public async Task <OptionTradeList> Find(Stock stock, DateTime startDate, DateTime endDate)
{
OptionTradeList tradeList = new OptionTradeList(stock, Api.Interval.Daily);
StockData data = await StockDataBase.Get(stock, Api.Interval.Daily);
int startIndex = data.FindDateIndex(startDate);
int endIndex = data.FindDateIndex(endDate);
int tradeHoldLenght = 30;
double tradeHoldMaxGain = 0.9;
double tradeHoldMaxLoss = -0.25;
double portofolioPercentage = 0.8;
bool inTrade = false;
for (int i = startIndex; i <= endIndex; i++)
{
DateTime today = data.TimeSeries.DataPoints[i].DateTime;
if (!inTrade)
{
double close = data.TimeSeries.DataPoints[i].Close;
Spread spread = Spread.GetSpread(stock, SpreadType.LongCallVertical, close - close * 0.1, 5, today.AddDays(40), today);
OptionTrade trade = new OptionTrade
{
TradeDate = data.TimeSeries.DataPoints[i].DateTime,
PortfolioPercentage = portofolioPercentage,
Spread = spread
};
tradeList.Trades.Add(trade);
inTrade = true;
}
else
{
OptionTrade lastTrade = tradeList.Trades[tradeList.Trades.Count - 1];
double openPrice = await lastTrade.Spread.Price(lastTrade.TradeDate);
double currentPrice = await lastTrade.Spread.Price(today);
double percentageGain = (currentPrice - openPrice) / openPrice;
int dateIndex = data.FindDateIndex(lastTrade.TradeDate);
if (i - dateIndex >= tradeHoldLenght || lastTrade.Spread.DaysUntilExpiration(today) < 5 || percentageGain > tradeHoldMaxGain || percentageGain < tradeHoldMaxLoss)
{
OptionTrade trade = new OptionTrade
{
TradeDate = data.TimeSeries.DataPoints[i].DateTime,
PortfolioPercentage = 0,
Spread = lastTrade.Spread
};
tradeList.Trades.Add(trade);
inTrade = false;
}
}
}
return(tradeList);
}
