public Benchmark(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
bbLower = new BollingerBand(bars.close, parameter <int>("LengthDn"), -parameter <int>("NumDevsDn"));
bbUpper = new BollingerBand(bars.close, parameter <int>("LengthUp"), parameter <int>("NumDevsUp"));
addToPlot(bbLower, "bbLower", Color.Blue);
addToPlot(bbUpper, "bbUpper", Color.Blue);
}
public DTDRichCheapV2(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
requireOrdered("exitShortLevel", "triggerShort");
requireOrdered("triggerLong", "exitLongLevel");
requireOrdered("triggerLong", "exitShortLevel");
requireOrdered("exitLongLevel", "triggerShort");
if (!isActive())
{
return;
}
richCheap = symbol.relatedSuffix("RICHCHEAP").doubles(bars);
dtd = symbol.relatedSuffix("DTD").doubles(bars);
spread = symbol.relatedSuffix("SPREAD").doubles(bars);
lengthZScore = parameter <int>("lengthZScore");
zScore = new ZScoreSpud(richCheap, lengthZScore, true);
dv01 = symbol.relatedSuffix("DV01").doubles(bars);
triggerLong = parameter <double>("triggerLong");
triggerShort = parameter <double>("triggerShort");
exitShort = parameter <double>("exitShortLevel");
exitLong = parameter <double>("exitLongLevel");
stopLoss = parameter <double>("lossStopLevel");
timeStopBars = parameter <double>("timeStopBars");
trailingStopFlag = parameter <double>("trailingStopFlag");
maxSpread = parameter <double>("maxSpread");
profitObjectiveMultiple = parameter <double>("profitObjectiveMultiple");
trailingStop = 0;
deactivate(() => dtd.hasContent() && richCheap.count() >= lengthZScore);
addToPlot(dtd, "DTD", Color.Red, "dtd");
addToPlot(richCheap, "Rich / Cheap", Color.Blue, "richCheap");
}
public SwingMA(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
entryATRMargin = parameter <double>("EntryATRMargin");
exitATRMargin = 2 * entryATRMargin;
stopATRs = parameter <int>("StopATRs");
riskDollars = parameter <double>("RiskDollars");
atr = new AverageTrueRangeEW(bars, parameter <int>("ATRLen"));
maSlow = new Average(bars.close, parameter <int>("MASlow"));
//Set up raw moving average
switch (parameter <int>("MAType"))
{
case 1:
maSlow = new Average(bars.close, parameter <int>("MASlow"));
maFast = new Average(bars.close, parameter <int>("MAFast"));
break;
case 2:
maSlow = new KAMA(bars.close, 2, 30, parameter <int>("MASlow"));
maFast = new KAMA(bars.close, 2, 30, parameter <int>("MAFast"));
break;
default:
Bomb.toss("Not valid MAType");
break;
}
addToPlot(maSlow, "maSlow", Color.Blue);
addToPlot(maFast, "maFast", Color.Red);
addToPlot(atr, "ATR", Color.Blue, "ATRPane");
}
public NBarFade(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
atrLen = parameter <int>("ATRLen");
nDays = parameter <int>("nDays");
nATREntry = parameter <double>("nATRentry");
stopAfStep = parameter <double>("stopAfStep");
stopAfMax = parameter <double>("stopAfMax");
entryBarWindow = parameter <double>("entryBarWindow");
closeBetter = parameter <bool>("closeBetter");
riskDollars = parameter <double>("riskDollars");
atr = new AverageTrueRangeEW(bars, atrLen); // this should be a daily spud
nATRStopStart = nATREntry * parameter <double>("exitATRmultiple");
entryHighestHigh = bars.high.highest(nDays);
entryLowestLow = bars.low.lowest(nDays);
var halfNDays = (int)Math.Round(nDays * 0.5, 0);
exitHighestHigh = bars.high.highest(halfNDays);
exitLowestLow = bars.low.lowest(halfNDays);
inConfirm = false;
//Plot methods
parabolicStop = null;
stopIndicator = new RootSpud <double>(bars.manager);
addToPlot(stopIndicator, "ParabolicStop", Color.Red);
addToPlot(entryHighestHigh, "entryHighestHigh", Color.LightBlue);
addToPlot(entryLowestLow, "entryLowestLow", Color.Blue);
addToPlot(exitHighestHigh, "exitHighestHigh", Color.Pink);
addToPlot(exitLowestLow, "exitLowestLow", Color.Salmon);
addToPlot(bars.close, "price", Color.Purple);
addToPlot(atr, "ATR", Color.Blue, "ATRPane");
}
public ReverseDTD(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
requireOrdered("exitShortLevel", "triggerShort");
requireOrdered("triggerLong", "exitLongLevel");
requireOrdered("triggerLong", "exitShortLevel");
requireOrdered("exitLongLevel", "triggerShort");
if (!isActive())
{
return;
}
richCheap = symbol.relatedSuffixFromFirstDot(".DTD.EQUITY.RICHCHEAP").doubles(bars);
dtd = symbol.relatedSuffixFromFirstDot(".DTD.EQUITY").doubles(bars);
stockPrice = symbol.relatedSuffixFromFirstDot(".UNADJSTOCKPRICE").doubles(bars);
lengthZScore = parameter <int>("lengthZScore");
zScore = new ZScoreSpud(richCheap, lengthZScore, true);
triggerLong = parameter <double>("triggerLong");
triggerShort = parameter <double>("triggerShort");
exitShort = parameter <double>("exitShortLevel");
exitLong = parameter <double>("exitLongLevel");
stopLoss = parameter <double>("stopLoss");
timeStopBars = parameter <double>("timeStopBars");
trailingStopFlag = parameter <double>("trailingStopFlag");
minPrice = parameter <double>("minPrice");
tradeSize = parameter <double>("tradeSize");
atr = new AverageTrueRangeEW(bars, parameter <int>("ATRLen"));
trailingStop = 0;
deactivate(() => dtd.hasContent() && richCheap.count() >= lengthZScore);
addToPlot(dtd, "DTD", Color.Red, "dtd");
addToPlot(richCheap, "Rich / Cheap", Color.Blue, "richCheap");
}
public DTDRichCheap(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
requireOrdered("exitShortLevel", "triggerShort");
requireOrdered("triggerLong", "exitLongLevel");
requireOrdered("triggerLong", "exitShortLevel");
requireOrdered("exitLongLevel", "triggerShort");
if (!isActive())
{
return;
}
richCheap = symbol.relatedSuffix("RICHCHEAP").doubles(bars);
dtd = symbol.relatedSuffix("DTD").doubles(bars);
lengthZScore = parameter <int>("lengthZScore");
zScore = new ZScoreSpud(richCheap, lengthZScore, true);
triggerLong = parameter <double>("triggerLong");
triggerShort = parameter <double>("triggerShort");
exitShort = parameter <double>("exitShortLevel");
exitLong = parameter <double>("exitLongLevel");
stopLoss = parameter <double>("lossStopLevel");
deactivate(() => dtd.hasContent() && richCheap.count() >= lengthZScore);
addToPlot(dtd, "DTD", Color.Red, "dtd");
addToPlot(richCheap, "Rich / Cheap", Color.Blue, "richCheap");
}
public NBarBreakMA(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol, bars => bars.high, bars => bars.low)
{
maSlow = new EWMA(bars.close, parameter <double>("MASlow"));
maFast = new EWMA(bars.close, parameter <double>("MAFast"));
addToPlot(maSlow, "maSlow", Color.BlueViolet);
addToPlot(maFast, "maFast", Color.DeepPink);
}
public CommodityCarry(QREBridgeBase bridge, Pair pair) : base(bridge, pair)
{
leftPrior = prior(pair.left).bars(bars[pair.left]);
rightPrior = prior(pair.right).bars(bars[pair.right]);
spread = new Minus(bars[pair.left].close, bars[pair.right].close);
vol = new StdDeviationOfSample(spread, parameter <int>("volWindow"));
cutoff = parameter <double>("payoutRatioCutoff");
payoutRatio = new RootSpud <double>(bridge.manager);
}
public BuySellAndHold(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
buyOrSell = parameter <int>("buyOrSell");
tradeSize = parameter <int>("TradeSize");
if (!inputsValid())
{
deactivate();
}
}
public Simulator(SystemArguments args, BarLoader data, string topicPrefix)
{
newBarListeners = new LazyDictionary <Symbol, Action <Bar> >(symbol => doNothing);
this.data = data;
symbols = args.symbols;
bridge = args.bridgeBase(topicPrefix);
dateIndex = 0;
processBarComplete += doNothing;
interval = args.interval();
}
public RSITargets(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
atr = new AverageTrueRangeEW(bars, parameter <int>("ATRLen"));
rsiSpud = new RSI(bars.close, parameter <int>("HalfLife"));
entryLevel = parameter <double>("EntryLevel");
exitLevel = parameter <double>("ExitLevel");
stoppedFlag = false;
lastDirection = 0;
lastStop = 0;
}
public FXCommodityClose(QREBridgeBase bridge, Symbol symbol)
: base(bridge, symbol, bars => commoditySignal(bridge.arguments().parameters.get <int>("signal"), bars))
{
maFX = new Average(bars.close, maDays);
currencyReversed = symbol.name.StartsWith("USD");
maxBarsHeld = parameter <int>("MaxBarsHeld");
addToPlot(upperBand, "UpperBand", Color.Blue, "Commodity");
addToPlot(lowerBand, "LowerBand", Color.Blue, "Commodity");
addToPlot(ma, "commodMovingAverage", Color.Red, "Commodity");
}
public FadeWeekEndPush(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
atr = new AverageTrueRangeEW(bars, parameter <int>("ATRLen"));
nDays = parameter <int>("NDays");
multiple = parameter <double>("Multiple");
risk = parameter <double>("Risk");
initialEquity = parameter <double>("InitEquity");
fixEquity = parameter <bool>("FixEquity");
exitDay = parameter <int>("ExitDay");
stopLossMultiple = parameter <double>("StopLossMultiple");
bars.close.prepare();
}
public TDSequential(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
setupLength = parameter <int>("SetupLength");
version = parameter <int>("Version");
waitForFlip = parameter <int>("WaitForFlipOnEntry");
countdownLength = parameter <int>("CountdownLength");
setupCount = new TDSetup(bars);
setupInPlace = 0;
stopLevel = 0;
tdCountdown = 0;
bars.close.prepare();
}
public SectorRotationShort(QREBridgeBase bridge, IEnumerable <Symbol> symbols) : base(bridge)
{
risk = parameter <int>("Risk");
nBest = parameter <int>("NBest");
daysBuffer = parameter <int>("DaysBuffer");
minBasketSize = parameter <int>("MinBasketSize");
maxNBestBasketSizeRatio = parameter <double>("MaxNBestBasketSizeRatio");
cumulative = parameter <int>("Cumulative");
leadBars = parameter <int>("LeadBars");
daysInTrade = parameter <int>("DaysInTrade");
financialCenter = FinancialCenterTable.CENTER.name(39);
eachValue(bars, barSpud => barSpud.times.prepare());
}
public FXCarry(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
payoutRatio = payoutRatioSymbol(symbol).doubles(bars);
atr = new AverageTrueRange(bars, 100);
tradeSizeParameter = parameter <double>("TradeSize");
recoveryAmount = parameter <double>("RecoveryAmount") * tradeSizeParameter;
recoveryPeriod = parameter <int>("RecoveryPeriod");
trigger = parameter <double>("Trigger");
maxTrigger = parameter <double>("MaxTrigger");
triggerCushion = parameter <double>("TriggerCushion");
addToPlot(payoutRatio, "payoutRatio", Color.Red, "payoutRatio");
bars.close.prepare();
stoppedOut();
}
protected TrendingMABase(QREBridgeBase bridge, Symbol symbol, Converter <BarSpud, Spud <double> > signalSeries) : base(bridge, symbol)
{
maDays = parameter <int>("MADays");
riskDollars = parameter <double>("RiskDollars");
atr = new AverageTrueRange(bars, parameter <int>("ATRLen"));
signal = signalSeries(bars);
ma = new Average(signal, maDays);
shortSum = new Sum(signal, maDays - 1);
var numDeviations = parameter <double>("BollingerBandDeviations");
var barsBack = parameter <int>("BollingerBandBarsBack");
upperBand = new BollingerBand(ma, barsBack, numDeviations);
lowerBand = new BollingerBand(ma, barsBack, -numDeviations);
}
public CouponSwap(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
//Set up signal data
string tickerHeader;
if (symbol.name.Substring(symbol.name.Length - 3, 3) == "TRS")
{
tickerHeader = symbol.name.Substring(0, 5);
}
else if (Regex.IsMatch(symbol.name, @"....\.\d"))
{
var tickerParts = symbol.name.Split(Convert.ToChar("."));
tickerHeader = (tickerParts[0] == "FNCL" ? "F" : "D");
tickerHeader = tickerHeader + tickerParts[1] + tickerParts[2];
tickerHeader = tickerHeader + tickerParts[3] + tickerParts[4];
}
else
{
throw Bomb.toss("Bad symbol name, not able to figure out the signal data.");
}
modelPrice = new Symbol(tickerHeader + "MDL").doubles(bars);
actualPrice = new Symbol(tickerHeader + "ACT").doubles(bars);
rollDecimal = new Symbol(tickerHeader + "WRL").doubles(bars);
rollTicks = new Times(rollDecimal, rollDecimal.manager.constant(32.0));
tradeSize = parameter <long>("TradeSize");
maxSize = parameter <long>("MaxPyramid") * tradeSize;
entryTicks = parameter <double>("EntryTicks");
stopTicks = parameter <double>("StopTicks");
richCheap = new RichCheapSpud(modelPrice, actualPrice);
longEntryCross = new CrossOverSpud <double>(richCheap, entryTicks);
shortEntryCross = new CrossOverSpud <double>(richCheap, -entryTicks);
longExitCross = new CrossOverSpud <double>(richCheap, parameter <double>("ExitTicks"));
shortExitCross = new CrossOverSpud <double>(richCheap, -parameter <double>("ExitTicks"));
longMA = new EWMA(richCheap, parameter <double>("HalfLife"));
rollCutOff = parameter <double>("RollCutOff");
rollCutOffMargin = parameter <double>("RollCutOff.Margin");
longRollCross = new CrossOverSpud <double>(rollDecimal, -(rollCutOff - rollCutOffMargin) / 32);
shortRollCross = new CrossOverSpud <double>(rollDecimal, (rollCutOff - rollCutOffMargin) / 32);
//Add Plots
addToPlot(modelPrice, "Model Price", Color.Red, "Coupon Swap");
addToPlot(actualPrice, "Actual Price", Color.Blue, "Coupon Swap");
addToPlot(rollTicks, "Weighted Roll", Color.Green, "Roll");
}
public FaderClose(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
//Set up raw moving average
var maLength = parameter <int>("maLength");
switch (parameter <int>("maType"))
{
case 1:
maRaw = new Average(bars.close, maLength);
break;
case 2:
maRaw = new KAMA(bars.close, 2, 30, maLength);
break;
default:
Bomb.toss("Not valid maType");
break;
}
//Set up stdDev
priceStDev = new StdDeviationOfSample(bars.close, parameter <int>("stDevLength"));
//Set up regression
regressionBars = parameter <int>("regressionBars");
Bomb.when((parameter <int>("LeadBars") < regressionBars), () => "LeadBars cannot be less than regressionBars." + arguments());
var count = new BarCounter(bars).transform(i => (double)i);
projectionSpud = new QRegression(maRaw, count, regressionBars, false);
regressionProjBars = parameter <int>("regressionProjectionBars");
levelProjection = projectionSpud.transform(barsRegression => barsRegression.predict(count + regressionProjBars));
//Set up other parameters
zEntry = parameter <double>("ZEntry");
zExit = parameter <double>("ZExit");
minPnLMultTC = parameter <double>("minPnLMultTC");
stopMultiple = parameter <double>("stopMultiple");
riskDollars = parameter <double>("RiskDollars");
rSqrScale = parameter <double>("rSqrScale");
Bomb.when((rSqrScale != 0), () => "rSquare parameter not implemented yet.");
addToPlot(maRaw, "maRaw", Color.Blue);
addToPlot(levelProjection, "Projection", Color.Red);
addToPlot(priceStDev, "StDev", Color.Green, "Support");
}
public LiqInjT(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
beta = symbol.relatedPrefix("LIB" + "10").doubles(bars);
betaShort = symbol.relatedPrefix("LIO" + "10").doubles(bars);
residual = symbol.relatedPrefix("LIV" + "10").doubles(bars);
zScore = symbol.relatedPrefix("LIZ" + "10").doubles(bars, 0);
tc = symbol.relatedPrefix("LIC" + "10").doublesNoLive(bars);
acf = new EWAcf(zScore, parameter <double>("acfHalfLife"), parameter <int>("acfLag"));
zScoreMin = parameter <double>("zScoreMin");
pScoreMin = parameter <double>("pScoreMin");
betaMin = parameter <double>("betaMin");
betaMax = parameter <double>("betaMax");
acfTrigger = parameter <double>("acfTrigger");
risk = parameter <long>("risk");
stopMultiple = parameter <double>("stopMultiple");
targetNetProfit = stopMultiple * risk;
}
protected NDayBreakBase(QREBridgeBase bridge, Symbol symbol,
Converter <BarSpud, ComparableSpud <double> > high,
Converter <BarSpud, ComparableSpud <double> > low
) : base(bridge, symbol)
{
atr = new AverageTrueRangeEW(bars, parameter <int>("ATRLen"));
breakDays = parameter <int>("BreakDays") - 1;
breakOutHigh = high(bars).highest(breakDays);
breakOutLow = low(bars).lowest(breakDays);
breakDownHigh = high(bars).highest(breakDays / 2);
breakDownLow = low(bars).lowest(breakDays / 2);
risk = parameter <double>("Risk");
addToPlot(breakOutHigh, "breakout high", Color.Red);
addToPlot(breakOutLow, "breakout low", Color.Blue);
addToPlot(breakDownHigh, "breakdown high", Color.DeepPink);
addToPlot(breakDownLow, "breakdown low", Color.DeepSkyBlue);
}
public ITrend(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
atrLength = parameter <int>("atrLength");
sizeScaleSwitch = parameter <int>("sizeScaleSwitch");
nATRStop = parameter <double>("nATRStop");
nATRTrigger = parameter <double>("nATRTrigger");
dailyATRSwitch = parameter <int>("useDailyATR");
risk = parameter <int>("risk");
timeStampClose = parameter <double>("timeStampClose");
timeStampMark = parameter <double>("timeStampMark");
atr = new AverageTrueRangeEW(
dailyATRSwitch == 1 ? (Spud <Bar>) new IntervalSpud(bars, Interval.DAILY) : bars,
atrLength);
scaleWeights = new double[10];
zeroTo(scaleWeights.Length, i => scaleWeights[i] = 1.5 - (double)i / 9);
scaleWins = new double[10];
initializeWinScale();
financialCenter = FinancialCenterTable.CENTER.name(39);
}
public LiqInj(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
version = symbol.name.Substring(3, 2);
residual = symbol.relatedPrefix("PTV" + version).doubles(bars);
tc = symbol.relatedPrefix("PTC" + version).doublesNoLive(bars);
rSquare = symbol.relatedPrefix("PTR" + version).doubles(bars);
hedge = symbol.relatedPrefix("PTH" + version).doubles(bars);
scale = symbol.relatedPrefix("PTS" + version).doublesNoLive(bars, 0);
var atrLength = parameter <int>("ATRLength");
nATR = parameter <double>("nATR");
if (nATR != 0 && atrLength != 0)
{
atr = new AverageTrueRange(bars, atrLength);
}
zScore = symbol.relatedPrefix("PTZ" + version).doubles(bars, 0);
acf = new EWAcf(zScore, parameter <double>("acfHalfLife"), parameter <int>("acfLag"));
zScoreMin = parameter <double>("zScoreMin");
pScoreMin = parameter <double>("pScoreMin");
rSquareMin = parameter <double>("rSquareMin");
hedgeSwitch = parameter <int>("hedgeSwitch");
hedgeMin = parameter <double>("hedgeMin");
hedgeMax = parameter <double>("hedgeMax");
acfTrigger = parameter <double>("acfTrigger");
scaleMin = parameter <double>("scaleMin");
startSize = parameter <long>("startSize");
stopMultiple = parameter <double>("stopMultiple");
bridge.manager.onLive += () => {
if (startOfDayPosition != null)
{
livePosition = startOfDayPosition;
}
if (startOfDayTargetNetProfit.HasValue)
{
liveTargetNetProfit = startOfDayTargetNetProfit;
}
};
addToPlot(zScore, "zScore", Color.Red, "zScore");
}
public FXCarryV2(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
payoutRatioLong = payoutRatioSymbol(symbol, "Long").doubles(bars).allowStaleTicks();
payoutRatioShort = payoutRatioSymbol(symbol, "Short").doubles(bars).allowStaleTicks();
nATR = parameter <int>("nATR");
atrLen = parameter <int>("ATRLen");
atr = new AverageTrueRange(bars, atrLen);
riskDollars = parameter <double>("RiskDollars");
bollingerBandBarsBack = parameter <int>("BollingerBandBarsBack");
ma = new Average(bars.close, bollingerBandBarsBack);
bollingerBandDeviations = parameter <double>("BollingerBandDeviations");
trigger = parameter <double>("Trigger");
maxTrigger = parameter <double>("MaxTrigger");
triggerCushion = parameter <double>("TriggerCushion");
addToPlot(payoutRatioLong, "payoutRatioLong", Color.Red, "payoutRatioLong");
addToPlot(payoutRatioShort, "payoutRatioShort", Color.Red, "payoutRatioShort");
upperBand = new BollingerBand(bars.close, bollingerBandBarsBack, bollingerBandDeviations);
lowerBand = new BollingerBand(bars.close, bollingerBandBarsBack, -bollingerBandDeviations);
addToPlot(upperBand, "upperBand", Color.Blue);
addToPlot(lowerBand, "lowerBand", Color.Blue);
bars.close.prepare();
stoppedOut = true;
}
public StopSystem(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
bars.close.prepare();
}
public TrendingMAClose(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol, bars => bars.close)
{
}
protected DTDPortfolioMultiSymbolBase(QREBridgeBase bridge) : base(bridge)
{
}
public MaxBarsSystem(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
}
public TestSystem(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
}
public DTDPortfolioPositionLimits(QREBridgeBase bridge) : base(bridge)
{
manager = new MaxTradesManager <DTDRichCheapV2, Symbol>(systems_.Values, parameter <int>("maxPositions"), compareSystems, placeExits);
slippageMultiplier = parameter <double>("requiredSlippageMultiplier");
}