public DIFStrategy(Indicator Price, int DecyclePeriod = 20, int InvFisherPeriod = 40, decimal Threshold = 0.9m, decimal Tolerance = 0.001m)
        {
            // Initialize the fields.
            _decyclePeriod = DecyclePeriod;
            _invFisherPeriod = InvFisherPeriod;
            _threshold = Threshold;
            _tolerance = Tolerance;

            // Initialize the indicators used by the Strategy.
            _price = Price;
            DecycleTrend = new Decycle(_decyclePeriod).Of(Price);
            InverseFisher = new InverseFisherTransform(_invFisherPeriod).Of(DecycleTrend);
            InvFisherRW = new RollingWindow<decimal>(2);

            LightSmoothPrice = new Decycle(10).Of(Price);
            Momersion = new MomersionIndicator(10, 30).Of(LightSmoothPrice, false);

            // Fill the Inverse Fisher rolling windows at every new InverseFisher observation.
            // Once the Inverse Fisher rolling windows is ready, at every InverseFisher update, the Check signal method will be called.
            InverseFisher.Updated += (object sender, IndicatorDataPoint updated) =>
            {
                if (InverseFisher.IsReady) InvFisherRW.Add(updated);
                if (InvFisherRW.IsReady) CheckSignal();
            };

            Position = StockState.noInvested;
            EntryPrice = null;
            ActualSignal = OrderSignal.doNothing;
        }
        public DIFStrategy(Indicator Price, int DecyclePeriod = 20, int InvFisherPeriod = 40, decimal Threshold = 0.9m, decimal Tolerance = 0.001m)
        {
            // Initialize the fields.
            _decyclePeriod   = DecyclePeriod;
            _invFisherPeriod = InvFisherPeriod;
            _threshold       = Threshold;
            _tolerance       = Tolerance;

            // Initialize the indicators used by the Strategy.
            _price        = Price;
            DecycleTrend  = new Decycle(_decyclePeriod).Of(Price);
            InverseFisher = new InverseFisherTransform(_invFisherPeriod).Of(DecycleTrend);
            InvFisherRW   = new RollingWindow <decimal>(2);

            LightSmoothPrice = new Decycle(10).Of(Price);
            Momersion        = new MomersionIndicator(10, 30).Of(LightSmoothPrice, false);

            // Fill the Inverse Fisher rolling windows at every new InverseFisher observation.
            // Once the Inverse Fisher rolling windows is ready, at every InverseFisher update, the Check signal method will be called.
            InverseFisher.Updated += (object sender, IndicatorDataPoint updated) =>
            {
                if (InverseFisher.IsReady)
                {
                    InvFisherRW.Add(updated);
                }
                if (InvFisherRW.IsReady)
                {
                    CheckSignal();
                }
            };

            Position     = StockState.noInvested;
            EntryPrice   = null;
            ActualSignal = OrderSignal.doNothing;
        }
示例#3
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        public void InstantaneousTrendComputesCorrectly()
        {
            int      _period = 5;
            DateTime time    = DateTime.Now;

            decimal[] actualValues = new decimal[20];

            Decycle dTrend = new Decycle(_period);

            # region Arrays inputs
示例#4
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        public override void Initialize()
        {
            SetStartDate(_startDate);               //Set Start Date
            SetEndDate(_endDate);                   //Set End Date
            SetCash(_initialCapital);              //Set Strategy Cash

            #region Logging stuff - Initializing Operations Logging

            transactionLogging.AppendLine("Time,Symbol,Order");
            dailyProfitsLogging.AppendLine("Date,Symbol,Trades,Profit/Loss");
            int i = 0;  // Only used for logging.

            #endregion Logging stuff - Initializing Operations Logging

            foreach (string symbol in Symbols)
            {
                AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
                // Define and register a Decycle indicator to be
                // injected in the Strategy.
                var decycle = new Decycle("Decycle_" + symbol, DecyclePeriod);
                RegisterIndicator(symbol, decycle, Resolution.Minute, Field.Close);

                // Define the PSAR for each symbol
                PSARDict.Add(symbol, new ParabolicStopAndReverse(afStart: 0.01m, afIncrement:0.001m, afMax: 0.2m));
                RegisterIndicator(symbol, PSARDict[symbol], Resolution.Minute);

                Strategy.Add(symbol, new MSAStrategy(decycle, PreviousDaysN, RunsPerDay));
                // Define the Share size for each symbol.
                ShareSize.Add(symbol, (maxLeverage * maxExposure) / Symbols.Count());

                // Strategy warm-up.
                var history = History(symbol, (PreviousDaysN + 1) * 390);
                foreach (var bar in history)
                {
                    decycle.Update(bar.EndTime, bar.Close);
                }

                #region Logging stuff - Initializing Stock Logging

                stockLogging.Add(new StringBuilder());
                stockLogging[i].AppendLine("Time,Close,Decycle,PSAR,Position");
                i++;

                #endregion Logging stuff - Initializing Stock Logging
            }

            #region Schedules

            // Set flags correctly at market open
            Schedule.Event("MarketOpen")
                .EveryDay()
                .At(9, 29)
                //.AfterMarketOpen(Symbols[0], minutesAfterOpen: -1)
                .Run(() =>
                {
                    isMarketJustOpen = true;
                    isMarketAboutToClose = false;
                    Log(string.Format("========== {0} Market Open ==========", Time.DayOfWeek));
                });
            Schedule.Event("MarketOpenSpan")
                .EveryDay()
                .At(9, 50)
                .Run(() => isMarketJustOpen = false);

            Schedule.Event("MarketAboutToClose")
                .EveryDay()
                .At(15, 50)
                //.BeforeMarketClose(Symbols[0], minuteBeforeClose: 10)
                .Run(() => isMarketAboutToClose = true);

            Schedule.Event("MarketClose")
                .EveryDay()
                .At(15, 59)
                //.BeforeMarketClose(Symbols[0], minuteBeforeClose: 10)
                .Run(() => CloseDay());

            #endregion Schedules
        }