public static void Run(string toolName, List <Day> days)
{
var outPath = toolName + @"\";
Directory.CreateDirectory(outPath + candlesPath);
Directory.CreateDirectory(outPath + firstMaxPath);
Directory.CreateDirectory(outPath + firstMinPath);
Directory.CreateDirectory(outPath + secondMaxPath);
Directory.CreateDirectory(outPath + secondMinPath);
var extremumsFindex = new ExtremumsFinder(pegTopSize);
for (int i = 0; i < days.Count; ++i)
{
var day = days[i];
var candles = day.FiveMins;
var firstMaximums = extremumsFindex.FindFirstExtremums(candles, false);
var firstMinimums = extremumsFindex.FindFirstExtremums(candles, true);
var secondMaximums = extremumsFindex.FindSecondExtremums(firstMaximums, false);
var secondMinimums = extremumsFindex.FindSecondExtremums(firstMinimums, true);
File.WriteAllLines(outPath + candlesPath + i + ".txt", candles.ConvertAll(c => c.High + "\t" + c.Low + "\t" + c.Close + "\t" + c.Open));
File.WriteAllLines(outPath + firstMaxPath + i + ".txt", firstMaximums.Select(ex => (candles.FindIndex(c => c.Time == ex.Date.TimeOfDay) + 1).ToString()));
File.WriteAllLines(outPath + firstMinPath + i + ".txt", firstMinimums.Select(ex => (candles.FindIndex(c => c.Time == ex.Date.TimeOfDay) + 1).ToString()));
File.WriteAllLines(outPath + secondMaxPath + i + ".txt", secondMaximums.Select(ex => (candles.FindIndex(c => c.Time == ex.Date.TimeOfDay) + 1).ToString()));
File.WriteAllLines(outPath + secondMinPath + i + ".txt", secondMinimums.Select(ex => (candles.FindIndex(c => c.Time == ex.Date.TimeOfDay) + 1).ToString()));
}
}
public static void TestSecondExtremumsAlternation(string toolName, int pegTopSize)
{
//TODO ошибка в том, что реализм требует сортировки firstExtremums по checkerIndex, а текущий метод поиска secondExtremums - сортировки по Date. В общем случае, обоюдная сортировка невозможна
var repository = new HistoryRepository(toolName, false);
var extremumFinder = new ExtremumsFinder(pegTopSize);
bool bad = false;
foreach (var day in repository.Days)
{
var firstMaximums = extremumFinder.FindFirstExtremums(day.FiveMins, false);
var maximums = extremumFinder.FindSecondExtremums(firstMaximums, false);
var firstMinimums = extremumFinder.FindFirstExtremums(day.FiveMins, true);
var minimums = extremumFinder.FindSecondExtremums(firstMinimums, true);
var allExtremums = maximums
.Concat(minimums)
.OrderBy(ex => ex.CheckerIndex)
.ToList();
for (int i = 0; i < allExtremums.Count - 1; ++i)
{
if (allExtremums[i].Date >= allExtremums[i + 1].Date && allExtremums[i].IsMinimum == allExtremums[i + 1].IsMinimum)
{
bad = true;
Console.Out.WriteLine(allExtremums[i] + "\t" + allExtremums[i + 1]);
}
}
}
Assert.That(!bad);
}
public static void TestFirstExtremumsOrder(string toolName, int pegTopSize, bool isMinimums)
{
var repository = new HistoryRepository(toolName, false);
var extremumFinder = new ExtremumsFinder(pegTopSize);
foreach (var day in repository.Days)
{
var extremums = extremumFinder.FindFirstExtremums(day.FiveMins, isMinimums);
bool bad = false;
for (int i = 0; i < extremums.Count; ++i) //TODO Люой экстремум
{
for (int j = i + 1; j < extremums.Count; ++j)
{
if (extremums[j].Date >= extremums[i].Date && extremums[j].CheckerIndex < extremums[i].CheckerIndex)
{
Console.Out.WriteLine(extremums[i] + "\t" + extremums[j]);
bad = true;
}
}
}
Assert.That(!bad);
}
}
private Deal GetDaysDeal(List <Candle> daysCandles)
{
var longExtremums = finder.FindFirstExtremums(daysCandles, true);
var shortExtremums = finder.FindFirstExtremums(daysCandles, false);
var allExtremums = finder.MergeExtremums(longExtremums, shortExtremums);
foreach (var extremum in allExtremums)
{
if (extremum.Date.TimeOfDay > lastTradeTime)
{
break;
}
var startIndex = extremum.CheckerIndex;
if (startIndex == daysCandles.Count - 1)
{
break;
}
var currentLong = longExtremums.TakeWhile(ex => ex.Date <= extremum.Date).ToList();
var currentShort = shortExtremums.TakeWhile(ex => ex.Date <= extremum.Date).ToList();
int trendDirection = GetTrendDirection(currentLong, currentShort, extremum);
if (trendDirection == 0)
{
continue;
}
bool isTrendLong = trendDirection == 1;
var startPrice = daysCandles[startIndex + 1].Open;
var stopResult = stopLossManager.GetBreakevenStopResult(daysCandles.Skip(startIndex + 1), isTrendLong);
var endPrice = stopResult != -1 ? stopResult : daysCandles[daysCandles.Count - 1].Close;
return(new Deal(startPrice, endPrice, isTrendLong));
}
return(null);
}
public static void TestFirstExtremumsSortByChecker(string toolName, int pegTopSize, bool isMinimums)
{
var repository = new HistoryRepository(toolName, false);
var extremumFinder = new ExtremumsFinder(pegTopSize);
bool bad = false;
foreach (var day in repository.Days)
{
var extremums = extremumFinder.FindFirstExtremums(day.FiveMins, isMinimums);
for (int i = 1; i < extremums.Count; ++i)
{
if (extremums[i - 1].CheckerIndex > extremums[i].CheckerIndex)
{
Console.Out.WriteLine(extremums[i - 1] + "\t" + extremums[i]);
bad = true;
}
}
Assert.That(!bad);
}
}