mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-23 21:18:04 +00:00
refactor structs to records, add new classes for financial calculations, implement EMA and SMA with circular buffer. Generate random financial data using GBM model. Also, test the SMA calculation with sample data.
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Miha Kralj
@@ -5,91 +5,98 @@ using System.Linq;
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using TradingPlatform.BusinessLayer;
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namespace QuanTAlib;
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public class TrailingStop_chart : Indicator {
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#region Parameters
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public class TrailingStop_chart : Indicator
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{
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#region Parameters
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[InputParameter("Period", 0, 1, 100, 1, 1)]
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protected int _period = 30;
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[InputParameter("Factor", 1, 1, 100, 0.1, 1)]
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protected double _factor = 10;
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[InputParameter("Period", 0, 1, 100, 1, 1)]
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protected int _period = 30;
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[InputParameter("Long TS", 2)]
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private bool _LongTS = true;
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[InputParameter("Factor", 1, 1, 100, 0.1, 1)]
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protected double _factor = 10;
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[InputParameter("Short TS", 3)]
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private bool _ShortTS = true;
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[InputParameter("Long TS", 2)]
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private bool _LongTS = true;
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#endregion Parameters
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[InputParameter("Short TS", 3)]
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private bool _ShortTS = true;
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///////
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private HistoricalData History;
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private TBars bars;
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private ATR_Series _atr;
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private double _tslineL, _ratchetL, _tslineS, _ratchetS;
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#endregion Parameters
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///////
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///////
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private HistoricalData History;
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private TBars bars;
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private ATR_Series _atr;
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private double _tslineL, _ratchetL, _tslineS, _ratchetS;
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public TrailingStop_chart() {
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Name = $"ATR Trailing Stop";
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AddLineSeries(lineName: "TrailingATR Long", lineColor: Color.Yellow, lineWidth: 1,lineStyle: LineStyle.Dot);
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AddLineSeries(lineName: "Ratchet Long", lineColor: Color.Yellow, lineWidth: 3, lineStyle: LineStyle.Solid);
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///////
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AddLineSeries(lineName: "TrailingATR Short", lineColor: Color.Yellow, lineWidth: 1, lineStyle: LineStyle.Dot);
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AddLineSeries(lineName: "Ratchet Short", lineColor: Color.Yellow, lineWidth: 3, lineStyle: LineStyle.Solid);
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SeparateWindow = false;
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}
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public TrailingStop_chart()
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{
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Name = $"ATR Trailing Stop";
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AddLineSeries(lineName: "TrailingATR Long", lineColor: Color.Yellow, lineWidth: 1, lineStyle: LineStyle.Dot);
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AddLineSeries(lineName: "Ratchet Long", lineColor: Color.Yellow, lineWidth: 3, lineStyle: LineStyle.Solid);
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AddLineSeries(lineName: "TrailingATR Short", lineColor: Color.Yellow, lineWidth: 1, lineStyle: LineStyle.Dot);
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AddLineSeries(lineName: "Ratchet Short", lineColor: Color.Yellow, lineWidth: 3, lineStyle: LineStyle.Solid);
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SeparateWindow = false;
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}
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protected override void OnInit() {
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this.Name = $"Trailing Stop (ATR:{_period}, Mult:{_factor:f2})";
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this.bars = new();
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protected override void OnInit()
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{
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this.Name = $"Trailing Stop (ATR:{_period}, Mult:{_factor:f2})";
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this.bars = new();
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this.History = this.Symbol.GetHistory(period: this.HistoricalData.Period, fromTime: HistoricalData.FromTime);
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for (int i = this.History.Count - 1; i >= 0; i--) {
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var rec = this.History[i, SeekOriginHistory.Begin];
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bars.Add(rec.TimeLeft, rec[PriceType.Open],
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rec[PriceType.High], rec[PriceType.Low],
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rec[PriceType.Close], rec[PriceType.Volume]);
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}
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_atr = new(source: bars, _period, useNaN: true);
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_ratchetL = Double.NegativeInfinity;
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_ratchetS = Double.PositiveInfinity;
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this.History = this.Symbol.GetHistory(period: this.HistoricalData.Period, fromTime: HistoricalData.FromTime);
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for (int i = this.History.Count - 1; i >= 0; i--)
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{
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var rec = this.History[i, SeekOriginHistory.Begin];
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bars.Add(rec.TimeLeft, rec[PriceType.Open],
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rec[PriceType.High], rec[PriceType.Low],
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rec[PriceType.Close], rec[PriceType.Volume]);
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}
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_atr = new(source: bars, _period, useNaN: true);
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_ratchetL = Double.NegativeInfinity;
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_ratchetS = Double.PositiveInfinity;
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this.LinesSeries[0].Visible = _LongTS;
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this.LinesSeries[1].Visible = _LongTS;
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this.LinesSeries[2].Visible = _ShortTS;
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this.LinesSeries[3].Visible = _ShortTS;
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}
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this.LinesSeries[0].Visible = _LongTS;
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this.LinesSeries[1].Visible = _LongTS;
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this.LinesSeries[2].Visible = _ShortTS;
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this.LinesSeries[3].Visible = _ShortTS;
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}
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protected override void OnUpdate(UpdateArgs args) {
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bool update = !(args.Reason == UpdateReason.NewBar ||
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args.Reason == UpdateReason.HistoricalBar);
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this.bars.Add(this.Time(), this.GetPrice(PriceType.Open),
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this.GetPrice(PriceType.High),
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this.GetPrice(PriceType.Low),
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this.GetPrice(PriceType.Close),
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this.GetPrice(PriceType.Volume), update);
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_tslineL = bars.High[^1].v - (_factor * _atr[^1].v);
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_ratchetL = Math.Max(_tslineL,_ratchetL);
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if (_ratchetL > bars.Low[^1].v) {
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this.LinesSeries[1].SetMarker(0, new IndicatorLineMarker(Color.Yellow, bottomIcon: IndicatorLineMarkerIconType.DownArrow));
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_ratchetL = _tslineL;
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}
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protected override void OnUpdate(UpdateArgs args)
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{
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bool update = !(args.Reason == UpdateReason.NewBar ||
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args.Reason == UpdateReason.HistoricalBar);
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this.bars.Add(this.Time(), this.GetPrice(PriceType.Open),
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this.GetPrice(PriceType.High),
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this.GetPrice(PriceType.Low),
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this.GetPrice(PriceType.Close),
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this.GetPrice(PriceType.Volume), update);
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_tslineS = bars.High[^1].v + (_factor * _atr[^1].v);
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_ratchetS = Math.Min(_tslineS, _ratchetS);
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if (_ratchetS < bars.High[^1].v) {
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this.LinesSeries[3].SetMarker(0, new IndicatorLineMarker(Color.Yellow, upperIcon: IndicatorLineMarkerIconType.UpArrow));
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_ratchetS = _tslineS;
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}
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_tslineL = bars.High[^1].v - (_factor * _atr[^1].v);
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_ratchetL = Math.Max(_tslineL, _ratchetL);
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if (_ratchetL > bars.Low[^1].v)
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{
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this.LinesSeries[1].SetMarker(0, new IndicatorLineMarker(Color.Yellow, bottomIcon: IndicatorLineMarkerIconType.DownArrow));
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_ratchetL = _tslineL;
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}
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this.SetValue(_tslineL, lineIndex: 0);
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this.SetValue(_ratchetL, lineIndex: 1);
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this.SetValue(_tslineS, lineIndex: 2);
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this.SetValue(_ratchetS, lineIndex: 3);
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}
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_tslineS = bars.High[^1].v + (_factor * _atr[^1].v);
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_ratchetS = Math.Min(_tslineS, _ratchetS);
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if (_ratchetS < bars.High[^1].v)
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{
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this.LinesSeries[3].SetMarker(0, new IndicatorLineMarker(Color.Yellow, upperIcon: IndicatorLineMarkerIconType.UpArrow));
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_ratchetS = _tslineS;
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}
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this.SetValue(_tslineL, lineIndex: 0);
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this.SetValue(_ratchetL, lineIndex: 1);
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this.SetValue(_tslineS, lineIndex: 2);
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this.SetValue(_ratchetS, lineIndex: 3);
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}
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}
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