///// <summary>Called when new data is received</summary>
//public override void Step()
//{
// var current_price = Instrument.CurrentPrice(0);
// var sym = Instrument.Symbol;
// // Find the stats for the recent price history
// PriceStats.Add((double)current_price);
// // Synchronise the Positions with our list
// SynchroniseLivePositions();
// // Measure the current net position
// var net = NetPosition;
// // If the sum of all trades is greater than the threshold, cash in
// // If the sum of all trades exceeds 90% of the balance to risk, bail out
// var profit_threshold = Misc.Max(1.0, Broker.Balance * TakeProfitPC);
// if (net > profit_threshold)
// {
// CloseOut();
// return; // Return so that closed positions get output while debugging
// }
// if (net < -BalanceRisked)
// {
// CloseOut();
// return; // Return so that closed positions get output while debugging
// }
// // Attempt to compress the positions
// for (;Positions.Count > 2;)
// {
// var pos0 = Positions.Back(0);
// var pos1 = Positions.Back(1);
// if (pos0.NetProfit + pos1.NetProfit > 1.0)
// {
// Broker.ClosePosition(pos0);
// Broker.ClosePosition(pos1);
// continue;
// }
// break;
// }
// // If we have no position, make a trade
// if (Positions.Count == 0)
// {
// // Get the current price direction
// var q = Quadratic.FromPoints(
// new v2(-2f, (float)Instrument[-2].Median),
// new v2(-1f, (float)Instrument[-1].Median),
// new v2(-0f, (float)Instrument[-0].Median));
// var next_price =(QuoteCurrency)q.F(1.0);
// var tt = next_price > current_price ? TradeType.Buy : TradeType.Sell;
// var sign = tt.Sign();
// // Create the initial trade
// var volume = sym.VolumeMin;
// var risk = Broker.MaxSL(Instrument, volume);
// var ep = Instrument.CurrentPrice(sign);
// var tp = ep + sign * risk;
// var sl = ep - sign * risk;
// var trade = new Trade(Instrument, tt, Label, ep, sl, tp, volume);
// // Record how much we're risking on this set of trades
// BalanceRisked = sym.QuoteToAcct(risk * volume);
// // Open the position
// var pos = Broker.CreateOrder(trade);
// if (pos != null)
// Positions.Add(pos);
// }
// else
// {
// // Get the loss threshold given the current number of trades
// var loss_per_level = BalanceRisked / ReversesCount;
// var loss_threshold = Positions.Count * loss_per_level;
// // If the net profit has dropped below the threshold, open a reverse trade
// if (net < -loss_threshold)
// {
// // The reverse trade is created such that the total risk remains the same.
// var prev = Positions.Back();
// var volume = sym.NormalizeVolume(prev.Volume * (Positions.Count + 1) / Positions.Count);
// var tt = prev.TradeType.Opposite();
// var ep = Instrument.CurrentPrice(tt.Sign());
// var tp = prev.StopLossAbs();
// var sl = prev.TakeProfitAbs();
// var trade = new Trade(Instrument, tt, Label, ep, sl, tp, volume);
// // Open the reverse position
// var pos = Broker.CreateOrder(trade);
// if (pos != null)
// Positions.Add(pos);
// }
// }
// int break_point;
// if (Instrument.NewCandle)
// break_point = 1;
//}
///// <summary>Update the collection 'Positions' with any live positions created by this strategy</summary>
//private void SynchroniseLivePositions()
//{
// var live_positions = Bot.Positions.ToHashSet(x => x.Id);
// Positions.RemoveIf(x => !live_positions.Contains(x.Id));
//}
/// <summary>Returns a trade when a likely good trade is identified. Or null</summary>
private Trade FindEntry()
{
// Get the current price direction
var q = Quadratic.FromPoints(
new v2(-2f, (float)Instrument[-2].Close),
new v2(-1f, (float)Instrument[-1].Close),
new v2(-0f, (float)Instrument[-0].Close));
// Choose the trade type
var curr_price = (double)Instrument.CurrentPrice(0);
var next_price = q.F(1.0);
var tt = next_price > curr_price ? TradeType.Buy : TradeType.Sell;
var sign = tt.Sign();
{ // Look for some confirming signals
// Does it match the long period EMA?
const double ema100_threshold_gradient = 0.1; // pips per index
var ema100 = Bot.Indicators.ExponentialMovingAverage(Instrument.Data.Close, 100);
var grad100 = ema100.Result.FirstDerivative() / Instrument.MCS;
if (Math.Abs(grad100) < ema100_threshold_gradient || Math.Sign(grad100) != sign)
{
return(null);
}
// Does it match the short period EMA?
const double ema14_threshold_gradient = 0.1f; // pips per index
var ema14 = Bot.Indicators.ExponentialMovingAverage(Instrument.Data.Close, 14);
var grad14 = ema14.Result.FirstDerivative() / Instrument.MCS;
if (Math.Abs(grad14) < ema14_threshold_gradient || Math.Sign(grad14) != sign)
{
return(null);
}
// Is the price within the MCS of the long period EMA?
if (Math.Abs(curr_price - ema100.Result.LastValue) > Instrument.MCS)
{
return(null);
}
// Is the instrument over-bought or over-sold
var rsi = Bot.Indicators.RelativeStrengthIndex(Instrument.Data.Close, 14);
if (tt == TradeType.Buy && rsi.Result.LastValue > 70.0)
{
return(null); // Over bought
}
if (tt == TradeType.Sell && rsi.Result.LastValue < 30.0)
{
return(null); // Over sold
}
// Has the current price just left a strong SnR level?
// Is there a candle pattern that agrees with the trade
}
return(new Trade(Instrument, tt, Label));
}
[Test] public void FromPoints()
{
var a = new v2(0.5f, 0.3f);
var b = new v2(0.7f, -0.2f);
var c = new v2(1.0f, 0.6f);
var q = Quadratic.FromPoints(a, b, c);
Assert.Equal(q.F(a.x), a.y, Math_.TinyF);
Assert.Equal(q.F(b.x), b.y, Math_.TinyF);
Assert.Equal(q.F(c.x), c.y, Math_.TinyF);
}
/// <summary>Trade entry signal based on MACD</summary>
protected TradeType?SignalMACD()
{
// Look for minima or maxima in the short period average
var macd = Bot.Indicators.MacdCrossOver(26, 12, 9);
// Fit a quadratic to the MACD line (blue one)
var poly = Quadratic.FromPoints(
-2.0, macd.MACD.Last(2),
-1.0, macd.MACD.Last(1),
-0.0, macd.MACD.Last(0));
// If the quadratic predicts a peak it might be time to buy/sell.
var peak_x = poly.StationaryPoints[0];
if (peak_x < -1.0 || peak_x > 0.0)
{
return(null);
}
var blue = macd.MACD.LastValue;
var red = macd.Signal.LastValue;
for (;;)
{
var minima = poly.ddF(peak_x) > 0;
if (minima) // buy?
{
// MACD must be below the signal line
if (blue > red)
{
break;
}
return(TradeType.Buy);
}
else // sell?
{
// MACD must be above the signal line
if (blue < red)
{
break;
}
return(TradeType.Sell);
}
}
return(null);
}