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QuanTAlib/docs/Trading_example.ipynb
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new: EQUITY_Series
2023-04-07 16:49:59 -07:00
{
"cells": [
{
"cell_type": "code",
"execution_count": 18,
"metadata": {
"dotnet_interactive": {
"language": "csharp"
}
},
"outputs": [
{
"data": {
"text/html": [
"<div><div></div><div></div><div><strong>Installed Packages</strong><ul><li><span>QuanTAlib, 0.2.0</span></li></ul></div></div>"
]
},
"metadata": {},
"output_type": "display_data"
}
],
"source": [
"#r \"nuget: QuanTAlib\"\n",
"#r \"nuget: Plotly.NET;\"\n",
"#r \"nuget: Plotly.NET.Interactive;\"\n",
"\n",
"using QuanTAlib;\n",
"using Plotly.NET;\n",
"using Plotly.NET.LayoutObjects;"
]
},
{
"cell_type": "code",
"execution_count": 19,
"metadata": {
"dotnet_interactive": {
"language": "csharp"
},
"polyglot_notebook": {
"kernelName": "csharp"
}
},
"outputs": [
{
"data": {
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"var renderPlotly_d6ed8adfec284b738d34423a356f40b7 = function() {\r\n",
" var fsharpPlotlyRequire = requirejs.config({context:'fsharp-plotly',paths:{plotly:'https://cdn.plot.ly/plotly-2.18.1.min'}}) || require;\r\n",
" fsharpPlotlyRequire(['plotly'], function(Plotly) {\r\n",
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" var config = {\"responsive\":true};\r\n",
" Plotly.newPlot('d6ed8adf-ec28-4b73-8d34-423a356f40b7', data, layout, config);\r\n",
" });\r\n",
"};\r\n",
"if ((typeof(requirejs) !== typeof(Function)) || (typeof(requirejs.config) !== typeof(Function))) {\r\n",
" var script = document.createElement(\"script\");\r\n",
" script.setAttribute(\"src\", \"https://cdnjs.cloudflare.com/ajax/libs/require.js/2.3.6/require.min.js\");\r\n",
" script.onload = function(){\r\n",
" renderPlotly_d6ed8adfec284b738d34423a356f40b7();\r\n",
" };\r\n",
" document.getElementsByTagName(\"head\")[0].appendChild(script);\r\n",
"}\r\n",
"else {\r\n",
" renderPlotly_d6ed8adfec284b738d34423a356f40b7();\r\n",
"}\r\n",
"</script></div>"
]
},
"metadata": {},
"output_type": "display_data"
}
],
"source": [
"string symbol=\"SPY\"; // we'll focus on SPY symbol\n",
"int warmup = 50; // we'll allow 50 bars to pass by with no trading - for warm-up\n",
"Yahoo_Feed bars = new(symbol,350); //collect bars of symbol from Yahoo feed\n",
"TSeries data = bars.Close; //we need just one average value - (Open+High+Low+CLose)/4\n",
"\n",
"//make a chart\n",
"var d = Chart2D.Chart.Candlestick<double, double, double, double, DateTime, string>(bars.Open.v.Skip(warmup).ToList(), bars.High.v.Skip(warmup).ToList(), \n",
"bars.Low.v.Skip(warmup).ToList(), bars.Close.v.Skip(warmup).ToList(), bars.Open.t.Skip(warmup).ToList(), symbol)\n",
" .WithSize(1200,400).WithMargin(Margin.init<int, int, int, int, int, bool>(30,10,40,30,1,false)).WithXAxisRangeSlider(RangeSlider.init(Visible:false)).WithTitle(symbol);\n",
"d"
]
},
{
"cell_type": "code",
"execution_count": 20,
"metadata": {
"dotnet_interactive": {
"language": "csharp"
}
},
"outputs": [
{
"data": {
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"var renderPlotly_b34d57f36c8849a88a00ad8f5b0c3552 = function() {\r\n",
" var fsharpPlotlyRequire = requirejs.config({context:'fsharp-plotly',paths:{plotly:'https://cdn.plot.ly/plotly-2.18.1.min'}}) || require;\r\n",
" fsharpPlotlyRequire(['plotly'], function(Plotly) {\r\n",
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"};\r\n",
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]
},
"metadata": {},
"output_type": "display_data"
}
],
"source": [
"JMA_Series fastMA = new(data,12); //typically MACD uses EMA(12), but let's try with superior JMA(12)\n",
"JMA_Series slowMA = new(data,26); //likewise, let's use JMA(26) instead of EMA(26)\n",
"\n",
"//make a chart\n",
"var cfast = Chart2D.Chart.Line<DateTime,double,bool>(fastMA.t.Skip(warmup).ToList(), fastMA.v.Skip(warmup).ToList(), false, \"Fast MA\").WithLineStyle(Width: 2, Color: Color.fromString(\"blue\"));\n",
"var cslow = Chart2D.Chart.Line<DateTime,double,bool>(slowMA.t.Skip(warmup).ToList(), slowMA.v.Skip(warmup).ToList(), false, \"Slow MA\").WithLineStyle(Width: 2, Color: Color.fromString(\"red\"));\n",
"var chart = Chart.Combine(new []{cfast,cslow}).WithSize(1200,400).WithMargin(Margin.init<int, int, int, int, int, bool>(30,10,40,30,1,false))\n",
" .WithXAxisRangeSlider(RangeSlider.init(Visible:false)).WithTitle($\"slow MA and fast MA of {symbol} OHLC4\");\n",
"chart"
]
},
{
"cell_type": "code",
"execution_count": 21,
"metadata": {
"dotnet_interactive": {
"language": "csharp"
},
"polyglot_notebook": {
"kernelName": "csharp"
}
},
"outputs": [
{
"data": {
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]
},
"metadata": {},
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}
],
"source": [
"SUB_Series MACD_line = new(fastMA, slowMA); //MACD line is just a SUBtraction fastMA-slowMA\n",
"JMA_Series signal_line = new(MACD_line, 9); //signal line is an EMA(9) of MACD; we use superior JMA(9) instead\n",
"\n",
"//make a chart\n",
"var cfast = Chart2D.Chart.Line<DateTime,double,bool>(MACD_line.t.Skip(warmup).ToList(), MACD_line.v.Skip(warmup).ToList(), false, \"MACD\").WithLineStyle(Width: 2, Color: Color.fromString(\"orange\"));\n",
"var cslow = Chart2D.Chart.Line<DateTime,double,bool>(signal_line.t.Skip(warmup).ToList(), signal_line.v.Skip(warmup).ToList(), false, \"signal\").WithLineStyle(Width: 2, Color: Color.fromString(\"green\"));\n",
"var chart = Chart.Combine(new []{cfast,cslow}).WithSize(1200,400).WithMargin(Margin.init<int, int, int, int, int, bool>(30,10,40,30,1,false))\n",
" .WithXAxisRangeSlider(RangeSlider.init(Visible:false)).WithTitle($\"MACD line and signal line of fastMA-slowMA\");\n",
"chart"
]
},
{
"cell_type": "code",
"execution_count": 22,
"metadata": {
"dotnet_interactive": {
"language": "csharp"
},
"polyglot_notebook": {
"kernelName": "csharp"
}
},
"outputs": [
{
"data": {
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]
},
"metadata": {},
"output_type": "display_data"
}
],
"source": [
"SUB_Series histogram = new(MACD_line, signal_line); //MACD histogram is an oscillator of MACD-signal\n",
"\n",
"//make a chart\n",
"var cfast = Chart2D.Chart.Column<double, DateTime, bool,bool,bool>(values: histogram.v.Skip(warmup).ToList(), Keys: histogram.t.Skip(warmup).ToList())\n",
".WithSize(1200,400).WithMargin(Margin.init<int, int, int, int, int, bool>(30,10,40,30,1,false)).WithXAxisRangeSlider(RangeSlider.init(Visible:false))\n",
".WithTitle(\"MACD histogram of MACD-signal\");\n",
"cfast"
]
},
{
"cell_type": "code",
"execution_count": 23,
"metadata": {
"dotnet_interactive": {
"language": "csharp"
},
"polyglot_notebook": {
"kernelName": "csharp"
}
},
"outputs": [
{
"data": {
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"};\r\n",
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]
},
"metadata": {},
"output_type": "display_data"
}
],
"source": [
"COMPARE_Series over = new(histogram,0); //generate over/under series when histogram is above/below zero\n",
"CROSS_Series trades = new(histogram,0); //generate a signal series where histogram crosses zero (from below and from above)\n",
"\n",
"//make a chart\n",
"var cover = Chart2D.Chart.Line<DateTime,double,bool>(over.t.Skip(warmup).ToList(),over.v.Skip(warmup).ToList(),false,\"state\").WithLineStyle(Width: 1, Color: Color.fromString(\"blue\"));\n",
"var cbars = Chart2D.Chart.Area<DateTime, double,bool>(trades.t.Skip(warmup).ToList(), trades.v.Skip(warmup).ToList(),false );\n",
"var chart = Chart.Combine(new []{cover,cbars}).WithSize(1200,400).WithMargin(Margin.init<int, int, int, int, int, bool>(30,10,40,30,1,false))\n",
" .WithXAxisRangeSlider(RangeSlider.init(Visible:false)).WithTitle(\"in-market signal and trading orders based on MACD histogram\");\n",
"chart"
]
},
{
"cell_type": "code",
"execution_count": 25,
"metadata": {
"dotnet_interactive": {
"language": "csharp"
},
"polyglot_notebook": {
"kernelName": "csharp"
}
},
"outputs": [
{
"data": {
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"};\r\n",
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]
},
"metadata": {},
"output_type": "display_data"
}
],
"source": [
"EQUITY_Series folio = new(trades, data, Long:true, Short:false, Warmup:warmup); //generate equity curve from trades and \n",
"\n",
"//make a chart\n",
"var cbars = Chart2D.Chart.Area<DateTime, double,bool>(folio.t.Skip(warmup).ToList(), folio.v.Skip(warmup).ToList(),false ).WithSize(1200,400).WithMargin(Margin.init<int, int, int, int, int, bool>(30,10,40,30,1,false))\n",
" .WithXAxisRangeSlider(RangeSlider.init(Visible:false)).WithTitle($\"Trading P&L (long only) for MACD-generated trades on {symbol}\");\n",
"cbars"
]
}
],
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Reference in New Issue Copy Permalink