protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = "test";
Name = "GregTestStrategy";
DaysToLookBack = 1;
// This strategy has been designed to take advantage of performance gains in Strategy Analyzer optimizations
// See the Help Guide for additional information
IsInstantiatedOnEachOptimizationIteration = false;
}
else if (State == State.Configure)
{
// Add an MSFT 1 day Bars object to the strategy
AddDataSeries("MSFT", Data.BarsPeriodType.Day, 1);
SetStopLoss(CalculationMode.Percent, 0.05);
// Sets a 20 tick trailing stop for an open position
//SetTrailStop(CalculationMode.Ticks, 20);
}
else if (State == State.DataLoaded)
{
double input_param = 2.0;
greg1 = GregIndicator1(input_param);
AddChartIndicator(greg1);
}
}
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = "test";
Name = "GregTestStrategy2";
DaysToLookBack = 1;
FutureValueDaysToLookAhead = 5;
TrainingStartDate = new DateTime(2017, 07, 01);
TrainingEndDate = new DateTime(2017, 07, 28);
TestingStartDate = new DateTime(2017, 08, 01);
TestingEndDate = new DateTime(2017, 12, 31);
//KNN params
MinIndicatorValue = -2.0f;
MaxIndicatorValue = 2.0f;
NumNeighbors = 3;
// This strategy has been designed to take advantage of performance gains in Strategy Analyzer optimizations
// See the Help Guide for additional information
IsInstantiatedOnEachOptimizationIteration = false;
}
else if (State == State.Configure)
{
// Add an MSFT 1 day Bars object to the strategy
AddDataSeries("MSFT", Data.BarsPeriodType.Day, 1);
SetStopLoss(CalculationMode.Percent, 0.05);
// Sets a 20 tick trailing stop for an open position
//SetTrailStop(CalculationMode.Ticks, 20);
}
else if (State == State.DataLoaded)
{
double input_param = 2.0;
greg1 = GregIndicator1(input_param);
AddChartIndicator(greg1);
}
else if (State == State.Transition) //finished processing historical data (and ready for real-time)
{
String training_file_path = "C:\\temp\\ninjatrader_training.csv";
String testing_file_path = "C:\\temp\\ninjatrader_testing.csv";
WriteListToCSV(list_Indicator_FutureValueChange_Training, training_file_path);
WriteListToCSV(list_Indicator_FutureValueChange_Testing, testing_file_path);
String training_args = training_file_path + " " + MinIndicatorValue.ToString() +
" " + MaxIndicatorValue.ToString() +
" " + NumNeighbors.ToString();
CallPythonScript("C:\\GregPython\\Examples\\Greg_HW\\Greg_NinjaTrader_1.py", training_args);
}
}
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = "test";
Name = "KNN_Generator6";
DaysToLookBack = 1;
FutureValueDaysToLookAhead = 5;
TrainingStartDate = new DateTime(2017, 01, 01);
TrainingEndDate = new DateTime(2017, 09, 30);
TestingStartDate = new DateTime(2017, 10, 1);
TestingEndDate = new DateTime(2017, 12, 31);
//Custom params
indicator_to_use = IndicatorEnum.indicator_MACD;
KNN_num_neighbors = 3;
num_training_pts = 200;
samples_per_group = 10;
window_size = 1;
avg_target = 1.0f;
good_target = 0.5f;
bad_target = 0.25f;
min_samples = 10;
thresh1 = 1.0f;
thresh2 = -1.0f;
output_folder = "C:\\temp\\knn\\";
Param1 = 12; //Defaults for MACD
Param2 = 26;
Param3 = 9;
Sanitize = false;
// This strategy has been designed to take advantage of performance gains in Strategy Analyzer optimizations
// See the Help Guide for additional information
IsInstantiatedOnEachOptimizationIteration = false;
}
else if (State == State.Configure)
{
for (int i = 0; i < symbol_list.Length; i++)
{
//Don't add the dummy instrument (but we still need a placeholder list which is added below)
if (i != 0)
{
AddDataSeries(symbol_list[i], Data.BarsPeriodType.Day, 1);
}
list_Indicator_FutureValueChange_Training_ALL.Add(new List <Indicator_FutureValueChange_Pair>());
list_Indicator_FutureValueChange_Testing_ALL.Add(new List <Indicator_FutureValueChange_Pair>());
}
SetStopLoss(CalculationMode.Percent, 0.05);
// Sets a 20 tick trailing stop for an open position
//SetTrailStop(CalculationMode.Ticks, 20);
}
else if (State == State.DataLoaded)
{
double input_param = 2.0;
greg1 = GregIndicator1(input_param);
AddChartIndicator(greg1);
}
else if (State == State.Transition) //finished processing historical data (and ready for real-time)
{
//System.Windows.Forms.MessageBox.Show("test");
Random rnd = new Random();
String unique_id = "_" + rnd.Next(100000, 999999).ToString(); // creates a number between 100k and 999k
String control_file_path = output_folder + "control_file" + unique_id + ".txt";
String consolidated_txt_file_path = output_folder + "consolidated_report" + unique_id + ".txt";
String consolidated_csv_file_path = output_folder + "consolidated_report" + unique_id + ".csv";
switch (indicator_to_use)
{
case IndicatorEnum.indicator_MACD:
if (Sanitize == false)
{
description = "MACD";
}
else
{
description = "M";
}
description = description + "(" + Param1.ToString() + "-" + Param2.ToString() + "-" + Param3.ToString() + ")";
break;
case IndicatorEnum.indicator_RSI:
if (Sanitize == false)
{
description = "RSI";
}
else
{
description = "R";
}
description = description + "(" + Param1.ToString() + "-" + Param2.ToString() + ")";
break;
default:
description = "Unknown";
break;
}
description = description + " - " + FutureValueDaysToLookAhead.ToString();
if (Sanitize == false)
{
description = description + " days";
}
description = description + " - " + unique_id.Substring(1); //remove preceding "_"
bool bFirstTime = true;
for (int i = 1; i < symbol_list.Length; i++) //Start at index=1 since we want to ignore the first primary/dummy instrument
{
String symbol_name = symbol_list[i];
if (Sanitize == true)
{
symbol_name = symbol_list[i][0].ToString();
}
String base_file_path_for_symbol = output_folder + symbol_name; //i.e. c:\temp\knn\AAPL
String training_file_path = base_file_path_for_symbol + "_training" + unique_id + ".csv";
String testing_file_path = base_file_path_for_symbol + "_testing" + unique_id + ".csv";
WriteListToCSV(list_Indicator_FutureValueChange_Training_ALL[i], training_file_path); //trying out +1!!!
WriteListToCSV(list_Indicator_FutureValueChange_Testing_ALL[i], testing_file_path);
String config_file_name = "";
config_file_name = GenerateConfigFile(base_file_path_for_symbol, symbol_name, training_file_path, testing_file_path, unique_id);
if (bFirstTime) //create new file
{
bFirstTime = false;
File.WriteAllText(control_file_path, config_file_name + "\r\n");
}
else // append to existing file
{
File.AppendAllText(control_file_path, config_file_name + "\r\n");
}
}
//Now we can call python for all symbols at once by passing in the control_file as cmd line arg
CallPythonScript(output_folder + "\\Data_Processing24.py", control_file_path + " " + consolidated_txt_file_path + " " + consolidated_csv_file_path + " true");
}
}
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = "test";
Name = "KNN_Generator3";
DaysToLookBack = 1;
FutureValueDaysToLookAhead = 5;
TrainingStartDate = new DateTime(2017, 01, 01);
TrainingEndDate = new DateTime(2017, 09, 30);
TestingStartDate = new DateTime(2017, 10, 1);
TestingEndDate = new DateTime(2017, 12, 31);
//Custom params
indicator_to_use = IndicatorEnum.indicator_MACD;
KNN_num_neighbors = 3;
num_training_pts = 200;
samples_per_group = 10;
window_size = 1;
avg_target = 1.0f;
good_target = 0.5f;
bad_target = 0.25f;
min_samples = 10;
thresh1 = 1.0f;
thresh2 = -1.0f;
output_folder = "C:\\temp\\knn\\";
// This strategy has been designed to take advantage of performance gains in Strategy Analyzer optimizations
// See the Help Guide for additional information
IsInstantiatedOnEachOptimizationIteration = false;
}
else if (State == State.Configure)
{
for (int i = 1; i < symbol_list.Length; i++) //start at 1 since SLB already added by default
{
// Add an MSFT 1 day Bars object to the strategy
AddDataSeries(symbol_list[i], Data.BarsPeriodType.Day, 1);
//private List<Indicator_FutureValueChange_Pair> list_Indicator_FutureValueChange_Training = new List<Indicator_FutureValueChange_Pair>();
list_Indicator_FutureValueChange_Training_ALL.Add(new List <Indicator_FutureValueChange_Pair>());
list_Indicator_FutureValueChange_Testing_ALL.Add(new List <Indicator_FutureValueChange_Pair>());
}
//Add extra one????
list_Indicator_FutureValueChange_Training_ALL.Add(new List <Indicator_FutureValueChange_Pair>());
list_Indicator_FutureValueChange_Testing_ALL.Add(new List <Indicator_FutureValueChange_Pair>());
SetStopLoss(CalculationMode.Percent, 0.05);
// Sets a 20 tick trailing stop for an open position
//SetTrailStop(CalculationMode.Ticks, 20);
}
else if (State == State.DataLoaded)
{
double input_param = 2.0;
greg1 = GregIndicator1(input_param);
AddChartIndicator(greg1);
}
else if (State == State.Transition) //finished processing historical data (and ready for real-time)
{
//System.Windows.Forms.MessageBox.Show("test");
String control_file_path = output_folder + "control_file.txt";
switch (indicator_to_use)
{
case IndicatorEnum.indicator_MACD:
if (bSanitize == false)
{
description = "MACD";
}
else
{
description = "M";
}
break;
case IndicatorEnum.indicator_RSI:
if (bSanitize == false)
{
description = "RSI";
}
else
{
description = "R";
}
break;
default:
description = "Unknown";
break;
}
description = description + " - " + FutureValueDaysToLookAhead.ToString();
if (bSanitize == false)
{
description = description + " days";
}
bool bFirstTime = true;
for (int i = 1; i < symbol_list.Length; i++)
{
String base_file_path_for_symbol = output_folder + symbol_list[i]; //i.e. c:\temp\knn\AAPL
String training_file_path = base_file_path_for_symbol + "_training.csv";
String testing_file_path = base_file_path_for_symbol + "_testing.csv";
WriteListToCSV(list_Indicator_FutureValueChange_Training_ALL[i], training_file_path); //trying out +1!!!
WriteListToCSV(list_Indicator_FutureValueChange_Testing_ALL[i], testing_file_path);
//WriteListToCSV(list_Indicator_FutureValueChange_Training_ALL[i], training_file_path);
//WriteListToCSV(list_Indicator_FutureValueChange_Testing_ALL[i], testing_file_path);
String config_file_name = "";
config_file_name = GenerateConfigFile(base_file_path_for_symbol, symbol_list[i], training_file_path, testing_file_path);
if (bFirstTime) //create new file
{
bFirstTime = false;
File.WriteAllText(control_file_path, config_file_name + "\r\n");
}
else // append to existing file
{
File.AppendAllText(control_file_path, config_file_name + "\r\n");
}
}
//Now we can call python for all symbols at once by passing in the control_file as cmd line arg
CallPythonScript(output_folder + "\\Data_Processing18.py", control_file_path);
}
}
