public DIFStrategy(Indicator Price, int DecyclePeriod = 20, int InvFisherPeriod = 40, decimal Threshold = 0.9m, decimal Tolerance = 0.001m)
{
// Initialize the fields.
_decyclePeriod = DecyclePeriod;
_invFisherPeriod = InvFisherPeriod;
_threshold = Threshold;
_tolerance = Tolerance;
// Initialize the indicators used by the Strategy.
_price = Price;
DecycleTrend = new Decycle(_decyclePeriod).Of(Price);
InverseFisher = new InverseFisherTransform(_invFisherPeriod).Of(DecycleTrend);
InvFisherRW = new RollingWindow <decimal>(2);
LightSmoothPrice = new Decycle(10).Of(Price);
Momersion = new MomersionIndicator(10, 30).Of(LightSmoothPrice, false);
// Fill the Inverse Fisher rolling windows at every new InverseFisher observation.
// Once the Inverse Fisher rolling windows is ready, at every InverseFisher update, the Check signal method will be called.
InverseFisher.Updated += (object sender, IndicatorDataPoint updated) =>
{
if (InverseFisher.IsReady)
{
InvFisherRW.Add(updated);
}
if (InvFisherRW.IsReady)
{
CheckSignal();
}
};
Position = StockState.noInvested;
EntryPrice = null;
ActualSignal = OrderSignal.doNothing;
}
public DIFStrategy(Indicator Price, int DecyclePeriod = 20, int InvFisherPeriod = 40, decimal Threshold = 0.9m, decimal Tolerance = 0.001m)
{
// Initialize the fields.
_decyclePeriod = DecyclePeriod;
_invFisherPeriod = InvFisherPeriod;
_threshold = Threshold;
_tolerance = Tolerance;
// Initialize the indicators used by the Strategy.
_price = Price;
DecycleTrend = new Decycle(_decyclePeriod).Of(Price);
InverseFisher = new InverseFisherTransform(_invFisherPeriod).Of(DecycleTrend);
InvFisherRW = new RollingWindow<decimal>(2);
LightSmoothPrice = new Decycle(10).Of(Price);
Momersion = new MomersionIndicator(10, 30).Of(LightSmoothPrice, false);
// Fill the Inverse Fisher rolling windows at every new InverseFisher observation.
// Once the Inverse Fisher rolling windows is ready, at every InverseFisher update, the Check signal method will be called.
InverseFisher.Updated += (object sender, IndicatorDataPoint updated) =>
{
if (InverseFisher.IsReady) InvFisherRW.Add(updated);
if (InvFisherRW.IsReady) CheckSignal();
};
Position = StockState.noInvested;
EntryPrice = null;
ActualSignal = OrderSignal.doNothing;
}
public void ResetsProperly()
{
int _period = 5;
DateTime time = DateTime.Now;
InverseFisherTransform InvFisher = new InverseFisherTransform(_period);
for (int i = 0; i < 6; i++)
{
InvFisher.Update(new IndicatorDataPoint(time, prices[i]));
time.AddMinutes(1);
}
Assert.IsTrue(InvFisher.IsReady, "Instantaneous Trend ready");
InvFisher.Reset();
TestHelper.AssertIndicatorIsInDefaultState(InvFisher);
}
public void InverseFisherComputesCorrectly()
{
int _period = 6;
DateTime time = DateTime.Now;
decimal[] actualValues = new decimal[20];
InverseFisherTransform InvFisher = new InverseFisherTransform(_period);
for (int i = 0; i < prices.Length; i++)
{
InvFisher.Update(new IndicatorDataPoint(time, prices[i]));
actualValues[i] = Math.Round(InvFisher.Current.Value, 6);
Console.WriteLine(actualValues[i]);
time.AddMinutes(1);
}
Assert.AreEqual(expectedValues, actualValues, "Estimation Inverse Fisher(6)");
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
/// <seealso cref="QCAlgorithm.SetStartDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetEndDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetCash(decimal)"/>
public override void Initialize()
{
//mylog.Debug(transheader);
mylog.Debug(ondataheader);
//Initialize dates
SetStartDate(_startDate);
SetEndDate(_endDate);
SetCash(22000);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
Price = new RollingWindow <IndicatorDataPoint>(14);
cycleSignal = new RollingWindow <IndicatorDataPoint>(14);
cycle = new CyberCycle(7);
Price = new RollingWindow <IndicatorDataPoint>(14);
diff = new RollingWindow <IndicatorDataPoint>(20);
standardDeviation = new StandardDeviation(30);
fish = new InverseFisherTransform(10);
fishHistory = new RollingWindow <IndicatorDataPoint>(7);
fishDirectionHistory = new RollingWindow <IndicatorDataPoint>(7);
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
/// <seealso cref="QCAlgorithm.SetStartDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetEndDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetCash(decimal)"/>
public override void Initialize()
{
//mylog.Debug(transheader);
mylog.Debug(ondataheader);
//Initialize dates
SetStartDate(_startDate);
SetEndDate(_endDate);
SetCash(22000);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
Price = new RollingWindow<IndicatorDataPoint>(14);
cycleSignal = new RollingWindow<IndicatorDataPoint>(14);
cycle = new CyberCycle(7);
Price = new RollingWindow<IndicatorDataPoint>(14);
diff = new RollingWindow<IndicatorDataPoint>(20);
standardDeviation = new StandardDeviation(30);
fish = new InverseFisherTransform(10);
fishHistory = new RollingWindow<IndicatorDataPoint>(7);
fishDirectionHistory = new RollingWindow<IndicatorDataPoint>(7);
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
/// <seealso cref="QCAlgorithm.SetStartDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetEndDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetCash(decimal)"/>
public override void Initialize()
{
// mylog.Debug(",CurrentBar,Time,Price,smooth,low,i1,cycle0,cycle1,cycle2,fish,medianDelta,DC,instaperiod, v2,DCPeriod,realpart,imagpart,dcphase");
mylog.Debug(ondataheader);
//mylog.Debug(",Time,CurrentBar,Direction,TradeProfit,,Price,Profit,HoldingCost,FillQty,Fees,TransAmt");
//mylog.Debug(transheader);
//Initialize
SetStartDate(2015, 05, 12);
SetEndDate(2015, 05, 12);
SetCash(25000);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, _symbol, Resolution.Minute);
_indicators = new AlgoIndicators
{
//BB = BB(_symbol, 20, 1, MovingAverageType.Simple, Resolution.Daily),
RSI = RSI(_symbol, 14, MovingAverageType.Simple, Resolution.Daily),
//ATR = ATR(_symbol, 14, MovingAverageType.Simple, Resolution.Daily),
//EMA = EMA(_symbol, 14, Resolution.Daily),
//SMA = SMA(_symbol, 14, Resolution.Daily),
MACD = MACD(_symbol, 12, 26, 9, MovingAverageType.Simple, Resolution.Minute)
//AROON = AROON(_symbol, 20, Resolution.Daily),
//MOM = MOM(_symbol, 20, Resolution.Daily),
//MOMP = MOMP(_symbol, 20, Resolution.Daily),
//STD = STD(_symbol, 20, Resolution.Daily),
//MIN = MIN(_symbol, 14, Resolution.Daily), // by default if the symbol is a tradebar type then it will be the min of the low property
//MAX = MAX(_symbol, 14, Resolution.Daily), // by default if the symbol is a tradebar type then it will be the max of the high property
//open = new WindowIndicator<IndicatorDataPoint>(4)
//Ft = FT(_symbol, samplesize, Resolution.Minute),
//Rvi = RVI(_symbol, samplesize, Resolution.Minute)
};
//open = new RollingWindow<IndicatorDataPoint>(samplesize);
//close = new RollingWindow<IndicatorDataPoint>(samplesize);
//high = new RollingWindow<IndicatorDataPoint>(samplesize);
//low = new RollingWindow<IndicatorDataPoint>(samplesize);
//i1 = new RollingWindow<IndicatorDataPoint>(samplesize);
//instperiod = new RollingWindow<IndicatorDataPoint>(samplesize);
//v2 = new RollingWindow<IndicatorDataPoint>(samplesize);
//v1 = new RollingWindow<IndicatorDataPoint>(samplesize);
//Rvi = new RollingWindow<IndicatorDataPoint>(samplesize);
unrealized = new RollingWindow<IndicatorDataPoint>(samplesize);
iFishes = new RollingWindow<IndicatorDataPoint>(samplesize);
RsiHistory = new RollingWindow<IndicatorDataPoint>(samplesize);
//Signal = new RollingWindow<IndicatorDataPoint>(samplesize);
//maxRvi = new Maximum("RVI_Max", samplesize);
//minRvi = new Minimum("RVi_Min", samplesize);
//maxSignal = new Maximum("Sig_Max", samplesize);
//minSignal = new Minimum("Sig_Min", samplesize);
fish = new FisherTransform(samplesize);
ifish = new InverseFisherTransform(samplesize);
//Crossing = new RollingWindow<IndicatorDataPoint>(samplesize);
//FisherHistory = new RollingWindow<IndicatorDataPoint>(samplesize);
Rvi = new RelativeVigorIndex(_symbol, samplesize);
for (int x = 0; x < samplesize; x++)
{
//open.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//close.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//high.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//low.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//i1.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//instperiod.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//v1.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//v2.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//Rvi.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
unrealized.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
iFishes.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//Signal.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//Crossing.Add(new IndicatorDataPoint(DateTime.MinValue, .0001m));
}
}
public override void OnInitialize()
{
ifsh = new InverseFisherTransform();
AddIndicator(ifsh);
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
/// <seealso cref="QCAlgorithm.SetStartDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetEndDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetCash(decimal)"/>
public override void Initialize()
{
// mylog.Debug(",CurrentBar,Time,Price,smooth,low,i1,cycle0,cycle1,cycle2,fish,medianDelta,DC,instaperiod, v2,DCPeriod,realpart,imagpart,dcphase");
mylog.Debug(ondataheader);
//mylog.Debug(",Time,CurrentBar,Direction,TradeProfit,,Price,Profit,HoldingCost,FillQty,Fees,TransAmt");
//mylog.Debug(transheader);
//Initialize
SetStartDate(2015, 05, 12);
SetEndDate(2015, 05, 12);
SetCash(25000);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, _symbol, Resolution.Minute);
_indicators = new AlgoIndicators
{
//BB = BB(_symbol, 20, 1, MovingAverageType.Simple, Resolution.Daily),
RSI = RSI(_symbol, 14, MovingAverageType.Simple, Resolution.Daily),
//ATR = ATR(_symbol, 14, MovingAverageType.Simple, Resolution.Daily),
//EMA = EMA(_symbol, 14, Resolution.Daily),
//SMA = SMA(_symbol, 14, Resolution.Daily),
MACD = MACD(_symbol, 12, 26, 9, MovingAverageType.Simple, Resolution.Minute)
//AROON = AROON(_symbol, 20, Resolution.Daily),
//MOM = MOM(_symbol, 20, Resolution.Daily),
//MOMP = MOMP(_symbol, 20, Resolution.Daily),
//STD = STD(_symbol, 20, Resolution.Daily),
//MIN = MIN(_symbol, 14, Resolution.Daily), // by default if the symbol is a tradebar type then it will be the min of the low property
//MAX = MAX(_symbol, 14, Resolution.Daily), // by default if the symbol is a tradebar type then it will be the max of the high property
//open = new WindowIndicator<IndicatorDataPoint>(4)
//Ft = FT(_symbol, samplesize, Resolution.Minute),
//Rvi = RVI(_symbol, samplesize, Resolution.Minute)
};
//open = new RollingWindow<IndicatorDataPoint>(samplesize);
//close = new RollingWindow<IndicatorDataPoint>(samplesize);
//high = new RollingWindow<IndicatorDataPoint>(samplesize);
//low = new RollingWindow<IndicatorDataPoint>(samplesize);
//i1 = new RollingWindow<IndicatorDataPoint>(samplesize);
//instperiod = new RollingWindow<IndicatorDataPoint>(samplesize);
//v2 = new RollingWindow<IndicatorDataPoint>(samplesize);
//v1 = new RollingWindow<IndicatorDataPoint>(samplesize);
//Rvi = new RollingWindow<IndicatorDataPoint>(samplesize);
unrealized = new RollingWindow <IndicatorDataPoint>(samplesize);
iFishes = new RollingWindow <IndicatorDataPoint>(samplesize);
RsiHistory = new RollingWindow <IndicatorDataPoint>(samplesize);
//Signal = new RollingWindow<IndicatorDataPoint>(samplesize);
//maxRvi = new Maximum("RVI_Max", samplesize);
//minRvi = new Minimum("RVi_Min", samplesize);
//maxSignal = new Maximum("Sig_Max", samplesize);
//minSignal = new Minimum("Sig_Min", samplesize);
fish = new FisherTransform(samplesize);
ifish = new InverseFisherTransform(samplesize);
//Crossing = new RollingWindow<IndicatorDataPoint>(samplesize);
//FisherHistory = new RollingWindow<IndicatorDataPoint>(samplesize);
Rvi = new RelativeVigorIndex(_symbol, samplesize);
for (int x = 0; x < samplesize; x++)
{
//open.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//close.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//high.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//low.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//i1.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//instperiod.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//v1.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//v2.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//Rvi.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
unrealized.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
iFishes.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//Signal.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//Crossing.Add(new IndicatorDataPoint(DateTime.MinValue, .0001m));
}
}
