protected override void Step()
{
// Look for trade entry
var sets_count = PositionSets.Count + PendingOrders.Count();
if (sets_count < MaxPositionSets && EntryCooldown == 0)
{
// Wait for a sequence of candles entirely above or below the MA
var price = Instrument.LatestPrice;
var mcs = Instrument.MCS;
// Look for a sequence of candles that are entirely above or below the MA
var bulge = FindBulges(0, MA0).FirstOrDefault();
if (bulge.Sign != 0 && Instrument.IdxLast - bulge.Range.End <= NonIntersectingCount)
{
Debugging.AreaOfInterest(bulge.Range, append: false);
// Decide the direction
int sign = 0;
//// Trade in the direction of the slow MA if it is trending strongly
//var ma_slope = MA1.FirstDerivative(0) / Instrument.PipSize;
//if (Math.Abs(ma_slope) > MATrendSlope)
//{
// sign = Math.Sign(ma_slope);
//}
//else
{
// Using measured stats of bulge sequences, the probabilities are:
// 0 = below the MA, 1 = above the MA
var next_bulge_sign = new []
{
-1, // 000: -0.168091168091168 (count=351)
+1, // 001: 0.224489795918367 (count=245)
-1, // 010: -0.069767441860465 (count=172)
+1, // 011: 0.158730158730159 (count=252)
-1, // 100: -0.195121951219512 (count=246)
+1, // 101: 0.139664804469274 (count=179)
-1, // 110: -0.217391304347826 (count=253)
+1, // 111: 0.064102564102564 (count=312)
};
// Include the current bulge because the trade triggers when this bulge closes
var bulge_signs = new List <int>();
FindBulges(0, MA0).Take(3).ForEach(b => bulge_signs.Insert(0, b.Sign)); // Careful with order
sign = next_bulge_sign[Bit.SignsToIndex(bulge_signs)];
}
{ // Create a pending order
var ep = MA0[0];
var tt = CAlgo.SignToTradeType(sign);
var sl = ep - sign * mcs * SLFrac; // Note: the SL needs to be big enough that a paired order is triggered before this trade is closed
var tp = (QuoteCurrency?)null;
var vol = Broker.ChooseVolume(Instrument, Math.Abs(ep - sl), risk: Risk);
var trade = new Trade(Instrument, tt, Label, ep, sl, tp, vol, comment: Guid.NewGuid().ToString())
{
Expiration = Instrument.ExpirationTime(1)
};
Broker.CreatePendingOrder(trade);
}
EntryCooldown = 1;
}
}
// Increase position size on winning positions
//IncreasePosition();
// Break point helper
if (Instrument.NewCandle)
{
Dump();
}
}