/// <param name="series"> a time series </param>
/// <returns> a global extrema strategy </returns>
public static Strategy BuildStrategy(TimeSeries series)
{
if (series == null)
{
throw new ArgumentException("Series cannot be null");
}
var closePrices = new ClosePriceIndicator(series);
// Getting the max price over the past week
var maxPrices = new MaxPriceIndicator(series);
var weekMaxPrice = new HighestValueIndicator(maxPrices, NB_TICKS_PER_WEEK);
// Getting the min price over the past week
var minPrices = new MinPriceIndicator(series);
var weekMinPrice = new LowestValueIndicator(minPrices, NB_TICKS_PER_WEEK);
// Going long if the close price goes below the min price
var downWeek = new MultiplierIndicator(weekMinPrice, Decimal.ValueOf("1.004"));
var buyingRule = new UnderIndicatorRule(closePrices, downWeek);
// Going short if the close price goes above the max price
var upWeek = new MultiplierIndicator(weekMaxPrice, Decimal.ValueOf("0.996"));
var sellingRule = new OverIndicatorRule(closePrices, upWeek);
return(new Strategy(buyingRule, sellingRule));
}
public void setUp()
{
IIndicator <decimal> indicator = new FixeddecimalIndicator(20, 15, 10, 5, 0, -5, -10, 100);
rule = new OverIndicatorRule(indicator, 5);
}
public virtual void SetUp()
{
_indicator = new FixedDecimalIndicator(20, 15, 10, 5, 0, -5, -10, 100);
_rule = new OverIndicatorRule(_indicator, Decimal.ValueOf(5));
}