private async void buttonRun_Click(object sender, EventArgs e)
{
Stock stock = GlobalObjects.Chart.Stock;
textBoxStock.Text = stock.StockSymbol;
StockData data = await StockDataBase.Get(stock, Api.Interval.Daily);
int dataCount = data.TimeSeries.DataPoints.Count;
double simCash = 10000;
DateTime simStartDate = new DateTime(2016, 1, 1);
DateTime simEndDate = new DateTime(2017, 5, 1);
double alpha = GetStockAlphaBalance(data, simCash, simStartDate, simEndDate);
double tradeResult = 0;
IOptionTradeAlgorithm tradeAlgo = new BuyAndManageLCV();
OptionTradeList tradeList = await tradeAlgo.Find(stock, simStartDate, simEndDate);
OptionTradeSimulation sim = new OptionTradeSimulation("OptionSim", simCash, simStartDate, simEndDate, 1.1, 0.04);
sim.Run(tradeList);
GlobalObjects.Chart.Graphs.Clear();
GlobalObjects.Chart.Graphs.Add(sim.BalanceChart);
tradeResult = sim.BalanceChart.DataPoints[sim.BalanceChart.DataPoints.Count - 1].GraphData;
labelResultRightPercent.Text = tradeResult.ToString();
labelResultAlpha.Text = alpha.ToString();
}
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);
}
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 = 2;
bool inTrade = false;
for (int i = startIndex; i <= endIndex; i++)
{
if (!inTrade)
{
Option[] options = new Option[2];
options[0] = new Option(stock, OptionType.Put, PositionType.Short, 230, startDate.AddDays(25));
options[1] = new Option(stock, OptionType.Put, PositionType.Long, 240, startDate.AddDays(25));
Spread spread = new Spread(options);
OptionTrade trade = new OptionTrade
{
TradeDate = data.TimeSeries.DataPoints[i].DateTime,
PortfolioPercentage = 1,
Spread = spread
};
tradeList.Trades.Add(trade);
inTrade = true;
}
else
{
OptionTrade lastTrade = tradeList.Trades[tradeList.Trades.Count - 1];
int dateIndex = data.FindDateIndex(lastTrade.TradeDate);
if (i - dateIndex >= tradeHoldLenght)
{
OptionTrade trade = new OptionTrade
{
TradeDate = data.TimeSeries.DataPoints[i].DateTime,
PortfolioPercentage = 0,
Spread = lastTrade.Spread
};
tradeList.Trades.Add(trade);
}
}
}
return(tradeList);
}
public async void Run(OptionTradeList tradeList)
{
if (tradeList != null && tradeList.Trades.Count > 0)
{
//find DataRange
StockData firstData = await StockDataBase.Get(tradeList.Stock, tradeList.Interval);
int startIndex = firstData.FindDateIndex(_startDate);
int stopIndex = firstData.FindDateIndex(_endDate);
int dataCount = firstData.TimeSeries.DataPoints.Count;
if (stopIndex == 0)
{
stopIndex = dataCount - 1;
}
//Simulate trades
OptionPortfolio portfolio = new OptionPortfolio(_startBalance, _fee, _slippage);
_balanceChart = new GraphData(_name + " Balance");
for (int i = startIndex; i <= stopIndex; i++)
{
foreach (OptionTrade trade in tradeList.Trades)
{
int dateIndex = firstData.FindDateIndex(trade.TradeDate);
if (dateIndex == i)
{
portfolio.MakeTrade(trade, tradeList.Interval);
}
}
DateTime date = firstData.TimeSeries.DataPoints[i].DateTime;
GraphDataPoint balanceGraphDataPoint = new GraphDataPoint(date, await portfolio.TotalBalance(date, tradeList.Interval));
_balanceChart.DataPoints.Add(balanceGraphDataPoint);
}
}
}
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 period = 40;
double priceGainGate = -0.5;
double volumeGainGate = 0.5;
int tradeHoldLenght = 15;
double tradeHoldMaxGain = 0.9;
double tradeHoldMaxLoss = -0.25;
double portofolioPercentage = 0.8;
bool inTrade = false;
for (int i = startIndex; i <= endIndex; i++)
{
if (!inTrade)
{
{
DateTime today = data.TimeSeries.DataPoints[i].DateTime;
double open = data.TimeSeries.DataPoints[i].Open;
double close = data.TimeSeries.DataPoints[i].Close;
double percentageGain = (close - open) / open;
if (percentageGain > priceGainGate)
{
double volume = data.TimeSeries.DataPoints[i].Volume;
double volumeSMA = Indicators.GetSMA(data, i, period, PricePoint.Volume);
double volumePercentageGain = (volume - volumeSMA) / volumeSMA;
if (volumePercentageGain > volumeGainGate)
{
Option[] options = new Option[2];
options[0] = new Option(stock, OptionType.Call, PositionType.Long, Math.Round(close, 0) - 5, today.AddDays(40));
options[1] = new Option(stock, OptionType.Call, PositionType.Short, Math.Round(close, 0) + 0, today.AddDays(40));
Spread spread = new Spread(options);
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];
DateTime today = data.TimeSeries.DataPoints[i].DateTime;
int dateIndex = data.FindDateIndex(lastTrade.TradeDate);
double openPrice = await lastTrade.Spread.Price(lastTrade.TradeDate);
double currentPrice = await lastTrade.Spread.Price(today);
double percentageGain = (currentPrice - openPrice) / openPrice;
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);
}
