public bool EnsurePointJ(Point C, CupHandle ch)
{
bool under = true;
for (int i = ch.A.Index + 1; i < C.Index; i++)
{
float Pj = this.close[i];
float Pa = ch.A.Close;
float Pc = C.Close;
int span = i - ch.A.Index;
float rise = Pc - Pa;
int run = C.Index - ch.A.Index;
float slope = rise / run; //should be negative
float lineVal = ch.A.Close + slope * span;
if (Pj < lineVal)
{
under = true;
}
else
{
under = false;
}
}
return(under);
}
public CupHandle(byte[] bytes)
{
if (bytes == null)
{
K = new Point();
A = new Point();
B = new Point();
C = new Point();
D = new Point();
Buy = new Point();
BuyTrigger = false;
Gamma = 0;
R1 = 0;
R2 = 0;
R3 = 0;
}
else
{
//byte[] bytes = Encoding.UTF8.GetBytes(data);
CupHandle ch = ZeroFormatterSerializer.Deserialize <CupHandle>(bytes);
K = ch.K;
A = ch.A;
B = ch.B;
C = ch.C;
D = ch.D;
Gamma = ch.Gamma;
R1 = ch.R1;
R2 = ch.R2;
R3 = ch.R3;
}
}
} //Highest close value in series up to date
public Company(string symbol, List <HistoricalDataResponse> data, SymbolData sym = null)
{
Iterator = -1;
Count = 0;
date = new List <LocalDate>();
open = new List <float>();
high = new List <float>();
low = new List <float>();
close = new List <float>();
volume = new List <int>();
unadjustedVolume = new List <int>();
change = new List <float>();
changePercent = new List <float>();
vwap = new List <float>();
label = new List <string>();
changeOverTime = new List <float>();
MovingAverageClose = new List <float>();
MovingAverageVolume = new List <int>();
RelativePriceVolume = new List <float>();
MovingRelativePriceVolume = new List <float>();
CurrentCupHandle = new CupHandle();
EarningsQuarters = new List <LocalDate>();
EarningsData = new List <float>();
EarningsGrowth = new List <float>();
CloseHighToDate = new List <float>();
this.Symbol = symbol;
if (sym != null)
{
Name = sym.name;
}
else
{
Name = "";
}
foreach (HistoricalDataResponse d in data)
{
string[] dateSplit = d.date.Split('-');
LocalDate localDate = new LocalDate(Int16.Parse(dateSplit[0]), Int16.Parse(dateSplit[1]), Int16.Parse(dateSplit[2]));
date.Add(localDate);
open.Add(d.open);
high.Add(d.high);
low.Add(d.low);
close.Add(d.close);
volume.Add(d.volume);
unadjustedVolume.Add(d.unadjustedVolume);
change.Add(d.change);
changePercent.Add(d.changePercent);
vwap.Add(d.vwap);
label.Add(d.label);
changeOverTime.Add(d.changeOverTime);
Count++;
}
MinClose = close.Min();
MinVolume = close.Max();
List <float> changeSpread = new List <float>();
for (int i = 0; i < close.Count; i++)
{
float delta = high[i] - low[i];
changeSpread.Add(delta / open[i]);
}
maxDayChangePerc = changeSpread.Max();
MovingAverageClose = MathHelpers.MovingAverage(close, 50);
MovingAverageVolume = MathHelpers.MovingAverage(volume, 50);
RelativePriceVolume.Add(0);
for (int i = 1; i < close.Count; i++)
{
float y = (close[i] - close[i - 1]) / close[i - 1];
RelativePriceVolume.Add(volume[i] * y);
}
MovingRelativePriceVolume = MathHelpers.MovingAverage(RelativePriceVolume, 50);
}
public void Run(List <Company> list = null, IProgress <Result> progress = null)
{
if (list == null)
{
list = List;
}
Stopwatch sw = new Stopwatch();
sw.Start();
Dates = new List <LocalDate>();
Values = new List <float>();
Portfolio.Cash = Portfolio.StartCash;
Portfolio.Assets = new List <Asset>();
//initialize dynamic Company members
foreach (Company c in list)
{
c.SetEarningsGrowthSeries(MinNumPrevQuarters);
c.CurrentCupHandle = new CupHandle();
c.Iterator = -1; //reset iterator
}
int runDays = Period.Between(StartDay, EndDay, PeriodUnits.Days).Days;
List <CupHandle> cupHandles = new List <CupHandle>();
List <string> chSymbols = new List <string>();
string cupDbFile = Path.Combine(Path.GetDirectoryName(Dbfile), Path.GetFileNameWithoutExtension(Dbfile) + "_ch.db");
if (File.Exists(cupDbFile))
{
File.Delete(cupDbFile);
}
int cupHandleId = 1;
using (LiteDatabase chDb = new LiteDatabase(cupDbFile))
{
Trading.Debug.Nlog("Starting simulation");
var colch = chDb.GetCollection <CupHandle>("CupHandle");
for (int i = 0; i < runDays; i++)
{
LocalDate thisDay = StartDay.PlusDays(i);
Dates.Add(thisDay);
foreach (Company c in list)
{
//if (c.Iterator >= c.date.Count) //Check if day is > data
// continue;
int thisDayInd = -1;
//if (c.Iterator < 0)
//{
// if (thisDay.CompareTo(c.date[0]) == 0)
// {
// c.Iterator = 0; //Initialize for first day of data
// }
//}
thisDayInd = c.date.BinarySearch(thisDay);
//bool found = c.FindIndexByDate(thisDay, out thisDayInd);
if (thisDayInd >= 0)
{
//Start day
//thisDayInd = c.Iterator;
//thisDay = c.date[c.Iterator];
//float epsGrowth = c.ComputeEarningsGrowth(thisDay, MinNumPrevQuarters);
float epsGrowth = c.EarningsGrowth[thisDayInd];
if (epsGrowth == float.NaN || epsGrowth < MinEpsGrowth)
{
continue;
}
CupHandle ch = new CupHandle();
//Check if cuphandle is established
if (c.CurrentCupHandle.D.Index > 0)
{
int endBuySearch = c.CurrentCupHandle.D.Index + (int)(Chp.BuyWait * (c.CurrentCupHandle.C.Index - c.CurrentCupHandle.A.Index));
if (c.CurrentCupHandle.D.Index + 1 >= c.close.Count)
{
break;
}
if (endBuySearch >= c.close.Count)
{
endBuySearch = c.close.Count - 1;
}
for (int j = c.CurrentCupHandle.D.Index + 1; j < endBuySearch; j++)
{
if (c.close.Count > j) //check that this day in the for loop is valid for data known
{
float close = c.close[j];
if (close > c.CurrentCupHandle.C.Close)
{
LocalDate dDate = c.date[j];
c.CurrentCupHandle.Buy = c.GetPoint(j);
c.CurrentCupHandle.BuyTrigger = true;
// Debug.Nlog(c.Symbol + " Rank " + c.CurrentCupHandles.GetRank().ToString());
c.CurrentCupHandle.Symbol = c.Symbol;
//c.CurrentCupHandle.Id = ObjectId.NewObjectId();
//colch.Insert(c.CurrentCupHandle);
colch.Insert(cupHandleId, c.CurrentCupHandle);
cupHandleId++;
//Buy Triggered
if (Portfolio.Cash > Portfolio.BuyAmount)
{
Trading.Debug.Nlog("Bought " + c.Symbol);
Portfolio.Buy(new Asset(c.Symbol, c.CurrentCupHandle.Buy.Close, Portfolio.BuyAmount, thisDay));
ReportProgress(progress, thisDay, i, runDays);
}
c.CurrentCupHandle = new CupHandle(); //restart cuphandle
break;
}
}
else
{
break;
}
}
}
if (c.IsHighToDate(thisDayInd)) //Search for A
{
//Debug.Nlog(c.Symbol + ", New A found");
c.CurrentCupHandle = new CupHandle(); //reset cuphandle
c.CurrentCupHandle.SetA(c.GetPoint(thisDayInd)); //Set new A
}
else if (c.CurrentCupHandle.A != null)
{
int lastA = thisDayInd - c.CurrentCupHandle.A.Index;
if (Chp.AC.ContainsValue(lastA)) //Last A in correct Range, search for C
{
Point possibleC = c.GetPoint(thisDayInd);
if (Chp.PivotRatio.ContainsValue(possibleC.Close / c.CurrentCupHandle.A.Close))
{
// Pc/Pa is now verified to be within the pivot ratio range
if (c.EnsurePointJ(possibleC, ch)) //Now check that no Pj exceeds line connection Pc and Pa
{
c.CurrentCupHandle.SetC(possibleC);
//Now searching for handle
//Debug.Nlog(c.Symbol + ", found C");
//Use URPV3 to find B???
//BC range, or Frame 3 span, or RightCup
int rangeBC = Chp.CupRight.Maximum - Chp.CupRight.Minimum;
int startBsearch = c.CurrentCupHandle.C.Index - rangeBC;
float urpvSum = 0;
float drpvSum = 0;
int urpvCnt = 0;
int drpvCnt = 0;
List <float> urpv3Arr = new List <float>();
List <float> R1arr = new List <float>();
List <float> R3arr = new List <float>();
for (int j = startBsearch; j < c.CurrentCupHandle.C.Index; j++)
{
if (c.close[j] > c.close[j - 1])
{
//Up day
urpvSum += c.RelativePriceVolume[j];
urpvCnt++;
}
else
{
//down day
drpvSum += c.RelativePriceVolume[j];
drpvCnt++;
}
if (c.MovingRelativePriceVolume[j] == 0)
{
//this is bad
bool stop = true;
}
//Check RPV values
float urpv = urpvSum / urpvCnt;
urpv3Arr.Add(urpv);
float drpv = drpvSum / drpvCnt;
float R1;
if (drpv == 0)
{
R1 = (float)Math.Log10(urpv / drpv);
}
else
{
R1 = (float)Math.Log10(urpv / c.MovingRelativePriceVolume[j]);
}
R1arr.Add(R1);
float R3 = (float)Math.Log10(urpv / c.MovingRelativePriceVolume[j]);
R3arr.Add(R3);
}
List <float> R1R3sum = new List <float>();
//Now with data find the best PointB based on R1 and R2
for (int j = 0; j < R1arr.Count; j++)
{
R1R3sum.Add(R1arr[j] + R3arr[j]);
}
float bestR1R3 = R1R3sum.Max();
int ind = R1R3sum.IndexOf(bestR1R3);
int bestR1R3Index = startBsearch + ind;
float urpv3 = urpv3Arr[ind];
if (bestR1R3 > 0)
{
//B Found!!!
//Debug.Nlog("B found!!!");
c.CurrentCupHandle.R1 = R1arr[ind];
c.CurrentCupHandle.R3 = R3arr[ind];
LocalDate bDate = c.date[bestR1R3Index];
c.CurrentCupHandle.SetB(c.GetPoint(bestR1R3Index));
//Now continue and find PointD the handle
int rangeCD = Chp.Handle.Maximum - Chp.Handle.Minimum;
int startDsearch = c.CurrentCupHandle.C.Index + Chp.CupRight.Minimum;
int endDsearch = startDsearch + rangeCD;
if (startDsearch >= c.close.Count)
{
break;
}
if (endDsearch >= c.close.Count)
{
endDsearch = c.close.Count - 1;
}
List <float> R2arr = new List <float>();
urpvSum = 0;
drpvSum = 0;
urpvCnt = 0;
drpvCnt = 0;
for (int j = startDsearch; j < endDsearch; j++)
{
if (c.close[j] > c.close[j - 1])
{
//Up day
urpvSum += c.RelativePriceVolume[j];
urpvCnt++;
}
else
{
//down day
drpvSum += c.RelativePriceVolume[j];
drpvCnt++;
}
if (c.MovingRelativePriceVolume[j] == 0)
{
//this is bad
bool stop = true;
}
float urpv = urpvSum / urpvCnt;
float drpv = drpvSum / drpvCnt;
float R2;
if (drpv == 0)
{
R2 = (float)Math.Log10(urpv3 / drpv);
}
else
{
R2 = (float)Math.Log10(urpv3 / c.MovingRelativePriceVolume[j]);
}
R2arr.Add(R2);
}
//Enforce D requirements
List <float> newR2arr = new List <float>();
for (int cnt = 0; cnt < R2arr.Count; cnt++)
{
ind = startDsearch + cnt;
LocalDate dDate = c.date[ind];
float dClose = c.close[ind];
float CBdiff = c.CurrentCupHandle.C.Close - c.CurrentCupHandle.B.Close;
if (CBdiff > 0)
{
float CDdiff = c.CurrentCupHandle.C.Close - dClose;
if (dClose < c.CurrentCupHandle.C.Close)
{
if (dClose > (c.CurrentCupHandle.B.Close + CBdiff * Chp.CBdiffMin))
{
newR2arr.Add(R2arr[cnt]);
}
}
}
}
if (newR2arr.Count > 0)
{
R2arr = newR2arr;
float bestR2 = R2arr.Max();
ind = R2arr.IndexOf(bestR2);
int bestR2Index = startDsearch + ind;
if (bestR2 > 0)
{
//D found !!!
//Debug.Nlog("D found!!!");
c.CurrentCupHandle.R2 = R2arr[ind];
if (c.CurrentCupHandle.GetRank() > Chp.MinRank && c.CurrentCupHandle.GetMinimumRank() > Chp.MinSingleRank)
{
LocalDate dDate = c.date[bestR2Index];
c.CurrentCupHandle.D = c.GetPoint(bestR2Index);
}
}
}
}
}
}
}
}
int index = Portfolio.Assets.FindIndex(x => x.Symbol.Equals(c.Symbol));
if (index >= 0)
{
float perShare = c.close[thisDayInd];
Asset a = Portfolio.Assets[index];
a.SetCurrentValue(perShare);
float change = perShare / a.PerShareInitial;
if (change > (Portfolio.StopGain))
{
Trading.Debug.Nlog("Sold " + a.Symbol + " for gain");
Portfolio.Sell(a, perShare); //Set asset for gain
ReportProgress(progress, thisDay, i, runDays);
}
if (change < Portfolio.StopLoss)
{
Trading.Debug.Nlog("Sold " + a.Symbol + " for loss");
Portfolio.Sell(a, perShare); //sell asset for loss
ReportProgress(progress, thisDay, i, runDays);
}
}
}
c.Iterator++;
//End of company loop
}
float endOfDayValue = Portfolio.GetTotalValue();
float slope;
float rSquared;
MathHelpers.LinearRegression(Values.ToArray(), out rSquared, out slope);
string mess = thisDay.ToString() + ", " + endOfDayValue.ToString() + ", Total Assets: " + Portfolio.Assets.Count.ToString();
Trading.Debug.Nlog(mess);
Trading.Debug.Nlog(Portfolio.AllAssetsToString());
//end of trading day loop
}
}
Trading.Debug.Nlog("Found " + (cupHandleId + 1).ToString() + " handles");
sw.Stop();
Trading.Debug.Nlog("Total sim time, " + sw.Elapsed.TotalMinutes.ToString() + " minutes");
Trading.Debug.Nlog("Finished");
//Console.ReadKey();
}
