private SimulationResult SimulateEMACrossing(IList<OHLC> candles, int shortEMAPeriod, int longEMAPeriod, double buyThreshold, double sellThreshold, bool showLog)
{
decimal item = 100m;
decimal currency = 0m;
decimal buyAndHoldCurrency = 0m;
//decimal last = 0m;
//decimal lastBuyAndHold = 0m;
SimulationResult result = new SimulationResult()
{
ShortMA = CalculateEMA(candles, shortEMAPeriod),
LongMA = CalculateEMA(candles, longEMAPeriod),
BuyThreshold = buyThreshold,
SellThreshold = sellThreshold
};
if (showLog) lstMessages.Items.Clear();
if (fee == 0) fee = 0.2m;
if (result.ShortMA != null && result.LongMA != null)
{
int min = Math.Max(result.ShortMA.Begin, result.LongMA.Begin);
decimal lastPrice = 0m;
IList<Action> actions = new List<Action>();
Action lastAction = null;
for (int i = 0; i < candles.Count; i++)
{
// Get current candle
OHLC candle = candles[i];
lastAction = actions.LastOrDefault();
// Simulate buy (used in buy and hold) on first candle
if (i == 0)
{
if (showLog) SetText(MessageType.Message, string.Format(CultureInfo.InvariantCulture, "{0} Simulation Started...", candle.Date));
decimal curFee = Math.Round(item / candle.Close * fee / 100m, 8);
decimal buy = Math.Round(item / candle.Close, 8);
buyAndHoldCurrency = buy - curFee;
}
// Analyze moving average starting from a certain point (where all MA have a value)
if (i >= min)
{
var diff = 100 * (result.ShortMA.Output[i - min] - result.LongMA.Output[i - min]) / ((result.ShortMA.Output[i - min] + result.LongMA.Output[i - min]) / 2);
//var diff = 100 * (result.LongMA.Output[i - min] - result.ShortMA.Output[i - min]) / ((result.LongMA.Output[i - min] + result.ShortMA.Output[i - min]) / 2);
if (item >= 0.1m)
{
if (diff > buyThreshold)
{
if (showLog) SetText(MessageType.Message, string.Format(CultureInfo.InvariantCulture, "{0} we are currently in uptrend ({1:0.###}%)", candle.Date, diff));
{
decimal curFee = Math.Round(item / candle.Close * fee / 100m, 8);
decimal buy = Math.Round(item / candle.Close, 8);
currency += (buy - curFee);
item -= Math.Round(buy * candle.Close, 4);
actions.Add(new Action() { ActionType = ActionType.Bid, Date = candle.Date, AmountCurrency = currency, AmountItem = item });
if (showLog)
{
if (actions.Count < 1 || lastPrice > candle.Close)
SetText(MessageType.Message, string.Format(CultureInfo.InvariantCulture, "{0} bought {1} @ {2}", candle.Date, buy, buy * candle.Close), Color.LightGreen);
else SetText(MessageType.Warning, string.Format(CultureInfo.InvariantCulture, "{0} bought {1} @ {2}", candle.Date, buy, buy * candle.Close), Color.LightGreen);
}
lastPrice = candle.Close;
}
}
}
if (currency >= 0.1m)
{
if (diff < sellThreshold)
{
if (showLog) SetText(MessageType.Message, string.Format(CultureInfo.InvariantCulture, "{0} we are currently in a downtrend ({1:0.###}%)", candle.Date, diff));
{
decimal itemFee = Math.Round(currency * candle.Close * fee / 100m, 4);
decimal sell = Math.Round(currency * candle.Close, 8);
item += (sell - itemFee);
currency -= Math.Round(sell / candle.Close, 8);
actions.Add(new Action() { ActionType = ActionType.Ask, Date = candle.Date, AmountCurrency = currency, AmountItem = item });
if (showLog)
{
if (actions.Count < 1 || lastPrice < candle.Close)
SetText(MessageType.Message, string.Format(CultureInfo.InvariantCulture, "{0} sold {1} @ {2}", candle.Date, Math.Round(sell / candle.Close, 8), sell), Color.LightSkyBlue);
else SetText(MessageType.Warning, string.Format(CultureInfo.InvariantCulture, "{0} sold {1} @ {2}", candle.Date, Math.Round(sell / candle.Close, 8), sell), Color.LightSkyBlue);
}
lastPrice = candle.Close;
}
}
}
//if (showLog)
// SetText(MessageType.Message, string.Format(CultureInfo.InvariantCulture, "{0} we are currently not in an up or down trend ({1:0.###}%)", candle.Date, diff));
}
result.Actions = actions;
result.Performance = currency > item ? currency * candle.Close : item;
result.BuyAndHold = buyAndHoldCurrency * candle.Close;
}
if (showLog)
{
SetText(MessageType.Message, string.Format(CultureInfo.InvariantCulture, "EMA Strategy Result (ShortEMA:{0}) (LongEMA:{1}) Performance:{2:0.####}% (vs B&H:{5:0.####}%) BuyThreshold:{3:0.###}% SellThreshold:{4:0.###}%",
result.ShortMA.Period, result.LongMA.Period, Math.Round(result.Performance, 4), result.BuyThreshold, result.SellThreshold, result.BuyAndHold));
SetText(MessageType.Message, string.Format("Buy and Hold wallet have {0:0.########} BTC", buyAndHoldCurrency));
SetText(MessageType.Message, string.Format("Strategy wallet have {0:0.########} {1}", currency > item ? currency : item, currency > item ? "BTC" : "EUR"));
}
}
else if (showLog) SetText(MessageType.Warning, string.Format("Something wrong calculating EMAs..."));
return result;
}
private void CalculateBestEMACrossing(IList<OHLC> candles)
{
if (candles.Count == 0)
{
SetText(MessageType.Warning, "Candles not loaded");
return;
}
decimal best = 0;
for (decimal sellInc = -0.02m; sellInc > -2.0m; sellInc -= 0.01m)
for (decimal buyInc = 0.02m; buyInc < 2.0m; buyInc += 0.01m)
for (int k = 0; k < 24; k++)
for (int j = k; j < 60; j++)
{
SimulationResult simulation = SimulateEMACrossing(candles, 2 + k, 3 + j, (double)buyInc, (double)sellInc, false);
if ((k * j) % 20 == 0) UpdateStatus(string.Format(CultureInfo.InvariantCulture, "Simulation Result:{4:0.###}% ShortEMA:{0} LongEMA:{1} BuyThreshold:{2:0.###}% SellThreshold:{3:0.###}%", simulation.ShortMA.Period, simulation.LongMA.Period, buyInc, sellInc, simulation.Performance));
if (simulation.Performance > best)
{
best = simulation.Performance;
lastSimulation = simulation;
UpdateParams(simulation.ShortMA.Period, simulation.LongMA.Period, buyInc, sellInc);
SetText(MessageType.Message, string.Format(CultureInfo.InvariantCulture, "Best strategy {2:0.####}% vs Buy & Hold:{5:0.####}% => ShortEMA:{0} LongEMA:{1} BuyThreshold:{3:0.###}% SellThreshold:{4:0.###}% ",
simulation.ShortMA.Period, simulation.LongMA.Period, Math.Round(best, 4), (double)buyInc, (double)sellInc, simulation.BuyAndHold));
}
if (ctsEma != null && ctsEma.IsCancellationRequested)
return;
}
}
private void OnSimulateEMA(object sender, EventArgs e)
{
if (rbRealtimeSim.Checked)
{
lastSimulation = SimulateEMACrossing(realtimeCandles, (int)nupShortEMA.Value, (int)nupLongEMA.Value, (double)nupBuyDiff.Value, (double)nupSellDiff.Value, true);
if (realtimeCandles.Count > 0) DrawChart(realtimeCandles, "price");
}
else if (rbHistoricalSim.Checked)
{
lastSimulation = SimulateEMACrossing(historyCandles, (int)nupShortEMA.Value, (int)nupLongEMA.Value, (double)nupBuyDiff.Value, (double)nupSellDiff.Value, true);
if (historyCandles.Count > 0) DrawChart(historyCandles, "priceHistory");
}
}
