clone(startDate);
dax_ma38 = dax_ma38.Clone(startDate);
DataContainer fast = MovingAverage.CreateFrom(quotes, 38);
DataContainer slow = MovingAverage.CreateFrom(quotes, 200);
fast = fast.Clone(startDate);
slow = slow.Clone(startDate);
#region DAX
chart.Clear();
chart.SubSectionsX = 3;
chart.LogScaleY = true;
chart.TicsYInterval = 200;
chart.Title = dax_ranged.OldestDate.ToString() + " - " + dax_ranged.YoungestDate.ToString();
chart.LabelY = "Punkte (log.)";
chart.Add(dax_ranged, Chart.LineType.LightBlue, "DAX");
//chart.Add(short_ranged, Chart.LineType.SeaGreen, "DAX Short");
chart.Add(fast, Chart.LineType.Orange, "Moving Average (fast)");
chart.Add(slow, Chart.LineType.Purple, "Moving Average (slow)");
chart.Create(World.GetInstance().ResultPath + "dax.png");
#endregion
#region DAX relative diff
DataContainer dax_rel_diff_38 = RelativeDifference.CreateFrom(quotes, dax_ma38);
dax_rel_diff_38 = dax_rel_diff_38.Clone(startDate);
chart.Clear();
chart.LogScaleY = false;
chart.TicsYInterval = 1;
chart.Title = dax_ranged.OldestDate.ToString() + " - " + dax_ranged.YoungestDate.ToString();
chart.LabelY = "dB%";
chart.Add(dax_rel_diff_38, Chart.LineType.LightBlue, "DAX rel. diff. to MA38");
chart.Create(World.GetInstance().ResultPath + "dax_rel_diff_38.png");
#endregion
#region DAX relative perf.
/*DataContainer dax_diff_ma38 = Difference.CreateFrom(quotes, dax_ma38).Clone(startDate);
* DataContainer dax_relperf = RelativePerformance.CreateFrom(quotes, startDate);
* dax_relperf = dax_relperf.Clone(startDate);
*
* chart.Clear();
* chart.TicsYInterval = 100;
* chart.Title = dax_diff_ma38.OldestDate.ToString() + " - " + dax_diff_ma38.YoungestDate.ToString();
* chart.LabelY = "Abstand zum Durchschnitt";
* chart.Add(dax_diff_ma38, 2, "DAX rel. ma38");
* chart.Create(World.GetInstance().ResultPath + "dax_relperf.png");*/
#endregion
}
