public SVMBaselineSignal(
QuoteBarConsolidator dailyConsolidator,
ExponentialMovingAverage dailyALMA,
QuoteBarConsolidator shortTermConsolidator,
ArnaudLegouxMovingAverage alma5,
ArnaudLegouxMovingAverage alma8,
ArnaudLegouxMovingAverage alma13,
ArnaudLegouxMovingAverage alma21,
ArnaudLegouxMovingAverage alma34,
ArnaudLegouxMovingAverage alma55,
ArnaudLegouxMovingAverage alma89,
ArnaudLegouxMovingAverage alma144,
SchaffTrendCycle schaffTrendCycle,
AverageTrueRange atr,
AverageDirectionalIndex adx,
SecurityHolding securityHolding,
Security security,
SVMBaselineStrategy qcAlgorithm)
{
_dailyConsolidator = dailyConsolidator;
_dailyALMA = dailyALMA;
_rollingDailyAlma = HistoryTracker.Track(_dailyALMA);
_shortTermConsolidator = shortTermConsolidator;
_rollingConsolidator = HistoryTracker.Track(_shortTermConsolidator);
_schaffTrendCycle = schaffTrendCycle;
_rollingSchaffTrendCycle = HistoryTracker.Track(_schaffTrendCycle);
_atr = atr;
_adx = adx;
_alma5 = alma5;
_alma8 = alma8;
_alma13 = alma13;
_alma21 = alma21;
_alma34 = alma34;
_alma55 = alma55;
_alma89 = alma89;
_alma144 = alma144;
_rollingAlma5 = HistoryTracker.Track(_alma5, 100);
_rollingAlma8 = HistoryTracker.Track(_alma8, 100);
_rollingAlma13 = HistoryTracker.Track(_alma13, 100);
_rollingAlma21 = HistoryTracker.Track(_alma21, 100);
_rollingAlma34 = HistoryTracker.Track(_alma34, 100);
_rollingAlma55 = HistoryTracker.Track(_alma55, 100);
_rollingAlma89 = HistoryTracker.Track(_alma89, 100);
_rollingAlma144 = HistoryTracker.Track(_alma144, 100);
_windows = new List <RollingWindow <IndicatorDataPoint> > {
_rollingAlma5, _rollingAlma8, _rollingAlma13, _rollingAlma21, _rollingAlma34, _rollingAlma55, _rollingAlma89, _rollingAlma144
};
_windowCombinations = _windows.Combinations(3);
_maCross = new MovingAverageCross(_rollingAlma8, _rollingAlma21, _rollingAlma144);
_securityHolding = securityHolding;
_security = security;
_minimumPriceVariation = 10000m;
_qcAlgorithm = qcAlgorithm;
var eader = new string[] { "Time", "Signal" };
Storage.CreateFile($"C:\\Users\\M\\Desktop\\{_security.Symbol.Value}_ALMA_Signal.csv", eader);
if (_store)
{
var path = @"C:\Users\M\Desktop\EURUSD.csv";
var header = new string[] { "Time", "End Time", "Open", "High", "Low", "Close", "STC", "STC Previous", "EMA", "Slope", "Diff", "Prediction", "Signal" };
File.WriteAllText(path, string.Join(";", header) + Environment.NewLine);
var ohlcHeader = new string[] { "Time", "Open", "High", "Low", "Close" };
Storage.CreateFile($"C:\\Users\\M\\Desktop\\{_security.Symbol.Value}_OHLC_1D.csv", ohlcHeader);
Storage.CreateFile($"C:\\Users\\M\\Desktop\\{_security.Symbol.Value}_OHLC_15M.csv", ohlcHeader);
//Storage.CreateFile($"C:\\Users\\M\\Desktop\\{_security.Symbol.Value}_OHLC_1M.csv", ohlcHeader);
}
shortTermConsolidator.DataConsolidated += (sender, args) =>
{
if (_previousBar == null)
{
_previousBar = args;
return;
}
if (_dailyConsolidator.Consolidated == null)
{
return;
}
/*var maSignals = _windowCombinations.Select((wc) =>
* {
* var buySignal = wc[0].DoubleCrossAbove(wc[1], wc[2], 5, 0.05m / 10000m) && wc[0].Rising(3, 0.05m / 10000m) && wc[1].Rising(3, 0.05m / 10000m) && wc[2].Rising(3, 0.05m / 10000m);
* var sellSignal = wc[0].DoubleCrossBelow(wc[1], wc[2], 5, 0.05m / 10000m) && wc[0].Falling(3, 0.05m / 10000m) && wc[1].Falling(3, 0.05m / 10000m) && wc[2].Falling(3, 0.05m / 10000m);
* return buySignal ? SignalType.Long : sellSignal ? SignalType.Short : SignalType.NoSignal;
* });
*
* var longCondition = maSignals.Where((s) => s == SignalType.Long).Count() > 9 && args.Close > _alma144 + (10m / 10000m) && args.Close > _alma21 && args.Close > _alma8;
* var shortCondition = maSignals.Where((s) => s == SignalType.Short).Count() > 9 && args.Close < _alma144 - (10m / 10000m) && args.Close < _alma21 && args.Close < _alma8;
*
* var longExit = Signal == SignalType.Long
* && (maSignals.Where((s) => s == SignalType.Short).Count() > 4);
* var shortExit = Signal == SignalType.Short
* && (maSignals.Where((s) => s == SignalType.Long).Count() > 4);*/
var dailyQuote = (QuoteBar)_dailyConsolidator.Consolidated;
// If mean reverting and no slow cross within ?, close
var longMeanReversion = _maCross.CrossAbove(6, 0.7m / 10000m) &&
_rollingAlma8.InRangeExclusive(_alma21, _alma144) &&
_adx >= 23
//&& _atr > 7m / 10000m
//&& _rollingAlma144.Diff(_rollingAlma21, 10).Average() * 10000m >= 15m
&& _rollingAlma8.Rising(1, 1m / 10000m) &&
_rollingAlma21.Rising(1, 0.1m / 10000m)
? TradeType.Direction.MeanRevertingUp
: TradeType.Direction.Flat;
var longTrend = _maCross.DoubleCrossAbove(6, 0.4m / 10000m)
//&& _adx < 20
//&& _rollingAlma144.Diff(_rollingAlma21, 10).Sum() * 10000m > 5m
&& _rollingAlma8.Rising(2, 1m / 10000m) &&
_rollingAlma21.Rising(2, 0.1m / 10000m) &&
_rollingAlma55.Rising(2) &&
args.Close > _alma144
? TradeType.Direction.TrendUp
: TradeType.Direction.Flat;
var longCondition = args.Close > _dailyALMA && (longMeanReversion == TradeType.Direction.MeanRevertingUp || longTrend == TradeType.Direction.TrendUp);
var shortMeanReversion = _maCross.CrossBelow(6, 0.6m / 10000m) &&
_rollingAlma8.InRangeExclusive(_alma144, _alma21) &&
_adx >= 23
//&& _atr > 7m / 10000m
//&& _rollingAlma21.Diff(_rollingAlma144, 10).Average() * 10000m >= 15m
&& _rollingAlma8.Falling(1, 1m / 10000m) &&
_rollingAlma21.Falling(1, 0.1m / 10000m)
? TradeType.Direction.MeanRevertingDown
: TradeType.Direction.Flat;
var shortTrend = _maCross.DoubleCrossBelow(6, 0.4m / 10000m)
//&& _adx < 20
//&& _rollingAlma21.Diff(_rollingAlma144, 10).Sum() * 10000m > 5m
&& _rollingAlma8.Falling(2, 1m / 10000m) &&
_rollingAlma21.Falling(2, 0.1m / 10000m) &&
_rollingAlma55.Falling(2) &&
args.Close < _alma144
? TradeType.Direction.TrendDown
: TradeType.Direction.Flat;
var shortCondition = args.Close < _dailyALMA && (shortMeanReversion == TradeType.Direction.MeanRevertingDown || shortTrend == TradeType.Direction.TrendDown);
var longExit = Signal == SignalType.Long &&
((shortTrend == TradeType.Direction.TrendDown ||
_rollingAlma34.CrossBelow(_rollingAlma144, 7, 0.1m / 10000m)) ||
(_lastTradeType == TradeType.Direction.MeanRevertingUp &&
args.Time.Subtract(_triggerBar.Time).CompareTo(TimeSpan.FromMinutes(15 * 6)) > 0 &&
_maCross.CrossBelow(6, 0.3m / 10000m) &&
_alma144 > _alma21));
//var longExit = Signal == SignalType.Long && (_rollingAlma21.CrossBelow(_rollingAlma144, 7, 0.1m / 10000m)); NZDUSD
//_rollingConsolidator.Diff(_rollingAlma144, Field.Close, 8).All((d) => d < 5m)
/*&& (((_rollingAlma8.CrossBelow(_rollingAlma21, 5, 0.1m / 10000m) && _rollingAlma21.Falling())
|| (_rollingConsolidator.CrossBelow(_alma144.Current.Value) && _rollingAlma21.Falling())));*/
var shortExit = Signal == SignalType.Short &&
((longTrend == TradeType.Direction.TrendUp ||
_rollingAlma34.CrossAbove(_rollingAlma144, 7, 0.1m / 10000m)) ||
(_lastTradeType == TradeType.Direction.MeanRevertingDown &&
args.Time.Subtract(_triggerBar.Time).CompareTo(TimeSpan.FromMinutes(15 * 6)) > 0 &&
_maCross.CrossAbove(6, 0.3m / 10000m) &&
_alma144 < _alma21));
//var shortExit = Signal == SignalType.Short && ( _rollingAlma21.CrossAbove(_rollingAlma144, 7, 0.1m / 10000m)); NZDUSD
//_rollingConsolidator.Diff(_rollingAlma144, Field.Close, 8).All((d) => d > 5m)
/*&& (((_rollingAlma8.CrossAbove(_rollingAlma21, 5, 0.1m / 10000m) && _rollingAlma21.Rising())
|| (_rollingConsolidator.CrossAbove(_alma144.Current.Value) && _rollingAlma21.Rising())));*/
if (!_securityHolding.Invested && longCondition && !shortCondition && (_triggerBar == null || args.Time.Subtract(_triggerBar.Time).CompareTo(TimeSpan.FromMinutes(15 * 6)) > 0))
{
Signal = Signal != SignalType.PendingLong ? SignalType.Long : SignalType.Long;
_triggerBar = args;
_maEntry = _windows.Select((w) => w[0]);
_lastTradeType = longTrend != TradeType.Direction.Flat ? longTrend : longMeanReversion;
}
else if (!_securityHolding.Invested && shortCondition && !longCondition && (_triggerBar == null || args.Time.Subtract(_triggerBar.Time).CompareTo(TimeSpan.FromMinutes(15 * 6)) > 0))
{
Signal = Signal != SignalType.PendingShort ? SignalType.Short : SignalType.Short;
_triggerBar = args;
_maEntry = _windows.Select((w) => w[0]);
_lastTradeType = shortTrend != TradeType.Direction.Flat ? shortTrend : shortMeanReversion;
}
else if ((_securityHolding.Invested && longExit) || (_securityHolding.Invested && shortExit))
{
Signal = (Signal == SignalType.Long && shortCondition) || (Signal == SignalType.Short && longCondition) ? SignalType.Reverse : SignalType.Exit;
_pendingSignal = Signal == SignalType.Reverse && shortCondition ? SignalType.Short : Signal == SignalType.Reverse && longCondition ? SignalType.Long : SignalType.NoSignal;
_waitingForScan = true;
_triggerBar = args;
_maEntry = _windows.Select((w) => w[0]);
_lastTradeType = _pendingSignal == SignalType.Long
? longTrend != TradeType.Direction.Flat ? longTrend : longMeanReversion
: shortTrend != TradeType.Direction.Flat ? shortTrend : shortMeanReversion;
}
else if (!_securityHolding.Invested)
{
Signal = SignalType.NoSignal;
//_triggerBar = null;
_maEntry = null;
}
_previousBar = args;
//_qcAlgorithm.PlotSignal(args, _rollingEMA[0], _rollingEmaSlope[0], _rollingSchaffTrendCycle[0], _rollingStoch[0], (int)shortTermTrend, (int) Signal);
if (_store)
{
/*var line = new object[] { Storage.ToUTCTimestamp(args.Time), Storage.ToUTCTimestamp(args.EndTime), args.Open, args.High, args.Low, args.Close, _rollingSchaffTrendCycle[0].Value, _rollingSchaffTrendCycle[1].Value,
* _rollingEMA[0].Value, _rollingEmaSlope[0].Value, (args.Close - _rollingEMA[0]) * _minimumPriceVariation, (int)shortTermTrend, (int) Signal };
* Storage.AppendToFile($"C:\\Users\\M\\Desktop\\{_security.Symbol.Value}.csv", line);
*
* var ohlcLine = new object[] { Storage.ToUTCTimestamp(args.Time), args.Open, args.High, args.Low, args.Close };
* Storage.AppendToFile($"C:\\Users\\M\\Desktop\\{_security.Symbol.Value}_OHLC_15M.csv", ohlcLine);*/
}
};
}
public bool CrossAbove(int lookback = 5, decimal tolerance = 0.7m / 10000m) => _fast.CrossAbove(_medium, lookback, tolerance);
