/// <summary>
/// Resets this indicator to its initial state
/// </summary>
public override void Reset()
{
base.Reset();
MiddleBand.Reset();
LowerBand.Reset();
UpperBand.Reset();
}
/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
Dexp.Set(dexp[0]);
var devs = dexp.StdDev * stdDevs;
LowerBand.Set(Dexp[0] - devs);
UpperBand.Set(Dexp[0] + devs);
}
/// <summary>
/// Resets this indicator to its initial state
/// </summary>
public override void Reset()
{
AverageTrueRange.Reset();
MiddleBand.Reset();
UpperBand.Reset();
LowerBand.Reset();
base.Reset();
}
/// <summary>
/// Computes the next value of the following sub-indicators from the given state:
/// StandardDeviation, MiddleBand, UpperBand, LowerBand
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <returns>The input is returned unmodified.</returns>
protected override decimal ComputeNextValue(IndicatorDataPoint input)
{
StandardDeviation.Update(input);
MiddleBand.Update(input);
UpperBand.Update(input);
LowerBand.Update(input);
return(input);
}
/// <summary>
/// Resets this indicator and all sub-indicators (StandardDeviation, LowerBand, MiddleBand, UpperBand)
/// </summary>
public override void Reset()
{
StandardDeviation.Reset();
MiddleBand.Reset();
UpperBand.Reset();
LowerBand.Reset();
base.Reset();
}
/// <summary>
/// Resets this indicator to its initial state
/// </summary>
public override void Reset()
{
UpperBand.Reset();
LowerBand.Reset();
_previousInput = null;
_previousTime = 0;
base.Reset();
}
/// <summary>
/// Resets this indicator and all sub-indicators (StandardDeviation, LowerBand, MiddleBand, UpperBand, BandWidth, %B)
/// </summary>
public override void Reset()
{
StandardDeviation.Reset();
MiddleBand.Reset();
UpperBand.Reset();
LowerBand.Reset();
BandWidth.Reset();
PercentB.Reset();
base.Reset();
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <returns>
/// A new value for this indicator
/// </returns>
protected override decimal ComputeNextValue(IBaseDataBar input)
{
var coeff = _width * (input.High - input.Low) / (input.High + input.Low);
LowerBand.Update(input.Time, input.Low * (1 - coeff));
UpperBand.Update(input.Time, input.High * (1 + coeff));
MiddleBand.Update(input.Time, input.Close);
return(MiddleBand);
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="time"></param>
/// <param name="input">The input given to the indicator</param>
/// <returns>
/// A new value for this indicator
/// </returns>
protected override DoubleArray Forward(long time, DoubleArray input)
{
var coeff = _width * (input[HighIdx] - input[LowIdx]) / (input[HighIdx] + input[LowIdx]);
LowerBand.Update(time, input[LowIdx] * (1 - coeff));
UpperBand.Update(time, input[HighIdx] * (1 + coeff));
MiddleBand.Update(time, input[CloseIdx]);
return(MiddleBand);
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <returns>A new value for this indicator, which by convention is the mean value of the upper band and lower band.</returns>
protected override decimal ComputeNextValue(IBaseDataBar input)
{
if (_previousInput != null)
{
UpperBand.Update(_previousInput.Time, _previousInput.High);
LowerBand.Update(_previousInput.Time, _previousInput.Low);
}
_previousInput = input;
return((UpperBand + LowerBand) / 2);
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <returns>A new value for this indicator, which by convention is the mean value of the upper band and lower band.</returns>
protected override decimal ComputeNextValue(IBaseDataBar input)
{
if (_previousInput != null)
{
UpperBand.Update(new IndicatorDataPoint(_previousInput.Time, _previousInput.High));
LowerBand.Update(new IndicatorDataPoint(_previousInput.Time, _previousInput.Low));
}
_previousInput = input;
return((UpperBand.Current.Value + LowerBand.Current.Value) / 2);
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="time"></param>
/// <param name="input">The input given to the indicator</param>
/// <returns>A new value for this indicator, which by convention is the mean value of the upper band and lower band.</returns>
protected override DoubleArray Forward(long time, DoubleArray input)
{
if (_previousInput != null)
{
UpperBand.Update(_previousTime, _previousInput.High);
LowerBand.Update(_previousTime, _previousInput.Low);
}
_previousInput = input.Clone();
_previousTime = time;
return((UpperBand + LowerBand) / 2);
}
/// <summary>
/// Computes the next value for this indicator from the given state.
/// </summary>
/// <param name="input">The TradeBar to this indicator on this time step</param>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(IBaseDataBar input)
{
AverageTrueRange.Update(input);
var typicalPrice = (input.High + input.Low + input.Close) / 3m;
MiddleBand.Update(input.Time, typicalPrice);
// poke the upper/lower bands, they actually don't use the input, they compute
// based on the ATR and the middle band
LowerBand.Update(input);
UpperBand.Update(input);
return(MiddleBand);
}
public void Update(Prices prices)
{
var closes = prices[Price.Close];
if (closes.Count >= Period)
{
int start = closes.Count - Period;
var lastCloses = closes.GetRange(start, Period);
var avg = lastCloses.Average();
var meanChange = closes.Last() * MEAN_CHANGE;
UpperBand.Add(avg + meanChange);
LowerBand.Add(avg - meanChange);
}
}
/// <summary>
/// Computes the next value for this indicator from the given state.
/// </summary>
/// <param name="time"></param>
/// <param name="input">The TradeBar to this indicator on this time step</param>
/// <returns>A new value for this indicator</returns>
protected override DoubleArray Forward(long time, DoubleArray input)
{
AverageTrueRange.Update(time, input);
var typicalPrice = (input[HighIdx] + input[LowIdx] + input[CloseIdx]) / 3d;
MiddleBand.Update(time, typicalPrice);
// poke the upper/lower bands, they actually don't use the input, they compute
// based on the ATR and the middle band
LowerBand.Update(time, input);
UpperBand.Update(time, input);
return(MiddleBand);
}
/// <summary>
/// Computes the next value for this indicator from the given state.
/// </summary>
/// <param name="input">The TradeBar to this indicator on this time step</param>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(TradeBar input)
{
AverageTrueRange.Update(input);
var typicalPrice = (input.High + input.Low + input.Close) / 3m;
MiddleBand.Update(input.Time, typicalPrice);
Console.WriteLine(input.Time.ToString("yyyymmdd") + "\t" + typicalPrice.SmartRounding() + "\t" + MiddleBand.Current.Value.SmartRounding());
// poke the upper/lower bands, they actually don't use the input, they compute
// based on the ATR and the middle band
LowerBand.Update(input);
UpperBand.Update(input);
return(MiddleBand);
}
public void Update(Prices prices)
{
var closes = prices[Price.Close];
if (closes.Count >= Period)
{
int start = closes.Count - Period;
var lastCloses = closes.GetRange(start, Period);
var avg = lastCloses.Average();
var variance = lastCloses.Sum(p => p * p) / Period - avg * avg;
var stdev = Math.Sqrt(variance);
UpperBand.Add(avg + Width * stdev);
LowerBand.Add(avg - Width * stdev);
}
}
protected override void OnBarUpdate()
{
#region Indicator formula
PriceSeries.Set((High[0] + Low[0] + Close[0]) / 3);
JMA.Set(JurikJMA(PriceSeries, 7, -25)[0]);
TR = High[0] - Low[0];
if (CurrentBar > 0)
{
TR = Math.Max(TR, Math.Max(High[0] - Close[1], Close[1] - Low[0]));
}
trueRange.Set(TR);
bandSize = Band_width * SMA(trueRange, 200)[Math.Min(CurrentBar, Band_delay)];
DWMA = WMA(WMA(PriceSeries, Band_len), Band_len)[Math.Min(CurrentBar, Band_delay)];
UpperBand.Set(DWMA + bandSize);
LowerBand.Set(DWMA - bandSize);
#endregion
}
/// <summary>
/// Initializes a new instance of the BollingerBands class
/// </summary>
/// <param name="name">The name of this indicator</param>
/// <param name="period">The period of the standard deviation and moving average (middle band)</param>
/// <param name="k">The number of standard deviations specifying the distance between the middle band and upper or lower bands</param>
/// <param name="movingAverageType">The type of moving average to be used</param>
public BollingerBands(string name, int period, decimal k, MovingAverageType movingAverageType = MovingAverageType.Simple)
: base(name)
{
WarmUpPeriod = period;
MovingAverageType = movingAverageType;
StandardDeviation = new StandardDeviation(name + "_StandardDeviation", period);
MiddleBand = movingAverageType.AsIndicator(name + "_MiddleBand", period);
LowerBand = MiddleBand.Minus(StandardDeviation.Times(k), name + "_LowerBand");
UpperBand = MiddleBand.Plus(StandardDeviation.Times(k), name + "_UpperBand");
var UpperMinusLower = UpperBand.Minus(LowerBand);
BandWidth = UpperMinusLower
.Over(MiddleBand)
.Times(new ConstantIndicator <IndicatorDataPoint>("ct", 100m), name + "_BandWidth");
Price = new Identity(name + "_Close");
PercentB = IndicatorExtensions.Over(
Price.Minus(LowerBand),
UpperMinusLower,
name + "_%B");
}
public void Update(Prices prices)
{
var closes = prices[Price.Close];
if (closes.Count >= Period + 1)
{
int start = closes.Count - Period - 1;
var lastLows = prices[Price.Low].GetRange(start, Period + 1);
var lastHighs = prices[Price.High].GetRange(start, Period + 1);
var lastCloses = closes.GetRange(start, Period + 1);
var avg = lastCloses.Skip(1).Average();
var ranges = new List <double>();
for (int i = 0; i < lastCloses.Count; i++)
{
var lowRange = Math.Abs(lastCloses[i] - lastLows[i]);
var highRange = Math.Abs(lastCloses[i] - lastHighs[i]);
var range = Math.Max(lowRange, highRange);
ranges.Add(range);
}
var atr = ranges.Average();
UpperBand.Add(avg + Width * atr);
LowerBand.Add(avg - Width * atr);
}
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <returns>
/// A new value for this indicator
/// </returns>
protected override decimal ComputeNextValue(IBaseDataBar input)
{
MiddleBand.Update(new IndicatorDataPoint
{
Time = input.Time,
Value = input.Close
});
var coeff = _width * (input.High - input.Low) / (input.High + input.Low);
LowerBand.Update(new IndicatorDataPoint
{
Time = input.Time,
Value = input.Low * (1 - coeff)
});
UpperBand.Update(new IndicatorDataPoint
{
Time = input.Time,
Value = input.High * (1 + coeff)
});
return(MiddleBand);
}
public SimulationResult Simulate(DateTime start, DateTime end, int interval, StrategyParameters parameters)
{
//Read the OHLC from database
var connectionName = ConfigurationManager.AppSettings["ConnectionName"];
var connectionString = ConfigurationManager.ConnectionStrings[connectionName].ConnectionString;
List <OHLC> ohlcList = new List <OHLC>();
try
{
using (SqlConnection connection = new SqlConnection(connectionString))
{
connection.Open();
using (SqlCommand command = new SqlCommand("", connection))
{
command.CommandType = System.Data.CommandType.Text;
command.CommandText = "SELECT o.Id, o.[Open], o.High, o.Low, o.[Close], Start, Volume FROM dbo.OHLC o " +
"WHERE o.[Start] >= @start AND o.[End] < @end ORDER BY o.Id ASC";
command.Parameters.Add(new SqlParameter("start", start));
command.Parameters.Add(new SqlParameter("end", end));
using (SqlDataReader reader = command.ExecuteReader())
{
while (reader.Read())
{
var ohlc = new OHLC();
ohlc.Open = reader.GetDecimal(1);
ohlc.High = reader.GetDecimal(2);
ohlc.Low = reader.GetDecimal(3);
ohlc.Close = reader.GetDecimal(4);
ohlc.Start = reader.GetDateTime(5);
var volume = reader.GetDecimal(6);
ohlc.Volume = (volume * 1000);
ohlcList.Add(ohlc);
}
}
}
}
}
catch (Exception ex)
{
throw ex;
}
//Set the trading state
State = TradingState.Initial;
Orders = new List <Order>();
Account = new Account()
{
Euro = 10000
};
//l h o c
//Find the first trade
//Find all trades within the next 5 minutes
//If there are any trade
//Calculate low, high, open, close
if (ohlcList.Any())
{
start = ohlcList.First().Start > start?ohlcList.First().Start : start;
for (DateTime i = start; i < end; i = i.AddMinutes(interval))
{
var windowStart = i;
var windowEnd = windowStart.AddMinutes(interval);
var ohlcInTheSameWindow = ohlcList.Where(o => o.Start >= windowStart && o.Start < windowEnd).ToList();
if (ohlcInTheSameWindow.Any())
{
var low = ohlcInTheSameWindow.Select(t => t.Low).Min();
var high = ohlcInTheSameWindow.Select(t => t.High).Max();
var open = ohlcInTheSameWindow.First().Open;
var close = ohlcInTheSameWindow.Last().Close;
var volume = ohlcInTheSameWindow.Sum(t => t.Volume);
var ohlc = new OHLC {
Open = open, High = high, Low = low, Close = close, Volume = volume, Start = windowStart, End = windowEnd
};
DataPoints.Insert(0, ohlc);
//Check for indicators and make trading decisions
DonchienBreakoutStrategy(ohlc, windowEnd, parameters);
//Add Donchian Channels
var dca = CalculateDonchianChannel(55);
UpperBand.Add((double)dca.UpperBand);
LowerBand.Add((double)dca.LowerBand);
}
}
}
//Stats after simulation
var stats = new Stats(Orders, Account, DataPoints)
{
Market = DataPoints.First().Close - DataPoints.Last().Close,
MarketRiskAdjustedReturn = (double)((DataPoints.First().Close - DataPoints.Last().Close) / DataPoints.Last().Close) * 100,
Target = (end - start).Days * 80, //80 EUR profit per day
};
return(new SimulationResult()
{
Dates = DataPoints.OrderBy(dp => dp.Start).Select(dp => dp.End).ToList(),
Values = DataPoints.OrderBy(dp => dp.Start).Select(dp => dp.Close).ToList(),
Volumes = DataPoints.OrderBy(dp => dp.Start).Select(dp => dp.Volume).ToList(),
Upper = UpperBand,
Lower = LowerBand,
Orders = Orders,
Events = Events,
Stats = stats
});
}
/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
if (CurrentBar > prevBar)
{
prevBar = CurrentBar;
if (CurrentBar == 0)
{
cema1 = Median[0];
cema2 = cema1;
cema3 = cema1;
cubema1 = cema1;
cubema2 = cema1;
cubema3 = cema1;
clbema1 = cema1;
clbema2 = cema1;
clbema3 = cema1;
cnewVal = 0.0;
cdevSum = 0.0;
}
// midline
ema1 = cema1;
ema2 = cema2;
ema3 = cema3;
prevMedian = -1;
// runerr
devSum = cdevSum;
devs[curIdx] = cnewVal;
if (++curIdx >= devLen)
{
curIdx = 0;
}
// smooth bands
ubema1 = cubema1;
ubema2 = cubema2;
ubema3 = cubema3;
lbema1 = clbema1;
lbema2 = clbema2;
lbema3 = clbema3;
}
if (prevMedian != Median[0])
{
prevMedian = Median[0];
// midline...
cema1 = ema1 + alpha1 * (prevMedian - ema1);
cema2 = ema2 + alpha2 * (prevMedian - ema2);
cema3 = ema3 + alpha3 * (cema2 + cema2 - cema1 - ema3);
// runerr...
cnewVal = prevMedian - cema3;
cnewVal = cnewVal * cnewVal;
cdevSum = devSum - devs[curIdx] + cnewVal;
var stdDev = numDevs * Math.Sqrt(Math.Max(cdevSum / devLen, 1e-10));
// smooth bands...
cubema1 = ubema1 + balpha1 * (cema3 + stdDev - ubema1);
cubema2 = ubema2 + balpha2 * (cema3 + stdDev - ubema2);
cubema3 = ubema3 + balpha3 * (cubema2 + cubema2 - cubema1 - ubema3);
clbema1 = lbema1 + balpha1 * (cema3 - stdDev - lbema1);
clbema2 = lbema2 + balpha2 * (cema3 - stdDev - lbema2);
clbema3 = lbema3 + balpha3 * (clbema2 + clbema2 - clbema1 - lbema3);
UpperBand.Set(cubema3);
LowerBand.Set(clbema3);
MidLine.Set(cema3);
}
}
/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
if (CurrentBar > prevBar)
{
// NEW BAR PROCESSING
prevBar = CurrentBar;
if (barsToDisplay > 0 && prevBar > barsToDisplay)
{
UpperBand.Reset(barsToDisplay);
LowerBand.Reset(barsToDisplay);
MidLine.Reset(barsToDisplay);
}
// midline
var gv = newGaussVal(prevMedian, avgTotal);
if (++curGaussIdx > poles)
{
curGaussIdx = 0;
}
avg[curGaussIdx] = gv;
avgTotal = calcAvgTotal();
prevMedian = -1;
// runerr
devSum = cdevSum;
devs[curIdx] = cnewVal;
if (++curIdx >= devLen)
{
curIdx = 0;
}
// smooth bands
ubema1 = cubema1;
ubema2 = cubema2;
ubema3 = cubema3;
lbema1 = clbema1;
lbema2 = clbema2;
lbema3 = clbema3;
}
if (prevMedian != Median[0])
{
prevMedian = Median[0];
// midline...
var ngv = newGaussVal(prevMedian, avgTotal);
// runerr...
cnewVal = prevMedian - ngv;
cnewVal = cnewVal * cnewVal;
cdevSum = devSum - devs[curIdx] + cnewVal;
var stdDev = numDevs * Math.Sqrt(Math.Max(cdevSum / devLen, 1e-10));
// smooth bands...
cubema1 = ubema1 + balpha1 * (ngv + stdDev - ubema1);
cubema2 = ubema2 + balpha2 * (ngv + stdDev - ubema2);
cubema3 = ubema3 + balpha3 * (cubema2 + cubema2 - cubema1 - ubema3);
clbema1 = lbema1 + balpha1 * (ngv - stdDev - lbema1);
clbema2 = lbema2 + balpha2 * (ngv - stdDev - lbema2);
clbema3 = lbema3 + balpha3 * (clbema2 + clbema2 - clbema1 - lbema3);
UpperBand.Set(cubema3);
LowerBand.Set(clbema3);
MidLine.Set(ngv);
}
}
