decimal GetAverageSRForDays(DateTime time, int days)
{
if (pastPerf.Count() < 40)
{
return(-1);
}
var perf = pastPerf.Where(x => x.EndTime > time.AddDays(-days)).Select(x => x.Value);
//we need at least 5 values otherwise too random
if (perf.Count() >= 5)
{
return(perf.Average() / perf.StdDev());
}
var perf2 = pastPerf.Skip(Math.Max(0, pastPerf.Count() - 5)).Select(x => x.Value);
return(perf2.Average() / perf.StdDev());
}
/// <summary>
/// Computes the average value
/// </summary>
/// <param name="time"></param>
/// <param name="input">The data for the calculation</param>
/// <returns>The average value</returns>
protected override DoubleArray Forward(long time, DoubleArray input)
{
var price = (input[HighIdx] + input[LowIdx]) / 2;
_high.Add(input[HighIdx]);
_low.Add(input[LowIdx]);
// our first data point just return identity
if (_high.Samples <= _high.Size)
{
return(price);
}
var hh = _high.Take(_n / 2).Max();
var ll = _low.Take(_n / 2).Min();
var n1 = (hh - ll) / (_n / 2);
hh = _high.Skip(_n / 2).Take(_n / 2).Max();
ll = _low.Skip(_n / 2).Take(_n / 2).Min();
var n2 = (hh - ll) / (_n / 2);
var n3 = (_high.Max() - _low.Min()) / _n;
double dimen = 0;
if (n1 + n2 > 0 && n3 > 0)
{
dimen = Math.Log((n1 + n2) / n3) / Math.Log(2);
}
var alpha = Math.Exp(_w * (dimen - 1));
if (alpha < .01d)
{
alpha = .01d;
}
if (alpha > 1)
{
alpha = 1;
}
return(alpha * price + (1 - alpha) * Current.Value);
}
public void Scan(TradeBar data)
{
var isDecreasingVolume = _volume.Skip(27).Average() < _volume.Average();
var tb = new TradeBar
{
EndTime = data.EndTime,
Close = data.Close
};
if (_rsi > 70 && !_securityHolding.Invested)
{
Signal = SignalType.Short;
}
else if (_rsi < 30 && !_securityHolding.Invested)
{
Signal = SignalType.Long;
}
else
{
Signal = SignalType.NoSignal;
}
}
public void OnData(TradeBars data)
{
if (!_slow.IsReady)
{
_volume.Add(Securities[Symbol].Volume);
_price.Add(Securities[Symbol].Price);
return;
}
var averageVolume = _volume.Sum() / _volume.Count;
var volumeSignal = Securities[Symbol].Volume > averageVolume ||
_volume.Skip(_volume.Count - 7).Any(av => av > averageVolume);
var holdings = Portfolio[Symbol].Quantity;
if (_openStopMarketOrder != null && _openStopMarketOrder.Status != OrderStatus.Filled)
{
if (_openStopMarketOrder.Tag.Equals("long") && _price[0] < Securities[Symbol].Price)
{
var newLongLimit = Securities[Symbol].Price * (1 - 0.05m);
_openStopMarketOrder.Update(new UpdateOrderFields
{
StopPrice = newLongLimit
});
}
else if (_openStopMarketOrder.Tag.Equals("short") && _price[0] > Securities[Symbol].Price)
{
var newShortLimit = Securities[Symbol].Price * 1.05m;
_openStopMarketOrder.Update(new UpdateOrderFields
{
StopPrice = newShortLimit
});
}
}
else if (holdings <= 0 && _fast > _slow * (1 + tolerance) && volumeSignal)
{
Log("BUY >> " + Securities[Symbol].Price);
//SetHoldings(Symbol, 1.0);
var orderTicket = StopMarketOrder(Symbol, (int)(Portfolio.Cash / Securities[Symbol].Price), Securities[Symbol].Price * (1 - 0.05m), "long");
_openStopMarketOrder?.Cancel();
_openStopMarketOrder = orderTicket;
}
else if (holdings >= 0 && _fast < _slow * (1 - tolerance) && volumeSignal)
{
Log("SELL >> " + Securities[Symbol].Price);
//SetHoldings(Symbol, -1.0);
var shortAmount = Portfolio[Symbol].HoldingsValue == 0 ? Portfolio.Cash : Portfolio[Symbol].HoldingsValue;
var orderTicket = StopMarketOrder(Symbol, -(int)(shortAmount / Securities[Symbol].Price), Securities[Symbol].Price * 1.05m, "short");
_openStopMarketOrder?.Cancel();
_openStopMarketOrder = orderTicket;
}
_volume.Add(Securities[Symbol].Volume);
_price.Add(Securities[Symbol].Price);
Plot("SMA Cross", "400", _slow.RollingSum / _slow.Period);
Plot("SMA Cross", "100", _fast.RollingSum / _fast.Period);
Plot("SMA Cross", "Price", Securities[Symbol].Price);
}
public static bool Falling(this RollingWindow <IndicatorDataPoint> window, int lookback = 1, decimal tolerance = 0m)
{
return(window.Take(lookback).Zip(window.Skip(1).Take(lookback), (w1, w2) => Tuple.Create(w1, w2)).All((w) => w.Item1 < w.Item2 * (1 - tolerance)));
}
public static bool Rising(this RollingWindow <decimal> window, int lookback = 1, decimal tolerance = 0m)
{
return(window.Take(lookback).Zip(window.Skip(1).Take(lookback), (w1, w2) => Tuple.Create(w1, w2)).All((w) => w.Item1 > w.Item2 * (1 + tolerance)));
}
