protected void WriteTradeTriggers()
{
int count = trade_triggers.Count;
var csv = new StringBuilder();
for (int i = 0; i < count; i++)
{
TradeTriggerByDate res = trade_triggers[i];
var newLine = string.Format("{0};{1};{2}",
res.Symbol,
res.TradeDate.ToShortDateString(),
res.DaysToHold);
csv.AppendLine(newLine);
}
//mut.WaitOne(); //wait until safe to enter; prior thread has completed writing.
try
{
String file_name = output_folder + "triggers_strategy" + Strategy_Num.ToString() + "_" + TestingStartDate.ToString("ddMMMyyyy") + "to" + TestingEndDate.ToString("ddMMMyyyy") + "_" + uid + ".csv";
File.WriteAllText(file_name, csv.ToString());
//mut.ReleaseMutex();
}
catch (System.Exception exp)
{
Log("File write error for file name '" + "' Error '" + exp.Message + "'", LogLevel.Warning);
}
}
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_Scanner2";
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 + TestingEndDate.ToString("ddMMMyyyy") + "\\";
DirectoryInfo di = Directory.CreateDirectory(output_folder_with_date);
}
else if ((bDataLoaded == true) && ((State == State.Transition) || (State == State.Terminated))) //finished processing historical data (and ready for real-time)
{
}
}
protected void WriteTradeScannerResults()
{
int count = trade_scanner_results.Count;
var csv = new StringBuilder();
csv.AppendLine("Date,Symbol,Co.,Open,Close,%Change,SP500%Change,CompSP500,%Change-1Day, %Change-2Day,%Change-5Day," +
"%Change-10Day,%Change-15Day,%Change-20Day,CompSP500-1Day,CompSP500-2Day,CompSP500-5Day,CompSP500-10Day," +
"CompSP500-15Day,CompSP500-20Day,IndName,IndToday,IndChange-1Day,IndChange-2Day,IndChange-5Day," +
"IndChange-10Day,IndChange-15Day,IndChange-20Day,RSI,Strategy");
for (int i = 0; i < count; i++)
{
TradeScannerResult res = trade_scanner_results[i];
var newLine = string.Format("{0},{1},{2},{3},{4:0.00},{5:0.00},{6:0.00},{7:0.00}",
res.Date.ToShortDateString(),
res.Symbol,
res.Description,
res.Open,
res.Close,
res.PercentChange_Today,
res.SP500_PercentChange_Today,
res.Compare_SP500_Today);
newLine = newLine + string.Format(",{0:0.00},{1:0.00},{2:0.00},{3:0.00},{4:0.00},{5:0.00}",
res.PercentChange_1Day,
res.PercentChange_2Day,
res.PercentChange_5Day,
res.PercentChange_10Day,
res.PercentChange_15Day,
res.PercentChange_20Day);
newLine = newLine + string.Format(",{0:0.00},{1:0.00},{2:0.00},{3:0.00},{4:0.00},{5:0.00}",
res.Compare_SP500_1Day,
res.Compare_SP500_2Day,
res.Compare_SP500_5Day,
res.Compare_SP500_10Day,
res.Compare_SP500_15Day,
res.Compare_SP500_20Day);
newLine = newLine + string.Format(",{0},{1:0.00},{2:0.00},{3:0.00},{4:0.00},{5:0.00},{6:0.00},{7:0.00},{8:0.00},{9}",
res.Indicator_Name,
res.Indicator_Today,
res.Indicator_Change_1Day,
res.Indicator_Change_2Day,
res.Indicator_Change_5Day,
res.Indicator_Change_10Day,
res.Indicator_Change_15Day,
res.Indicator_Change_20Day,
res.RSI,
res.Strategy_Name);
csv.AppendLine(newLine);
}
//mut.WaitOne(); //wait until safe to enter; prior thread has completed writing.
try
{
String file_name = output_folder + "scanner_results_strategy" + Strategy_Num.ToString() + "_" + TestingStartDate.ToString("ddMMMyyyy") + "to" + TestingEndDate.ToString("ddMMMyyyy") + "_" + uid + ".csv";
File.WriteAllText(file_name, csv.ToString());
//mut.ReleaseMutex();
}
catch (System.Exception exp)
{
Log("File write error for file name '" + "' Error '" + exp.Message + "'", LogLevel.Warning);
}
}
protected String GenerateConfigFile(String filePath, String symbol, String training_file_path, String testing_file_path, String unique_id)
{
String output_file_base = filePath + "_results_";
String config_file_name = filePath + "_config" + unique_id + ".txt";
List <String> labels = new List <String>
{
"KNN_num_neighbors",
"num_training_pts",
"samples_per_group",
"window_size",
"avg_target",
"good_target",
"bad_target",
"min_samples",
"thresh1",
"thresh2",
"future_lookahead",
"s_name",
"description",
"training_file",
"training_start",
"training_end",
"testing_file",
"testing_start",
"testing_end",
"output_csv_file",
"output_txt_file",
"output_pdf_file"
};
List <String> values = new List <String>
{
KNN_num_neighbors.ToString(),
num_training_pts.ToString(),
samples_per_group.ToString(),
window_size.ToString(),
avg_target.ToString(),
good_target.ToString(),
bad_target.ToString(),
min_samples.ToString(),
thresh1.ToString(),
thresh2.ToString(),
FutureValueDaysToLookAhead.ToString(),
symbol,
description,
training_file_path,
TrainingStartDate.ToShortDateString(),
TrainingEndDate.ToShortDateString(),
testing_file_path,
TestingStartDate.ToShortDateString(),
TestingEndDate.ToShortDateString(),
output_file_base + "data" + unique_id + ".csv",
output_file_base + "summary" + unique_id + ".txt",
output_file_base + "plot" + unique_id + ".pdf",
};
List <String> types = new List <String>
{
"int",
"int",
"int",
"int",
"float",
"float",
"float",
"int",
"float",
"float",
"int",
"str",
"str",
"str",
"str",
"str",
"str",
"str",
"str",
"str",
"str",
"str"
};
var cfg = new StringBuilder();
for (int i = 0; i < labels.Count; i++)
{
cfg.AppendLine(labels[i] + "=" + values[i] + "#" + types[i]);
}
File.WriteAllText(config_file_name, cfg.ToString());
return(config_file_name);
}
protected String GenerateConfigFile(String filePath, String symbol, String company, String training_file_path, String testing_file_path, String unique_id)
{
String output_file_base = filePath + "_results_";
String config_file_name = filePath + "_config" + unique_id + ".txt";
List <String> labels = new List <String>
{
"KNN_num_neighbors",
"num_training_pts",
"num_groups",
"stagger_factor",
"window_size",
"avg_target",
"good_target",
"bad_target",
"min_samples_pct",
"thresh1",
"thresh2",
"future_lookahead",
"s_name",
"co_name",
"description",
"training_file",
"training_start",
"training_end",
"testing_file",
"testing_start",
"testing_end",
"output_csv_file",
"output_txt_file",
"output_pdf_file"
};
List <String> values = new List <String>
{
KNN_num_neighbors.ToString(),
num_training_pts.ToString(),
num_groups.ToString(),
stagger_factor.ToString(),
window_size.ToString(),
avg_target.ToString(),
good_target.ToString(),
bad_target.ToString(),
min_samples_pct.ToString(),
thresh1.ToString(),
thresh2.ToString(),
FutureValueDaysToLookAhead.ToString(),
symbol,
company,
description,
training_file_path,
TrainingStartDate.ToShortDateString(),
TrainingEndDate.ToShortDateString(),
testing_file_path,
TestingStartDate.ToShortDateString(),
TestingEndDate.ToShortDateString(),
output_file_base + "data" + unique_id + ".csv",
output_file_base + "summary" + unique_id + ".txt",
output_file_base + "plot" + unique_id + ".pdf",
};
List <String> types = new List <String>
{
"int",
"int",
"int",
"int",
"int",
"float",
"float",
"float",
"float",
"float",
"float",
"int",
"str",
"str",
"str",
"str",
"str",
"str",
"str",
"str",
"str",
"str",
"str",
"str"
};
var cfg = new StringBuilder();
for (int i = 0; i < labels.Count; i++)
{
cfg.AppendLine(labels[i] + "=" + values[i] + "#" + types[i]);
}
//mut.WaitOne(); //wait until safe to enter; prior thread has completed writing.
try
{
File.WriteAllText(config_file_name, cfg.ToString());
//mut.ReleaseMutex();
}
catch (System.Exception exp)
{
Log("File write error for file name '" + filePath + "' Error '" + exp.Message + "'", LogLevel.Warning);
}
return(config_file_name);
}
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"
};
output_folder = "C:\\temp\\knn\\";
LoadTickers(); //load symbols from file
Description = "test";
Name = "KNN_Generator16";
Calculate = Calculate.OnEachTick; //This will let us get the last Bar
DaysToLookBack = 1;
FutureValueDaysToLookAhead = 5;
TestingEndDate = DateTime.Today;
//Custom params
uid = "";
indicator = "";
KNN_num_neighbors = 3;
num_training_pts = 200;
num_groups = 20;
stagger_factor = 0;
window_size = 1;
avg_target = 1.0f;
good_target = 0.5f;
bad_target = 0.20f;
min_samples_pct = 0.06f;
thresh1 = 1.0f;
thresh2 = -1.0f;
Sanitize = false;
ProcessAllTickers = true;
FindBestSolutions = false;
GeneratePlotsForBestSolutions = false;
OnlyGeneratePlots = false;
NumPlotsToGenerate = 20;
master_symbol_name = "";
bDataLoaded = false;
MACD_param_string = "12;26;9";
RSI_param_string = "14;3;-1";
BOLL_param_string = "2;14;-1";
STOCH_param_string = "7;14;3";
STOCH_RSI_param_string = "14;-1;-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)
{
//System.Windows.Forms.MessageBox.Show("Configure");
bDataLoaded = false;
if (!OnlyGeneratePlots)
{
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>());
}
}
}
SetStopLoss(CalculationMode.Percent, 0.05);
// Sets a 20 tick trailing stop for an open position
//SetTrailStop(CalculationMode.Ticks, 20);
}
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 + TestingEndDate.ToString("ddMMMyyyy") + "\\";
DirectoryInfo di = Directory.CreateDirectory(output_folder_with_date);
if (OnlyGeneratePlots)
{
mut_python.WaitOne();
string args = output_folder_with_date + "master_sorted.csv" + " " + NumPlotsToGenerate.ToString();
Debug.WriteLine("Python args" + args);
CallPythonScript(output_folder + "\\Data_Processing46.py", args);
mut_python.ReleaseMutex();
Debug.WriteLine("After Python mutex");
}
}
else if ((bDataLoaded == true) && ((State == State.Transition) || (State == State.Terminated))) //finished processing historical data (and ready for real-time)
{
}
}
protected String GenerateConfigFile(String filePath, String symbol, String company, String training_file_path, String testing_file_path, String unique_id)
{
String output_file_base = filePath + "_results_";
String config_file_name = filePath + "_config" + unique_id + ".txt";
List <List <String> > param_list = new List <List <String> >();
param_list.Add(new List <String>()
{
"uid", uid, "str"
});
param_list.Add(new List <String>()
{
"KNN_num_neighbors", KNN_num_neighbors.ToString(), "int"
});
param_list.Add(new List <String>()
{
"num_training_pts", num_training_pts.ToString(), "int"
});
param_list.Add(new List <String>()
{
"num_groups", num_groups.ToString(), "int"
});
param_list.Add(new List <String>()
{
"stagger_factor", stagger_factor.ToString(), "int"
});
param_list.Add(new List <String>()
{
"window_size", window_size.ToString(), "int"
});
param_list.Add(new List <String>()
{
"avg_target", avg_target.ToString(), "float"
});
param_list.Add(new List <String>()
{
"good_target", good_target.ToString(), "float"
});
param_list.Add(new List <String>()
{
"bad_target", bad_target.ToString(), "float"
});
param_list.Add(new List <String>()
{
"min_samples_pct", min_samples_pct.ToString(), "float"
});
param_list.Add(new List <String>()
{
"thresh1", thresh1.ToString(), "float"
});
param_list.Add(new List <String>()
{
"thresh2", thresh2.ToString(), "float"
});
param_list.Add(new List <String>()
{
"future_lookahead", FutureValueDaysToLookAhead.ToString(), "int"
});
param_list.Add(new List <String>()
{
"s_name", symbol, "str"
});
param_list.Add(new List <String>()
{
"co_name", company, "str"
});
param_list.Add(new List <String>()
{
"description", description, "str"
});
param_list.Add(new List <String>()
{
"indicator", indicator, "str"
});
param_list.Add(new List <String>()
{
"param1", Param1.ToString(), "int"
});
param_list.Add(new List <String>()
{
"param2", Param2.ToString(), "int"
});
param_list.Add(new List <String>()
{
"param3", Param3.ToString(), "int"
});
param_list.Add(new List <String>()
{
"training_file", training_file_path, "str"
});
param_list.Add(new List <String>()
{
"training_start", TrainingStartDate.ToShortDateString(), "str"
});
param_list.Add(new List <String>()
{
"training_end", TrainingEndDate.ToShortDateString(), "str"
});
param_list.Add(new List <String>()
{
"testing_file", testing_file_path, "str"
});
param_list.Add(new List <String>()
{
"testing_start", TestingStartDate.ToShortDateString(), "str"
});
param_list.Add(new List <String>()
{
"testing_end", TestingEndDate.ToShortDateString(), "str"
});
param_list.Add(new List <String>()
{
"output_csv_file", output_file_base + "data" + unique_id + ".csv", "str"
});
param_list.Add(new List <String>()
{
"output_txt_file", output_file_base + "summary" + unique_id + ".txt", "str"
});
param_list.Add(new List <String>()
{
"output_pdf_file", output_file_base + "plot" + unique_id + ".pdf", "str"
});
var cfg = new StringBuilder();
for (int i = 0; i < param_list.Count; i++)
{
cfg.AppendLine(param_list[i][0] + "=" + param_list[i][1] + "#" + param_list[i][2]);
}
//mut.WaitOne(); //wait until safe to enter; prior thread has completed writing.
try
{
File.WriteAllText(config_file_name, cfg.ToString());
//mut.ReleaseMutex();
}
catch (System.Exception exp)
{
Log("File write error for file name '" + filePath + "' Error '" + exp.Message + "'", LogLevel.Warning);
}
return(config_file_name);
}