protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
if (bFirst)
{
bFirst = false;
}
symbol_list = new List <String> {
"DUMMY", "^SP500"
};
company_name_list = new List <String> {
"DUMMY", "S&P 500"
};
Trade_Status = new List <String> {
"DUMMY", "DUMMY"
};
DaysSincePurchase = new List <int> {
-1, -1
};
NumShares = new List <int> {
-1, -1
};
output_folder = "C:\\temp\\knn\\";
LoadTickers(); //load symbols from file
Description = "test";
Name = "Trade_Scanner3";
Calculate = Calculate.OnEachTick; //This will let us get the last Bar
TestingStartDate = DateTime.Today;
TestingEndDate = DateTime.Today;
//Trading params
SimulateTrades = true;
AmountPerTrade = 500.0f;
StopLossPercent = 5; //use int so we can potentially change during optimization
DaysToHold = 5;
//Allows multiple stocks to be traded on same day
EntryHandling = EntryHandling.UniqueEntries;
//Custom params
uid = "";
indicator = "";
master_symbol_name = "";
bDataLoaded = false;
BOLL_param_string = "2;14;-1";
Strategy_Num = 1;
// This strategy has been designed to take advantage of performance gains in Strategy Analyzer optimizations
// See the Help Guide for additional information
IsInstantiatedOnEachOptimizationIteration = true;
//IsInstantiatedOnEachOptimizationIteration = false;
}
else if (State == State.Configure)
{
//Set our stop loss here
SetStopLoss(CalculationMode.Percent, StopLossPercent / 100.0f);
//System.Windows.Forms.MessageBox.Show("Configure");
bDataLoaded = false;
for (int i = 0; i < symbol_list.Count; i++)
{
//Don't add the dummy instrument (but we still need a placeholder list which is added below)
if (i != 0)
{
AddDataSeries(symbol_list[i], Data.BarsPeriodType.Day, 1);
}
}
for (int i = 0; i < indicator_list.Count; i++)
{
master_list_training.Add(new List <List <Indicator_FutureValueChange_Pair> >());
master_list_testing.Add(new List <List <Indicator_FutureValueChange_Pair> >());
for (int j = 0; j < symbol_list.Count; j++)
{
master_list_training[i].Add(new List <Indicator_FutureValueChange_Pair>());
master_list_testing[i].Add(new List <Indicator_FutureValueChange_Pair>());
}
}
}
else if (State == State.DataLoaded)
{
//master_symbol_name = Instrument.MasterInstrument.Name;
bDataLoaded = true;
TrainingStartDate = TestingEndDate.AddYears(-1);
TrainingEndDate = TestingEndDate.AddDays(-91);
//TestingStartDate = TestingEndDate.AddDays(-90);
output_folder_with_date = output_folder + DateTime.Today.ToString("ddMMMyyyy") + "\\";
DirectoryInfo di1 = Directory.CreateDirectory(output_folder_with_date);
//3-2d-10%-01Jan2018-01Jul2018
Strategy_Description = Strategy_Num.ToString() + "-" + DaysToHold.ToString() + "d-" + StopLossPercent.ToString() + "%-" +
TestingStartDate.ToString("ddMMMyyyy") + "-" + TestingEndDate.ToString("ddMMMyyyy");
results_folder = output_folder_with_date + Strategy_Description;
//DirectoryInfo di2 = Directory.CreateDirectory(results_folder);
}
else if ((bDataLoaded == true) && ((State == State.Transition) || (State == State.Terminated))) //finished processing historical data (and ready for real-time)
{
}
}
protected override void OnBarUpdate()
{
int BarIndex = BarsInProgress;
bool bFinishedProcessingAllData = false;
Boolean bLastSymbol = BarIndex == (symbol_list.Count - 1);
DateTime current_bar_date = Times[BarIndex][0].Date;
if (bLastSymbol &&
(((CurrentBar + 1) == Count) || (current_bar_date == TestingEndDate))) //we are on the last bar to process
{
Debug.WriteLine("bFinished trigger");
bFinishedProcessingAllData = true;
}
String debug_txt1 = "Date=" + Times[BarIndex][0].Date.ToShortDateString() + "BarIndex=" + BarIndex.ToString() + "CurrentBar=" + CurrentBar.ToString() + "Count=" + Count.ToString();
Debug.WriteLine(debug_txt1);
//NOTE: Index 1 is always S&P 500
if ((BarIndex >= 1 /*1*/) && (BarIndex < (symbol_list.Count))) //Start at index=1 since we want to ignore the primary/dummy instrument
{
DateTime date_to_process = Times[BarIndex][0].Date; //need to wait FutureValueDaysToLookAhead days before we can make calcs
if ((date_to_process >= TestingStartDate) && (date_to_process <= TestingEndDate)) // && (CurrentBar >= (20))) //give 20 days of buffer
{
int SP500_index = 1;
if (BarIndex == SP500_index)
{
Date_Price_Pair date_price = new Date_Price_Pair();
date_price.Date = date_to_process;
date_price.Price = Closes[BarIndex][0];
SP500_historical_price_list.Add(date_price);
}
else //non S&P500 symbols
{
TradeScannerResult scan_result = new TradeScannerResult();
double OpenPriceToday = Opens[BarIndex][0];
double ClosePriceToday = Closes[BarIndex][0];
double SP500_Open = Opens[SP500_index][0];
double SP500_Close = Closes[SP500_index][0];
try
{
scan_result.Date = date_to_process;
scan_result.Symbol = symbol_list[BarIndex];
scan_result.Description = company_name_list[BarIndex];
scan_result.Open = OpenPriceToday;
scan_result.Close = ClosePriceToday;
scan_result.PercentChange_Today = (((ClosePriceToday / OpenPriceToday) - 1.0) * 100.0);
scan_result.SP500_PercentChange_Today = (((SP500_Close / SP500_Open) - 1.0) * 100.0);
scan_result.Compare_SP500_Today = scan_result.PercentChange_Today - scan_result.SP500_PercentChange_Today;
scan_result.PercentChange_1Day = PctChange(BarIndex, 1);
scan_result.PercentChange_2Day = PctChange(BarIndex, 2);
scan_result.PercentChange_5Day = PctChange(BarIndex, 5);
scan_result.PercentChange_10Day = PctChange(BarIndex, 10);
scan_result.PercentChange_15Day = PctChange(BarIndex, 15);
scan_result.PercentChange_20Day = PctChange(BarIndex, 20);
scan_result.Compare_SP500_1Day = scan_result.PercentChange_1Day - PctChange(SP500_index, 1);
scan_result.Compare_SP500_2Day = scan_result.PercentChange_2Day - PctChange(SP500_index, 2);
scan_result.Compare_SP500_5Day = scan_result.PercentChange_5Day - PctChange(SP500_index, 5);
scan_result.Compare_SP500_10Day = scan_result.PercentChange_10Day - PctChange(SP500_index, 10);
scan_result.Compare_SP500_15Day = scan_result.PercentChange_15Day - PctChange(SP500_index, 15);
scan_result.Compare_SP500_20Day = scan_result.PercentChange_20Day - PctChange(SP500_index, 20);
scan_result.Green_5Day = GetPercentOfGreenDays(BarIndex, 5);
scan_result.Green_10Day = GetPercentOfGreenDays(BarIndex, 10);
scan_result.Green_15Day = GetPercentOfGreenDays(BarIndex, 15);
scan_result.Green_20Day = GetPercentOfGreenDays(BarIndex, 20);
PopulateParamatersForIndicator(IndicatorEnum.indicator_BOLLINGER);
//Indicator_FutureValueChange_Pair indicator_pair = GetIndicatorValue(indicator_list[i], BarIndex, 0, date_to_process);
double indicator_value_today = 0.0;
scan_result.Indicator_Name = "BOLL";
scan_result.Strategy_Name = Strategy_Description; // Strategy_Num.ToString();
double boll_0 = ComputeBollinger(BarIndex, 0);
double boll_1 = ComputeBollinger(BarIndex, 1);
double boll_2 = ComputeBollinger(BarIndex, 2);
double boll_3 = ComputeBollinger(BarIndex, 3);
double boll_4 = ComputeBollinger(BarIndex, 4);
double boll_5 = ComputeBollinger(BarIndex, 5);
double boll_10 = ComputeBollinger(BarIndex, 10);
double boll_15 = ComputeBollinger(BarIndex, 15);
double boll_20 = ComputeBollinger(BarIndex, 20);
indicator_value_today = boll_0;
scan_result.Indicator_Today = indicator_value_today;
double boll_0_chg = boll_1 - boll_0;
double boll_min = -1.0;
double boll_max = -0.75;
bool boll_in_range = (boll_0 > boll_min) && (boll_0 < boll_max);
double boll_min_change = 0.05;
double boll_max_change = 0.25;
bool boll_change_in_range = (boll_0_chg > boll_min_change) && (boll_0_chg < boll_max_change);
bool boll_declining_3dys = (boll_3 > boll_2) && (boll_2 > boll_1) && (boll_0 > boll_1);
scan_result.Indicator_Change_1Day = indicator_value_today - boll_1;
scan_result.Indicator_Change_2Day = indicator_value_today - boll_2;
scan_result.Indicator_Change_5Day = indicator_value_today - boll_5;
scan_result.Indicator_Change_10Day = indicator_value_today - boll_10;
scan_result.Indicator_Change_15Day = indicator_value_today - boll_15;
scan_result.Indicator_Change_20Day = indicator_value_today - boll_20;
double RSI_val = RSI(BarsArray[BarIndex], 14, 3)[0]; //get the indicator val from n days ago
scan_result.RSI = RSI_val;
bool bBuy = false;
switch (Strategy_Num)
{
case 1: //declining boll for 3, then up spike
if (boll_in_range && boll_change_in_range)
{
//strat1 (declining boll for 3, then up spike)
if (boll_declining_3dys)
{
Console.WriteLine("\nstrat1\n");
bBuy = true;
}
}
break;
case 2: //boll up spike
if (boll_in_range && boll_change_in_range)
{
Console.WriteLine("\nstrat2\n");
bBuy = true;
}
break;
case 3: //boll crossing -1 threshold, but not too far
if ((boll_1 < -1.1) && (boll_0 > -0.9) && (boll_0 < -0.7))
{
Console.WriteLine("\nstrat3\n");
bBuy = true;
}
break;
case 4: //boll in range, today's change < -0.5% and SP500 change > 0%
if (boll_in_range && (scan_result.PercentChange_Today < -0.5) && (scan_result.SP500_PercentChange_Today > 0.0))
{
Console.WriteLine("\nstrat4\n");
bBuy = true;
}
break;
case 5: //strat3 + Today 0.75-1.25 and SP500Change 0.5 - 1.0
if ((boll_1 < -1.1) && (boll_0 > -0.9) && (boll_0 < -0.7) && (scan_result.PercentChange_Today > 0.75) &&
(scan_result.PercentChange_Today < 1.25) &&
(scan_result.SP500_PercentChange_Today > 0.5) &&
(scan_result.SP500_PercentChange_Today < 1.0))
{
Console.WriteLine("\nstrat5\n");
bBuy = true;
}
break;
case 6: //boll up spike + Today < -1.5 + SP500Change < -0.75
if (boll_in_range && boll_change_in_range && (scan_result.PercentChange_Today < -1.5) && (scan_result.SP500_PercentChange_Today < -0.75))
{
Console.WriteLine("\nstrat6\n");
bBuy = true;
}
break;
case 7: //strat3 + Today 0.5-2.0 and SP500Change 0.5 - 3.0
if ((boll_1 < -1.1) && (boll_0 > -0.9) && (boll_0 < -0.7) && (scan_result.PercentChange_Today > 0.5) &&
(scan_result.PercentChange_Today < 2.0) &&
(scan_result.SP500_PercentChange_Today > 0.5) &&
(scan_result.SP500_PercentChange_Today < 3.0))
{
Console.WriteLine("\nstrat7\n");
bBuy = true;
}
break;
default:
break;
}
String signal_name = scan_result.Symbol + "-" + Strategy_Num.ToString() + "-" + DaysToHold.ToString() + "-" + StopLossPercent.ToString();
//Check to see if time to sell
if (Trade_Status[BarIndex] == "InProgress")
{
//if ((date_to_process > trig.TradeDate)) // && (date_to_process <= trig.TradeDate.AddDays(trig.DaysToHold)))
//{
DaysSincePurchase[BarIndex]++;
if (DaysSincePurchase[BarIndex] == DaysToHold) //Use input parameter rather than reading from file trig.DaysToHold //Set Exit for end of nth day
{
Trade_Status[BarIndex] = "Idle";
ExitLong(BarIndex, NumShares[BarIndex], signal_name, signal_name);
DaysSincePurchase[BarIndex] = -1;
}
//}
}
else if (bBuy)
{
if (scan_result.Close < AmountPerTrade) //if price is greater than max per trade, then we cannot purchase
{
TradeTriggerByDate trig = new TradeTriggerByDate();
trig.Symbol = scan_result.Symbol;
trig.TradeDate = scan_result.Date;
trig.DaysToHold = DaysToHold;
trade_triggers.Add(trig);
Trade_Status[BarIndex] = "InProgress";
DaysSincePurchase[BarIndex] = 0;
//trig.Status = "InProgress";
NumShares[BarIndex] = (int)(AmountPerTrade / scan_result.Close);
EnterLong(BarIndex, NumShares[BarIndex], signal_name);
trade_scanner_results.Add(scan_result);
}
}
}
catch
{
Console.WriteLine("Caught exception");
}
}
}
}
if (bFinishedProcessingAllData == true)
{
uid = rnd.Next(100000, 999999).ToString();
results_folder = results_folder + "_" + uid + "\\";
DirectoryInfo di2 = Directory.CreateDirectory(results_folder);
WriteTradeScannerResults();
//WriteTradeTriggers();
WriteSP500HistoricalData();
}
}
