protected override void CalcBar()
{
barNumber.Value = BarsOfData(BasedOnData).CurrentBar;
if (barNumber.Value > barNumber[1])
{
double rank = Formula(this);
MyPortfolioData["RankStrategyR"] = rank;
if (TraceOutput)
{
Output.WriteLine("CurrentBar = {0}. Put MyIndicator value = {1} for symbol {2}.", Bars.CurrentBar, rank, Bars.Info.Name);
}
}
buy.Send();
sellshort.Send();
// money management
double moneyCostForInvestPerCntrct = this.CalcMoneyForEntryPerCntrct(Bars.CloseValue, Portfolio.MarginPerContract) +
this.CalcMoneyForEntryPerCntrct(Bars.CloseValue, Portfolio.MaxPotentialLossPerContract);
if (moneyCostForInvestPerCntrct < 0)
{
ExecControl.Abort("Error! Price = {0}, PMargin = {1}, PMaxPLoss = {2}", Bars.CloseValue, Portfolio.MarginPerContract, Portfolio.MaxPotentialLossPerContract);
}
MyPortfolioData[PortfolioHelpFunctions.MoneyCostForInvestPerCtrct] = this.FromSymbolToPortfolioCurrency(moneyCostForInvestPerCntrct);
}
protected override void CalcBar()
{
if (Environment.ApplicationCode != EApplicationCode.Portfolio)
{
ExecControl.Abort("Signal can be applied in portfolio only.");
}
MyPortfolioData["RotationalValue"] = myFormula(myLength, 0);
buy.Send();
sell.Send();
// money management
double entryprice = this.EntryPrice() == 0 ? Bars.CloseValue : this.EntryPrice();
double moneyCostForInvestPerCntrct =
this.CalcMoneyForEntryPerCntrct(entryprice, Portfolio.MarginPerContract) +
this.CalcMoneyForEntryPerCntrct(entryprice, Portfolio.MaxPotentialLossPerContract);
if (moneyCostForInvestPerCntrct < 0)
{
ExecControl.Abort("Error! Price = {0}, PMargin = {1}, PMaxPLoss = {2}", entryprice, Portfolio.MarginPerContract, Portfolio.MaxPotentialLossPerContract);
}
MyPortfolioData[PortfolioHelpFunctions.MoneyCostForInvestPerCtrct] = this.FromSymbolToPortfolioCurrency(moneyCostForInvestPerCntrct);
// exits
CurSpecOrdersMode = ESpecOrdersMode.PerPosition;
GenerateStopLoss(StopLossPcntsOfPortfolio * .01 * this.PortfolioEquity());
GenerateProfitTarget(ProfitTargetPcntsOfPortfolio * .01 * this.PortfolioEquity());
}
protected override void StartCalc()
{
if (Environment.ApplicationCode != EApplicationCode.Portfolio)
{
ExecControl.Abort("Signal can be applied in portfolio only.");
}
m_KRatio.NumberOfDataBarsInCalendarYear = 252;
}
protected override void CalcBar()
{
Ratio.Value = Bars.CloseValue / BarsOfData(2).CloseValue;
if (Bars.CurrentBar < Length)
{
return;
}
double contracts = this.PortfolioEquity() * PercentEquity / 100;
if (Bars.CurrentBar > 1)
{
if (PublicFunctions.DoubleLess(m_expAvgRatioVal + m_stdDevRatioVal, Ratio.Value))
{
if (!PublicFunctions.DoubleEquals(m_cur_pos, -1))
{
m_cur_pos = -1;
m_short.Send((int)contracts);
}
}
else
if (PublicFunctions.DoubleGreater(m_expAvgRatioVal - m_stdDevRatioVal, Ratio.Value))
{
if (!PublicFunctions.DoubleEquals(m_cur_pos, 1))
{
m_cur_pos = 1;
m_long.Send((int)contracts);
}
}
else
{
m_cur_pos = 0;
m_lx.Send();
m_sx.Send();
}
}
m_expAvgRatioVal = m_expAvgRatio.Value;
m_stdDevRatioVal = Ratio.StandardDeviationCustom(Length, 1);
if (Environment.ApplicationCode == EApplicationCode.Portfolio)
{
int slaveIdx = this.GetFirstStrategyIndexBySymbolName(BarsOfData(2).Info.Name);
if (slaveIdx < 0)
{
ExecControl.Abort(@"specified slave trader on instrument ""{0}"" not found", BarsOfData(2).Info.Name);
}
double money = Math.Abs(m_cur_pos * contracts) * Bars.CloseValue * Bars.Info.BigPointValue;
if (PublicFunctions.DoubleGreater(money, 0))
{
money = this.FromSymbolToPortfolioCurrency(money);
}
PortfolioStrategies[slaveIdx].PortfolioData[MasterMoney] = -m_cur_pos * money;
}
}
protected override void StartCalc()
{
if (Environment.ApplicationCode != EApplicationCode.Portfolio)
{
ExecControl.Abort("Portfolio Rank Money Management Signal can be applied for MCPortfolio application only.");
}
if (PortfolioStrategies.Count < BuyBestX + SellWorstY)
{
ExecControl.Abort("Portfolio Rank Monem Management Signal, please check inputs, BuyBestX + SellWorstY should be less or equal to tradeable Instruments number");
}
}
protected override void StartCalc()
{
triggerTime = TimeSpan.Parse(TriggerTime);
if (Environment.ApplicationCode != EApplicationCode.Portfolio)
{
ExecControl.Abort("Signal can be applied in portfolio only.");
}
m_KRatio.NumberOfDataBarsInCalendarYear = 1; //252;
}
protected override void StartCalc()
{
// In this method it is specified that the signal is calculated in Portfolio Trader.
if (Environment.ApplicationCode != EApplicationCode.Portfolio)
{
ExecControl.Abort("The signal can be used in MultiCharts Portfolio Trader only.");
}
// and initialize the function
m_RSI.price = Bars.Close;
m_RSI.length = RSI_Length;
}
protected override void StartCalc()
{
if (Environment.ApplicationCode != EApplicationCode.Portfolio) // Verification: the signal is only for the Portfolio Trader
{
ExecControl.Abort("The signal can be used in MultiCharts Portfolio Trader only.");
}
if (PortfolioStrategies.Count < MaxBest + MaxWorst) // Verification: sum of the inputs should be not more than the total number of the traded symbols
{
throw new Exception("Portfolio RSIRankEx_MM Signal, please check inputs, MaxBest + MaxWorst should be less or equal to the number of tradeable instruments");
}
if (Bars.Request.TimeZone != RequestTimeZone.Local)
{
throw new Exception("The signal can be used only with Local time zone set."); // Verification: only Local time zone
}
}
protected override void StartCalc()
{
CommonPortfolioData["RankStrategyApplied"] = "true";
if (!IsExist(BasedOnData))
{
ExecControl.Abort("Portfolio Rank Signal Base needs datastream {0}." + BasedOnData);
}
if (Environment.ApplicationCode != EApplicationCode.Portfolio)
{
ExecControl.Abort("Portfolio Rank Signal Base can be applied for MCPortfolio application only.");
}
if (TraceOutput)
{
Output.Clear();
}
}
protected override void CalcBar()
{
if (Environment.ApplicationCode != EApplicationCode.Portfolio)
{
ExecControl.Abort("Signal can be applied (as money management) in portfolio only.");
}
if (PortfolioStrategies.Count < BuyBestX + SellWorstY)
{
ExecControl.Abort(
"Portfolio has no enough instruments: instruments number = {0}; BuyBestX = {1}; SellWorstY = {2}",
PortfolioStrategies.Count, BuyBestX, SellWorstY);
}
this.StrategiesDenyEntriesAll();
bestStrategies.Clear();
worstStrategies.Clear();
for (int idx = 0; idx < PortfolioStrategies.Count; idx++)
{
double value = PortfolioStrategies[idx].PortfolioData["RotationalValue"].safe_cast2double();
bestStrategies.Add(idx, value);
worstStrategies.Add(idx, value);
if (TraceOutput)
{
Output.WriteLine("{0}. For {1} strategy value = {2}", Bars.CurrentBar, idx, value);
}
}
bestStrategies = bestStrategies.OrderByDescending(elem => elem.Value).ToDictionary(x => x.Key, y => y.Value);
worstStrategies = worstStrategies.OrderBy(elem => elem.Value).ToDictionary(x => x.Key, y => y.Value);
if (TraceOutput)
{
foreach (var bestElem in bestStrategies)
{
Output.WriteLine("{0}. Best = {1}:{2}.", Bars.CurrentBar, bestElem.Key, bestElem.Value);
}
}
var inLongStrategies = new List <int>();
this.StrategiesInLong(ref inLongStrategies);
for (int idx = 0; idx < BuyBestX; idx++)
{
if (!inLongStrategies.Contains(bestStrategies.Keys.ElementAt(idx)))
{
PortfolioStrategies[bestStrategies.Keys.ElementAt(idx)].AllowEntriesLong = true;
}
}
var inShortStrategies = new List <int>();
this.StrategiesInShort(ref inShortStrategies);
for (int idx = 0; idx < SellWorstY; idx++)
{
if (!inShortStrategies.Contains(worstStrategies.Keys.ElementAt(idx)))
{
PortfolioStrategies[worstStrategies.Keys.ElementAt(idx)].AllowEntriesShort = true;
}
}
// money management
if (UsePortfolioMoneyPcnt)
{
for (int idx = 0; idx < BuyBestX; idx++)
{
PortfolioStrategies[bestStrategies.Keys.ElementAt(idx)].EntryContracts =
this.CalcContractsForEntry(PortfolioMoneyPcntForEntry, bestStrategies.Keys.ElementAt(idx));
}
for (int idx = 0; idx < SellWorstY; idx++)
{
PortfolioStrategies[worstStrategies.Keys.ElementAt(idx)].EntryContracts =
this.CalcContractsForEntry(PortfolioMoneyPcntForEntry, worstStrategies.Keys.ElementAt(idx));
}
}
}