public static TrendEvaluation GetTrendEvaluation(TrendDirection trendDirection, TrendInterpretation trendInterpretation)
{
if (trendInterpretation == TrendInterpretation.Standard)
switch (trendDirection)
{
case TrendDirection.Decreasing:
return TrendEvaluation.DownBad;
case TrendDirection.Increasing:
return TrendEvaluation.UpGood;
case TrendDirection.None:
return TrendEvaluation.None;
case TrendDirection.Unchanged:
return TrendEvaluation.NoChangeNoOpinion;
}
if (trendInterpretation == TrendInterpretation.Inverse)
switch (trendDirection)
{
case TrendDirection.Decreasing:
return TrendEvaluation.DownGood;
case TrendDirection.Increasing:
return TrendEvaluation.UpBad;
case TrendDirection.None:
return TrendEvaluation.None;
case TrendDirection.Unchanged:
return TrendEvaluation.NoChangeNoOpinion;
}
return TrendEvaluation.None;
}
public Trend(int interval, string symbol, TrendDirection direction, double speed)
{
this.Interval = interval;
this.Symbol = symbol;
this.Direction = direction;
this.Speed = speed;
}
public Task <TrendDirection> CheckTrendAsync(string tradingPair, CandleModel currentCandle)
{
var mfiValue = _mfiIndicator.GetIndicatorValue(currentCandle).IndicatorValue;
Console.WriteLine($"Mfi indicator value: {mfiValue}");
if (mfiValue < 0)
{
return(Task.FromResult(TrendDirection.None));
}
if (mfiValue > 0 && mfiValue <= 20)
{
if (_lastTrend == TrendDirection.Short)
{
_lastTrend = TrendDirection.Long;
return(Task.FromResult(_lastTrend));
}
}
if (mfiValue >= 80)
{
if (_lastTrend == TrendDirection.Long)
{
_lastTrend = TrendDirection.Short;
return(Task.FromResult(_lastTrend));
}
}
return(Task.FromResult(TrendDirection.None));
}
private void SetSignal(int signal, string message)
{
if (message != null)
{
P(message);
}
_signal = signal;
switch (_signal)
{
case 1:
_trendDirection = TrendDirection.Long;
BackColor = Color.LightGreen;
break;
case -1:
_trendDirection = TrendDirection.Short;
BackColor = Color.Pink;
break;
case 0:
_trendDirection = TrendDirection.Neutral;
BackColor = Color.Yellow;
break;
default:
break;
}
}
public Task <TrendDirection> CheckTrendAsync(string tradingPair, CandleModel currentCandle)
{
var rsiValue = _rsiIndicator.GetIndicatorValue(currentCandle).IndicatorValue;
Console.WriteLine($"Rsi value: {rsiValue}");
if (rsiValue < 30 && rsiValue > 0)
{
if (_lastTrend == TrendDirection.Long)
{
return(Task.FromResult(TrendDirection.None));
}
_lastTrend = TrendDirection.Long;
return(Task.FromResult(_lastTrend));
}
if (rsiValue > 70)
{
if (_lastTrend == TrendDirection.Short)
{
return(Task.FromResult(TrendDirection.None));
}
_lastTrend = TrendDirection.Short;
return(Task.FromResult(_lastTrend));
}
return(Task.FromResult(TrendDirection.None));
}
public Task <TrendDirection> CheckTrendAsync(string tradingPair, CandleModel currentCandle)
{
var candleSticksValue = _candleSticksIndicator.GetIndicatorValue(currentCandle);
if (_lastTrend == TrendDirection.Short)
{
if (candleSticksValue.CandleFormat == CandleFormat.BullishMarubozu)
{
_lastTrend = TrendDirection.Long;
return(Task.FromResult(_lastTrend));
}
}
if (_lastTrend == TrendDirection.Long)
{
if (currentCandle.ClosePrice >= _lastBuyPrice * (decimal)1.01 ||
candleSticksValue.CandleFormat == CandleFormat.BearishMarubozu)
{
_lastTrend = TrendDirection.Short;
}
else
{
return(Task.FromResult(TrendDirection.None));
}
}
return(Task.FromResult(TrendDirection.None));
}
public OrderAction GetOrderAction(TrendDirection trendDirection)
{
var ask = _mqlApi.Ask;
var bid = _mqlApi.Bid;
var lower = _mqlApi.iBands(_symbol, _timeFrame, _period, Deviation, BandsShift, AppliedPrice,
MqlApi.MODE_LOWER, Shift);
var main = _mqlApi.iBands(_symbol, _timeFrame, _period, Deviation, BandsShift, AppliedPrice,
MqlApi.MODE_MAIN, Shift);
var upper = _mqlApi.iBands(_symbol, _timeFrame, _period, Deviation, BandsShift, AppliedPrice,
MqlApi.MODE_UPPER, Shift);
var points = _mqlApi.MarketInfo(_symbol, MqlApi.MODE_POINT);
// Todo: Margin should be added!
switch (trendDirection)
{
case TrendDirection.UP:
// Case 1 Touches middle band
if (ask + _marginPoints * points <= main)
{
return new OrderAction
{
OrderActionType = OrderActionType.BUY
};
}
// Case 2 Touches lower band
if (ask + _marginPoints * points <= lower)
{
return new OrderAction
{
OrderActionType = OrderActionType.BUY
};
}
break;
case TrendDirection.DOWN:
if (ask - _marginPoints * points >= main)
{
return new OrderAction
{
OrderActionType = OrderActionType.SELL
};
}
if (ask - _marginPoints * points >= upper)
{
return new OrderAction
{
OrderActionType = OrderActionType.SELL
};
}
break;
}
return new OrderAction
{
OrderActionType = OrderActionType.NONE
};
}
public void Trend_Constructor_test()
{
int interval = 60;
string symbol = "RTS-12.13_FT";
TrendDirection direction = TrendDirection.Up;
double speed = 30;
Trend trend = new Trend(interval, symbol, direction, speed);
Assert.AreEqual(interval, trend.Interval);
Assert.AreEqual(symbol, trend.Symbol);
Assert.AreEqual(direction, trend.Direction);
Assert.AreEqual(speed, trend.Speed);
}
public TrendDirection GetSpreadTrend()
{
TrendDirection trd = TrendDirection.UnKnown;
if (Spread[0] > Spread[1])
{
trd = TrendDirection.Up;
}
else if (Spread[0] < Spread[1])
{
trd = TrendDirection.Down;
}
return(trd);
}
public TradeEngine()
{
//create main timer for polling
mainTimer = new System.Timers.Timer();
mainTimer.Interval = 150000; //launch polling event every 2.5 minutes
mainTimer.AutoReset = true;
mainTimer.Enabled = true;
myAccountSettings = new AccountSettings {
BASEURI = BASEURI, APIKEY = APIKEY, ID = ID
};
//initialize default variables
myAccount = new AccountAccessor(myAccountSettings);
myAccount.RegisterTimer(mainTimer);
instruments = new InstrumentAccessor(myAccountSettings, "EUR_USD");
instruments.RegisterTimer(mainTimer);
orders = new OrderAccessor(myAccountSettings);
//OMG, initialize first object in collection
SMA50 = new List <IndicatorOverTime>();
SMA50.Add(new IndicatorOverTime {
result = Indicators.SMA((instruments.GetBars(50, "M5"))), time = instruments.GetBars(1, "M5").candles[0].time
});
trend = new TrendDirection();
//set because log file is written before trend is actually calculated, so should be sideways until there is enough data to actually determine the trend
trend = TrendDirection.Sideways;
tradeEngineLog = new LogData();
//write headers to csv
using (StreamWriter writer = new StreamWriter(outFile))
{
CsvWriter csvWriter = new CsvWriter(writer);
csvWriter.WriteHeader <LogData>();
csvWriter.NextRecord();
}
WriteLog();
mainTimer.Elapsed += OnUpdate;
}
public void OnUpdate(object _sender, ElapsedEventArgs _e)
{
//check if new data needs to be built from bar data, and if so write log file
if (instruments.GetBars(1, "M5").candles[0].time > SMA50[SMA50.Count - 1].time)
{
SMA50.Add(new IndicatorOverTime {
result = Indicators.SMA((instruments.GetBars(50, "M5"))), time = instruments.GetBars(1, "M5").candles[0].time
});
trend = Indicators.Trend(SMA50);
WriteLog();
}
//Console.WriteLine("Simple Moving average over 50 bars:{0}", SMA50[SMA50.Count - 1].result);
//Console.WriteLine("The current trend is:{0}",trend);
}
public async Task <TrendDirection> CheckTrendAsync(string tradingPair, CandleModel currentCandle)
{
var shortEmaValue = _shortEmaIndicator.GetIndicatorValue(currentCandle).IndicatorValue;
var longEmaValue = _longEmaIndicator.GetIndicatorValue(currentCandle).IndicatorValue;
if (_lastTrend == TrendDirection.Short)
{
if (shortEmaValue > longEmaValue)
{
if (_persistenceBuyCount > 2)
{
_lastTrend = TrendDirection.Long;
}
else
{
_persistenceBuyCount++;
return(await Task.FromResult(TrendDirection.None));
}
}
else
{
return(await Task.FromResult(TrendDirection.None));
}
}
else if (_lastTrend == TrendDirection.Long)
{
if (shortEmaValue < longEmaValue)
{
if (_persistenceSellCount > 5)
{
_lastTrend = TrendDirection.Short;
}
else
{
_persistenceSellCount++;
return(await Task.FromResult(TrendDirection.None));
}
}
else
{
return(await Task.FromResult(TrendDirection.None));
}
}
return(await Task.FromResult(_lastTrend));
}
public Advice GetAdvice(IList<OHLC> candles)
{
if (candles.Count < 2)
{
return Advice.None;
}
var lastCandle = candles[candles.Count - 1];
var prevCandle = candles[candles.Count - 2];
//var diff = 100 * (ShortMA.Output[i - ShortMA.Begin] - LongMA.Output[i - LongMA.Begin]) / LongMA.Output[i - LongMA.Begin];
double diff = (double)((lastCandle.Close - prevCandle.Close)/prevCandle.Close)*100;
if (diff > _upThreshold)
{
if (_trend != TrendDirection.Up)
{
_trend = TrendDirection.Up;
return Advice.Buy;
}
// return Advice.Buy;
return Advice.None;
}
else if (diff < _downThreshold)
{
if (_trend != TrendDirection.Down)
{
_trend = TrendDirection.Down;
return Advice.Sell;
}
// return Advice.Sell;
return Advice.None;
}
return Advice.None;
}
/// <summary>
/// Get the last inflection for the given barNo
/// </summary>
/// <param name="barNo"></param>
/// <returns>the number of bars ago/barNo for last inflection</returns>
public int GetLastInflection(Series <int> inflection, int barNo, TrendDirection dir, BarIndexType barIdxType)
{
int inft = -1;
for (int i = 1; i < barNo - BarsRequiredToPlot - 1; i++)
{
if ((inflection[i] < 0 && dir == TrendDirection.Down) ||
(inflection[i] > 0 && dir == TrendDirection.Up))
{
inft = i;
}
if (barNo >= Input.Count)
{
Print("inflection[" + i + "]=" + inflection[i] + ", inft=" + inft);
}
}
if (inft > 0 && barIdxType == BarIndexType.BarNO)
{
inft = CurrentBar - inft;
}
//Print("GetLastInflection barNo, currentBar, inft=" + barNo + "," + CurrentBar + "," + inft);
return(inft);
}
public Advice GetAdvice(IList <OHLC> candles)
{
if (candles.Count < 2)
{
return(Advice.None);
}
var lastCandle = candles[candles.Count - 1];
var prevCandle = candles[candles.Count - 2];
//var diff = 100 * (ShortMA.Output[i - ShortMA.Begin] - LongMA.Output[i - LongMA.Begin]) / LongMA.Output[i - LongMA.Begin];
double diff = (double)((lastCandle.Close - prevCandle.Close) / prevCandle.Close) * 100;
if (diff > _upThreshold)
{
if (_trend != TrendDirection.Up)
{
_trend = TrendDirection.Up;
return(Advice.Buy);
}
// return Advice.Buy;
return(Advice.None);
}
else if (diff < _downThreshold)
{
if (_trend != TrendDirection.Down)
{
_trend = TrendDirection.Down;
return(Advice.Sell);
}
// return Advice.Sell;
return(Advice.None);
}
return(Advice.None);
}
public Advice GetAdvice(IList <OHLC> candles)
{
var shortMA = Analysis.MovingAverages.CalculateEMA(candles, _shortEMAPeriod);
var longMA = Analysis.MovingAverages.CalculateEMA(candles, _longEMAPeriod);
if (shortMA == null || longMA == null)
{
return(Advice.None);
}
int i = candles.Count - 1;
var diff = 100 * (shortMA.Output[i - shortMA.Begin] - longMA.Output[i - longMA.Begin]) / ((longMA.Output[i - longMA.Begin] + shortMA.Output[i - shortMA.Begin]) / 2);
var candle = candles.Last();
if (diff > _buyThreshold)
{
if (_trend != TrendDirection.Up)
{
_trend = TrendDirection.Up;
return(Advice.Buy);
}
// return Advice.Buy;
return(Advice.None);
}
else if (diff < _sellThreshold)
{
if (_trend != TrendDirection.Down)
{
_trend = TrendDirection.Down;
return(Advice.Sell);
}
// return Advice.Sell;
return(Advice.None);
}
return(Advice.None);
}
public async Task <TrendDirection> CheckTrendAsync(string tradingPair, CandleModel currentCandle)
{
var price = currentCandle.ClosePrice;
var shortEmaValue = _shortEmaIndicator.GetIndicatorValue(currentCandle).IndicatorValue;
var longEmaValue = _longEmaIndicator.GetIndicatorValue(currentCandle).IndicatorValue;
var emaTrend = shortEmaValue > longEmaValue ? TrendDirection.Long : TrendDirection.Short;
//Console.WriteLine($"Short EMA value: {shortEmaValue}; Long EMA value: {longEmaValue}; EMA Trend: {emaTrend}; Candlesticks: {candleSticksValue}");
if (_lastTrend == TrendDirection.Short)
{
if (emaTrend == TrendDirection.Long)
{
_lastTrend = TrendDirection.Long;
_lastBuyPrice = price;
}
else
{
return(await Task.FromResult(TrendDirection.None));
}
}
else if (_lastTrend == TrendDirection.Long)
{
if (price >= _lastBuyPrice * (decimal)1.01 ||
price < _lastBuyPrice * (decimal)0.9975)
{
_lastTrend = TrendDirection.Short;
}
else
{
return(await Task.FromResult(TrendDirection.None));
}
}
return(await Task.FromResult(_lastTrend));
}
public Advice GetAdvice(IList<OHLC> candles)
{
var shortMA = Analysis.MovingAverages.CalculateEMA(candles, _shortEMAPeriod);
var longMA = Analysis.MovingAverages.CalculateEMA(candles, _longEMAPeriod);
if (shortMA == null || longMA == null)
{
return Advice.None;
}
int i = candles.Count - 1;
var diff = 100 * (shortMA.Output[i - shortMA.Begin] - longMA.Output[i - longMA.Begin]) / ((longMA.Output[i - longMA.Begin] + shortMA.Output[i - shortMA.Begin]) / 2);
var candle = candles.Last();
if (diff > _buyThreshold)
{
if (_trend != TrendDirection.Up)
{
_trend = TrendDirection.Up;
return Advice.Buy;
}
// return Advice.Buy;
return Advice.None;
}
else if (diff < _sellThreshold)
{
if (_trend != TrendDirection.Down)
{
_trend = TrendDirection.Down;
return Advice.Sell;
}
// return Advice.Sell;
return Advice.None;
}
return Advice.None;
}
public async Task <TrendDirection> CheckTrendAsync(string tradingPair, CandleModel currentCandle)
{
var shortEmaValue = _shortEmaIndicator.GetIndicatorValue(currentCandle).IndicatorValue;
var longEmaValue = _longEmaIndicator.GetIndicatorValue(currentCandle).IndicatorValue;
var emaDiffValue = shortEmaValue - longEmaValue;
var signalEmaValue = Math.Round(_signalEmaIndicator.GetIndicatorValue(emaDiffValue).IndicatorValue, 4);
var macdValue = Math.Round(emaDiffValue - signalEmaValue, 4);
Console.WriteLine($"DateTs: {currentCandle.StartDateTime:s}; " +
$"MACD: {macdValue};\t" +
$"PeekMACD: {_maxOrMinMacd};\t" +
$"Close price: {currentCandle.ClosePrice};");
if (!_lastMacd.HasValue)
{
_lastMacd = macdValue;
_lastClosePrice = currentCandle.ClosePrice;
return(await Task.FromResult(TrendDirection.None));
}
if (_lastMacd < 0 && macdValue >= 0)
{
if (_macdSwitch)
{
_maxMacd = 0;
}
else
{
_macdSwitch = true;
}
}
if (_lastMacd > 0 && macdValue <= 0)
{
if (_macdSwitch)
{
_minMacd = 0;
}
else
{
_macdSwitch = true;
}
}
if (macdValue < 0 && macdValue < _minMacd)
{
_minMacd = macdValue;
_minMacdClosePrice = currentCandle.ClosePrice;
}
if (macdValue > 0 && macdValue > _maxMacd)
{
_maxMacd = macdValue;
_maxMacdClosePrice = currentCandle.ClosePrice;
}
// wait 1 hour
if (_candleCount <= 60)
{
_candleCount++;
return(await Task.FromResult(TrendDirection.None));
}
if (_lastTrend == TrendDirection.Short)
{
if (macdValue > 0 && _stopTrading)
{
_stopTrading = false;
}
if (macdValue < 0 && macdValue < _lastMacd)
{
_maxOrMinMacd = macdValue;
}
var diffPreviousMacd = _maxOrMinMacd - macdValue;
if (_stopTrading == false &&
macdValue < _options.BuyThreshold &&
diffPreviousMacd < -(decimal)1.0 &&
macdValue > _lastMacd &&
currentCandle.ClosePrice > _lastClosePrice)
{
_macdRate = (1 - Math.Round(_minMacdClosePrice / _maxMacdClosePrice, 4)) * 100;
Console.WriteLine($"MaxMacd: {_maxMacdClosePrice}; MinMacd: {_minMacdClosePrice}; Rate: {_macdRate}%");
_lastMacd = macdValue;
_lastClosePrice = currentCandle.ClosePrice;
if (_macdRate < (decimal)2.75 || _macdRate > (decimal)5.5)
{
_stopTrading = true;
return(await Task.FromResult(TrendDirection.None));
}
_lastTrend = TrendDirection.Long;
_maxOrMinMacd = 0;
_lastBuyPrice = currentCandle.ClosePrice;
}
else
{
_lastMacd = macdValue;
_lastClosePrice = currentCandle.ClosePrice;
return(await Task.FromResult(TrendDirection.None));
}
}
else if (_lastTrend == TrendDirection.Long)
{
if (macdValue > 0 && macdValue > _lastMacd)
{
_maxOrMinMacd = macdValue;
}
if (macdValue < 0)
{
_maxOrMinMacd = 0;
}
var stopPercentage = 1 - (_macdRate - (decimal)0.4) / 100;
var profitPercentage = 1 + (_macdRate + (decimal)0.4) / 100; //(decimal) 1.038;
var diffPreviousMacd = _maxOrMinMacd - macdValue;
if (_lastMacd > macdValue &&
diffPreviousMacd > (decimal)1.0 &&
(currentCandle.ClosePrice > _lastBuyPrice * profitPercentage ||
currentCandle.ClosePrice < _lastBuyPrice * stopPercentage))
{
Console.WriteLine($"Stop percentage: {stopPercentage}; Profit percentage: {profitPercentage}");
_lastTrend = TrendDirection.Short;
_maxOrMinMacd = 0;
_stopTrading = true;
_lastMacd = macdValue;
_lastClosePrice = currentCandle.ClosePrice;
}
else
{
_lastMacd = macdValue;
_lastClosePrice = currentCandle.ClosePrice;
return(await Task.FromResult(TrendDirection.None));
}
}
return(await Task.FromResult(_lastTrend));
}
public async Task <TrendDirection> CheckTrendAsync(string tradingPair, CandleModel currentCandle)
{
var shortEmaValue = _shortEmaIndicator.GetIndicatorValue(currentCandle).IndicatorValue;
var longEmaValue = _longEmaIndicator.GetIndicatorValue(currentCandle).IndicatorValue;
var macdValue = Math.Round(shortEmaValue - longEmaValue, 4);
var ichimokuCloudValue = _ichimokuCloudIndicator.GetIndicatorValue(currentCandle);
var ema200Value = _ema200Indicator.GetIndicatorValue(currentCandle).IndicatorValue;
Console.WriteLine($"DateTs: {currentCandle.StartDateTime:s}; " +
$"SSA: {ichimokuCloudValue.IchimokuCloud?.SenkouSpanAValue}; " +
$"SSB: {ichimokuCloudValue.IchimokuCloud?.SenkouSpanBValue}; " +
$"TS: {ichimokuCloudValue.IchimokuCloud?.TenkanSenValue}; " +
$"KS: {ichimokuCloudValue.IchimokuCloud?.KijunSenValue}; " +
$"EMA200: {ema200Value}; " +
$"MACD: {macdValue}; " +
$"MinMaxMacd: {_maxOrMinMacd}; " +
$"Close price: {currentCandle.ClosePrice};");
if (!_lastMacd.HasValue || _lastMacd == 0)
{
_lastMacd = macdValue;
return(await Task.FromResult(TrendDirection.None));
}
if (ichimokuCloudValue.IchimokuCloud == null)
{
_lastMacd = macdValue;
return(await Task.FromResult(TrendDirection.None));
}
var ssa = ichimokuCloudValue.IchimokuCloud.SenkouSpanAValue;
var ssb = ichimokuCloudValue.IchimokuCloud.SenkouSpanBValue;
//var ts = ichimokuCloudValue.IchimokuCloud.TenkanSenValue;
//var ks = ichimokuCloudValue.IchimokuCloud.KijunSenValue;
//var ichimokuCloudMin = new List<decimal> { ssa, ssb, ts, ks}.Min();
var ichimokuCloudSsList = new List <decimal> {
ssa, ssb
};
_last10Ema200ClosePriceRate.Enqueue(Math.Round(currentCandle.ClosePrice / ema200Value, 4));
if (_lastTrend == TrendDirection.Short)
{
if (macdValue > 0 && _stopTrading)
{
_stopTrading = false;
}
if (macdValue < 0 && macdValue < _lastMacd)
{
_maxOrMinMacd = macdValue;
}
var diffPreviousMacd = _maxOrMinMacd - macdValue;
if (_stopTrading == false &&
macdValue < 0 &&
diffPreviousMacd < -(decimal)0.2 &&
macdValue > _lastMacd &&
currentCandle.ClosePrice > _lastClosePrice &&
currentCandle.ClosePrice > ema200Value &&
currentCandle.ClosePrice <= ichimokuCloudSsList.Max() &&
currentCandle.ClosePrice >= ichimokuCloudSsList.Min() &&
_last10Ema200ClosePriceRate.GetItems().Count(a => a > (decimal)1.0) > 5)
{
_lastMacd = macdValue;
_lastClosePrice = currentCandle.ClosePrice;
_lastTrend = TrendDirection.Long;
_maxOrMinMacd = 0;
_lastBuyPrice = currentCandle.ClosePrice;
_stopTrading = true;
}
else
{
_lastMacd = macdValue;
_lastClosePrice = currentCandle.ClosePrice;
return(await Task.FromResult(TrendDirection.None));
}
}
else if (_lastTrend == TrendDirection.Long)
{
if (macdValue > 0 && macdValue > _lastMacd)
{
_maxOrMinMacd = macdValue;
}
if (macdValue < 0)
{
_maxOrMinMacd = 0;
}
var stopPercentage = (decimal)0.98;
var profitPercentage = (decimal)1.03;
if (currentCandle.ClosePrice <= _lastBuyPrice * stopPercentage)
{
_lastMacd = macdValue;
_lastClosePrice = currentCandle.ClosePrice;
_lastTrend = TrendDirection.Short;
_maxOrMinMacd = 0;
_stopTrading = true;
return(await Task.FromResult(_lastTrend));
}
var diffPreviousMacd = _maxOrMinMacd - macdValue;
if (_lastMacd > macdValue &&
diffPreviousMacd > (decimal)0.4
//&& currentCandle.ClosePrice < ema200Value
//&& currentCandle.ClosePrice > _lastBuyPrice * profitPercentage
)
{
_lastMacd = macdValue;
_lastClosePrice = currentCandle.ClosePrice;
if (currentCandle.ClosePrice <= _lastBuyPrice * profitPercentage)
{
return(await Task.FromResult(TrendDirection.None));
}
Console.WriteLine($"Stop percentage: {stopPercentage}; Profit percentage: {profitPercentage}");
_lastTrend = TrendDirection.Short;
_maxOrMinMacd = 0;
_stopTrading = true;
}
else
{
_lastMacd = macdValue;
_lastClosePrice = currentCandle.ClosePrice;
return(await Task.FromResult(TrendDirection.None));
}
}
return(await Task.FromResult(_lastTrend));
}
public async Task <TrendDirection> CheckTrendAsync(string tradingPair, CandleModel currentCandle)
{
var shortEmaValue = _shortEmaIndicator.GetIndicatorValue(currentCandle).IndicatorValue;
var longEmaValue = _longEmaIndicator.GetIndicatorValue(currentCandle).IndicatorValue;
var macdValue = Math.Round(shortEmaValue - longEmaValue, 4);
var rsiValue = _rsiIndicator.GetIndicatorValue(currentCandle).IndicatorValue;
var ichimokuCloudValue = _ichimokuCloudIndicator.GetIndicatorValue(currentCandle);
var ssa = ichimokuCloudValue.IchimokuCloud?.SenkouSpanAValue;
var ssb = ichimokuCloudValue.IchimokuCloud?.SenkouSpanBValue;
var ts = ichimokuCloudValue.IchimokuCloud?.TenkanSenValue;
var ks = ichimokuCloudValue.IchimokuCloud?.KijunSenValue;
Console.WriteLine($"DateTs: {currentCandle.StartDateTime:s}; " +
$"SSA: {ssa}; " +
$"SSB: {ssb}; " +
$"TS: {ts}; " +
$"KS: {ks}; " +
$"MACD: {macdValue}; " +
$"MinMaxMacd: {_maxOrMinMacd}; " +
$"RSI: {rsiValue}; " +
$"Close price: {Math.Round(currentCandle.ClosePrice, 4)};");
// wait 1 hour
if (_candleCount <= 60)
{
_candleCount++;
_last5Macd.Enqueue(macdValue);
_prevClosePrices.Enqueue(currentCandle.ClosePrice);
return(await Task.FromResult(TrendDirection.None));
}
if (_lastTrend == TrendDirection.Short)
{
if ((currentCandle.ClosePrice < ssa &&
currentCandle.ClosePrice < ssb) &&
_stopTrading)
{
_stopTrading = false;
}
if (macdValue < 0 && macdValue < _lastMacd)
{
_maxOrMinMacd = macdValue;
}
if (currentCandle.ClosePrice > ssa &&
currentCandle.ClosePrice > ssb &&
currentCandle.CandleType == CandleType.Green &&
_stopTrading == false &&
macdValue < 15
)
{
_lastMacd = macdValue;
_last5Macd.Enqueue(macdValue);
_prevClosePrices.Enqueue(currentCandle.ClosePrice);
_lastTrend = TrendDirection.Long;
_lastBuyPrice = currentCandle.ClosePrice;
_lastClosePrice = currentCandle.ClosePrice;
}
else
{
_last5Macd.Enqueue(macdValue);
_prevClosePrices.Enqueue(currentCandle.ClosePrice);
_lastMacd = macdValue;
_lastClosePrice = currentCandle.ClosePrice;
return(await Task.FromResult(TrendDirection.None));
}
}
else if (_lastTrend == TrendDirection.Long)
{
if (_delayCount < 10)
{
Console.WriteLine($"DelayCount: {_delayCount}");
_delayCount++;
_last5Macd.Enqueue(macdValue);
_prevClosePrices.Enqueue(currentCandle.ClosePrice);
_lastMacd = macdValue;
_lastClosePrice = currentCandle.ClosePrice;
return(await Task.FromResult(TrendDirection.None));
}
if (macdValue > 0 && macdValue > _lastMacd)
{
_maxOrMinMacd = macdValue;
}
if (macdValue < 0)
{
_maxOrMinMacd = 0;
}
var stopPercentage = (decimal)0.95;
var profitPercentage = (decimal)1.015;
var diffPreviousMacd = _maxOrMinMacd < 0 ? 0 : Math.Abs(_maxOrMinMacd - macdValue);
var diffLastClosePricePercentage = (currentCandle.ClosePrice / _lastClosePrice) * (decimal)100.0 - 100;
if (diffLastClosePricePercentage <= (decimal) - 1.5)
{
_last5Macd.Enqueue(macdValue);
_prevClosePrices.Enqueue(currentCandle.ClosePrice);
_lastMacd = macdValue;
_delayCount = 1;
_lastTrend = TrendDirection.Short;
_stopTrading = true;
_lastClosePrice = currentCandle.ClosePrice;
return(await Task.FromResult(_lastTrend));
}
if (currentCandle.ClosePrice < _lastBuyPrice * stopPercentage)
{
_last5Macd.Enqueue(macdValue);
_prevClosePrices.Enqueue(currentCandle.ClosePrice);
_lastMacd = macdValue;
_delayCount = 1;
_lastTrend = TrendDirection.Short;
_stopTrading = true;
_lastClosePrice = currentCandle.ClosePrice;
return(await Task.FromResult(_lastTrend));
}
if (
macdValue > 0 &&
_lastMacd > 0 &&
_lastMacd > macdValue &&
diffPreviousMacd > (decimal)1.0 &&
currentCandle.ClosePrice > _lastBuyPrice * profitPercentage)
{
_last5Macd.Enqueue(macdValue);
_prevClosePrices.Enqueue(currentCandle.ClosePrice);
_lastMacd = macdValue;
_delayCount = 1;
_lastTrend = TrendDirection.Short;
_stopTrading = true;
_lastClosePrice = currentCandle.ClosePrice;
return(await Task.FromResult(_lastTrend));
}
_last5Macd.Enqueue(macdValue);
_prevClosePrices.Enqueue(currentCandle.ClosePrice);
_lastMacd = macdValue;
_lastClosePrice = currentCandle.ClosePrice;
return(await Task.FromResult(TrendDirection.None));
}
return(await Task.FromResult(_lastTrend));
}
public async Task <TrendDirection> CheckTrendAsync(string tradingPair, CandleModel currentCandle)
{
var shortEmaValue = _shortEmaIndicator.GetIndicatorValue(currentCandle).IndicatorValue;
var longEmaValue = _longEmaIndicator.GetIndicatorValue(currentCandle).IndicatorValue;
var macdValue = Math.Round(shortEmaValue - longEmaValue, 4);
var rsiValue = _rsiIndicator.GetIndicatorValue(currentCandle).IndicatorValue;
var ichimokuCloudValue = _ichimokuCloudIndicator.GetIndicatorValue(currentCandle);
var ssa = ichimokuCloudValue.IchimokuCloud?.SenkouSpanAValue;
var ssb = ichimokuCloudValue.IchimokuCloud?.SenkouSpanBValue;
var ts = ichimokuCloudValue.IchimokuCloud?.TenkanSenValue;
var ks = ichimokuCloudValue.IchimokuCloud?.KijunSenValue;
Console.WriteLine($"DateTs: {currentCandle.StartDateTime:s}; " +
$"SSA: {ssa}; " +
$"SSB: {ssb}; " +
$"TS: {ts}; " +
$"KS: {ks}; " +
//$"LFSsa: {ichimokuCloudValue.IchimokuCloud?.SsaFuture.Last()}; " +
//$"LFSsb: {ichimokuCloudValue.IchimokuCloud?.SsbFuture.Last()}; " +
$"MACD: {macdValue}; " +
$"MinMaxMacd: {_maxOrMinMacd}; " +
$"RSI: {rsiValue}; " +
$"Close price: {Math.Round(currentCandle.ClosePrice, 4)};");
// wait 1 hour
if (_candleCount <= 60)
{
_candleCount++;
_last5Macd.Enqueue(macdValue);
return(await Task.FromResult(TrendDirection.None));
}
if (_lastTrend == TrendDirection.Short)
{
if (macdValue < 0 && _stopTrading)
{
_stopTrading = false;
}
if (macdValue < 0 && macdValue < _lastMacd)
{
_maxOrMinMacd = macdValue;
}
if (currentCandle.ClosePrice > ssa &&
currentCandle.ClosePrice > ssb &&
currentCandle.CandleType == CandleType.Green
//&& ts > ks
&& currentCandle.ClosePrice > ts &&
currentCandle.ClosePrice > ks &&
macdValue > 0 &&
macdValue < 1 &&
_stopTrading == false &&
rsiValue >= 70 &&
_lastMacd < macdValue &&
_last5Macd.GetItems().All(a => a < macdValue)
)
{
_lastMacd = macdValue;
_last5Macd.Enqueue(macdValue);
_lastTrend = TrendDirection.Long;
_lastBuyPrice = currentCandle.ClosePrice;
_lastClosePrice = currentCandle.ClosePrice;
}
else
{
_last5Macd.Enqueue(macdValue);
_lastMacd = macdValue;
_lastClosePrice = currentCandle.ClosePrice;
return(await Task.FromResult(TrendDirection.None));
}
}
else if (_lastTrend == TrendDirection.Long)
{
if (_delayCount < 10)
{
Console.WriteLine($"DelayCount: {_delayCount}");
_delayCount++;
_last5Macd.Enqueue(macdValue);
_lastMacd = macdValue;
_lastClosePrice = currentCandle.ClosePrice;
return(await Task.FromResult(TrendDirection.None));
}
if (macdValue > 0 && macdValue > _lastMacd)
{
_maxOrMinMacd = macdValue;
}
if (macdValue < 0)
{
_maxOrMinMacd = 0;
}
var stopPercentage = (decimal)0.985;
var profitPercentage = (decimal)1.018;
var diffPreviousMacd = Math.Abs(_maxOrMinMacd - macdValue);
if (currentCandle.ClosePrice < _lastBuyPrice * stopPercentage)
{
_last5Macd.Enqueue(macdValue);
_lastMacd = macdValue;
_delayCount = 1;
_lastTrend = TrendDirection.Short;
_stopTrading = true;
_lastClosePrice = currentCandle.ClosePrice;
return(await Task.FromResult(_lastTrend));
}
if (
macdValue > 0 &&
//_lastMacd > 0 &&
_lastMacd < macdValue &&
//diffPreviousMacd > (decimal)0.2 &&
//rsiValue > 80 &&
(ssa * (decimal)1.005 >= currentCandle.ClosePrice ||
ssb * (decimal)1.005 >= currentCandle.ClosePrice) &&
currentCandle.ClosePrice > _lastBuyPrice * profitPercentage)
{
_last5Macd.Enqueue(macdValue);
_lastMacd = macdValue;
_delayCount = 1;
_lastTrend = TrendDirection.Short;
_stopTrading = true;
_lastClosePrice = currentCandle.ClosePrice;
return(await Task.FromResult(_lastTrend));
}
//if (
// macdValue > 0 &&
// _lastMacd > 0 &&
// _lastMacd < macdValue &&
// _lastClosePrice > currentCandle.ClosePrice &&
// //_lastClosePrice - currentCandle.ClosePrice > 2 &&
// rsiValue > 80 &&
// currentCandle.ClosePrice > _lastBuyPrice * profitPercentage)
//{
// _last5Macd.Enqueue(macdValue);
// _lastMacd = macdValue;
// _delayCount = 1;
// _lastTrend = TrendDirection.Short;
// _stopTrading = true;
// _lastClosePrice = currentCandle.ClosePrice;
// return await Task.FromResult(_lastTrend);
//}
if (currentCandle.ClosePrice < ts &&
currentCandle.ClosePrice < ks &&
currentCandle.ClosePrice < ssa ||
currentCandle.ClosePrice < ssb)
{
_last5Macd.Enqueue(macdValue);
_lastMacd = macdValue;
_lastClosePrice = currentCandle.ClosePrice;
if (currentCandle.ClosePrice >= _lastBuyPrice * stopPercentage)
{
return(await Task.FromResult(TrendDirection.None));
}
_delayCount = 1;
_lastTrend = TrendDirection.Short;
_stopTrading = true;
}
else
{
_last5Macd.Enqueue(macdValue);
_lastMacd = macdValue;
_lastClosePrice = currentCandle.ClosePrice;
return(await Task.FromResult(TrendDirection.None));
}
}
return(await Task.FromResult(_lastTrend));
}
public async Task <TrendDirection> CheckTrendAsync(string tradingPair, CandleModel currentCandle)
{
var shortEmaValue = _shortEmaIndicator.GetIndicatorValue(currentCandle).IndicatorValue;
var longEmaValue = _longEmaIndicator.GetIndicatorValue(currentCandle).IndicatorValue;
var macdValue = Math.Round(shortEmaValue - longEmaValue, 4);
var signalEmaValue = Math.Round(_signalEmaIndicator.GetIndicatorValue(macdValue).IndicatorValue, 4);
var histogramValue = Math.Round(macdValue - signalEmaValue, 4);
var depth = await _exchangeProvider.GetDepth(tradingPair);
var bidsSum = depth.Bids.Sum(s => s.Quantity);
var asksSum = depth.Asks.Sum(s => s.Quantity);
Console.WriteLine($"DateTs: {currentCandle.StartDateTime:s}; " +
$"MACD Value/Hist.: {macdValue}/{histogramValue};\t" +
$"Bids price/qty/sum qty: {depth.Bids.First(f => f.Quantity == depth.Bids.Max(b => b.Quantity))}/{Math.Round(bidsSum,4)};\t" +
$"Asks price/qty/sum qty: {depth.Asks.First(f => f.Quantity == depth.Asks.Max(b => b.Quantity))}/{Math.Round(asksSum, 4)};\t" +
$"Close price: {currentCandle.ClosePrice};");
_volumenQueue.Enqueue(currentCandle.Volume);
if (!_lastMacd.HasValue || _lastMacd == 0)
{
_lastMacd = macdValue;
_lastClosePrice = currentCandle.ClosePrice;
_macdDirection = macdValue < 0 ? MacdDirection.LessThanZero : MacdDirection.GreaterThanZero;
return(await Task.FromResult(TrendDirection.None));
}
//CreateMacdStatistics(macdValue, currentCandle);
if (_lastMacd < 0 && macdValue >= 0)
{
if (_macdSwitch)
{
_maxMacd = 0;
}
else
{
_macdSwitch = true;
}
}
if (_lastMacd > 0 && macdValue <= 0)
{
if (_macdSwitch)
{
_minMacd = 0;
}
else
{
_macdSwitch = true;
}
}
if (macdValue < 0 && macdValue < _minMacd)
{
_minMacd = macdValue;
_minMacdClosePrice = currentCandle.ClosePrice;
}
if (macdValue > 0 && macdValue > _maxMacd)
{
_maxMacd = macdValue;
_maxMacdClosePrice = currentCandle.ClosePrice;
}
// wait 0.5 hour
if (_candleCount <= 30)
{
_candleCount++;
if (macdValue < 0 && macdValue < _minWarmupMacd)
{
_minWarmupMacd = macdValue;
}
Console.WriteLine($"Min warmup Macd: {_minWarmupMacd}");
return(await Task.FromResult(TrendDirection.None));
}
if (_lastTrend == TrendDirection.Short)
{
if (macdValue > 0 && _stopTrading)
{
_stopTrading = false;
}
if (macdValue < 0 && macdValue < _lastMacd)
{
_maxOrMinMacd = macdValue;
}
//var diffPreviousMacd = _maxOrMinMacd - macdValue;
if (_stopTrading == false &&
macdValue < _options.BuyThreshold
//&& diffPreviousMacd < -(decimal)0.2
&& macdValue > _lastMacd &&
currentCandle.ClosePrice > _lastClosePrice)
{
_lastMacd = macdValue;
_lastClosePrice = currentCandle.ClosePrice;
_profitEstimationRate = CheckProfitPrecentageAsync(depth, currentCandle.ClosePrice);
if (_profitEstimationRate < 0)
{
return(await Task.FromResult(TrendDirection.None));
}
_lastTrend = TrendDirection.Long;
_maxOrMinMacd = 0;
_lastBuyPrice = currentCandle.ClosePrice;
}
else
{
_lastMacd = macdValue;
_lastClosePrice = currentCandle.ClosePrice;
return(await Task.FromResult(TrendDirection.None));
}
}
else if (_lastTrend == TrendDirection.Long)
{
if (macdValue > 0 && macdValue > _lastMacd)
{
_maxOrMinMacd = macdValue;
}
if (macdValue < 0)
{
_maxOrMinMacd = 0;
}
var stopPercentage = 1 - _profitEstimationRate / (decimal)100.0; //1 - (_macdRate - (decimal)0.4) / 100; //(decimal) 0.97;
var profitPercentage = 1 + (_profitEstimationRate + (decimal)0.4) / (decimal)100.0; //1 + (_macdRate + (decimal)0.4) / 100; //(decimal) 1.038;
//var diffPreviousMacd = _maxOrMinMacd - macdValue;
if (_lastMacd > macdValue
//&& diffPreviousMacd > (decimal)1.0
&& currentCandle.ClosePrice > _lastBuyPrice * profitPercentage ||
currentCandle.ClosePrice < _lastBuyPrice * stopPercentage)
{
Console.WriteLine($"Stop percentage: {stopPercentage}; Profit percentage: {profitPercentage}");
_lastTrend = TrendDirection.Short;
_maxOrMinMacd = 0;
_stopTrading = true;
_lastMacd = macdValue;
_lastClosePrice = currentCandle.ClosePrice;
}
else
{
_lastMacd = macdValue;
_lastClosePrice = currentCandle.ClosePrice;
return(await Task.FromResult(TrendDirection.None));
}
}
return(await Task.FromResult(_lastTrend));
}
public async Task <TrendDirection> CheckTrendAsync(string tradingPair, CandleModel currentCandle)
{
var shortEmaValue = _shortEmaIndicator.GetIndicatorValue(currentCandle).IndicatorValue;
var longEmaValue = _longEmaIndicator.GetIndicatorValue(currentCandle).IndicatorValue;
var macdValue = Math.Round(shortEmaValue - longEmaValue, 4);
var signalEmaValue = Math.Round(_signalEmaIndicator.GetIndicatorValue(macdValue).IndicatorValue, 4);
var histogramValue = Math.Round(macdValue - signalEmaValue, 4);
var ichimokuCloudValue = _ichimokuCloudIndicator.GetIndicatorValue(currentCandle);
var ssa = ichimokuCloudValue.IchimokuCloud?.SenkouSpanAValue;
var ssb = ichimokuCloudValue.IchimokuCloud?.SenkouSpanBValue;
DepthModel depth = null;
if (ichimokuCloudValue.IchimokuCloud != null)
{
depth = await _exchangeProvider.GetDepth(tradingPair);
}
var bid = depth?.Bids.First(f => f.Quantity == depth.Bids.Max(b => b.Quantity));
var ask = depth?.Asks.First(f => f.Quantity == depth.Asks.Max(b => b.Quantity));
var bidPrice = bid?.Price ?? Math.Round(currentCandle.ClosePrice, 4);
var askPrice = ask?.Price ?? Math.Round(currentCandle.ClosePrice, 4);
var bidPercentage = Math.Round((currentCandle.ClosePrice / bidPrice) * (decimal)100.0 - (decimal)100.0, 2);
var askPercentage = Math.Round((currentCandle.ClosePrice / askPrice) * (decimal)100.0 - (decimal)100.0, 2);
Console.WriteLine($"DateTs: {currentCandle.StartDateTime:s}; " +
$"MACD Value: {macdValue}; " +
$"SSA/SSB: {ssa}/{ssb}; " +
$"Bids price/qty/%: {bid}/{bidPercentage}%; " +
$"Asks price/qty/%: {ask}/{askPercentage}%; " +
$"Close price: {Math.Round(currentCandle.ClosePrice, 4)};");
_volumenQueue.Enqueue(currentCandle.Volume);
if (!_lastMacd.HasValue || _lastMacd == 0)
{
_lastMacd = macdValue;
_lastClosePrice = currentCandle.ClosePrice;
_macdDirection = macdValue < 0 ? MacdDirection.LessThanZero : MacdDirection.GreaterThanZero;
return(await Task.FromResult(TrendDirection.None));
}
if (_lastMacd < 0 && macdValue >= 0)
{
if (_macdSwitch)
{
_maxMacd = 0;
}
else
{
_macdSwitch = true;
}
}
if (_lastMacd > 0 && macdValue <= 0)
{
if (_macdSwitch)
{
_minMacd = 0;
}
else
{
_macdSwitch = true;
}
}
if (macdValue < 0 && macdValue < _minMacd)
{
_minMacd = macdValue;
_minMacdClosePrice = currentCandle.ClosePrice;
}
if (macdValue > 0 && macdValue > _maxMacd)
{
_maxMacd = macdValue;
_maxMacdClosePrice = currentCandle.ClosePrice;
}
// wait 0.5 hour
if (_candleCount <= 30)
{
_candleCount++;
if (macdValue < 0 && macdValue < _minWarmupMacd)
{
_minWarmupMacd = macdValue;
}
Console.WriteLine($"Min warmup Macd: {_minWarmupMacd}");
return(await Task.FromResult(TrendDirection.None));
}
if (_lastTrend == TrendDirection.Short)
{
if (macdValue > 0 && _stopTrading)
{
_stopTrading = false;
}
if (macdValue < 0 && macdValue < _lastMacd)
{
_maxOrMinMacd = macdValue;
}
//var diffPreviousMacd = _maxOrMinMacd - macdValue;
if (_stopTrading == false &&
macdValue < _options.BuyThreshold &&
currentCandle.ClosePrice > ssa &&
currentCandle.ClosePrice > ssb &&
currentCandle.CandleType == CandleType.Green
//&& diffPreviousMacd < -(decimal)0.2
&& macdValue > _lastMacd &&
currentCandle.ClosePrice > _lastClosePrice)
{
_lastMacd = macdValue;
_lastClosePrice = currentCandle.ClosePrice;
_profitEstimationRate = CheckProfitPrecentageAsync(depth, currentCandle.ClosePrice);
if (_profitEstimationRate < 0)
{
return(await Task.FromResult(TrendDirection.None));
}
_lastTrend = TrendDirection.Long;
_maxOrMinMacd = 0;
_lastBuyPrice = currentCandle.ClosePrice;
}
else
{
_lastMacd = macdValue;
_lastClosePrice = currentCandle.ClosePrice;
return(await Task.FromResult(TrendDirection.None));
}
}
else if (_lastTrend == TrendDirection.Long)
{
if (macdValue > 0 && macdValue > _lastMacd)
{
_maxOrMinMacd = macdValue;
}
if (macdValue < 0)
{
_maxOrMinMacd = 0;
}
var stopPercentage = 1 - _profitEstimationRate / (decimal)100.0; //1 - (_macdRate - (decimal)0.4) / 100; //(decimal) 0.97;
var profitPercentage = 1 + (_profitEstimationRate + (decimal)0.4) / (decimal)100.0; //1 + (_macdRate + (decimal)0.4) / 100; //(decimal) 1.038;
//var diffPreviousMacd = _maxOrMinMacd - macdValue;
if (_lastMacd > macdValue
//&& diffPreviousMacd > (decimal)1.0
&& currentCandle.ClosePrice > _lastBuyPrice * profitPercentage ||
currentCandle.ClosePrice < _lastBuyPrice * stopPercentage)
{
Console.WriteLine($"Stop percentage: {stopPercentage}; Profit percentage: {profitPercentage}");
_lastTrend = TrendDirection.Short;
_maxOrMinMacd = 0;
_stopTrading = true;
_lastMacd = macdValue;
_lastClosePrice = currentCandle.ClosePrice;
}
else
{
_lastMacd = macdValue;
_lastClosePrice = currentCandle.ClosePrice;
return(await Task.FromResult(TrendDirection.None));
}
}
return(await Task.FromResult(_lastTrend));
}
private void SimpleTrendFollowing()
{
SqlConnection dbConnect = new SqlConnection(connectionString);
dbConnect.Open();
EUR_USDDataContext linqInterop = new EUR_USDDataContext(dbConnect);
void BuildLog(int _i)
//build object for logging to database
{
SimpleTrendFollowing row = new SimpleTrendFollowing
{
BarTime = bars.candles[_i].time,
SystemTime = DateTime.Now,
StandardDeviation = standardDeviation,
TimeFrame = timeFrame,
SMA50 = indicator[_i].result,
LossTrades = lossTrades,
ProfitTrades = profitTrades,
TakeProfit = takeProfit,
Distance = distance,
TotalTrades = totalTrades,
Trade = trade,
StopLoss = stopLoss,
AccountBalance = accountBalance,
Trend = trend.ToString()
};
linqInterop.SimpleTrendFollowings.InsertOnSubmit(row);
linqInterop.SubmitChanges();
}
decimal padding = 1.0M; //added to standard deviation for stoploss calculation
int tradesPerDay = maxTradesPerDay;
bool openOrder = false;
int windowSize = 50; //should be same as SMA period
//trade when market is strongest, EST
TimeSpan start = new TimeSpan(05, 00, 00);
TimeSpan end = new TimeSpan(22, 59, 00);
for (int i = 1; i <= bars.candles.Count - 1; i++)
{
trade = default;
//create sliding window
OandaRootInstrumentObject barWindow = new OandaRootInstrumentObject();
if (i < windowSize)
{
barWindow.candles = new List <Candle>();
barWindow.candles = bars.candles.GetRange(0, i + 1);
}
/*
* else if (i>bars.candles.Count-1-windowSize)
* {
* barWindow.candles = new List<Candle>();
* barWindow.candles = bars.candles.GetRange(i, bars.candles.Count-i);
* }
*/
else
{
barWindow.candles = new List <Candle>();
barWindow.candles = bars.candles.GetRange(i - windowSize, windowSize);
}
indicator.Add(new IndicatorOverTime {
result = Indicators.SMA(barWindow), time = bars.candles[i].time
});
trend = Indicators.Trend(indicator);
//if time of bar within trading window
if (bars.candles[i].time.TimeOfDay <= end && bars.candles[i].time.TimeOfDay >= start && openOrder == false)
{
if (tradesPerDay > 0)
{
if (trend == TrendDirection.StrongUp) //go long
{
trade = "Long:Start";
closingPrice = new List <double>();
//get closing price for last 100 bars to calc standard deviation
for (int i2 = 0; i2 < barWindow.candles.Count - 1; i2++)
{
closingPrice.Add((double)barWindow.candles[i2].mid.c);
}
standardDeviation = (decimal)MathNet.Numerics.Statistics.ArrayStatistics.StandardDeviation(closingPrice.ToArray());
distance = (standardDeviation * 2 + (standardDeviation * padding));
stopLoss = (decimal)bars.candles[i].mid.c - distance;
takeProfit = (decimal)bars.candles[i].mid.c + (distance * riskVsReward);
tradesPerDay = tradesPerDay - 1;
openOrder = true;
BuildLog(i);
}
else if (trend == TrendDirection.StrongDown) //short
{
trade = "Short:Start";
closingPrice = new List <double>();
//get closing price for last 100 bars to calc standard deviation
for (int i2 = 0; i2 < barWindow.candles.Count - 1; i2++)
{
closingPrice.Add((double)barWindow.candles[i2].mid.c);
}
standardDeviation = (decimal)MathNet.Numerics.Statistics.ArrayStatistics.StandardDeviation(closingPrice.ToArray());
distance = (standardDeviation * 2 + (standardDeviation * padding));
stopLoss = (decimal)bars.candles[i].mid.c + distance;
takeProfit = (decimal)bars.candles[i].mid.c - (distance * riskVsReward);
tradesPerDay = tradesPerDay - 1;
openOrder = true;
BuildLog(i);
}
}
}
else if (openOrder == true) //check if price targets have been met
{
if (stopLoss > takeProfit) //short
{
if (bars.candles[i].mid.c <= takeProfit) //profit
{
openOrder = false;
trade = "Short:Profit";
profitTrades++;
totalTrades = profitTrades + lossTrades;
Profit();
BuildLog(i);
}
else if (bars.candles[i].mid.c >= stopLoss) //loss
{
openOrder = false;
trade = "Short:Loss";
lossTrades++;
totalTrades = profitTrades + lossTrades;
Loss();
BuildLog(i);
}
}
else //long
{
if (bars.candles[i].mid.c >= takeProfit) //profit
{
openOrder = false;
trade = "Long:Profit";
profitTrades++;
totalTrades = profitTrades + lossTrades;
Profit();
BuildLog(i);
}
else if (bars.candles[i].mid.c <= stopLoss) //loss
{
openOrder = false;
trade = "Long:Loss";
lossTrades++;
totalTrades = profitTrades + lossTrades;
Loss();
BuildLog(i);
}
}
}
if (bars.candles[i].time.TimeOfDay == new TimeSpan(00, 00, 00)) //check for end of day, reset count
{
tradesPerDay = maxTradesPerDay;
//closingPrice = new List<double>();
//closedTrade = default;
}
}
linqInterop.Dispose();
dbConnect.Close();
}
public async Task <TrendDirection> CheckTrendAsync(string tradingPair, CandleModel currentCandle)
{
var shortEmaValue = _shortEmaIndicator.GetIndicatorValue(currentCandle).IndicatorValue;
var longEmaValue = _longEmaIndicator.GetIndicatorValue(currentCandle).IndicatorValue;
var emaDiffValue = shortEmaValue - longEmaValue;
var signalEmaValue = Math.Round(_signalEmaIndicator.GetIndicatorValue(emaDiffValue).IndicatorValue, 4);
var macdValue = Math.Round(emaDiffValue - signalEmaValue, 4);
Console.WriteLine($"DateTs: {currentCandle.StartDateTime:s}; " +
$"MACD: {macdValue}; " +
$"PeekMACD: {_maxOrMinMacd}; " +
$"Close price: {currentCandle.ClosePrice}; ");
if (!_lastMacd.HasValue)
{
_lastMacd = macdValue;
return(await Task.FromResult(TrendDirection.None));
}
if (_lastTrend == TrendDirection.Short)
{
if (macdValue > 0 && _stopTrading)
{
_stopTrading = false;
}
if (macdValue < 0 && macdValue < _lastMacd)
{
_maxOrMinMacd = macdValue;
}
_lastMacd = macdValue;
if (_stopTrading == false && macdValue < _options.BuyThreshold)
{
_lastTrend = TrendDirection.Long;
_maxOrMinMacd = 0;
_lastBuyPrice = currentCandle.ClosePrice;
}
else
{
return(await Task.FromResult(TrendDirection.None));
}
}
else if (_lastTrend == TrendDirection.Long)
{
if (macdValue > 0 && macdValue > _lastMacd)
{
_maxOrMinMacd = macdValue;
}
_lastMacd = macdValue;
if (_maxOrMinMacd > _options.SellThreshold &&
currentCandle.ClosePrice > _lastBuyPrice * (decimal)1.01)
{
_lastTrend = TrendDirection.Short;
_maxOrMinMacd = 0;
_stopTrading = true;
}
else
{
return(await Task.FromResult(TrendDirection.None));
}
}
return(await Task.FromResult(_lastTrend));
}
public OrderAction GetOrderAction(TrendDirection trendDirection)
{
return(null);
}
public OrderAction GetOrderAction(TrendDirection trendDirection)
{
return null;
}
private void SetSignal(int signal, string message)
{
if (message != null)
{
P(message);
}
_signal = signal;
switch (_signal)
{
case 1:
_trendDirection = TrendDirection.Long;
BackColor = Color.LightGreen;
break;
case -1:
_trendDirection = TrendDirection.Short;
BackColor = Color.Pink;
break;
case 0:
_trendDirection = TrendDirection.Neutral;
BackColor = Color.Yellow;
break;
default:
break;
}
}
public async Task StartTradingAsync(string tradingPair, CandlePeriod candlePeriod, CancellationToken cancellationToken)
{
_cancellationToken = cancellationToken;
_tradingPair = tradingPair;
_delayInMilliseconds = (int)candlePeriod * _delayInMilliseconds;
var lastSince = GetSinceUnixTime(candlePeriod);
var lastScanId = _candleRepository.GetLatestScanId();
CandleModel currentCandle = null;
if (_strategy.DelayInCandlePeriod > 1)
{
await ExecutePastCandleCheck(tradingPair, candlePeriod, lastScanId);
}
while (!cancellationToken.IsCancellationRequested)
{
var startWatcher = new Stopwatch();
startWatcher.Start();
var candles = await _exchangeProvider.GetCandlesAsync(tradingPair, candlePeriod, lastSince, lastSince + (int)candlePeriod * 60);
var candlesList = candles.ToList();
if (candlesList.Count == 1)
{
currentCandle = candlesList.Last();
if (!_isSetFirstPrice)
{
_userBalanceService.FirstPrice = currentCandle;
_isSetFirstPrice = true;
}
var trendDirection = await _strategy.CheckTrendAsync(tradingPair, currentCandle);
await _candleRepository.SaveCandleAsync(tradingPair, Mapper.Map <List <CandleDto> >(new List <CandleModel> {
currentCandle
}), lastScanId);
_lastTrendDirection = trendDirection;
if (trendDirection == TrendDirection.Long)
{
await BuyAsync(currentCandle);
}
else if (trendDirection == TrendDirection.Short)
{
await SellAsync(currentCandle);
}
}
else
{
Console.WriteLine($"DateTs: {DateTimeOffset.FromUnixTimeSeconds(lastSince):s}; Trend: [NO TRADES]; Close price: [NO TRADES]; Volumen: [NO TRADES]; Elapsed time: {startWatcher.ElapsedMilliseconds} ms");
}
var utcNow = DateTime.UtcNow;
var delayStartInSeconds = (int)candlePeriod * 60 - utcNow.Minute % (int)candlePeriod * 60 - utcNow.Second;
// ReSharper disable once MethodSupportsCancellation
await Task.Delay(delayStartInSeconds * 1000);
lastSince += (int)candlePeriod * 60;
startWatcher.Stop();
}
if (cancellationToken.IsCancellationRequested)
{
if (currentCandle != null)
{
_userBalanceService.LastPrice = currentCandle;
if (_lastTrendDirection == TrendDirection.Long)
{
// ReSharper disable once MethodSupportsCancellation
SellAsync(currentCandle).Wait();
}
}
}
}
public void Run(string _algorithim, string[] _timeFrames)
{
//run backtesting against specific algorithim against multiple timeframes
SqlConnection dbConnect = new SqlConnection(connectionString);
dbConnect.Open();
EUR_USDDataContext linqInterop = new EUR_USDDataContext(dbConnect);
ProgressBarOptions progressBarOptions = new ProgressBarOptions {
ProgressCharacter = '-'
};
ProgressBar progressBar = new ProgressBar(runLength * _timeFrames.Count(), "Backtesting against Bar data", progressBarOptions);
foreach (var tf in _timeFrames)
{
timeFrame = tf;
totalTrades = default;
profitTrades = default;
lossTrades = default;
accountBalance = startingBalance;
for (int i = 0; i < runLength - 1; i++)
{
bars = new OandaRootInstrumentObject {
candles = new List <Candle>(), granularity = tf, instrument = "EUR_USD"
};
DateTime runDate = startDate.AddDays(i);
//won't be days in DB for weekends, or december 25th, jan 01
if (!(runDate.DayOfWeek == DayOfWeek.Saturday) && !(runDate.DayOfWeek == DayOfWeek.Sunday) && !(runDate.Date == new DateTime(runDate.Year, 12, 25)) && !(runDate.Date == new DateTime(runDate.Year, 1, 1)))
{
//get all bars for the day for the selected timeframe, ordered by ID ascending, ID is identity and PK so these should always be unique in ascending order
var results = from r in linqInterop.BarDatas where (r.BarTime.Date == runDate.Date && r.Timeframe == tf) orderby r.ID ascending select r;
//need to massage data from sql db to OandaRootInstrumentObject
foreach (var bar in results)
{
bars.candles.Add(new Candle {
volume = bar.Volume, mid = (new Mid {
c = bar.c, h = bar.h, l = bar.l, o = bar.o
}), time = bar.BarTime
});
}
indicator = new List <IndicatorOverTime>();
indicator.Add(new IndicatorOverTime {
result = bars.candles[0].mid.c, time = bars.candles[0].time
});
trend = new TrendDirection();
//set because log file is written before trend is actually calculated, so should be sideways until there is enough data to actually determine the trend
trend = TrendDirection.Sideways;
switch (_algorithim)
{
case "SimpleTrendFollowing":
{
SimpleTrendFollowing();
break;
}
}
}
progressBar.Tick();
}
}
linqInterop.Dispose();
dbConnect.Close();
}
public OrderAction GetOrderAction(TrendDirection trendDirection)
{
var ask = _mqlApi.Ask;
var bid = _mqlApi.Bid;
var lower = _mqlApi.iBands(_symbol, _timeFrame, _period, Deviation, BandsShift, AppliedPrice,
MqlApi.MODE_LOWER, Shift);
var main = _mqlApi.iBands(_symbol, _timeFrame, _period, Deviation, BandsShift, AppliedPrice,
MqlApi.MODE_MAIN, Shift);
var upper = _mqlApi.iBands(_symbol, _timeFrame, _period, Deviation, BandsShift, AppliedPrice,
MqlApi.MODE_UPPER, Shift);
var points = _mqlApi.MarketInfo(_symbol, MqlApi.MODE_POINT);
// Todo: Margin should be added!
switch (trendDirection)
{
case TrendDirection.UP:
// Case 1 Touches middle band
if (ask + _marginPoints * points <= main)
{
return(new OrderAction
{
OrderActionType = OrderActionType.BUY
});
}
// Case 2 Touches lower band
if (ask + _marginPoints * points <= lower)
{
return(new OrderAction
{
OrderActionType = OrderActionType.BUY
});
}
break;
case TrendDirection.DOWN:
if (ask - _marginPoints * points >= main)
{
return(new OrderAction
{
OrderActionType = OrderActionType.SELL
});
}
if (ask - _marginPoints * points >= upper)
{
return(new OrderAction
{
OrderActionType = OrderActionType.SELL
});
}
break;
}
return(new OrderAction
{
OrderActionType = OrderActionType.NONE
});
}
