public async Task <OptionTradeList> Find(Stock stock, DateTime startDate, DateTime endDate)
{
OptionTradeList tradeList = new OptionTradeList(stock, Api.Interval.Daily);
StockData data = await StockDataBase.Get(stock, Api.Interval.Daily);
int startIndex = data.FindDateIndex(startDate);
int endIndex = data.FindDateIndex(endDate);
int tradeHoldLenght = 30;
double tradeHoldMaxGain = 0.9;
double tradeHoldMaxLoss = -0.25;
double portofolioPercentage = 0.8;
bool inTrade = false;
for (int i = startIndex; i <= endIndex; i++)
{
DateTime today = data.TimeSeries.DataPoints[i].DateTime;
if (!inTrade)
{
double close = data.TimeSeries.DataPoints[i].Close;
Spread spread = Spread.GetSpread(stock, SpreadType.LongCallVertical, close - close * 0.1, 5, today.AddDays(40), today);
OptionTrade trade = new OptionTrade
{
TradeDate = data.TimeSeries.DataPoints[i].DateTime,
PortfolioPercentage = portofolioPercentage,
Spread = spread
};
tradeList.Trades.Add(trade);
inTrade = true;
}
else
{
OptionTrade lastTrade = tradeList.Trades[tradeList.Trades.Count - 1];
double openPrice = await lastTrade.Spread.Price(lastTrade.TradeDate);
double currentPrice = await lastTrade.Spread.Price(today);
double percentageGain = (currentPrice - openPrice) / openPrice;
int dateIndex = data.FindDateIndex(lastTrade.TradeDate);
if (i - dateIndex >= tradeHoldLenght || lastTrade.Spread.DaysUntilExpiration(today) < 5 || percentageGain > tradeHoldMaxGain || percentageGain < tradeHoldMaxLoss)
{
OptionTrade trade = new OptionTrade
{
TradeDate = data.TimeSeries.DataPoints[i].DateTime,
PortfolioPercentage = 0,
Spread = lastTrade.Spread
};
tradeList.Trades.Add(trade);
inTrade = false;
}
}
}
return(tradeList);
}
private double GetStockAlphaBalance(StockData data, double cash, DateTime startDate, DateTime endDate)
{
int dataCount = data.TimeSeries.DataPoints.Count;
int startIndex = data.FindDateIndex(startDate);
int stopIndex = data.FindDateIndex(endDate);
if (stopIndex == 0)
{
stopIndex = dataCount - 1;
}
double alpha = Indicators.GetStockAlpha(data, startIndex, stopIndex - startIndex + 1);
return(cash * alpha);
}
public void RenderChart(PictureBox renderbox, StockData stockData, int startIndex, int count, GraphData[] additionalGraphs)
{
RenderChart(renderbox, stockData, startIndex, count);
if (additionalGraphs.Length > 0)
{
for (int i = 0; i < additionalGraphs.Length; i++)
{
if (count >= 2 && stockData.TimeSeries.DataPoints.Count >= startIndex + count)
{
DateTime startDate = stockData.TimeSeries.DataPoints[startIndex].DateTime;
DateTime endDate = stockData.TimeSeries.DataPoints[startIndex + count - 1].DateTime;
int graphDataStartIndex = additionalGraphs[i].FindDateIndex(startDate);
int graphCount = additionalGraphs[i].DataPoints.Count - graphDataStartIndex >= count ? count : additionalGraphs[i].DataPoints.Count - graphDataStartIndex;
DateTime graphStartDate = additionalGraphs[i].DataPoints[graphDataStartIndex].DateTime;
int graphStockDataIndex = stockData.FindDateIndex(graphStartDate);
int rightShift = graphStockDataIndex - startIndex;
Color graphColor = GraphColors[i % 4];
if (additionalGraphs[i].DataPoints[graphDataStartIndex].DateTime >= startDate && additionalGraphs[i].DataPoints[graphDataStartIndex].DateTime <= endDate)
{
DrawGraphData(additionalGraphs[i], graphDataStartIndex, graphCount, rightShift, graphColor);
}
}
}
}
}
public async Task <OptionTradeList> Find(Stock stock, DateTime startDate, DateTime endDate)
{
OptionTradeList tradeList = new OptionTradeList(stock, Api.Interval.Daily);
StockData data = await StockDataBase.Get(stock, Api.Interval.Daily);
int startIndex = data.FindDateIndex(startDate);
int endIndex = data.FindDateIndex(endDate);
int tradeHoldLenght = 2;
bool inTrade = false;
for (int i = startIndex; i <= endIndex; i++)
{
if (!inTrade)
{
Option[] options = new Option[2];
options[0] = new Option(stock, OptionType.Put, PositionType.Short, 230, startDate.AddDays(25));
options[1] = new Option(stock, OptionType.Put, PositionType.Long, 240, startDate.AddDays(25));
Spread spread = new Spread(options);
OptionTrade trade = new OptionTrade
{
TradeDate = data.TimeSeries.DataPoints[i].DateTime,
PortfolioPercentage = 1,
Spread = spread
};
tradeList.Trades.Add(trade);
inTrade = true;
}
else
{
OptionTrade lastTrade = tradeList.Trades[tradeList.Trades.Count - 1];
int dateIndex = data.FindDateIndex(lastTrade.TradeDate);
if (i - dateIndex >= tradeHoldLenght)
{
OptionTrade trade = new OptionTrade
{
TradeDate = data.TimeSeries.DataPoints[i].DateTime,
PortfolioPercentage = 0,
Spread = lastTrade.Spread
};
tradeList.Trades.Add(trade);
}
}
}
return(tradeList);
}
public async void Run(StockTradeList tradeList)
{
if (tradeList != null && tradeList.Trades.Count > 0)
{
//find all stocks traded
StockList stocks = new StockList("TradeList");
foreach (StockTrade trade in tradeList.Trades)
{
stocks.Add(trade.Stock);
}
//find DataRange
StockData firstData = await StockDataBase.Get(stocks.GetStock(0), tradeList.Interval);
int startIndex = firstData.FindDateIndex(_startDate);
int stopIndex = firstData.FindDateIndex(_endDate);
int dataCount = firstData.TimeSeries.DataPoints.Count;
if (stopIndex == 0)
{
stopIndex = dataCount - 1;
}
//Simulate trades
double startBalance = _balanceChart[0];
StockPortfolio portfolio = new StockPortfolio(startBalance);
List <double> balanceChartList = new List <double>();
balanceChartList.Add(startBalance);
for (int i = startIndex; i <= stopIndex; i++)
{
foreach (StockTrade trade in tradeList.Trades)
{
if (trade.DataIndex == i)
{
portfolio.MakeTrade(trade, tradeList.Interval);
}
}
balanceChartList.Add(await portfolio.TotalBalance(i, tradeList.Interval));
}
_balanceChart = balanceChartList.ToArray();
}
}
public async Task <double> Price(DateTime date)
{
double price = 0;
TimeSpan updateSpan = DateTime.UtcNow - date;
StockData data = await StockDataBase.Get(this, Api.Interval.Daily, updateSpan);
if (data != null)
{
price = data.TimeSeries.DataPoints[data.FindDateIndex(date)].Close;
}
return(price);
}
public async static Task <GraphData> PriceGraph(DateTime openDate, Option option)
{
StockData data = await StockDataBase.Get(option.Stock, Api.Interval.Daily);
int startIndex = data.FindDateIndex(openDate);
int endIndex = data.FindDateIndex(option.ExpirationDate);
GraphData graph = new GraphData("PriceGraph " + option.Stock.StockSymbol + " " + option.Strike.ToString() + option.OptionType.ToString());
for (int i = startIndex; i <= endIndex; i++)
{
DateTime dataPointDate = data.TimeSeries.DataPoints[i].DateTime;
Option opt = Option.GetOption(option.Stock, option.OptionType, option.PositionType, option.Strike, option.ExpirationDate, dataPointDate);
double price = await opt.Price(dataPointDate);
GraphDataPoint point = new GraphDataPoint(dataPointDate, price);
graph.DataPoints.Add(point);
}
return(graph);
}
public async void Run(OptionTradeList tradeList)
{
if (tradeList != null && tradeList.Trades.Count > 0)
{
//find DataRange
StockData firstData = await StockDataBase.Get(tradeList.Stock, tradeList.Interval);
int startIndex = firstData.FindDateIndex(_startDate);
int stopIndex = firstData.FindDateIndex(_endDate);
int dataCount = firstData.TimeSeries.DataPoints.Count;
if (stopIndex == 0)
{
stopIndex = dataCount - 1;
}
//Simulate trades
OptionPortfolio portfolio = new OptionPortfolio(_startBalance, _fee, _slippage);
_balanceChart = new GraphData(_name + " Balance");
for (int i = startIndex; i <= stopIndex; i++)
{
foreach (OptionTrade trade in tradeList.Trades)
{
int dateIndex = firstData.FindDateIndex(trade.TradeDate);
if (dateIndex == i)
{
portfolio.MakeTrade(trade, tradeList.Interval);
}
}
DateTime date = firstData.TimeSeries.DataPoints[i].DateTime;
GraphDataPoint balanceGraphDataPoint = new GraphDataPoint(date, await portfolio.TotalBalance(date, tradeList.Interval));
_balanceChart.DataPoints.Add(balanceGraphDataPoint);
}
}
}
public async void ChangeStock(Stock stock)
{
TimeSpan updateSpan = DateTime.UtcNow - _simDate;
StockData stockData = await StockDataBase.Get(stock, Api.Interval.Daily, updateSpan);
if (stockData.TimeSeries.DataPoints[0].DateTime <= _simDate)
{
_stockData = new StockData();
_stockData.MetaData = stockData.MetaData;
_dataIndex = stockData.FindDateIndex(_simDate);
if (_dataIndex <= stockData.TimeSeries.DataPoints.Count)
{
_stockData.TimeSeries.DataPoints = stockData.TimeSeries.DataPoints.GetRange(0, _dataIndex + 1);
}
}
}
public async Task <double> Price(DateTime date)
{
double price = 0;
OptionChain chain = OptionDataBase.Get(_stock, date);
if (chain != null)
{
OptionChainDataPoint option = chain.FindOption(_optionType, _expDate, _strike);
price = (option.Bid + option.Ask) * 0.5;
}
else
{
TimeSpan updateSpan = DateTime.UtcNow - date;
StockData data = await StockDataBase.Get(_stock, Api.Interval.Daily, updateSpan);
int index = data.FindDateIndex(date);
int expiration = DaysUntilExpiration(date);
price = Indicators.Options.AproxPrice(data, index, _optionType, _strike, expiration);
}
return(price);
}
public async Task <OptionTradeList> Find(Stock stock, DateTime startDate, DateTime endDate)
{
OptionTradeList tradeList = new OptionTradeList(stock, Api.Interval.Daily);
StockData data = await StockDataBase.Get(stock, Api.Interval.Daily);
int startIndex = data.FindDateIndex(startDate);
int endIndex = data.FindDateIndex(endDate);
int period = 40;
double priceGainGate = -0.5;
double volumeGainGate = 0.5;
int tradeHoldLenght = 15;
double tradeHoldMaxGain = 0.9;
double tradeHoldMaxLoss = -0.25;
double portofolioPercentage = 0.8;
bool inTrade = false;
for (int i = startIndex; i <= endIndex; i++)
{
if (!inTrade)
{
{
DateTime today = data.TimeSeries.DataPoints[i].DateTime;
double open = data.TimeSeries.DataPoints[i].Open;
double close = data.TimeSeries.DataPoints[i].Close;
double percentageGain = (close - open) / open;
if (percentageGain > priceGainGate)
{
double volume = data.TimeSeries.DataPoints[i].Volume;
double volumeSMA = Indicators.GetSMA(data, i, period, PricePoint.Volume);
double volumePercentageGain = (volume - volumeSMA) / volumeSMA;
if (volumePercentageGain > volumeGainGate)
{
Option[] options = new Option[2];
options[0] = new Option(stock, OptionType.Call, PositionType.Long, Math.Round(close, 0) - 5, today.AddDays(40));
options[1] = new Option(stock, OptionType.Call, PositionType.Short, Math.Round(close, 0) + 0, today.AddDays(40));
Spread spread = new Spread(options);
OptionTrade trade = new OptionTrade
{
TradeDate = data.TimeSeries.DataPoints[i].DateTime,
PortfolioPercentage = portofolioPercentage,
Spread = spread
};
tradeList.Trades.Add(trade);
inTrade = true;
}
}
}
}
else
{
OptionTrade lastTrade = tradeList.Trades[tradeList.Trades.Count - 1];
DateTime today = data.TimeSeries.DataPoints[i].DateTime;
int dateIndex = data.FindDateIndex(lastTrade.TradeDate);
double openPrice = await lastTrade.Spread.Price(lastTrade.TradeDate);
double currentPrice = await lastTrade.Spread.Price(today);
double percentageGain = (currentPrice - openPrice) / openPrice;
if (i - dateIndex >= tradeHoldLenght || lastTrade.Spread.DaysUntilExpiration(today) < 5 || percentageGain > tradeHoldMaxGain || percentageGain < tradeHoldMaxLoss)
{
OptionTrade trade = new OptionTrade
{
TradeDate = data.TimeSeries.DataPoints[i].DateTime,
PortfolioPercentage = 0,
Spread = lastTrade.Spread
};
tradeList.Trades.Add(trade);
inTrade = false;
}
}
}
return(tradeList);
}
public async Task <StockTradeList> Find(Stock stock, DateTime startDate, DateTime endDate)
{
StockTradeList tradeList = new StockTradeList(Api.Interval.Daily);
StockData data = await StockDataBase.Get(stock, Api.Interval.Daily);
int startIndex = data.FindDateIndex(startDate);
int period = 40;
double priceGainGate = -0.5;
double volumeGainGate = 0.5;
int tradeHoldLenght = 15;
double tradeHoldMaxGain = 0.04;
double tradeHoldMaxLoss = -0.04;
bool inTrade = false;
for (int i = startIndex; i < data.TimeSeries.DataPoints.Count; i++)
{
if (!inTrade)
{
{
double open = data.TimeSeries.DataPoints[i].Open;
double close = data.TimeSeries.DataPoints[i].Close;
double percentageGain = (close - open) / open;
if (percentageGain > priceGainGate)
{
double volume = data.TimeSeries.DataPoints[i].Volume;
double volumeSMA = Indicators.GetSMA(data, i, period, PricePoint.Volume);
double volumePercentageGain = (volume - volumeSMA) / volumeSMA;
if (volumePercentageGain > volumeGainGate)
{
StockTrade trade = new StockTrade
{
DataIndex = i,
PortfolioPercentage = 1,
Stock = stock,
Type = StockTradeType.LongStock
};
tradeList.Trades.Add(trade);
inTrade = true;
}
}
}
}
else
{
StockTrade lastTrade = tradeList.Trades[tradeList.Trades.Count - 1];
double posOpen = data.TimeSeries.DataPoints[lastTrade.DataIndex].Close;
double currentPrice = data.TimeSeries.DataPoints[i].Close;
double percentageGain = (currentPrice - posOpen) / posOpen;
if (i - lastTrade.DataIndex >= tradeHoldLenght)
{
StockTrade trade = new StockTrade
{
DataIndex = i,
PortfolioPercentage = 0,
Stock = stock,
Type = StockTradeType.LongStock
};
tradeList.Trades.Add(trade);
inTrade = false;
}
else if (percentageGain > tradeHoldMaxGain || percentageGain < tradeHoldMaxLoss)
{
StockTrade trade = new StockTrade
{
DataIndex = i,
PortfolioPercentage = 0,
Stock = stock,
Type = StockTradeType.LongStock
};
tradeList.Trades.Add(trade);
inTrade = false;
}
}
}
return(tradeList);
}
public async void Run(StockTradeList tradeList)
{
if (tradeList != null && tradeList.Trades.Count > 0)
{
//find all stocks traded
StockList stocks = new StockList("TradeList");
foreach (StockTrade trade in tradeList.Trades)
{
stocks.Add(trade.Stock);
}
//find DataRange
StockData firstData = await StockDataBase.Get(stocks.GetStock(0), tradeList.Interval);
int startIndex = firstData.FindDateIndex(_startDate);
int stopIndex = firstData.FindDateIndex(_endDate);
int dataCount = firstData.TimeSeries.DataPoints.Count;
if (stopIndex == 0)
{
stopIndex = dataCount - 1;
}
//Simulate trades
double timesTraded = 0;
double timesRight = 0;
StockTrade currentTrade = new StockTrade();
StockData data = firstData;
for (int i = startIndex; i <= stopIndex; i++)
{
foreach (StockTrade trade in tradeList.Trades)
{
if (trade.DataIndex == i)
{
if (trade.PortfolioPercentage > 0)
{
data = await StockDataBase.Get(trade.Stock, tradeList.Interval);
currentTrade = trade;
}
else
{
timesTraded++;
double openPrice = data.TimeSeries.DataPoints[currentTrade.DataIndex].Close;
double closePrice = data.TimeSeries.DataPoints[i].Close;
if (currentTrade.Type == StockTradeType.LongStock && closePrice > openPrice)
{
timesRight++;
}
if (currentTrade.Type == StockTradeType.ShortStock && closePrice < openPrice)
{
timesRight++;
}
}
}
}
}
//save results
_rightPredictPercentage = timesRight / timesTraded;
_tradesMade = (int)timesTraded;
}
}