public static List <CompletedTrade> ApplyRegressionFilter(int N, List <Trade> Trades)
{
var CloseTradesOnly = Statistics.RegressionAnalysis_OnPL(N, Trades);
var CompTrades = Trade.TradesOnly(Trades);
var CompleteList = CompletedTrade.CreateList(CompTrades);
for (int x = 2; x < CompleteList.Count; x++)
{
if (CompleteList[x - 2].CloseTrade.Extention.Slope < CompleteList[x - 1].CloseTrade.Extention.Slope &&
CompleteList[x - 1].CloseTrade.Extention.Slope < 0)
{
CompleteList[x].OpenTrade.Extention.OrderVol = 2;
}
}
foreach (var t in CompleteList)
{
if (t.OpenTrade.Extention.OrderVol == 2)
{
t.CloseTrade.Extention.OrderVol = 2;
}
else
{
t.CloseTrade.Extention.OrderVol = 1;
t.OpenTrade.Extention.OrderVol = 1;
}
}
return(CompleteList);
}
private void TradeToCandle()
{
//Laptop
// string css = @"Data Source=ALSI-PC\;Initial Catalog=AlsiTrade;Integrated Security=True";
//PC
string css = @"Data Source=PIETER-PC\;Initial Catalog=AlsiTrade;Integrated Security=True";
AlsiUtils.Data_Objects.GlobalObjects.CustomConnectionString = css;
// DateTime s = new DateTime(2006, 01, 01);
// DateTime e = new DateTime(2006, 12, 15);
DateTime s = new DateTime(2012, 1, 1);
DateTime e = new DateTime(2013, 12, 29);
var prices = AlsiUtils.DataBase.readDataFromDataBase(GlobalObjects.TimeInterval.Minute_5, AlsiUtils.DataBase.dataTable.MasterMinute,
s, e, false);
Debug.WriteLine("Start Date " + prices[0].TimeStamp);
//for (int x = 2; x < 50; x++)
//{
AlsiUtils.Strategies.Parameter_EMA_Scalp E = new AlsiUtils.Strategies.Parameter_EMA_Scalp()
{
A_EMA1 = 16,
A_EMA2 = 17,
B_EMA1 = 43,
B_EMA2 = 45,
C_EMA = 52,
TakeProfit = 450,
StopLoss = -300,
CloseEndofDay = false,
Period = prices.Count,
};
// takep = E.TakeProfit;
// takel = E.StopLoss;
AlsiUtils.Statistics S = new AlsiUtils.Statistics();
S.OnStatsCaculated += new AlsiUtils.Statistics.StatsCalculated(S_OnStatsCaculated);
var Trades = AlsiUtils.Strategies.EMA_Scalp.EmaScalp(E, prices, false);
Trades = S.CalcBasicTradeStats_old(Trades);
var rr = Statistics.IntratradeToCandle(Trades);
var RR = CompletedTrade.CreateList(rr);
PrintTradesonly(RR);
}
private void start()
{
Cursor = Cursors.WaitCursor;
GlobalObjects.TimeInterval t = GlobalObjects.TimeInterval.Minute_5;
DataBase.dataTable dt = DataBase.dataTable.MasterMinute;
//_FullTradeList = AlsiTrade_Backend.RunCalcs.RunEMAScalp(GetParametersSAR_EMA(), t, false, new DateTime(2012, 01, 01), new DateTime(2014, 01, 01), dt);
_FullTradeList = AlsiTrade_Backend.RunCalcs.RunMAMAScalp(GetParametersMAMA(), t, false, new DateTime(2005, 01, 01), new DateTime(2014, 12, 31), dt);
_FullTradeList = _Stats.CalcBasicTradeStats_old(_FullTradeList);
NewTrades = AlsiUtils.Strategies.TradeStrategy.Expansion.ApplyRegressionFilter(11, _FullTradeList);
NewTrades = _Stats.CalcExpandedTradeStats(NewTrades);
_TradeOnlyList = CompletedTrade.CreateList(NewTrades);
Cursor = Cursors.Default;
}
public async Task <IHttpActionResult> Put(CompletedTrade trade)
{
return(await DocumentDBRepository <CompletedTrade> .Update(trade));
}
private double AddTradeslayer()
{
var PM = GetParametersMAMA();
_FullTradeList = AlsiUtils.Strategies.MAMA_Scalp.MAMAScalp(PM, GlobalObjects.Points, false);
_FullTradeList = _Stats.CalcBasicTradeStats_old(_FullTradeList);
NewTrades = TradeStrategy.Expansion.ApplyRegressionFilter(11, _FullTradeList);
NewTrades = _Stats.CalcExpandedTradeStats(NewTrades);
_TradeOnlyList = CompletedTrade.CreateList(NewTrades);
int C = NewTrades.Count;
for (int i = 1; i < C; i++)
{
var pl = from x in _FullTradeList
where x.TimeStamp >= NewTrades[i].OpenTrade.TimeStamp && x.TimeStamp <= NewTrades[i].CloseTrade.TimeStamp
select x;
double volume = 0;
double volProfit = 0;
var PL = pl.ToList();
foreach (var q in PL)
{
bool tookprofit = false;
volume = PL[0].TradeVolume;
TRADETRIGGER_DIC.TryGetValue(q.TimeStamp, out tookprofit);
if (q.Reason == Trade.Trigger.None && !tookprofit)
{
volProfit = volume * q.RunningProfit;
}
else
{
volProfit = q.RunningProfit;
}
PROF_DIC.Add(q.TimeStamp, volProfit);
NOTE1_DIC.Add(q.TimeStamp, q.Reason.ToString());
VOL_DIC.Add(q.TimeStamp, volume);
if (tookprofit)
{
TOTALPROFIT += volProfit;
break;
}
else
if (q.Reason == Trade.Trigger.CloseLong || q.Reason == Trade.Trigger.CloseShort)
{
TOTALPROFIT += PL.Last().RunningProfit;
}
}
var R = RSICC.Where(x => x.Stamp >= PL[0].TimeStamp && x.Stamp <= PL[PL.Count - 1].TimeStamp);
foreach (var t in R)
{
double r = 0;
double v = 0;
string note = "";
PROF_DIC.TryGetValue(t.Stamp, out r);
NOTE1_DIC.TryGetValue(t.Stamp, out note);
VOL_DIC.TryGetValue(t.Stamp, out v);
t.Runningprofit = r;
t.Note1 = note;
t.Volume = v;
}
//End loop
}
return(TOTALPROFIT);
}
