protected override void Signal(HistoricalPriceVolumeEntry entry)
{
AroonIndicator aroon = (AroonIndicator)Indicators["Aroon"];
DateTime yesterday = entry.Date.AddDays(-1);
TechnicalIndicatorItem currentUp = aroon.AroonUp.Data[entry.Date];
TechnicalIndicatorItem currentDown = aroon.AroonDown.Data[entry.Date];
TechnicalIndicatorItem previousUp = null;
TechnicalIndicatorItem previousDown = null;
if (aroon.AroonUp.Data.ContainsKey(yesterday))
{
previousUp = aroon.AroonUp.Data[yesterday];
previousDown = aroon.AroonDown.Data[yesterday];
}
if (currentUp.Value > currentDown.Value && !_bought)
{
int shares = decimal.ToInt32(Math.Floor(BuyingPower / entry.Close));
Trade(entry.Date, TradeType.Buy, entry.Close, shares);
_bought = true;
}
else if (currentDown.Value > currentUp.Value && _bought)
{
// int max = GetMaxBuy();
// int owned = Math.Abs(SharesOwned);
// Trade(entry.Date, TradeType.Cover, entry.Close, max > owned ? owned : max);
Trade(entry.Date, TradeType.Sell, entry.Close, Math.Abs(SharesOwned));
_bought = false;
}
}
protected override void Signal(HistoricalPriceVolumeEntry entry)
{
AroonIndicator aroon = (AroonIndicator)Indicators["Aroon"];
DateTime yesterday = entry.Date.AddDays(-1);
TechnicalIndicatorItem currentUp = aroon.AroonUp.Data[entry.Date];
TechnicalIndicatorItem currentDown = aroon.AroonDown.Data[entry.Date];
TechnicalIndicatorItem previousUp = null;
TechnicalIndicatorItem previousDown = null;
if (aroon.AroonUp.Data.ContainsKey(yesterday))
{
previousUp = aroon.AroonUp.Data[yesterday];
previousDown = aroon.AroonDown.Data[yesterday];
}
if ((previousDown?.Value >= 50 || previousUp?.Value < 100) && currentDown.Value < 50 && currentUp.Value == 100 && !_bought)
{
int shares = decimal.ToInt32(Math.Floor(BuyingPower / entry.Close));
_bought = Trade(entry.Date, TradeType.Buy, entry.Close, shares);
}
else if ((previousUp?.Value >= 50 || previousDown?.Value < 100) && currentUp.Value < 50 && currentDown.Value == 100 && _bought)
{
_bought = Trade(entry.Date, TradeType.Sell, entry.Close, SharesOwned);
}
}
protected override void CalculateFor(int current)
{
HistoricalPriceVolumeEntry entry = HistoricalData.Items[current];
// int current = i + 1;
DateTime date = entry.Date;
// int back = current - Period;
// back = back < 0 ? 0 : back;
// List<HistoricalPriceVolumeEntry> range = HistoricalData.GetPrevAsList(current, BeginCalculationOffset);
List <HistoricalPriceVolumeEntry> range = GetPrevRange();
int dayHigh = IndicatorUtils.GetHighestId(range.Select(e => e.High));
// int daysSinceHigh = range.Count - dayHigh;
decimal aroonUp = 100 * (BeginCalculationOffset - dayHigh) / (decimal)BeginCalculationOffset;
int dayLow = IndicatorUtils.GetLowestId(range.Select(e => e.Low));
// int daysSinceLow = range.Count - dayLow;
decimal aroonDown = 100 * (BeginCalculationOffset - dayLow) / (decimal)BeginCalculationOffset;
// Debug.WriteLine("");
// Debug.WriteLine($"Date: {date.ToString("d")}");
// Debug.WriteLine($"Up: {aroonUp}");
// Debug.WriteLine($"Down: {aroonDown}");
_upItems.Add(new TechnicalIndicatorItem(date, aroonUp));
_downItems.Add(new TechnicalIndicatorItem(date, aroonDown));
}
public void Calculate(HistoricalPriceVolume data)
{
List <HistoricalPriceVolumeEntry> graph = data.Items;
for (int i = Period; i < graph.Count; i++)
{
HistoricalPriceVolumeEntry entry = graph[i];
int current = i + 1;
DateTime date = entry.Date;
int back = current - Period;
back = back < 0 ? 0 : back;
List <HistoricalPriceVolumeEntry> range = graph.GetRange(i - Period, Period + 1);
int dayHigh = IndicatorUtils.GetHighestId(range.Select(e => e.High));
int daysSinceHigh = range.Count - dayHigh;
decimal aroonUp = 100 * (Period - daysSinceHigh) / (decimal)Period;
int dayLow = IndicatorUtils.GetLowestId(range.Select(e => e.Low));
int daysSinceLow = range.Count - dayLow;
decimal aroonDown = 100 * (Period - daysSinceLow) / (decimal)Period;
Debug.WriteLine("");
Debug.WriteLine($"Date: {date.ToString("d")}");
Debug.WriteLine($"Up: {aroonUp}");
Debug.WriteLine($"Down: {aroonDown}");
AroonGraph.Add(date, new[] { aroonUp, aroonDown });
}
}
protected abstract void Signal(HistoricalPriceVolumeEntry entry);
public BacktestResult(decimal capital, decimal result, StockInfo stock, List <TradeInfo> trades, HistoricalPriceVolumeEntry last)
{
Stock = stock;
Trades = trades;
Capital = capital;
Result = result;
Profit = result - capital;
Gain = Profit / Capital * 100;
decimal profit = 0;
int shares = 0;
foreach (TradeInfo trade in trades)
{
if (trade.Type == TradeType.Buy || trade.Type == TradeType.Cover)
{
profit -= trade.Price * trade.Amount;
shares += trade.Amount;
}
else
{
profit += trade.Price * trade.Amount;
shares -= trade.Amount;
}
}
profit += shares * last.Close;
Profit = profit;
// for (int i = 0; i < trades.Count; i++)
// {
// if (i % 2 == 0 && i + 1 < trades.Count)
// {
// if (tr)
// }
// }
// foreach (TradeInfo trade in trades)
// {
// switch (trade.Type)
// {
// case TradeType.Buy:
// Buys++;
// break;
// case TradeType.Sell:
// Sells++;
// break;
// case TradeType.Short:
// Shorts++;
// break;
// case TradeType.Cover:
// Covers++;
// break;
// }
// }
}
