private float PcntProfitFromNTicks(string fundName, int n, DateTime ts)
{
if (!_dataLoader.GetWithIndex(fundName, _dataRange, ts, n, out StockPricesData spData, out int dataIndex))
{
return(float.MinValue);
}
return((spData.C[dataIndex] - spData.C[dataIndex - n]) / spData.C[dataIndex - n]);
}
public static void Calculate(SimplexFundsData data, DateTime ts, int profitRange, int changeRange, StockDataRange dataRange, ISystemDataLoader dataLoader)
{
dataLoader.GetWithIndex(data.Stocks[0].FullName, dataRange, ts, 0, out StockPricesData spData0, out _);
DateTime simLastTs = spData0.TS[spData0.TS.Length - 1];
for (int i = 0; i < data.Stocks.Length; i++)
{
data.Active[i] = dataLoader.GetWithIndex(data.Stocks[i].FullName, dataRange, ts, Math.Max(profitRange, changeRange) + 1, out StockPricesData spData, out int dataIndex);
if (!data.Active[i])
{
continue;
}
data.Active[i] = NotLastButOneDataIndex(spData, dataIndex, simLastTs);
if (!data.Active[i])
{
continue;
}
data.Prices[i] = spData.C[dataIndex];
data.AvgProfit[i] = AvgChangeInPercent(spData.C, dataIndex, profitRange, null);
data.AvgChange[i] = AvgChangeInPercent(spData.C, dataIndex, changeRange, Math.Abs);
data.AvgChangeSigma[i] = StdDev(spData.C, dataIndex, changeRange, data.AvgChange[i]);
}
}
public static void CalculateMaxValuesAndStops(BBTrendFundsData data, float stopWidth, DateTime ts, StockDataRange dataRange, ISystemDataLoader dataLoader)
{
for (int i = 0; i < data.Stocks.Length; i++)
{
if (data.CurrentTrends[i] != BBTrendType.Up)
{
data.UpTrendMaxValues[i] = float.MinValue;
data.UpTrendStopValues[i] = float.MinValue;
continue;
}
if (!dataLoader.GetWithIndex(data.Stocks[i].FullName, dataRange, ts, out StockPricesData spData, out int dataIndex))
{
continue;
}
//data.UpTrendMaxValues[i] = Math.Max(spData.H[dataIndex], data.UpTrendMaxValues[i]);
data.UpTrendMaxValues[i] = Math.Max(spData.C[dataIndex], data.UpTrendMaxValues[i]);
data.UpTrendStopValues[i] = data.UpTrendMaxValues[i] * (1f - stopWidth);
}
}
public static void CalculateTrendsAndExpectations(BBTrendFundsData data, DateTime ts, StockDataRange dataRange, ISystemDataLoader dataLoader)
{
for (int i = 0; i < data.Stocks.Length; i++)
{
if (!dataLoader.GetWithIndex(data.Stocks[i].FullName, dataRange, ts, data.StatsBB[i].BackBufferLength, out StockPricesData spData, out int dataIndex))
{
continue;
}
BBTrendType lastTrend = data.CurrentTrends[i];
data.CurrentTrends[i] = BBTrendRecognizer.BBTrendRecognizer.RecognizeTrend(spData, data.StatsBB[i], dataIndex, data.CurrentTrends[i], out float trendStartLevel);
if (lastTrend != data.CurrentTrends[i])
{
data.UpTrendStartValues[i] = trendStartLevel;// spData.H[dataIndex];
data.TrendLength[i] = 0;
}
data.TrendLength[i]++;
BBTrendExpectation lastExpectation = data.CurrentExpectations[i];
data.CurrentExpectations[i] = BBTrendRecognizer.BBTrendRecognizer.GetExpectation(spData, data.StatsBB[i], dataIndex, data.CurrentTrends[i]);
data.ExpectationChanged[i] = (lastExpectation != data.CurrentExpectations[i]);
}
}
public static void CheckStops(BBTrendFundsData data, DateTime ts, StockDataRange dataRange, ISystemDataLoader dataLoader)
{
for (int i = 0; i < data.Stocks.Length; i++)
{
if (data.CurrentTrends[i] != BBTrendType.Up)
{
data.StoppedOut[i] = false;
continue;
}
if (!dataLoader.GetWithIndex(data.Stocks[i].FullName, dataRange, ts, out StockPricesData spData, out int dataIndex))
{
continue;
}
if (data.StoppedOut[i])
{
data.StoppedOut[i] = (spData.C[dataIndex] <= data.StoppedOutValues[i]) || !PriceAbovePrevMaxH(data, i, dataIndex, spData.C[dataIndex]);
}
else
{
data.StoppedOut[i] = (spData.C[dataIndex] <= data.UpTrendStopValues[i]);
}
}
}