public void OnBar()
{
double atrNow = StandardIndicators.ATR(Datasets[60], Period1);
double atrTotal = StandardIndicators.ATR(Datasets[60], 100);
double?volatilityLogMA12 = GetData(Asset.Name, Timeframe, "VOLATILITY_LOG_MA_12");
double?volumeLogMA12 = GetData(Asset.Name, Timeframe, "VOLUME_LOG_MA_12");
double?bbandsUpper = GetData(Asset.Name, Timeframe, "BBANDS_UP");
double?bbandsLower = GetData(Asset.Name, Timeframe, "BBANDS_LOW");
double lastMove = Math.Abs(Datasets[60][Period1 + 1].AskClose - Datasets[60][1].AskClose) / Asset.Pip;
double?bbRange = (bbandsUpper - bbandsLower) / Asset.Pip;
double stop = 75 * Asset.Pip;
double jump = (Datasets[60][Period1 + 1].AskClose - Datasets[60][Period2 + 1].AskClose) / Datasets[60][Period1 + 1].AskClose;
PushToSeries("jump", Math.Abs(jump));
PushToSeries("jumpOffset", GetSeries("jump")[Period2]);
double jumpSma = StandardIndicators.SMA(GetSeries("jump"), 100);
if (OpenTradeCount > 0 && (Ask > bbandsUpper || Ask < bbandsLower))
{
CloseAllTrades(CurrentBar, Asset.Name);
}
/*
* //Diagnostic Stuff here
* if (CurrentBar.OpenTime <= new DateTime(2019, 02, 08) || CurrentBar.OpenTime >= new DateTime(2019, 02, 14))
* return;
*
* Console.WriteLine(CurrentBar.OpenTime.AddHours(1).ToString("yy-MM-dd HH:mm") + ":" +
* Ask + ", atrnow:" + atrNow + ", atrtot:" + atrTotal + ", " +
* ", bU:" + bbandsUpper + ", bL" + bbandsLower + ", " +
+ jump + " " + jump_sma* jump_factor);
*/
//if (OpenTradeCount == 0 && (lastMove < Asset.Pip * 10) && (volatilityLogMA12 > -0.1 || (volumeLogMA12 >= 0.96 && volumeLogMA12 <= 0.99)))
if (OpenTradeCount == 0 && lastMove < 12.7 && (volumeLogMA12 >= 0.95 && volumeLogMA12 <= 0.98) && (bbRange > 81.92 && bbRange < 214) && CurrentBar.OpenTime.AddMinutes(60).Hour < 10)
//if (OpenTradeCount == 0)
{
double tradeSize = size;// + (ClosedTrades.Sum(x=> x.Profit) / 100000);
//if (volatilityLogMA12 > -0.1 && volumeLogMA12 >= 0.96 && volumeLogMA12 <= 0.99)
// tradeSize = size * 2;
if (atrNow < (atrTotal * 0.8) && jump > jumpSma * JumpFactor && (Ask < bbandsUpper - Asset.Pip * 5))
{
Trade trade = ExecuteTrade(Trade.TradeDirection.LONG, tradeSize, stop, 0);
//Tag the trade with know values at the time of trade execution to use for data relationship analysis
trade.TradeData = new double?[] { Period1, Period2, JumpFactor, jumpSma, volatilityLogMA12, volumeLogMA12, atrNow, atrTotal, lastMove, bbRange };
}
if (atrNow < (atrTotal * 0.8) && jump < -(jumpSma * JumpFactor) && (Ask > bbandsLower + Asset.Pip * 5))
{
Trade trade = ExecuteTrade(Trade.TradeDirection.SHORT, tradeSize, stop, 0);
//Tag the trade with know values at the time of trade execution to use for data relationship analysis
trade.TradeData = new double?[] { Period1, Period2, JumpFactor, jumpSma, volatilityLogMA12, volumeLogMA12, atrNow, atrTotal, lastMove, bbRange };
}
}
}
public static void DrawIndicator(StandardIndicators indicator, Vector3 position, float time, float scale, Vector2 offset, Color tint)
{
DrawIndicator(StandardFrames[indicator], position, time, scale, offset, tint);
}
public static void DrawIndicator(StandardIndicators indicator, Vector3 position, float time, float scale, Vector2 offset, Color tint)
{
DrawIndicator(StandardFrames[indicator], position, time, scale, offset, tint);
}
