private void ApplyProfitStrategy(Position position, bool onBar)
{
if (Params.ProfitStrategy == ProfitStrategy.TRAILING_ENVELOPE_50)
{
int lastBar = Robot.MarketSeries.Close.Count - 1;
double lastPrice = Robot.MarketSeries.Close.LastValue;
if (position.TakeProfit.HasValue)
{
position.ModifyTakeProfitPrice(null);
}
if (position.TradeType == TradeType.Buy && onBar)
{
EmaLow.Calculate(lastBar);
EmaHigh.Calculate(lastBar);
double emaLow = EmaLow.Result[lastBar];
double emaHigh = EmaHigh.Result[lastBar];
if ((lastPrice - emaHigh) / Robot.Symbol.PipSize > 5 && !trailedPositions.Contains(position))
{
position.ModifyStopLossPrice(emaLow);
trailedPositions.Add(position);
}
if (trailedPositions.Contains(position))
{
position.ModifyStopLossPrice(emaLow);
}
}
if (position.TradeType == TradeType.Sell && onBar)
{
EmaLow.Calculate(lastBar);
EmaHigh.Calculate(lastBar);
double emaLow = EmaLow.Result[lastBar];
double emaHigh = EmaHigh.Result[lastBar];
if ((emaLow - lastPrice) / Robot.Symbol.PipSize > 5 && !trailedPositions.Contains(position))
{
position.ModifyStopLossPrice(emaHigh);
trailedPositions.Add(position);
}
if (trailedPositions.Contains(position))
{
position.ModifyStopLossPrice(emaHigh);
}
}
}
if (Params.ProfitStrategy == ProfitStrategy.SIMPLE)
{
if (Params.ProfitVolume > 0)
{
logger.Info(String.Format("Partial profit taken for {0}% of original volume of {1} units", Params.ProfitVolume, position.VolumeInUnits));
Robot.Print("Partial profit taken for {0}% of original volume of {1} units", Params.ProfitVolume, position.VolumeInUnits);
Robot.ModifyPosition(position, Robot.Symbol.NormalizeVolumeInUnits(position.VolumeInUnits * Params.ProfitVolume));
}
}
}
protected override void OnTick()
{
ExponentialMovingAverage EMA20 = Indicators.ExponentialMovingAverage(null, 20);
EMA20.Calculate(0);
int x = EMA20.Result;
x = x;
}
public void Calculate_YesterdayEma10AndTodayPrice10And9Days_10()
{
var calc = new ExponentialMovingAverage();
var yesterdayEma = 10;
var today = 10;
var numberOfDays = 9;
var result = calc.Calculate(yesterdayEma, today, numberOfDays);
Assert.AreEqual(10, result);
}
public void Calculate_PointsIsNull_ArgumentExceptionThrown()
{
var calc = new ExponentialMovingAverage();
try
{
calc.Calculate(null, 0);
}
catch (Exception ex)
{
Assert.IsInstanceOfType(ex, typeof(ArgumentException));
}
}
public void Calculate_PointsHasLessThanNumberOfDays_ArgumentExceptionThrown()
{
var calc = new ExponentialMovingAverage();
var points = new List <double>();
try
{
calc.Calculate(points, -1);
}
catch (Exception ex)
{
Assert.IsInstanceOfType(ex, typeof(ArgumentException));
}
}
public static double[] CalculateEMA(string symbol, int window, int period)
{
double[] closePrices = null;
using (InvestmentAnalysisContext context = new InvestmentAnalysisContext())
{
closePrices = context.HistoricalDataBlocks
.Where(q => q.Symbol.Equals(symbol))
.OrderByDescending(q => q.RecordDate)
.Take(window)
.Select(c => (double)c.LastPrice)
.ToArray();
}
return(ExponentialMovingAverage.Calculate(closePrices.Reverse().ToArray(), period));
}
public void Calculate_20PointsAnd10Days_11DaysEMA()
{
var points = new List <double>()
{
22.2734,
22.194,
22.0847,
22.1741,
22.184,
22.1344,
22.2337,
22.4323,
22.2436,
22.2933,
22.1542,
22.3926,
22.3816,
22.6109,
23.3558,
24.0519,
23.753,
23.8324,
23.9516,
23.6338
};
var calc = new ExponentialMovingAverage();
var ema = calc.Calculate(points, 10);
Assert.AreEqual(22.2119, Math.Round(ema[0], 4));
Assert.AreEqual(22.2448, Math.Round(ema[1], 4));
Assert.AreEqual(22.2697, Math.Round(ema[2], 4));
Assert.AreEqual(22.3317, Math.Round(ema[3], 4));
Assert.AreEqual(22.5179, Math.Round(ema[4], 4));
Assert.AreEqual(22.7968, Math.Round(ema[5], 4));
Assert.AreEqual(22.9707, Math.Round(ema[6], 4));
Assert.AreEqual(23.1273, Math.Round(ema[7], 4));
Assert.AreEqual(23.2772, Math.Round(ema[8], 4));
Assert.AreEqual(23.3420, Math.Round(ema[9], 4));
}
public static double[] CalculateEMA()
{
int period = 10;
IList <double> data = new List <double>();
data.Add(22.27);
data.Add(22.19);
data.Add(22.08);
data.Add(22.17);
data.Add(22.18);
data.Add(22.13);
data.Add(22.23);
data.Add(22.43);
data.Add(22.24);
data.Add(22.29);
data.Add(22.15);
data.Add(22.39);
data.Add(22.38);
data.Add(22.61);
return(ExponentialMovingAverage.Calculate(data.ToArray(), period));
}
private static TotalTransactionInfo GetTotalTransactionInfo(string symbol, HistoricalDataBlock[] historicalDataBlocks, int fasterPeriod, int slowerPeriod, int window = 0)
{
Console.WriteLine("*********************************************");
Console.WriteLine("SYMBOL = {0}, WINDOW = {1}, FASTER_PERIOD = {2}, SLOWER_PERIOD = {3}",
symbol, window, fasterPeriod, slowerPeriod);
//HistoricalDataBlock[] historicalDataBlocks = HelperMethods.GetHistoricalDataBlock(symbol, window);
double[] data = historicalDataBlocks.Select(c => (double)c.LastPrice).ToArray();
double[] emaFaster = ExponentialMovingAverage.Calculate(data, fasterPeriod).Skip(slowerPeriod - fasterPeriod).ToArray();
double[] emaSlower = ExponentialMovingAverage.Calculate(data, slowerPeriod);
//Console.WriteLine("BLOCK_LENGTH = {0}, DATA_LENGTH = {1}, EMA_FASTER_LENGTH = {2}, EMA_SLOWER_LENGTH = {3}",
// historicalDataBlocks.Length, data.Length, emaFaster.Length, emaSlower.Length);
List <PositionInfo> _positionInfoList = new List <PositionInfo>();
string previousSign = string.Empty;
string currentSign = string.Empty;
bool longPosition = false;
bool shortPosition = false;
bool changePosition = false;
string positionChangeInfo = string.Empty;
for (int i = 0; i < emaFaster.Length; i++)
{
if (emaFaster[i] > emaSlower[i])
{
currentSign = "+";
}
else if (emaFaster[i] < emaSlower[i])
{
currentSign = "-";
}
else
{
currentSign = "=";
}
longPosition = ("-".Equals(previousSign) || "=".Equals(previousSign)) && "+".Equals(currentSign);
shortPosition = ("+".Equals(previousSign) || "=".Equals(previousSign)) && "-".Equals(currentSign);
changePosition = longPosition || shortPosition;
HistoricalDataBlock historicalData = historicalDataBlocks[slowerPeriod + i - 1];
positionChangeInfo = string.Empty;
if (changePosition)
{
string type = longPosition ? "LONG" : "SHORT";
positionChangeInfo = "*****" + " # " + historicalData.LastPrice.ToString("F") + " # " + type;
_positionInfoList.Add(new PositionInfo()
{
Type = type, Date = historicalData.RecordDate, Price = (double)historicalData.LastPrice
});
}
//Console.WriteLine(historicalData.RecordDate.ToString("yyyy-MM-dd") + " # "
// + string.Format("{0:F4}", emaFaster[i]) + " # " + string.Format("{0:F4}", emaSlower[i]) + " # "
// + currentSign + " # " + positionChangeInfo);
previousSign = currentSign;
}
//Console.WriteLine("*********************************************");
Console.WriteLine("TOTAL POSITION COUNT: " + _positionInfoList.Count);
double _safe = 0.00;
if (1 == _positionInfoList.Count % 2)
{
_positionInfoList.RemoveAt(_positionInfoList.Count - 1);
}
if (_positionInfoList.Count > 0)
{
double price = 0.00;
for (int i = 0; i < _positionInfoList.Count; i++)
{
//Console.WriteLine(positionInfoList[i].ToString());
price = _positionInfoList[i].Price;
if ("SHORT".Equals(_positionInfoList[i].Type))
{
price = (-1) * price;
}
_safe = _safe + price;
}
Console.WriteLine("TOTAL POSITION PROFIT / LOSS: " + _safe);
}
return(new TotalTransactionInfo {
safe = _safe, positionInfoList = _positionInfoList, ratio = (((_safe) / (_positionInfoList[0].Price * 100)).ToString("F"))
});
//TotalTransactionInfo totalTransactionInfo = new TotalTransactionInfo();
//x.positionInfoList = _positionInfoList;
//x.safe = _safe;
//x.ratio = (((_safe) / (_positionInfoList[0].Price * 100)).ToString("F")) ;
//return _safe;
//Console.WriteLine("*********************************************");
}