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Update JMA_chart indicator to use Indicator base class and add painting logic

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Miha Kralj
2023-04-12 13:47:25 -07:00
parent b99d451ea8
commit b655c05d72
8 changed files with 117 additions and 105 deletions
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Calculations/Logic/EQUITY_Series.cs
+64 -35
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@@ -13,46 +13,75 @@ EQUITY - Generates P&L portfolio based on trades signals and equity prices
//optional: warmup period: warmup
public class EQUITY_Series : Single_TSeries_Indicator {
int trade_state = 0;
readonly int _warmup = 0;
double eq_value = 0;
readonly TSeries _prices;
readonly bool _long, _short;
public EQUITY_Series(TSeries trades, TSeries prices, bool Long = true, bool Short = false, int Warmup = 0) : base(trades, period: 0, useNaN: false) {
_prices = prices;
_long = Long;
_short = Short;
_warmup = Warmup;
readonly TSeries inmarket; //for every bar
private readonly TSeries _price;
private double _equity;
private readonly double _capital;
readonly int _warmup;
double _cash;
int _units;
private bool _longbuy, _longsell;
double _long_order, _open_order;
double _investment_value;
short _inmarket;
public EQUITY_Series(TSeries signal, TSeries price, int warmup = 0, double capital = 1000) : base(signal, period: 0, useNaN: false) {
_capital = capital;
_cash = _capital;
_investment_value = 0;
_warmup = (warmup > 0) ? warmup : 1;
inmarket = new();
_longbuy = _longsell = false;
_open_order = 0;
_inmarket = 0;
_units = 0;
_long_order = 0;
_price = price; //we buy on the Open price of the NEXT bar
_long_order = 0;
if (base._data.Count > 0) { base.Add(base._data); }
}
public override void Add((System.DateTime t, double v) TValue, bool update) {
if (this.Count != 0)
eq_value = this[this.Count - 1].v;
//buy signal
if (TValue.v == 1 && this.Count > _warmup) {
//we are not in-market and we can do long trades
if (_short) { trade_state = 0; }
if (_long) { trade_state = 1; }
if (this.Count > _warmup) {
// harvest the gain-loss from previous day
_investment_value = _units * _price[this.Count - 1].v;
_equity = _cash + _investment_value;
//execute orders from previous bar
if (_longbuy && _inmarket == 0) { //time to execute the long buy
_units = (int)(_cash / _price[this.Count - 1].v);
_long_order = _units * _price[this.Count - 1].v;
_cash -= _long_order;
_open_order = _long_order;
_equity = _cash + _open_order;
_inmarket = 1;
_longbuy = false;
}
if (_longsell && _inmarket == 1) { //time to execute the long sell
_long_order = (_units * _price[this.Count - 1].v);
_cash += _long_order;
_units = 0;
_open_order = 0;
_equity = _cash + _open_order;
_inmarket = 0;
_longsell = false;
}
if (_inmarket == 0 && TValue.v == 1) { _longbuy = true; } //out of market, enter long
if (_inmarket == 1 && TValue.v == -1) { _longsell = true; } //long market, exit long
//Console.WriteLine($"{TValue.v,3}\t {(_inmarket)} : {_cash,10:f2} + {_units*_price[this.Count-1].v,7:f2} = {_equity-_capital:f2}");
}
//sell signal
if (TValue.v == -1 && this.Count > _warmup) {
//we are in-market and we can do long trades
if (_long) { trade_state = 0; }
if (_short) { trade_state = -1; }
}
if (trade_state == 1) {
eq_value = this[this.Count - 1].v + (_prices[this.Count].v - _prices[this.Count - 1].v);
}
if (trade_state == -1) {
eq_value = this[this.Count - 1].v + (_prices[this.Count - 1].v - _prices[this.Count].v);
}
base.Add((TValue.t, eq_value), update, _NaN);
inmarket.Add(TValue.t, (double)_inmarket);
base.Add((TValue.t, _equity), update, _NaN);
}
}