static List <DataSeries <Bar> > GetCleanSeriesFromDisk(string predictedSymbol, List <string> tickers)
{
var allSeries = tickers.Select(t => DataImport.LoadVersace(t)).ToList();
return(CleanSeries(predictedSymbol, allSeries));
}
public static List <TradeRecord> GetTrades(bool forceEntryToOpen = false)
{
var qqq = DataImport.Get("QQQ");
var trades = new List <TradeRecord>();
double accountValue = 50000;
using (var ip = new StreamReader("c.txt"))
{
string line;
while ((line = ip.ReadLine()) != null)
{
var toks = Regex.Split(line, @"\s+");
if (toks[0] == "")
{
continue;
}
var timestamp = DateTime.ParseExact(toks[0], "M/d/yyyy", null, DateTimeStyles.AdjustToUniversal);
var qqqGain = double.Parse(toks[1]);
int numQqqShares;
double profitWith12TimesMargin;
if (forceEntryToOpen)
{
numQqqShares = (int)(accountValue / 70);
profitWith12TimesMargin = numQqqShares * qqqGain * 12;
}
else
{
numQqqShares = int.Parse(toks[2]);
profitWith12TimesMargin = double.Parse(toks[3]);
}
var bar = qqq.FirstOrDefault(x => x.Timestamp == timestamp);
if (bar == null)
{
continue;
}
bool gained = qqqGain > 0;
var positionDirection = gained ^ bar.IsGreen ? PositionDirection.Short : PositionDirection.Long;
var exitPrice = Math.Round(bar.Open + (positionDirection == PositionDirection.Long ? 1 : -1) * qqqGain, 2);
var entryPrice = bar.Open;
if (!Between(exitPrice, bar.WaxBottom, bar.WaxTop) && profitWith12TimesMargin >= 0)
{
if (positionDirection == PositionDirection.Long)
{
entryPrice -= exitPrice - bar.Close;
exitPrice = bar.Close;
}
else
{
entryPrice += bar.Close - exitPrice;
exitPrice = bar.Close;
}
}
if (forceEntryToOpen)
{
entryPrice = bar.Open;
if (qqqGain >= 0)
{
exitPrice = bar.Close;
}
profitWith12TimesMargin = (positionDirection == PositionDirection.Long ? 1 : -1) * (exitPrice - entryPrice) * numQqqShares * 12;
}
var prevAccountValue = accountValue;
accountValue += profitWith12TimesMargin;
double stopPrice;
if (Math.Abs(exitPrice - bar.Close) < 0.03)
{
if (positionDirection == PositionDirection.Long)
{
stopPrice = bar.Low - 0.10;
}
else
{
stopPrice = bar.High + 0.10;
}
}
else
{
stopPrice = exitPrice;
}
trades.Add(new TradeRecord("QQQ", positionDirection, entryPrice, stopPrice, exitPrice, bar.Close, bar.Timestamp.AddHours(9.5),
bar.Timestamp.AddHours(16), numQqqShares, profitWith12TimesMargin, prevAccountValue, accountValue));
//if (exitPrice < bar.Low - 0.02 || exitPrice > bar.High + 0.02)
if (Math.Abs(exitPrice - bar.Open) > bar.High - bar.Low)
{
Trace.WriteLine(string.Format("{0:MM/dd/yyyy} exit price of {1:N2} doesn't make sense", timestamp, exitPrice));
}
//Trace.WriteLine(string.Format("{0:MM/dd/yyyy} {1} {2} {3:N2} -> {4:N2}",
// timestamp,
// positionDirection,
// gained ? "won" : "lost",
// bar.Open, exitPrice
// ));
}
}
var revisedTrades = (from q in qqq.From(trades.First().EntryTime.Date).To(trades.Last().EntryTime.Date)
join t in trades on q.Timestamp equals t.EntryTime.Date into z
from t2 in z.DefaultIfEmpty()
select t2 ?? new TradeRecord("QQQ", PositionDirection.Long, q.Open, 0, q.Open, 0,
q.Timestamp.AddHours(9.5), q.Timestamp.AddHours(16), 1, 0, 0, 0)).ToList();
for (int i = 1; i < revisedTrades.Count; i++)
{
var current = revisedTrades[i];
if (current.Size == 1)
{
var last = revisedTrades[i - 1];
revisedTrades[i] = new TradeRecord(last.Symbol, last.PositionDirection, last.Entry, last.StopLimit,
last.Exit, last.UnstoppedExitPrice, last.EntryTime, last.ExitTime, 1, 0, last.AccountValueAfterTrade, last.AccountValueAfterTrade);
}
}
return(revisedTrades);
}
public static DataSeries <Bar> LoadVersace(string symbol)
{
return(new DataSeries <Bar>(symbol, DataImport.LoadNinjaBars(@"d:\users\wintonpc\git\Quqe\Share\VersaceData\" + symbol + ".txt")));
}
public static List <TradeRecord> GetTrades(bool includeGains, bool includeLosses, bool fixSlippage, bool assume70,
double initialAccountValue = 50000, int margin = 12)
{
var qqq = DataImport.Get("QQQ");
var trades = new List <TradeRecord>();
double accountValue = initialAccountValue;
using (var ip = new StreamReader("c.txt"))
{
string line;
while ((line = ip.ReadLine()) != null)
{
var toks = Regex.Split(line, @"\s+");
if (toks[0] == "")
{
continue;
}
var timestamp = DateTime.ParseExact(toks[0], "M/d/yyyy", null, DateTimeStyles.AdjustToUniversal);
var qqqGain = double.Parse(toks[1]);
var bar = qqq.FirstOrDefault(x => x.Timestamp == timestamp);
if (bar == null)
{
continue;
}
var size = (long)(accountValue / (assume70 ? 70 : bar.Open));
TradeRecord trade = null;
if (includeGains && qqqGain >= 0)
{
var entry = bar.Open;
var exit = fixSlippage ? bar.Close : (bar.IsGreen ? entry + qqqGain : entry - qqqGain);
var stop = bar.IsGreen ? bar.Low - 0.10 : bar.High + 0.10;
var profit = (bar.IsGreen ? (exit - entry) : (entry - exit)) * size * margin;
var previousAccountValue = accountValue;
accountValue += profit;
trade = new TradeRecord(qqq.Symbol, bar.IsGreen ? PositionDirection.Long : PositionDirection.Short, entry, stop, exit,
bar.Close, bar.Timestamp.AddHours(9.5), bar.Timestamp.AddHours(16), size, profit, previousAccountValue, accountValue);
}
else if (includeLosses && qqqGain < 0)
{
var entry = bar.Open;
var pd = bar.IsGreen ? PositionDirection.Short : PositionDirection.Long;
var exit = pd == PositionDirection.Long ? (entry + qqqGain) : (entry - qqqGain);
var stop = exit;
var profit = (pd == PositionDirection.Long ? (exit - entry) : (entry - exit)) * size * margin;
var previousAccountValue = accountValue;
accountValue += profit;
trade = new TradeRecord(qqq.Symbol, pd, entry, stop, exit, bar.Close, bar.Timestamp.AddHours(9.5), bar.Timestamp.AddHours(16),
size, profit, previousAccountValue, accountValue);
}
else
{
trade = new TradeRecord(qqq.Symbol, PositionDirection.Long, bar.Open, bar.Open, bar.Open, bar.Close,
bar.Timestamp.AddHours(9.5), bar.Timestamp.AddHours(16), size, 0, accountValue, accountValue);
}
trades.Add(trade);
}
var revisedTrades = (from q in qqq.From(trades.First().EntryTime.Date).To(trades.Last().EntryTime.Date)
join t in trades on q.Timestamp equals t.EntryTime.Date into z
from t2 in z.DefaultIfEmpty()
select t2 ?? new TradeRecord("QQQ", PositionDirection.Long, q.Open, 0, q.Open, 0,
q.Timestamp.AddHours(9.5), q.Timestamp.AddHours(16), 1, 0, 0, 0)).ToList();
for (int i = 1; i < revisedTrades.Count; i++)
{
var current = revisedTrades[i];
if (current.Size == 1)
{
var last = revisedTrades[i - 1];
revisedTrades[i] = new TradeRecord(last.Symbol, last.PositionDirection, last.UnstoppedExitPrice, last.UnstoppedExitPrice,
last.UnstoppedExitPrice, last.UnstoppedExitPrice, current.EntryTime, current.ExitTime, last.Size, 0,
last.AccountValueAfterTrade, last.AccountValueAfterTrade);
}
}
return(revisedTrades);
}
}