public TRENDResult GetResult()
{
this.result = TRENDResult.Flat;
if (this.type == "simple")
{
//decimal d = _data.Last() - _data[0];
decimal d = GetDiff(_data[0], _data.Last());
if (d > 0.15m)
{
this.result = TRENDResult.Up;
}
if (d < -0.15m)
{
this.result = TRENDResult.Down;
}
}
if (this.type == "macd")
{
decimal d = GetDiff(_data[0], _data.Last());
//if (Math.Abs(_data.Last()) < 1m && Math.Abs(_data[0]) < 1m)
//{
// d = 0m;
//}
if (d > 10m && d <= 70m)
{
this.result = TRENDResult.Up;
}
;
if (d < -10m && d >= -70m)
{
this.result = TRENDResult.Down;
}
if (d > 70m)
{
this.result = TRENDResult.StrongUp;
}
;
if (d < -70m)
{
this.result = TRENDResult.StrongDown;
}
}
return(result);
}
public StrategyDecision GetDecision(IDictionary <string, IList <ICandle> > data, string name, string currentPos, Security security, DateTime CurrentDt)
{
StrategyDecision dec = new StrategyDecision()
{
Decision = null
};
SimpleMovingAverage short_ma = new SimpleMovingAverage(data["5"], 9);
SimpleMovingAverage long_ma = new SimpleMovingAverage(data["5"], 30);
MACD macd = new MACD(data["5"], 12, 26, 9);
TREND macdTrend = new TREND(macd, 2);
TRENDResult power = macdTrend.GetResult();
TRENDResult trend = new TREND(long_ma, 3).GetResult();
AverageTrueRange atr = new AverageTrueRange(data["5"], 14);
//dec.Profit = Math.Round(atr.Last() * 2m, 2);
//dec.StopLoss = Math.Round(atr.Last(), 2);
dec.Profit = Math.Round(data["5"].Last().close * 0.006m, 2);
dec.StopLoss = Math.Round(data["5"].Last().close * 0.002m, 2);
decimal vollast = data["5"].Last().volume;
decimal volprev = data["5"][data["5"].Count - 2].volume;
bool vol = vollast > volprev * 2m;
//if (power == TRENDResult.StrongUp && new Crossover(short_ma, long_ma).GetResult())
//{
// //dec.Decision = "open long";
// //dec.Price = Math.Round(data["5"].Last().close * 1.005m, 2);
// signals.Add(new Signal() { Security = name, Action = "open long", DateTime = CurrentDt, Price= data["5"].Last().close });
//}
//else
if (power == TRENDResult.StrongUp)
{
//dec.Decision = "open long";
//dec.Price = Math.Round(data["5"].Last().close * 1.005m, 2);
signals.Add(new Signal()
{
Security = name, Action = "open long", DateTime = CurrentDt, Price = data["5"].Last().close
});
}
if (currentPos == "free")
{
DateTime minDt = CurrentDt.AddMinutes(-20);
DateTime maxDt = CurrentDt.AddMinutes(-15);
var lastSignals = signals.Where(s => s.Security == name && s.Action == "open long" && s.DateTime < maxDt && s.DateTime >= minDt).ToList();
Signal signal = lastSignals.FirstOrDefault();
decimal summ = 0;
if (signal != null)
{
var candlesToCheck = data["5"].Where(c => c.begin >= signal.DateTime).ToList();
foreach (Candle c in candlesToCheck)
{
summ += c.close - c.open;
}
}
if (summ > atr.Last() * 2m && data["5"].Last().close > signal.Price)
{
dec.Decision = "open long";
dec.LongPrice = Math.Round(data["5"].Last().close * 1.005m, 2);
}
}
//if ((power == TRENDResult.Down || power == TRENDResult.StrongDown) && new Crossover(long_ma, short_ma).GetResult() && currentPos == "free")
//{
// dec.Decision = "open short";
// dec.Price = Math.Round(data[5].Last().close * 0.995m, 2);
//}
if (security.MinStep == 1)
{
dec.Profit = Math.Round(dec.Profit);
dec.StopLoss = Math.Round(dec.StopLoss);
dec.LongPrice = Math.Round(dec.LongPrice);
}
//dec.Decision = "open long";
return(dec);
}
public StrategyDecision GetDecision(IDictionary <string, IList <ICandle> > data, string name, string currentPos, Security security, DateTime CurrentDt)
{
StrategyDecision dec = new StrategyDecision()
{
Decision = null
};
ExponentialMovingAverage hours_ema = new ExponentialMovingAverage(data["60"], 9);
//ExponentialMovingAverage minutes_ema = new ExponentialMovingAverage(data[5], 4);
MACD macd = new MACD(data["5"], 12, 26, 9);
TREND hoursTrend = new TREND(hours_ema, 3);
//TREND minutesTrend = new TREND(minutes_ema, 3);
TREND macdTrend = new TREND(macd, 2);
bool valueConfirm = new ValueConfirm(data["5"], 5).GetResult();
AverageTrueRange atr = new AverageTrueRange(data["5"], 14);
Extremum extremum = new Extremum(atr, 3, 20);
//hoursTrend.GetResult();
//macdTrend.GetResult();
//if ((hoursTrend.GetResult() == TRENDResult.Up && macdTrend.GetResult() == TRENDResult.Up || macdTrend.GetResult() == TRENDResult.StrongUp) && currentPos == "free")
//{
// dec = "open long";
//}
//if ((hoursTrend.GetResult() == TRENDResult.Down && macdTrend.GetResult() == TRENDResult.Down || macdTrend.GetResult() == TRENDResult.StrongDown) && currentPos == "free")
//{
// dec = "open short";
//}
TRENDResult trend = hoursTrend.GetResult();
TRENDResult power = macdTrend.GetResult();
decimal value = data["5"].Last().value;
//*if (extremum.Count() > 0 && extremum.Last().ext == "L" && extremum.Last().val < atr.Last())
if (atr.Last() > 10m && valueConfirm)
{
dec.Profit = Math.Round(atr.Last() * 4m, 2);
dec.StopLoss = Math.Round(atr.Last(), 2);
if (trend == TRENDResult.Up && (power == TRENDResult.Up || power == TRENDResult.StrongUp) && currentPos == "free")
{
dec.Decision = "open long";
}
if (trend == TRENDResult.Flat && power == TRENDResult.StrongUp && currentPos == "free")
{
dec.Decision = "open long";
}
if (trend == TRENDResult.Down && (power == TRENDResult.Down || power == TRENDResult.StrongDown) && currentPos == "free")
{
dec.Decision = "open short";
}
if (trend == TRENDResult.Flat && power == TRENDResult.StrongDown && currentPos == "free")
{
dec.Decision = "open short";
}
}
if (CurrentDt >= new DateTime(2017, 5, 15, 15, 20, 0))
{
//dec = null;
}
return(dec);
}