protected override Signal GenerateSignal(Security security, DateTime AsOf)
{
security.SetSwingPointsAndTrends(BarCount, PriceBarSize.Weekly);
// Only generate signals after the last close of the week has finalized this bar
if (AsOf != Calendar.LastTradingDayOfWeek(AsOf))
{
return(null);
}
// Today's weekly trend
PriceBar weeklyBar = security.GetPriceBar(AsOf, PriceBarSize.Weekly);
if (weeklyBar == null)
{
return(null);
}
TrendQualification weeklyTrend = weeklyBar.GetTrendType(BarCount);
// Get the weekly trend from the prior week
PriceBar priorWeek = weeklyBar.PriorBar;
TrendQualification priorWeekTrend = priorWeek?.GetTrendType(BarCount) ?? TrendQualification.NotSet;
if (weeklyTrend == priorWeekTrend)
{
return(null);
}
if (weeklyTrend == TrendQualification.AmbivalentSideways ||
weeklyTrend == TrendQualification.ConfirmedSideways ||
weeklyTrend == TrendQualification.SuspectSideways)
{
return(new Signal(security, PriceBarSize.Daily, AsOf, SignalAction.CloseIfOpen, 1));
}
if (weeklyTrend == TrendQualification.SuspectBullish ||
weeklyTrend == TrendQualification.ConfirmedBullish)
{
return(new Signal(security, PriceBarSize.Daily, AsOf, SignalAction.Buy, 1));
}
if (weeklyTrend == TrendQualification.SuspectBearish ||
weeklyTrend == TrendQualification.ConfirmedBearish)
{
return(new Signal(security, PriceBarSize.Daily, AsOf, SignalAction.Sell, 1));
}
return(null);
}
protected override Signal GenerateSignal(Security security, DateTime AsOf)
{
security.SetSwingPointsAndTrends(BarCount, PriceBarSize.Daily);
security.SetSwingPointsAndTrends(BarCount, PriceBarSize.Weekly);
// Today's daily trend
PriceBar dailyBar = security.GetPriceBar(AsOf, PriceBarSize.Daily);
TrendQualification dailyTrend = dailyBar.GetTrendType(BarCount);
// Today's weekly trend
// We use last week's value until this week is completed on Friday, then we can start using that bar
PriceBar weeklyBar = security.GetPriceBar(AsOf, PriceBarSize.Weekly);
if (AsOf != Calendar.LastTradingDayOfWeek(AsOf))
{
weeklyBar = weeklyBar?.PriorBar;
}
if (weeklyBar == null)
{
return(null);
}
TrendQualification weeklyTrend = weeklyBar.GetTrendType(BarCount);
TrendAlignment currentTrendAlignment = GetTrendAlignment(dailyTrend, weeklyTrend);
if (currentTrendAlignment == TrendAlignment.Sideways || currentTrendAlignment == TrendAlignment.Opposing)
{
return(new Signal(security, PriceBarSize.Daily, AsOf, SignalAction.CloseIfOpen, 1));
}
// Get the trend from the last period
if (dailyBar.PriorBar == null)
{
return(null);
}
TrendQualification priorDayTrend = dailyBar.PriorBar.GetTrendType(BarCount);
// Get the weekly trend from the prior day, which will align with yesterday's daily trend
PriceBar priorWeek = security.GetPriceBar(Calendar.PriorTradingDay(AsOf), PriceBarSize.Weekly);
if (priorWeek == null)
{
return(null);
}
TrendQualification priorWeekTrend = priorWeek.GetTrendType(BarCount);
TrendAlignment priorTrendAlignment = GetTrendAlignment(priorDayTrend, priorWeekTrend);
if (currentTrendAlignment == priorTrendAlignment)
{
return(null);
}
if (currentTrendAlignment == TrendAlignment.Bullish)
{
if (dailyTrend == TrendQualification.ConfirmedBullish && weeklyTrend == TrendQualification.ConfirmedBullish)
{
return(new Signal(security, PriceBarSize.Daily, AsOf, SignalAction.Buy, 1.0));
}
//if (dailyTrend == TrendQualification.SuspectBullish && weeklyTrend == TrendQualification.ConfirmedBullish)
// return new Signal(security, PriceBarSize.Daily, AsOf, SignalAction.Buy, .75);
//if (dailyTrend == TrendQualification.ConfirmedBullish && weeklyTrend == TrendQualification.SuspectBullish)
// return new Signal(security, PriceBarSize.Daily, AsOf, SignalAction.Buy, .50);
//if (dailyTrend == TrendQualification.SuspectBullish && weeklyTrend == TrendQualification.SuspectBullish)
// return new Signal(security, PriceBarSize.Daily, AsOf, SignalAction.Buy, .25);
}
if (currentTrendAlignment == TrendAlignment.Bearish)
{
if (dailyTrend == TrendQualification.ConfirmedBearish && weeklyTrend == TrendQualification.ConfirmedBearish)
{
return(new Signal(security, PriceBarSize.Daily, AsOf, SignalAction.Sell, 1.0));
}
//if (dailyTrend == TrendQualification.SuspectBearish && weeklyTrend == TrendQualification.ConfirmedBearish)
// return new Signal(security, PriceBarSize.Daily, AsOf, SignalAction.Sell, .75);
//if (dailyTrend == TrendQualification.ConfirmedBearish && weeklyTrend == TrendQualification.SuspectBearish)
// return new Signal(security, PriceBarSize.Daily, AsOf, SignalAction.Sell, .50);
//if (dailyTrend == TrendQualification.SuspectBearish && weeklyTrend == TrendQualification.SuspectBearish)
// return new Signal(security, PriceBarSize.Daily, AsOf, SignalAction.Sell, .25);
}
return(null);
}
