protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
if (bFirst)
{
bFirst = false;
}
symbol_list = new List <String> {
"DUMMY", "^SP500"
};
company_name_list = new List <String> {
"DUMMY", "S&P 500"
};
Trade_Status = new List <String> {
"DUMMY", "DUMMY"
};
DaysSincePurchase = new List <int> {
-1, -1
};
NumShares = new List <int> {
-1, -1
};
output_folder = "C:\\temp\\knn\\";
LoadTickers(); //load symbols from file
Description = "test";
Name = "Trade_Scanner2";
Calculate = Calculate.OnEachTick; //This will let us get the last Bar
TestingStartDate = DateTime.Today;
TestingEndDate = DateTime.Today;
//Trading params
SimulateTrades = true;
AmountPerTrade = 500.0f;
StopLossPercent = 5; //use int so we can potentially change during optimization
DaysToHold = 5;
//Allows multiple stocks to be traded on same day
EntryHandling = EntryHandling.UniqueEntries;
//Custom params
uid = "";
indicator = "";
master_symbol_name = "";
bDataLoaded = false;
BOLL_param_string = "2;14;-1";
Strategy_Num = 1;
// This strategy has been designed to take advantage of performance gains in Strategy Analyzer optimizations
// See the Help Guide for additional information
IsInstantiatedOnEachOptimizationIteration = true;
//IsInstantiatedOnEachOptimizationIteration = false;
}
else if (State == State.Configure)
{
//Set our stop loss here
SetStopLoss(CalculationMode.Percent, StopLossPercent / 100.0f);
//System.Windows.Forms.MessageBox.Show("Configure");
bDataLoaded = false;
for (int i = 0; i < symbol_list.Count; i++)
{
//Don't add the dummy instrument (but we still need a placeholder list which is added below)
if (i != 0)
{
AddDataSeries(symbol_list[i], Data.BarsPeriodType.Day, 1);
}
}
for (int i = 0; i < indicator_list.Count; i++)
{
master_list_training.Add(new List <List <Indicator_FutureValueChange_Pair> >());
master_list_testing.Add(new List <List <Indicator_FutureValueChange_Pair> >());
for (int j = 0; j < symbol_list.Count; j++)
{
master_list_training[i].Add(new List <Indicator_FutureValueChange_Pair>());
master_list_testing[i].Add(new List <Indicator_FutureValueChange_Pair>());
}
}
}
else if (State == State.DataLoaded)
{
//master_symbol_name = Instrument.MasterInstrument.Name;
bDataLoaded = true;
TrainingStartDate = TestingEndDate.AddYears(-1);
TrainingEndDate = TestingEndDate.AddDays(-91);
//TestingStartDate = TestingEndDate.AddDays(-90);
output_folder_with_date = output_folder + TestingEndDate.ToString("ddMMMyyyy") + "\\";
DirectoryInfo di = Directory.CreateDirectory(output_folder_with_date);
}
else if ((bDataLoaded == true) && ((State == State.Transition) || (State == State.Terminated))) //finished processing historical data (and ready for real-time)
{
}
}
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
if (bFirst)
{
bFirst = false;
}
symbol_list = new List <String> {
"DUMMY", "^SP500"
};
company_name_list = new List <String> {
"DUMMY", "S&P 500"
};
output_folder = "C:\\temp\\knn\\";
LoadTickers(); //load symbols from file
Description = "test";
Name = "KNN_Generator16";
Calculate = Calculate.OnEachTick; //This will let us get the last Bar
DaysToLookBack = 1;
FutureValueDaysToLookAhead = 5;
TestingEndDate = DateTime.Today;
//Custom params
uid = "";
indicator = "";
KNN_num_neighbors = 3;
num_training_pts = 200;
num_groups = 20;
stagger_factor = 0;
window_size = 1;
avg_target = 1.0f;
good_target = 0.5f;
bad_target = 0.20f;
min_samples_pct = 0.06f;
thresh1 = 1.0f;
thresh2 = -1.0f;
Sanitize = false;
ProcessAllTickers = true;
FindBestSolutions = false;
GeneratePlotsForBestSolutions = false;
OnlyGeneratePlots = false;
NumPlotsToGenerate = 20;
master_symbol_name = "";
bDataLoaded = false;
MACD_param_string = "12;26;9";
RSI_param_string = "14;3;-1";
BOLL_param_string = "2;14;-1";
STOCH_param_string = "7;14;3";
STOCH_RSI_param_string = "14;-1;-1";
// This strategy has been designed to take advantage of performance gains in Strategy Analyzer optimizations
// See the Help Guide for additional information
IsInstantiatedOnEachOptimizationIteration = true;
//IsInstantiatedOnEachOptimizationIteration = false;
}
else if (State == State.Configure)
{
//System.Windows.Forms.MessageBox.Show("Configure");
bDataLoaded = false;
if (!OnlyGeneratePlots)
{
for (int i = 0; i < symbol_list.Count; i++)
{
//Don't add the dummy instrument (but we still need a placeholder list which is added below)
if (i != 0)
{
AddDataSeries(symbol_list[i], Data.BarsPeriodType.Day, 1);
}
}
for (int i = 0; i < indicator_list.Count; i++)
{
master_list_training.Add(new List <List <Indicator_FutureValueChange_Pair> >());
master_list_testing.Add(new List <List <Indicator_FutureValueChange_Pair> >());
for (int j = 0; j < symbol_list.Count; j++)
{
master_list_training[i].Add(new List <Indicator_FutureValueChange_Pair>());
master_list_testing[i].Add(new List <Indicator_FutureValueChange_Pair>());
}
}
}
SetStopLoss(CalculationMode.Percent, 0.05);
// Sets a 20 tick trailing stop for an open position
//SetTrailStop(CalculationMode.Ticks, 20);
}
else if (State == State.DataLoaded)
{
//master_symbol_name = Instrument.MasterInstrument.Name;
bDataLoaded = true;
TrainingStartDate = TestingEndDate.AddYears(-1);
TrainingEndDate = TestingEndDate.AddDays(-91);
TestingStartDate = TestingEndDate.AddDays(-90);
output_folder_with_date = output_folder + TestingEndDate.ToString("ddMMMyyyy") + "\\";
DirectoryInfo di = Directory.CreateDirectory(output_folder_with_date);
if (OnlyGeneratePlots)
{
mut_python.WaitOne();
string args = output_folder_with_date + "master_sorted.csv" + " " + NumPlotsToGenerate.ToString();
Debug.WriteLine("Python args" + args);
CallPythonScript(output_folder + "\\Data_Processing46.py", args);
mut_python.ReleaseMutex();
Debug.WriteLine("After Python mutex");
}
}
else if ((bDataLoaded == true) && ((State == State.Transition) || (State == State.Terminated))) //finished processing historical data (and ready for real-time)
{
}
}