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);
}
