public VWAP(Bars bars, string description)
: base(bars, description)
{
Helper.CompatibilityCheck();
base.FirstValidValue = 1;
//Can't work if data isn't intraday
if (!bars.IsIntraday)
{
return;
}
double x = 0;
double MVol = 0;
//First, compute the typical price for the intraday period. This is the average of the high, low and close {(H+L+C)/3)}.
AveragePrice ap = AveragePrice.Series(bars);
for (int bar = FirstValidValue; bar < bars.Count; bar++)
{
// daily initialization
if (bars.IntradayBarNumber(bar) == 0)
{
x = 0;
MVol = 0;
//20180413 fix for not taking the intraday bar 0 value, replacing it with the prior day VWAP closing value
//if (bar > 0)
// base[bar] = base[bar - 1];
}
//else //20180413 fix for not taking the intraday bar 0 value, replacing it with the prior day VWAP closing value
{
//Second, multiply the typical price by the period's volume.
//Third, create a running total of these values. This is also known as a cumulative total.
x += ap[bar] * bars.Volume[bar];
//Fourth, create a running total of volume (cumulative volume).
MVol += bars.Volume[bar];
//Fifth, divide the running total of price-volume by the running total of volume.
base[bar] = x / MVol;
}
// Old version (prior to 2012.04)
/*x += ap[bar] * bars.Volume[bar];
* MVol += bars.Volume[bar];
* if (MVol == 0)
* base[bar] = ap[bar];
* else
* base[bar] = x / MVol;*/
}
}
public SmartMoneyIndex(Bars bars, string description)
: base(bars, description)
{
Helper.CompatibilityCheck();
base.FirstValidValue = 1;
double am = 0, pm = 0, tc = 0, yc = 0, op = 0;
if (!bars.IsIntraday)
{
return;
}
for (int bar = FirstValidValue; bar < bars.Count; bar++)
{
if (bars.IntradayBarNumber(bar) == 0)
{
yc = bars.Close[bar - 1];
}
if (GetTime(bars, bar) == 1000)
{
am = bars.Close[bar];
}
if (GetTime(bars, bar) == 1500)
{
pm = bars.Close[bar];
}
if (GetTime(bars, bar) == 0930)
{
op = bars.Open[bar];
}
if (bars.IsLastBarOfDay(bar))
{
tc = bars.Close[bar];
//base[bar] = (tc - pm) - (op - am) + base[bar];
base[bar] = base[bar] - (op - am) + (tc - pm);
}
else
{
base[bar] = base[bar - 1];
}
}
}
public LastHour(Bars bars, string description)
: base(bars, description)
{
base.FirstValidValue = 1;
double am = 0; double pm = 0;
double tc = 0; double yc = 0;
if (!bars.IsIntraday)
{
return;
}
for (int bar = FirstValidValue; bar < bars.Count; bar++)
{
if (bars.IntradayBarNumber(bar) == 0)
{
yc = bars.Close[bar - 1];
}
if (GetTime(bars, bar) == 1030)
{
am = bars.Close[bar];
}
if (GetTime(bars, bar) == 1500)
{
pm = bars.Close[bar];
}
if (bars.IsLastBarOfDay(bar))
{
tc = bars.Close[bar];
base[bar] = (tc - pm) - (am - yc);
}
else
{
base[bar] = base[bar - 1];
}
}
}
public CIV(Bars bars, int startTime, int stopTime, string description)
: base(bars, description)
{
base.FirstValidValue = 0;
double cv = 0d;
for (int bar = 0; bar < bars.Count; bar++)
{
if (bars.IntradayBarNumber(bar) == 0)
{
cv = 0d;
}
int time = bars.Date[bar].Hour * 100 + bars.Date[bar].Minute;
if (time > startTime && time <= stopTime)
{
cv += bars.Volume[bar];
}
this[bar] = cv;
}
}
protected override void Execute()
{
SMA sma10 = SMA.Series(Close, 10);
EMA ema30 = EMA.Series(Close, 30, EMACalculation.Modern);
WilliamsR wlm = WilliamsR.Series(Bars, 3);
BBandLower LB = BBandLower.Series(Close, 29, 2.5);
BBandUpper UB = BBandUpper.Series(Close, 29, 2.5);
SolidBrush shadowBrush = new SolidBrush(Color.FromArgb(10, Color.FromArgb(102, 0, 0, 255)));
PlotSeriesFillBand(PricePane, LB, UB, Color.FromArgb(255, 176, 196, 222), shadowBrush, LineStyle.Solid, 2);
DateTime nextReportDate = new DateTime(2010, 1, 1);
FundamentalItem fi = GetFundamentalItem(Bars.Count - 1, Bars.Symbol, "earnings per share");
bool crossOver = false;
bool pullback = false;
bool crossUnder = false;
bool pullup = false;
for (int bar = 30; bar < Bars.Count; bar++)
{
SetContext("SPY", true);
bool signal = sma10[bar] > ema30[bar];
bool goLong = false;
bool goShort = false;
if (signal && wlm[bar] < 20)
{
goLong = true;
}
if (!signal && wlm[bar] > 80)
{
crossOver = false;
goShort = true;
}
RestoreContext();
//goLong = true;
if (!IsLastPositionActive)
{
if (goLong)
{
if (CrossOver(bar, sma10, ema30))
{
crossOver = true;
pullback = false;
crossUnder = false;
pullup = false;
continue;
}
if (crossOver && Close[bar] < sma10[bar] && pullback == false)
{
pullback = true;
}
if (pullback && Close[bar] > sma10[bar])
{
// DrawCircle( PricePane, 10, bar, High[bar], Color.Green, Color.DarkGreen, WealthLab.LineStyle.Solid, 2, true );
// crossOver = false;
pullback = false;
BuyAtMarket(bar + 1, "SMA 10 is above EMA 30 and pull back is done ");
}
}
else
if (goShort)
{
if (CrossUnder(bar, sma10, ema30))
{
crossUnder = true;
pullup = false;
crossOver = false;
pullback = false;
continue;
}
if (crossUnder && Close[bar] > sma10[bar] && pullup == false)
{
pullup = true;
}
if (pullup && Close[bar] < sma10[bar])
{
// DrawCircle( PricePane, 10, bar, High[bar], Color.Green, Color.DarkGreen, WealthLab.LineStyle.Solid, 2, true );
// crossOver = false;
pullup = false;
ShortAtMarket(bar + 1, "SMA 10 is below EMA 30 and pull back is done ");
}
// DrawCircle( PricePane, 10, bar, High[bar], Color.Blue, Color.Black, WealthLab.LineStyle.Solid, 2, true );
}
}
else
{
if (LastActivePosition.PositionType == PositionType.Long)
{
double b = LB[bar];
if (
LastActivePosition.EntryPrice > Close[bar] && Close[bar] < b &&
bar >= LastActivePosition.EntryBar
)
{
SellAtMarket(bar + 1, LastActivePosition, "stop lose");
crossOver = false;
pullback = false;
continue;
}
if (Bars.IntradayBarNumber(bar) == 0 && EarningsDate.InWindow(this, bar, "earnings per share", 365, 0))
{
//DrawLabel(PricePane, "Next Earnings: " + Date[bar].ToString());
PrintDebug(Date[bar].ToString());
}
if (Date[bar].Day > (LastActivePosition.EntryDate.Day + 4) && Bars.IsLastBarOfDay(bar))
{
SellAtMarket(bar + 1, LastActivePosition, "Close on 5th day");
crossOver = false;
pullback = false;
continue;
}
else
if (CrossUnder(bar, sma10, ema30))
{
SellAtMarket(bar + 1, LastActivePosition, "Take profit");
crossOver = false;
pullback = false;
continue;
}
}
else if (LastActivePosition.PositionType == PositionType.Short)
{
double b = UB[bar];
if (
LastActivePosition.EntryPrice < Close[bar] && Close[bar] > b &&
bar >= LastActivePosition.EntryBar
)
{
CoverAtMarket(bar + 1, LastActivePosition, "Short stop lose");
crossUnder = false;
pullup = false;
continue;
}
if (Date[bar].Day > (LastActivePosition.EntryDate.Day + 4) && Bars.IsLastBarOfDay(bar))
{
CoverAtMarket(bar + 1, LastActivePosition, "Close on 5th day");
crossUnder = false;
pullup = false;
continue;
}
else
if (CrossOver(bar, sma10, ema30))
{
CoverAtMarket(bar + 1, LastActivePosition, "Take profit");
crossUnder = false;
pullup = false;
continue;
}
}
}
}
//Pushed indicator ChartPane statements
ChartPane paneWilliamsR1 = CreatePane(40, true, true);
//Pushed indicator PlotSeries statements
PlotSeries(PricePane, sma10, Color.DarkGreen, LineStyle.Solid, 2);
PlotSeries(PricePane, ema30, Color.Blue, LineStyle.Solid, 2);
PlotSeries(paneWilliamsR1, wlm, Color.OliveDrab, LineStyle.Solid, 2);
}
protected override void Execute()
{
int level;
signleToSell = false;
priceAtCross = 0;
firstUp = false;
firstDown = false;
priceAtCrossDown = 0;
rocAtCrossDown = 0;
topPrice = 0;
lastTop = 0;
breakPrice = 0;
rocPrice = 0;
//Create and plot period RSI
RSI rsi20 = RSI.Series(Close, rsiPeriod.ValueInt);
ChartPane rsiPane = CreatePane(50, true, true);
PlotSeries(rsiPane, rsi20, Color.Navy, LineStyle.Solid, 3);
DrawHorzLine(rsiPane, oversold.Value, Color.Red, LineStyle.Dotted, 2);
DrawHorzLine(rsiPane, overbought.Value, Color.Green, LineStyle.Dotted, 2);
ChartPane paneROC1 = CreatePane(40, true, true);
PlotSeries(paneROC1, ROC.Series(Close, rocPeriod.ValueInt), Color.FromArgb(255, 112, 128, 144), LineStyle.Dotted, 2);
DrawHorzLine(paneROC1, 0, Color.Red, LineStyle.Solid, 2);
int period = Math.Max(rsiPeriod.ValueInt, rocPeriod.ValueInt);
if (initPosition)
{
// init starting state to force buy into the market
priceAtCrossDown = Close[period + 1];
rocAtCrossDown = ROC.Value(period + 1, Close, rocPeriod.ValueInt);
firstDown = true;
}
double High60 = 0;
double Low60 = 0;
int n = Bars.BarInterval;
int num = (60 / n) - 1; // the first hour bar
int firstIntradayBar = -1;
//Trading system main loop
for (int bar = period + 1; bar < Bars.Count; bar++)
{
if (Bars.IntradayBarNumber(bar) == 0)
{
firstIntradayBar = bar;
}
if (Bars.IntradayBarNumber(bar) <= num) // highlight the first hour
{
SetBarColor(bar, Color.Silver);
}
if (Bars.IntradayBarNumber(bar) == num) // get the highest high and the lowest low after first hour
{
High60 = Highest.Series(Bars.High, num + 1)[bar];
Low60 = Lowest.Series(Bars.Low, num + 1)[bar];
if (firstIntradayBar > -1)
{
DrawLine(PricePane, bar, High60, firstIntradayBar, High60, Color.Blue, LineStyle.Dashed, 1);
DrawLine(PricePane, bar, Low60, firstIntradayBar, Low60, Color.Red, LineStyle.Dashed, 1);
}
}
if (Close[bar] > topPrice)
{
topPrice = Close[bar];
}
level = oversold.ValueInt;
if (CrossUnder(bar, rsi20, level))
{
if (!firstDown)
{
// first time to go below
// set cross happen and record the targit price
firstDown = true;
priceAtCrossDown = Close[bar];
rocAtCrossDown = ROC.Value(bar, Close, rocPeriod.ValueInt);
}
}
// play trayling
int addToPosition = 0;
bool rsiOk = false;
bool priceOK = false;
if (firstDown)
{
// ROC must improve by delta
double delta = Math.Abs(rocAtCrossDown * 0.2);
double newrocSMA = ROC.Value(bar, Close, rocPeriod.ValueInt);
if (bar == Bars.Count - 1)
{
rocPrice = rocAtCrossDown + delta;
}
if (newrocSMA <= (rocAtCrossDown + delta))
{
if (newrocSMA < rocAtCrossDown)
{
rocAtCrossDown = newrocSMA;
}
}
else
{
rsiOk = true;
}
double riseV = priceRise.ValueInt;
delta = priceAtCrossDown * (riseV / 1000.0 + 0.00017);
if (bar == Bars.Count - 1)
{
breakPrice = priceAtCrossDown + delta;
}
if (Close[bar] < (priceAtCrossDown + delta))
{
// DrawLabel(PricePane, "ready to buy, price is not rising: " + Close[bar].ToString() + " less than " + (priceAtCrossDown + delta).ToString());
if (Close[bar] < priceAtCrossDown)
{
priceAtCrossDown = Close[bar];
}
}
else
{
priceOK = true;
}
if (priceOK && rsiOk)
{
addToPosition++;
firstDown = false;
}
}
// you can have only one active position
foreach (Position pos in Positions)
{
if (pos.Active && pos.PositionType == PositionType.Long)
{
addToPosition = 0;
break;
}
}
if (addToPosition > 0)
{
// OverSold
// Close all shorts
foreach (Position pos in Positions)
{
if (pos.Active && pos.PositionType == PositionType.Short)
{
CoverAtMarket(bar + 1, pos);
}
}
// DrawLabel(PricePane, "buy at bar = " + bar.ToString());
Position p = BuyAtMarket(bar + 1);
firstUp = false;
}
level = overbought.ValueInt;
int ClosedTrades = 0;
signleToSell = false;
if (CrossOver(bar, rsi20, overbought.ValueInt))
{
if (!firstUp)
{
// first time to go above
// set cross happen and record the targit price
firstUp = true;
priceAtCross = Close[bar];
}
}
if (firstUp)
{
double riseV = priceRise.ValueInt;
double delta = priceAtCross * (riseV / 1000 + 0.00017);
priceOK = true;
if (Close[bar] >= (priceAtCross - delta))
{
if (Close[bar] > priceAtCross)
{
priceAtCross = Close[bar];
}
}
else
{
priceOK = false;
}
// keep as long ROC over zero
if (ROC.Value(bar, Close, rocPeriod.ValueInt) <= 0 && !priceOK)
{
signleToSell = true;
firstUp = false;
}
}
// sync real account with strategy
// if (Bars.Date[bar] == syncDate)
// {
// signleToSell = true; // close postions
// }
// Over Bought
// wait until price either move up or stopped out
if (signleToSell)
{
firstUp = false;
//DrawLabel(PricePane, ActivePositions.Count.ToString());
foreach (Position pos in Positions)
{
if (pos.Active && pos.PositionType == PositionType.Long)
{
SellAtMarket(bar + 1, pos);
ClosedTrades++;
}
}
signleToSell = false;
if (ClosedTrades > 0)
{
// Short only after sell long position
if (!trend)
{
ShortAtMarket(bar + 1);
}
}
}
// sell on % lose
foreach (Position pos in Positions)
{
if (pos.Active &&
pos.PositionType == PositionType.Long &&
pos.EntryPrice > (Close[bar] + pos.EntryPrice * (0.01 + stopLose.ValueInt * 0.001)) &&
bar >= pos.EntryBar
)
{
SellAtMarket(bar + 1, pos, "stop lose");
signleToSell = false;
firstUp = false;
firstDown = false;
continue;
}
if (pos.Active &&
pos.PositionType == PositionType.Short &&
Close[bar] > (pos.EntryPrice + pos.EntryPrice * (0.01 + stopLose.ValueInt * 0.001)) &&
bar >= pos.EntryBar
)
{
CoverAtMarket(bar + 1, pos, "stop lose Short");
}
}
}
double currentPrice = Close[Bars.Count - 1];
DrawLabel(paneROC1, "Top: " + topPrice.ToString(), Color.Red);
DrawLabel(paneROC1, "Current Price: " + currentPrice.ToString());
DrawLabel(paneROC1, "Goal : " + " At +5% " + (currentPrice * 1.05).ToString(), Color.BlueViolet);
DrawLabel(paneROC1, "Goal : " + " At +8% " + (currentPrice * 1.08).ToString(), Color.MediumSpringGreen);
DrawLabel(paneROC1, "Goal : " + " At +10% " + (currentPrice * 1.10).ToString(), Color.DarkOliveGreen);
DrawLabel(PricePane, "Drop : " + " At -5% " + (topPrice * 0.95).ToString(), Color.DarkGreen);
DrawLabel(PricePane, "Correction : " + " At -8% " + (topPrice * 0.92).ToString(), Color.DarkBlue);
DrawLabel(PricePane, "Correction : " + " At -10% " + (topPrice * 0.90).ToString(), Color.Red);
DrawLabel(PricePane, "Bear market: " + " At -20% " + (topPrice * 0.80).ToString(), Color.DarkRed);
if (breakPrice > 0)
{
DrawLabel(PricePane, "Break above Price: " + breakPrice.ToString(), Color.DarkGoldenrod);
}
if (rocPrice > 0)
{
DrawLabel(PricePane, "Break above Momuntem: " + rocPrice.ToString(), Color.DarkGoldenrod);
}
DrawHorzLine(PricePane, currentPrice * 1.05, Color.BlueViolet, LineStyle.Solid, 6);
DrawHorzLine(PricePane, currentPrice * 1.08, Color.MediumSpringGreen, LineStyle.Solid, 3);
DrawHorzLine(PricePane, currentPrice * 1.10, Color.DarkOliveGreen, LineStyle.Solid, 3);
DrawHorzLine(PricePane, topPrice * 0.95, Color.DarkGreen, LineStyle.Solid, 3);
DrawHorzLine(PricePane, topPrice * 0.92, Color.DarkBlue, LineStyle.Solid, 3);
DrawHorzLine(PricePane, topPrice * 0.90, Color.Red, LineStyle.Solid, 3);
DrawHorzLine(PricePane, topPrice * 0.80, Color.DarkRed, LineStyle.Solid, 3);
if (breakPrice > 0)
{
DrawHorzLine(PricePane, breakPrice, Color.DarkGoldenrod, LineStyle.Solid, 4);
}
}
