示例#1
0
        /// <summary>
        /// Called on every new bar of data.
        /// </summary>
        /// <param name="currentBar">The current bar of the simulation</param>
        protected override void OnBarUpdate(int currentBar)
        {
            base.OnBarUpdate(currentBar);

            if (currentBar < 2)
            {
                return;
            }

            BressertDss ind = (BressertDss)Dependents[0];

            // The purpose of this strategy is to find the setup bar for the BressertApproach strategy.
            // That strategy will take care of placing the orders.

            // The setup bar is found when the indicator goes above the buyline (40) and then turns down.
            if (DataSeries.IsAbove(ind.Value, 60, currentBar, 2) != -1 && UtilityMethods.IsPeak(ind.Value, currentBar))
            {
                WasFound[currentBar] = true;
            }
        }
示例#2
0
        /// <summary>
        /// If the runnable has already been created, returns that object. If not then
        /// returns an new runnable object based on the name and the instrument.
        /// </summary>
        /// <param name="nameAndParameters">Name of the runnable</param>
        /// <returns>The runnable object</returns>
        public Runnable GetRunnable(string nameAndParameters)
        {
            Runnable requestedItem = null;

            // The name can have parameters to pass to the runnable construtor
            // and are separated by commas.
            // Ex: Rsi,11,3 would create the Rsi and pass the numbers to it in a
            // list. Its up to the indicator to do what it will with each number.
            string[] splitParams  = nameAndParameters.Split(',');
            string   runnableName = splitParams[0];

            string[] runnableParams = splitParams.Skip(1).Take(splitParams.Length - 1).ToArray();

            // See if the runnable is created already and return that object if it is.
            int key = nameAndParameters.GetHashCode();

            if (_createdItems.ContainsKey(key))
            {
                requestedItem = _createdItems[key];
            }
            else
            {
                switch (runnableName)
                {
                // Indicators.
                case "Bollinger":
                    requestedItem = new Bollinger(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "BressertDss":
                    requestedItem = new BressertDss(_tickerData, this, runnableParams);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "BressertTimingBands":
                    requestedItem = new BressertTimingBands(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "BearBeltHold":
                    requestedItem = new BearBeltHold(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "BearEngulfing":
                    requestedItem = new BearEngulfing(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "BearHarami":
                    requestedItem = new BearHarami(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "BearHaramiCross":
                    requestedItem = new BearHaramiCross(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "BullBeltHold":
                    requestedItem = new BullBeltHold(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "BullEngulfing":
                    requestedItem = new BullEngulfing(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "BullHarami":
                    requestedItem = new BullHarami(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "BullHaramiCross":
                    requestedItem = new BullHaramiCross(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "Cci14":
                    requestedItem = new Cci(_tickerData, this, 14);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "DarkCloudCover":
                    requestedItem = new DarkCloudCover(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "Doji":
                    requestedItem = new Doji(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "BearDoji":
                    requestedItem = new BearDoji(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "DownsideTasukiGap":
                    requestedItem = new DownsideTasukiGap(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "EaseOfMovement":
                    requestedItem = new EaseOfMovement(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "EveningStar":
                    requestedItem = new EveningStar(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "FallingThreeMethods":
                    requestedItem = new FallingThreeMethods(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "Hammer":
                    requestedItem = new Hammer(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "HangingMan":
                    requestedItem = new HangingMan(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "InvertedHammer":
                    requestedItem = new InvertedHammer(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "KeltnerChannel":
                    requestedItem = new KeltnerChannel(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "Macd":
                    requestedItem = new Macd(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "Momentum14":
                    requestedItem = new Momentum(_tickerData, this, 14);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "MorningStar":
                    requestedItem = new MorningStar(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "PiercingLine":
                    requestedItem = new PiercingLine(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "PriceOscillator":
                    requestedItem = new PriceOscillator(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "RisingThreeMethods":
                    requestedItem = new RisingThreeMethods(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "Rsi":
                    requestedItem = new Rsi(_tickerData, this, runnableParams);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "Rsi3m3":
                    requestedItem = new Rsi3m3(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "ShootingStar":
                    requestedItem = new ShootingStar(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "Sma":
                    requestedItem = new Sma(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "StickSandwitch":
                    requestedItem = new StickSandwitch(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "StochasticsFast":
                    requestedItem = new StochasticsFast(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "Stochastics":
                    requestedItem = new Stochastics(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "StochRsi":
                    requestedItem = new StochRsi(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "Trend":
                    requestedItem = new Trend(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "ThreeBlackCrows":
                    requestedItem = new ThreeBlackCrows(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "ThreeWhiteSoldiers":
                    requestedItem = new ThreeWhiteSoldiers(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "Trix":
                    requestedItem = new Trix(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "UpsideGapTwoCrows":
                    requestedItem = new UpsideGapTwoCrows(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "UpsideTasukiGap":
                    requestedItem = new UpsideTasukiGap(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "WilliamsR":
                    requestedItem = new WilliamsR(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "Dmi":
                    requestedItem = new Dmi(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "DtOscillator":
                    requestedItem = new DtOscillator(_tickerData, this, runnableParams);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "FibonacciZones":
                    requestedItem = new FibonacciZones(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "ElliotWaves":
                    requestedItem = new ElliotWaves(_tickerData, this);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                case "ZigZag":
                    requestedItem = new ZigZag(_tickerData, this, runnableParams);
                    Simulator.DataOutput.SaveIndicator((Indicator)requestedItem);
                    break;

                ///////////////////////////// Strategies ////////////////////////////

                case "BestOfRootStrategies":
                    requestedItem = new BestOfRootStrategies(_tickerData, this);
                    break;

                case "ComboStrategy":
                    requestedItem = new ComboStrategy(_tickerData, this);
                    break;

                case "BressertApproach":
                    requestedItem = new BressertApproach(_tickerData, this);
                    break;

                case "BressertComboStrategy":
                    requestedItem = new BressertComboStrategy(_tickerData, this);
                    break;

                case "FibonacciRsi3m3":
                    requestedItem = new FibonacciRsi3m3(_tickerData, this);
                    break;

                case "FibonacciDtOscillator":
                    requestedItem = new FibonacciDtOscillator(_tickerData, this);
                    break;

                case "ElliotWavesStrategy":
                    requestedItem = new ElliotWavesStrategy(_tickerData, this);
                    break;

                //
                // Bull
                //

                case "BullBollingerExtended":
                    requestedItem = new BullBollingerExtended(_tickerData, this);
                    break;

                case "BullBeltHoldFound":
                    requestedItem = new BullBeltHoldFound(_tickerData, this);
                    break;

                case "BullEngulfingFound":
                    requestedItem = new BullEngulfingFound(_tickerData, this);
                    break;

                case "BullHaramiFound":
                    requestedItem = new BullHaramiFound(_tickerData, this);
                    break;

                case "BullHaramiCrossFound":
                    requestedItem = new BullHaramiCrossFound(_tickerData, this);
                    break;

                case "BullCciCrossover":
                    requestedItem = new BullCciCrossover(_tickerData, this);
                    break;

                case "BullEaseOfMovement":
                    requestedItem = new BullEaseOfMovement(_tickerData, this);
                    break;

                case "BullDojiFound":
                    requestedItem = new BullDojiFound(_tickerData, this);
                    break;

                case "HammerFound":
                    requestedItem = new HammerFound(_tickerData, this);
                    break;

                case "BullKeltnerExtended":
                    requestedItem = new BullKeltnerExtended(_tickerData, this);
                    break;

                case "BullMacdCrossover":
                    requestedItem = new BullMacdCrossover(_tickerData, this);
                    break;

                case "BullMacdMomentum":
                    requestedItem = new BullMacdMomentum(_tickerData, this);
                    break;

                case "BullMomentumCrossover":
                    requestedItem = new BullMomentumCrossover(_tickerData, this);
                    break;

                case "MorningStarFound":
                    requestedItem = new MorningStarFound(_tickerData, this);
                    break;

                case "PiercingLineFound":
                    requestedItem = new PiercingLineFound(_tickerData, this);
                    break;

                case "RisingThreeMethodsFound":
                    requestedItem = new RisingThreeMethodsFound(_tickerData, this);
                    break;

                case "BullRsiCrossover":
                    requestedItem = new BullRsiCrossover(_tickerData, this);
                    break;

                case "BullSmaCrossover":
                    requestedItem = new BullSmaCrossover(_tickerData, this);
                    break;

                case "StickSandwitchFound":
                    requestedItem = new StickSandwitchFound(_tickerData, this);
                    break;

                case "BullStochasticsFastCrossover":
                    requestedItem = new BullStochasticsFastCrossover(_tickerData, this);
                    break;

                case "BullStochasticsCrossover":
                    requestedItem = new BullStochasticsCrossover(_tickerData, this);
                    break;

                case "BullStochRsiCrossover":
                    requestedItem = new BullStochRsiCrossover(_tickerData, this);
                    break;

                case "ThreeWhiteSoldiersFound":
                    requestedItem = new ThreeWhiteSoldiersFound(_tickerData, this);
                    break;

                case "BullTrendStart":
                    requestedItem = new BullTrendStart(_tickerData, this);
                    break;

                case "BullTrixSignalCrossover":
                    requestedItem = new BullTrixSignalCrossover(_tickerData, this);
                    break;

                case "BullTrixZeroCrossover":
                    requestedItem = new BullTrixZeroCrossover(_tickerData, this);
                    break;

                case "UpsideTasukiGapFound":
                    requestedItem = new UpsideTasukiGapFound(_tickerData, this);
                    break;

                case "BullWilliamsRCrossover":
                    requestedItem = new BullWilliamsRCrossover(_tickerData, this);
                    break;

                case "BullPriceOscillator":
                    requestedItem = new BullPriceOscillator(_tickerData, this);
                    break;

                case "BullDmi":
                    requestedItem = new BullDmi(_tickerData, this);
                    break;

                case "BullBressertDss":
                    requestedItem = new BullBressertDss(_tickerData, this, runnableParams);
                    break;

                case "BullRsi3m3":
                    requestedItem = new BullRsi3m3(_tickerData, this);
                    break;

                case "BullDtOscillator":
                    requestedItem = new BullDtOscillator(_tickerData, this);
                    break;

                //////////// Predicted bull strategies ///////////

                case "BullCciCrossoverPredicted":
                    requestedItem = new BullCciCrossoverPredicted(_tickerData, this);
                    break;

                case "BullDmiPredicted":
                    requestedItem = new BullDmiPredicted(_tickerData, this);
                    break;

                case "BullEaseOfMovementPredicted":
                    requestedItem = new BullEaseOfMovementPredicted(_tickerData, this);
                    break;

                case "BullKeltnerExtendedPredicted":
                    requestedItem = new BullKeltnerExtendedPredicted(_tickerData, this);
                    break;

                case "BullMacdCrossoverPredicted":
                    requestedItem = new BullMacdCrossoverPredicted(_tickerData, this);
                    break;

                case "BullMomentumCrossoverPredicted":
                    requestedItem = new BullMomentumCrossoverPredicted(_tickerData, this);
                    break;

                case "BullPriceOscillatorPredicted":
                    requestedItem = new BullPriceOscillatorPredicted(_tickerData, this);
                    break;

                case "BullRsiCrossoverPredicted":
                    requestedItem = new BullRsiCrossoverPredicted(_tickerData, this);
                    break;

                case "BullSmaCrossoverPredicted":
                    requestedItem = new BullSmaCrossoverPredicted(_tickerData, this);
                    break;

                case "BullStochasticsCrossoverPredicted":
                    requestedItem = new BullStochasticsCrossoverPredicted(_tickerData, this);
                    break;

                case "BullStochasticsFastCrossoverPredicted":
                    requestedItem = new BullStochasticsFastCrossoverPredicted(_tickerData, this);
                    break;

                case "BullStochRsiCrossoverPredicted":
                    requestedItem = new BullStochRsiCrossoverPredicted(_tickerData, this);
                    break;

                case "BullTrixSignalCrossoverPredicted":
                    requestedItem = new BullTrixSignalCrossoverPredicted(_tickerData, this);
                    break;

                case "BullTrixZeroCrossoverPredicted":
                    requestedItem = new BullTrixZeroCrossoverPredicted(_tickerData, this);
                    break;

                case "BullWilliamsRCrossoverPredicted":
                    requestedItem = new BullWilliamsRCrossoverPredicted(_tickerData, this);
                    break;


                //
                // Bear
                //

                case "BearBollingerExtended":
                    requestedItem = new BearBollingerExtended(_tickerData, this);
                    break;

                case "BearCciCrossover":
                    requestedItem = new BearCciCrossover(_tickerData, this);
                    break;

                case "BearEaseOfMovement":
                    requestedItem = new BearEaseOfMovement(_tickerData, this);
                    break;

                case "BearDojiFound":
                    requestedItem = new BearDojiFound(_tickerData, this);
                    break;

                case "BearKeltnerExtended":
                    requestedItem = new BearKeltnerExtended(_tickerData, this);
                    break;

                case "BearMacdMomentum":
                    requestedItem = new BearMacdMomentum(_tickerData, this);
                    break;

                case "BearMacdCrossover":
                    requestedItem = new BearMacdCrossover(_tickerData, this);
                    break;

                case "BearMomentumCrossover":
                    requestedItem = new BearMomentumCrossover(_tickerData, this);
                    break;

                case "BearRsiCrossover":
                    requestedItem = new BearRsiCrossover(_tickerData, this);
                    break;

                case "BearSmaCrossover":
                    requestedItem = new BearSmaCrossover(_tickerData, this);
                    break;

                case "BearStochasticsCrossover":
                    requestedItem = new BearStochasticsCrossover(_tickerData, this);
                    break;

                case "BearStochasticsFastCrossover":
                    requestedItem = new BearStochasticsFastCrossover(_tickerData, this);
                    break;

                case "BearStochRsiCrossover":
                    requestedItem = new BearStochRsiCrossover(_tickerData, this);
                    break;

                case "BearTrendStart":
                    requestedItem = new BearTrendStart(_tickerData, this);
                    break;

                case "BearTrixSignalCrossover":
                    requestedItem = new BearTrixSignalCrossover(_tickerData, this);
                    break;

                case "BearTrixZeroCrossover":
                    requestedItem = new BearTrixZeroCrossover(_tickerData, this);
                    break;

                case "BearWilliamsRCrossover":
                    requestedItem = new BearWilliamsRCrossover(_tickerData, this);
                    break;

                case "BearBeltHoldFound":
                    requestedItem = new BearBeltHoldFound(_tickerData, this);
                    break;

                case "BearEngulfingFound":
                    requestedItem = new BearEngulfingFound(_tickerData, this);
                    break;

                case "BearHaramiFound":
                    requestedItem = new BearHaramiFound(_tickerData, this);
                    break;

                case "BearHaramiCrossFound":
                    requestedItem = new BearHaramiCrossFound(_tickerData, this);
                    break;

                case "DarkCloudCoverFound":
                    requestedItem = new DarkCloudCoverFound(_tickerData, this);
                    break;

                case "DownsideTasukiGapFound":
                    requestedItem = new DownsideTasukiGapFound(_tickerData, this);
                    break;

                case "EveningStarFound":
                    requestedItem = new EveningStarFound(_tickerData, this);
                    break;

                case "FallingThreeMethodsFound":
                    requestedItem = new FallingThreeMethodsFound(_tickerData, this);
                    break;

                case "HangingManFound":
                    requestedItem = new HangingManFound(_tickerData, this);
                    break;

                case "InvertedHammerFound":
                    requestedItem = new InvertedHammerFound(_tickerData, this);
                    break;

                case "ShootingStarFound":
                    requestedItem = new ShootingStarFound(_tickerData, this);
                    break;

                case "ThreeBlackCrowsFound":
                    requestedItem = new ThreeBlackCrowsFound(_tickerData, this);
                    break;

                case "UpsideGapTwoCrowsFound":
                    requestedItem = new UpsideGapTwoCrowsFound(_tickerData, this);
                    break;

                case "BearPriceOscillator":
                    requestedItem = new BearPriceOscillator(_tickerData, this);
                    break;

                case "BearDmi":
                    requestedItem = new BearDmi(_tickerData, this);
                    break;

                case "BearBressertDss":
                    requestedItem = new BearBressertDss(_tickerData, this, runnableParams);
                    break;

                case "BearRsi3m3":
                    requestedItem = new BearRsi3m3(_tickerData, this);
                    break;

                case "BearDtOscillator":
                    requestedItem = new BearDtOscillator(_tickerData, this);
                    break;

                //////////// Predicted bear strategies ///////////

                case "BearCciCrossoverPredicted":
                    requestedItem = new BearCciCrossoverPredicted(_tickerData, this);
                    break;

                case "BearDmiPredicted":
                    requestedItem = new BearDmiPredicted(_tickerData, this);
                    break;

                case "BearEaseOfMovementPredicted":
                    requestedItem = new BearEaseOfMovementPredicted(_tickerData, this);
                    break;

                case "BearKeltnerExtendedPredicted":
                    requestedItem = new BearKeltnerExtendedPredicted(_tickerData, this);
                    break;

                case "BearMacdCrossoverPredicted":
                    requestedItem = new BearMacdCrossoverPredicted(_tickerData, this);
                    break;

                case "BearMomentumCrossoverPredicted":
                    requestedItem = new BearMomentumCrossoverPredicted(_tickerData, this);
                    break;

                case "BearPriceOscillatorPredicted":
                    requestedItem = new BearPriceOscillatorPredicted(_tickerData, this);
                    break;

                case "BearRsiCrossoverPredicted":
                    requestedItem = new BearRsiCrossoverPredicted(_tickerData, this);
                    break;

                case "BearSmaCrossoverPredicted":
                    requestedItem = new BearSmaCrossoverPredicted(_tickerData, this);
                    break;

                case "BearStochasticsCrossoverPredicted":
                    requestedItem = new BearStochasticsCrossoverPredicted(_tickerData, this);
                    break;

                case "BearStochasticsFastCrossoverPredicted":
                    requestedItem = new BearStochasticsFastCrossoverPredicted(_tickerData, this);
                    break;

                case "BearStochRsiCrossoverPredicted":
                    requestedItem = new BearStochRsiCrossoverPredicted(_tickerData, this);
                    break;

                case "BearTrixSignalCrossoverPredicted":
                    requestedItem = new BearTrixSignalCrossoverPredicted(_tickerData, this);
                    break;

                case "BearTrixZeroCrossoverPredicted":
                    requestedItem = new BearTrixZeroCrossoverPredicted(_tickerData, this);
                    break;

                case "BearWilliamsRCrossoverPredicted":
                    requestedItem = new BearWilliamsRCrossoverPredicted(_tickerData, this);
                    break;

                default:
                    throw new Exception(nameAndParameters + " doesn't exist");
                }

                _createdItems[key] = requestedItem;
            }

            return(requestedItem);
        }