static void Main(string[] args)
{
CultureInfo.CurrentCulture = CultureInfo.InvariantCulture;
var(sec, thresholds) = ParseArgs(args);
var date = DateTime.Now;
Console.WriteLine($"Now: {date:s}");
date = date.Date.AddDays(date < date.Date.AddHours(20) ? -1 : 0);
//date = new DateTime(2018, 10, 1);
Console.WriteLine($"Trade date: {date:s}");
var history = MoexApi.DownloadHistory(sec, date.AddDays(-60), date).ToArray();
if (history.Last().Date != date)
{
if (MoexApi.HasCandles(sec, date))
{
throw new Exception($"No history entry for {date:yyyy-MM-dd}");
}
Console.WriteLine($"No trades on {date:yyyy-MM-dd}");
return;
}
var indicator = RocEma.Calculate(history);
var candidate = new TurnCandidate(indicator, indicator.Count - 2);
Console.WriteLine(candidate);
if (candidate.IsDip(thresholds.Low))
{
Notify($"📈 '{sec.ID}' DIP on {date:yyyy-MM-dd}");
}
if (candidate.IsPeak(thresholds.High))
{
Notify($"📉 '{sec.ID}' PEAK on {date:yyyy-MM-dd}");
}
Console.WriteLine();
}
static void Main(string[] args)
{
var sec = new Sec("shares", "TQTF", "FXUS");
var history = RocEma.Calculate(HistoryCache.Read(sec));
//RunExperiment(history, new Thresholds(-1.1m, 2.2m), Console.WriteLine);
//Environment.Exit(1);
var tasks = SliceHistory(history)
.Select(slice => Task.Run(() => BruteThresholds(slice)))
.ToArray();
Task.WaitAll(tasks);
Console.Error.WriteLine();
var groups = tasks
.SelectMany(t => t.Result)
.GroupBy(r => r.Thresholds)
.Select(g => new {
Thresholds = g.Key,
Count = g.Count(),
AvgXIrr = g.Average(i => i.XIrr),
SdXIrr = g.StandardDeviation(i => i.XIrr),
AvgTradeCount = g.Average(i => i.TradeCount),
AvgSlipCount = g.Average(i => i.SlipCount)
})
.ToArray();
var countTolerance = groups.Max(g => g.Count) * 95 / 100;
groups = groups
.Where(g => g.Count >= countTolerance)
.OrderBy(g => g.SdXIrr)
.ThenByDescending(g => g.AvgXIrr)
.ThenBy(g => g.Thresholds.High)
.ThenByDescending(g => g.Thresholds.Low)
.ToArray();
var sdXIrrCents = Enumerable.Range(0, 100)
.Select(i => groups[groups.Length * i / 100].SdXIrr)
.ToArray();
Console.WriteLine(String.Join("\t", "t_lo", "t_hi", "count", "m_xirr", "sd_xirr", "m_trade", "m_slip"));
var bestAvgXIrr = -1d;
foreach (var g in groups)
{
if (g.AvgXIrr <= bestAvgXIrr)
{
continue;
}
else
{
bestAvgXIrr = g.AvgXIrr;
}
var sdXIrrCent = sdXIrrCents.TakeWhile(i => g.SdXIrr >= i).Count();
Console.WriteLine(String.Join("\t",
g.Thresholds.Low, g.Thresholds.High,
g.Count,
Math.Round(100 * g.AvgXIrr, 2),
("p" + sdXIrrCent).Pastel(CentToColor(sdXIrrCent)),
Math.Round(g.AvgTradeCount, 1),
Math.Round(g.AvgSlipCount, 1)
));
}
}
