diff --git a/.editorconfig b/.editorconfig
new file mode 100644
index 00000000..27ae0e75
--- /dev/null
+++ b/.editorconfig
@@ -0,0 +1,8 @@
+# Top-most EditorConfig file
+root = true
+
+[*.{cs,vb}]
+# Suppress S3776 (Cognitive Complexity)
+dotnet_diagnostic.S3776.severity = none
+# Suppress CA1416 (Platform Compatibility)
+dotnet_diagnostic.CA1416.severity = none
\ No newline at end of file
diff --git a/.github/workflows/main_automation.yml b/.github/workflows/main_automation.yml
index 5f1efe28..0f91fe12 100644
--- a/.github/workflows/main_automation.yml
+++ b/.github/workflows/main_automation.yml
@@ -10,13 +10,21 @@ on:
jobs:
build_test:
- runs-on: windows-latest
+ #runs-on: windows-latest
+ runs-on: ubuntu-latest
steps:
- name: Checkout
uses: actions/checkout@v3
with:
fetch-depth: 0
+############## Install tools
+
+ - name: Create Quantower folder at root
+ run: |
+ sudo mkdir -p /Quantower/
+ sudo chmod -R 777 /Quantower
+
- name: Install .NET
uses: actions/setup-dotnet@v3
with:
@@ -34,31 +42,14 @@ jobs:
uses: gittools/actions/gitversion/execute@v0
with:
useConfigFile: true
- configFilePath: /a/QuanTAlib/QuanTAlib/GitVersion.yml
+ #configFilePath: GitVersion.yml
updateAssemblyInfo: true
- - name: Display GitVersion variables (without prefix)
- run: |
- echo "Major: ${{ steps.gitversion.outputs.major }}"
- echo "Minor: ${{ steps.gitversion.outputs.minor }}"
- echo "Patch: ${{ steps.gitversion.outputs.patch }}"
- echo "PreReleaseTag: ${{ steps.gitversion.outputs.preReleaseTag }}"
- echo "PreReleaseTagWithDash: ${{ steps.gitversion.outputs.preReleaseTagWithDash }}"
- echo "PreReleaseLabel: ${{ steps.gitversion.outputs.preReleaseLabel }}"
- echo "PreReleaseNumber: ${{ steps.gitversion.outputs.preReleaseNumber }}"
- echo "WeightedPreReleaseNumber: ${{ steps.gitversion.outputs.weightedPreReleaseNumber }}"
- echo "FullBuildMetaData: ${{ steps.gitversion.outputs.fullBuildMetaData }}"
- echo "MajorMinorPatch: ${{ steps.gitversion.outputs.majorMinorPatch }}"
- echo "SemVer: ${{ steps.gitversion.outputs.semVer }}"
- echo "AssemblySemVer: ${{ steps.gitversion.outputs.assemblySemVer }}"
- echo "AssemblySemFileVer: ${{ steps.gitversion.outputs.assemblySemFileVer }}"
- echo "FullSemVer: ${{ steps.gitversion.outputs.fullSemVer }}"
- echo "InformationalVersion: ${{ steps.gitversion.outputs.informationalVersion }}"
-
- name: Install JDK11 for Sonar Scanner
- uses: actions/setup-java@v1
+ uses: actions/setup-java@v3
with:
- java-version: 1.11
+ java-version: 11
+ distribution: 'zulu'
- name: Install JetBrains
run: dotnet tool install JetBrains.dotCover.GlobalTool --global
@@ -74,42 +65,52 @@ jobs:
run: dotnet sonarscanner begin /o:"mihakralj" /k:"mihakralj_QuanTAlib"
/d:sonar.login="${{ secrets.SONAR_TOKEN }}"
/d:sonar.host.url="https://sonarcloud.io"
- /d:sonar.cs.dotcover.reportsPaths=./coveragereport.html
+ /d:sonar.cs.dotcover.reportsPaths=./dotcover.xml
+
+############# Build and test
- name: Build Main branch of QuanTAlib DLL
if: ${{ github.ref != 'refs/heads/dev' }}
- run: dotnet build ./Calculations/Calculations.csproj --verbosity detailed --configuration Release --nologo -p:PackageVersion=${{ steps.gitversion.outputs.MajorMinorPatch }}
-
+ run: dotnet build ./Calculations/Calculations.csproj --configuration Release --nologo -p:PackageVersion=${{ steps.gitversion.outputs.MajorMinorPatch }}
- name: Build dev branch of QuanTAlib DLL
if: ${{ github.ref == 'refs/heads/dev' }}
- run: dotnet build ./Calculations/Calculations.csproj --verbosity detailed --configuration Release --nologo -p:PackageVersion=${{ steps.gitversion.outputs.FullSemVer }}
-
+ run: dotnet build ./Calculations/Calculations.csproj --configuration Release --nologo -p:PackageVersion=${{ steps.gitversion.outputs.FullSemVer }}
- name: Build Indicators DLL
- run: dotnet build ./Indicators/Indicators.csproj --verbosity detailed --configuration Release --nologo
-
+ run: dotnet build ./Indicators/Indicators.csproj --configuration Release --nologo
- name: Build Strategies DLL
- run: dotnet build ./Strategies/Strategies.csproj --verbosity detailed --configuration Release --nologo
+ run: dotnet build ./Strategies/Strategies.csproj --configuration Release --nologo
- - name: DotCover Test XML
- run: dotnet dotcover test ./Tests/Tests.csproj --verbosity minimal --dcReportType=DetailedXML --dcoutput=./coveragereport.xml
+ - name: DotCover Test
+ run: dotnet dotcover test Tests/Tests.csproj --dcReportType=DetailedXML --dcReportType=HTML --dcoutput=dotcover.xml --dcoutput=dotcover.html
+ - name: Coverlet Test
+ run: dotnet test -p:CollectCoverage=true --collect:"XPlat Code Coverage" --results-directory "./"
- - name: Upload coverage reports to Codecov
+############## Report to Sonar/CodeCov/Codacy
+
+ - name: Move coverage report to project root
+ run: |
+ report=$(find . -name '*coverage.cobertura.xml' | head -1)
+ mv "$report" ./coverage.cobertura.xml
+
+ - name: Upload to Codacy
+ uses: codacy/codacy-coverage-reporter-action@v1
+ with:
+ project-token: ${{ secrets.CODACY_PROJECT_TOKEN }}
+ coverage-reports: "*cover*.xml"
+
+ - name: Upload to Codecov
uses: codecov/codecov-action@v3
with:
- files: ./coveragereport.xml
+ files: cover*
verbose: true
- - name: Sonar reporter
+ - name: Upload to Sonar
env:
GITHUB_TOKEN: ${{ secrets.GITHUB_TOKEN }}
SONAR_TOKEN: ${{ secrets.SONAR_TOKEN }}
run: dotnet sonarscanner end /d:sonar.login="${{ secrets.SONAR_TOKEN }}"
- - name: Codacy coverage reporter
- uses: codacy/codacy-coverage-reporter-action@v1
- with:
- project-token: ${{ secrets.CODACY_PROJECT_TOKEN }}
- coverage-reports: ./coveragereport.xml
+############## Publish dev release
- name: Publish dev release assets
if: ${{ github.ref == 'refs/heads/dev' }}
@@ -120,18 +121,20 @@ jobs:
prerelease: true
overwrite: true
release_name: ${{ steps.gitversion.outputs.SemVer }}
- tag_name: ${{ steps.gitversion.outputs.SemVer }}
+ tag_name: prerelease
release_config: |
- .\Calculations\bin\Release\net6.0\QuanTAlib.dll
- .\Indicators\bin\Release\QuanTAlib_Indicators.dll
- .\Strategies\bin\Release\QuanTAlib_Strategies.dll
+ Calculations/bin/Release/net6.0/QuanTAlib.dll
+ Indicators/bin/Release/QuanTAlib_Indicators.dll
+ Strategies/bin/Release/QuanTAlib_Strategies.dll
- name: Push package to myget.org
- run: dotnet nuget push '.\Calculations\bin\Release\QuanTAlib.*.nupkg'
+ run: dotnet nuget push 'Calculations/bin/Release/QuanTAlib.*.nupkg'
--api-key ${{ secrets.MYGET_DEPLOY_KEY_QUANTALIB }}
--source https://www.myget.org/F/quantalib/api/v2/package
--skip-duplicate
+############## Publish main release
+
- name: Publish main release assets
if: ${{ github.ref == 'refs/heads/main' }}
uses: SourceSprint/upload-multiple-releases@1.0.7
@@ -141,15 +144,15 @@ jobs:
prerelease: false
overwrite: true
release_name: ${{ steps.gitversion.outputs.MajorMinorPatch }}
- tag_name: ${{ steps.gitversion.outputs.MajorMinorPatch }}
+ tag_name: latest
release_config: |
- .\Calculations\bin\Release\net6.0\QuanTAlib.dll
- .\Indicators\bin\Release\QuanTAlib_Indicators.dll
- .\Strategies\bin\Release\QuanTAlib_Strategies.dll
+ Calculations/bin/Release/net6.0/QuanTAlib.dll
+ Indicators/bin/Release/QuanTAlib_Indicators.dll
+ Strategies/bin/Release/QuanTAlib_Strategies.dll
- name: Push package to nuget.org
if: ${{ github.ref == 'refs/heads/main' }}
- run: dotnet nuget push '.\Calculations\bin\Release\QuanTAlib.*.nupkg'
+ run: dotnet nuget push 'Calculations/bin/Release/QuanTAlib.*.nupkg'
--api-key ${{ secrets.NUGET_DEPLOY_KEY_QUANTLIB }}
--source https://api.nuget.org/v3/index.json
--skip-duplicate
diff --git a/Calculations/Calculations.csproj b/Calculations/Calculations.csproj
index 02fbbdf4..4140e36e 100644
--- a/Calculations/Calculations.csproj
+++ b/Calculations/Calculations.csproj
@@ -34,6 +34,7 @@
0.2.1.0
0.2.1.0
0.2.1-dev.2+Branch.dev.Sha.cb5fe2dc86a78fe9358da810d17952c82299ed3d
+ NETSDK1057
full
@@ -60,7 +61,7 @@
-
+
True
diff --git a/Calculations/Basics/Pair_TSeries_Abstract.cs b/Calculations/ClassStructures/Pair_TSeries_Abstract.cs
similarity index 100%
rename from Calculations/Basics/Pair_TSeries_Abstract.cs
rename to Calculations/ClassStructures/Pair_TSeries_Abstract.cs
diff --git a/Calculations/Basics/Single_TBars_Abstract.cs b/Calculations/ClassStructures/Single_TBars_Abstract.cs
similarity index 100%
rename from Calculations/Basics/Single_TBars_Abstract.cs
rename to Calculations/ClassStructures/Single_TBars_Abstract.cs
diff --git a/Calculations/Basics/Single_TSeries_Abstract.cs b/Calculations/ClassStructures/Single_TSeries_Abstract.cs
similarity index 100%
rename from Calculations/Basics/Single_TSeries_Abstract.cs
rename to Calculations/ClassStructures/Single_TSeries_Abstract.cs
diff --git a/Calculations/Basics/TBars.cs b/Calculations/ClassStructures/TBars.cs
similarity index 100%
rename from Calculations/Basics/TBars.cs
rename to Calculations/ClassStructures/TBars.cs
diff --git a/Calculations/ClassStructures/TOrders.cs b/Calculations/ClassStructures/TOrders.cs
new file mode 100644
index 00000000..bb1a1e71
--- /dev/null
+++ b/Calculations/ClassStructures/TOrders.cs
@@ -0,0 +1,34 @@
+namespace QuanTAlib;
+using System;
+using System.Collections.Generic;
+using System.Collections.ObjectModel;
+using System.Data;
+using System.Linq;
+
+
+public enum OType {
+ NIL = 0, // No position
+ BTO = 1, // Buy to Open
+ STC = 2, // Sell to Close
+ STO = 3, // Sell to Open
+ BTC = 4, // Buy to Close
+ END = 5, // Exit the trade
+}
+
+
+public class TOrders : List<(DateTime t, OType o)> {
+
+ public void Add((DateTime t, OType o) TOrder, bool update = false)
+ {
+ if (update) { this[^1] = TOrder; }
+ else { base.Add(TOrder); }
+ OnEvent(update);
+ }
+
+
+ protected virtual void OnEvent(bool update = false) {
+ Pub?.Invoke(this, new TSeriesEventArgs { update = update }); }
+ public delegate void NewDataEventHandler(object source, TSeriesEventArgs args);
+ public event NewDataEventHandler Pub;
+
+}
\ No newline at end of file
diff --git a/Calculations/Basics/TSeries.cs b/Calculations/ClassStructures/TSeries.cs
similarity index 52%
rename from Calculations/Basics/TSeries.cs
rename to Calculations/ClassStructures/TSeries.cs
index 15f53d9f..eafec24d 100644
--- a/Calculations/Basics/TSeries.cs
+++ b/Calculations/ClassStructures/TSeries.cs
@@ -1,56 +1,63 @@
namespace QuanTAlib;
using System;
using System.Collections.Generic;
+using System.Collections.ObjectModel;
+using System.Data;
using System.Linq;
/*
-TSeries is the cornerstone of all QuanTAlib classess.
- TSeries is a single List of tuples (time, value) and contains several operators, casts, overloads
- and other helpers that simplify usage of library.
+TSeries is the cornerstone of all QuanTAlib classes.
+ TSeries is a single List of tuples (time, value) and contains several operators, casts, overloads
+ and other helpers that simplify usage of library.
Think of TSeries as an equivalent of Numpy array.
-
+
- includes Length property (to mimic array's method)
- includes publishing and subscribing methods that attach to events
*/
+
+
+public class TSeriesEventArgs : EventArgs{
+ public bool update { get; set; }
+}
+
public class TSeries : List<(DateTime t, double v)> {
public static implicit operator (DateTime t, double v)(TSeries l) => l[^1];
public static implicit operator double(TSeries l) => l[^1].v;
public static implicit operator DateTime(TSeries l) => l[^1].t;
- public List t => this.Select(item => item.t).ToList();
- public List v => this.Select(item => item.v).ToList();
- public int Length => this.Count;
+ public List t => this.Select(item => item.t).ToList();
+ public List v => this.Select(item => item.v).ToList();
+ public int Length => this.Count;
public TSeries Tail(int count = 10) {
var tailSeries = new TSeries();
tailSeries.AddRange(this.Skip(Math.Max(0, this.Count - count)).Take(count));
return tailSeries;
}
- public void Add((DateTime t, double v) TValue, bool update = false) {
+ public (DateTime t, double v) Add((DateTime t, double v) TValue, bool update = false) {
if (update) { this[^1] = TValue; }
else { base.Add(TValue); }
OnEvent(update);
+ return TValue;
}
public void Add(DateTime t, double v, bool update = false) => this.Add((t, v), update);
- public void Add(double v, bool update = false) => this.Add((DateTime.Now, v), update);
- protected virtual void OnEvent(bool update = false) {
- Pub?.Invoke(this, new TSeriesEventArgs { update = update }); }
+ public void Add(double v, bool update = false) => this.Add((DateTime.Now, v), update);
+ protected virtual void OnEvent(bool update = false) {
+ Pub?.Invoke(this, new TSeriesEventArgs { update = update });
+ }
- public delegate void NewDataEventHandler(object source, TSeriesEventArgs args);
- public event NewDataEventHandler Pub;
+ public delegate void NewDataEventHandler(object source, TSeriesEventArgs args);
+ public event NewDataEventHandler Pub;
- public void Sub(object source, TSeriesEventArgs e) {
- TSeries ss = (TSeries)source;
- if (ss.Count > 0) {
- this.AddRange(ss);
- } else {
- Add(ss[^1], e.update);
+ public void Sub(object source, TSeriesEventArgs e) {
+ TSeries ss = (TSeries)source;
+ if (ss.Count > 0) {
+ this.AddRange(ss);
}
- }
-}
-
-public class TSeriesEventArgs : EventArgs{
- public bool update { get; set; }
+ else {
+ this.Add(ss[^1], e.update);
+ }
+ }
}
diff --git a/Calculations/Logic/EQUITY_Series.cs b/Calculations/Logic/EQUITY_Series.cs
index 63e8eea5..1257352d 100644
--- a/Calculations/Logic/EQUITY_Series.cs
+++ b/Calculations/Logic/EQUITY_Series.cs
@@ -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);
}
}
\ No newline at end of file
diff --git a/Calculations/Statistics/DECAY_Series.cs b/Calculations/Statistics/DECAY_Series.cs
index b89b8d75..2084c95a 100644
--- a/Calculations/Statistics/DECAY_Series.cs
+++ b/Calculations/Statistics/DECAY_Series.cs
@@ -15,7 +15,7 @@ DECAY:
*/
public class DECAY_Series : Single_TSeries_Indicator {
- private bool _exp;
+ private readonly bool _exp;
private double _pdecay, _ppdecay;
private readonly double _dfactor;
diff --git a/Calculations/Statistics/LINREG_Series.cs b/Calculations/Statistics/LINREG_Series.cs
index 2aff6af2..96458c54 100644
--- a/Calculations/Statistics/LINREG_Series.cs
+++ b/Calculations/Statistics/LINREG_Series.cs
@@ -21,12 +21,14 @@ Sources:
public class LINREG_Series : Single_TSeries_Indicator
{
- public readonly TSeries Intercept = new();
- public readonly TSeries RSquared = new();
- public readonly TSeries StdDev = new();
+ private readonly TSeries p_Intercept = new();
+ private readonly TSeries p_RSquared = new();
+ private readonly TSeries p_StdDev = new();
private readonly System.Collections.Generic.List _buffer = new();
-
- public LINREG_Series(TSeries source, int period, bool useNaN = false)
+ public TSeries Intercept => p_Intercept;
+ public TSeries RSquared => p_RSquared;
+ public TSeries StdDev => p_StdDev;
+public LINREG_Series(TSeries source, int period, bool useNaN = false)
: base(source, period, useNaN)
{
if (this._data.Count > 0) { base.Add(this._data); }
@@ -80,12 +82,12 @@ public class LINREG_Series : Single_TSeries_Indicator
base.Add(ret, update, _NaN);
ret = (TValue.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _intercept);
- Intercept.Add(ret, update);
+ p_Intercept.Add(ret, update);
ret = (TValue.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _StdDev);
- StdDev.Add(ret, update);
+ p_StdDev.Add(ret, update);
ret = (TValue.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _RSquared);
- RSquared.Add(ret, update);
+ p_RSquared.Add(ret, update);
}
}
\ No newline at end of file
diff --git a/Calculations/Statistics/SDEV_Series.cs b/Calculations/Statistics/SDEV_Series.cs
index 88f6ed8f..b85c3a16 100644
--- a/Calculations/Statistics/SDEV_Series.cs
+++ b/Calculations/Statistics/SDEV_Series.cs
@@ -18,7 +18,7 @@ Remark:
public class SDEV_Series : Single_TSeries_Indicator
{
- public SDEV_Series(TSeries source, int period, bool useNaN = false) : base(source, period, useNaN)
+ public SDEV_Series(TSeries source, int period=0, bool useNaN = false) : base(source, period, useNaN)
{
if (base._data.Count > 0) { base.Add(base._data); }
}
diff --git a/Calculations/Trends/ALMA_Series.cs b/Calculations/Trends/ALMA_Series.cs
index ceb70320..30d755f5 100644
--- a/Calculations/Trends/ALMA_Series.cs
+++ b/Calculations/Trends/ALMA_Series.cs
@@ -14,7 +14,7 @@ Sources:
https://phemex.com/academy/what-is-arnaud-legoux-moving-averages
https://www.prorealcode.com/prorealtime-indicators/alma-arnaud-legoux-moving-average/
-TODO: Discrepancy with Pandas-TA (but passes the validation with Skender.GetAlma)
+ Discrepancy with Pandas-TA (but passes the validation with Skender.GetAlma)
*/
diff --git a/Calculations/Trends/DEMA_Series.cs b/Calculations/Trends/DEMA_Series.cs
index 3aaf2560..6dea06e5 100644
--- a/Calculations/Trends/DEMA_Series.cs
+++ b/Calculations/Trends/DEMA_Series.cs
@@ -41,7 +41,7 @@ public class DEMA_Series : Single_TSeries_Indicator
_lastsum = _lastlastsum;
_lastema1 = _lastlastema1;
_lastema2 = _lastlastema2;
- }
+ }
else {
_lastlastsum = _lastsum;
_lastlastema1 = _lastema1;
@@ -55,9 +55,6 @@ public class DEMA_Series : Single_TSeries_Indicator
}
else if (_len <= _period && _useSMA && _period != 0) {
_sum += TValue.v;
- if (_period != 0 && _len > _period) {
- _sum -= (_data[base.Count - _period - (update ? 1 : 0)].v);
- }
_ema1 = _sum / Math.Min(_len, _period);
_ema2 = _ema1;
}
@@ -67,8 +64,8 @@ public class DEMA_Series : Single_TSeries_Indicator
}
_dema = 2*_ema1 - _ema2;
- _lastema1 = _ema1;
- _lastema2 = _ema2;
+ _lastema1 = Double.IsNaN(_ema1)?_lastema1:_ema1;
+ _lastema2 = Double.IsNaN(_ema2)?_lastema2:_ema2;
base.Add((TValue.t, _dema), update, _NaN);
}
diff --git a/Calculations/Trends/DWMA_Series.cs b/Calculations/Trends/DWMA_Series.cs
index 7cdb0954..08d2ecb9 100644
--- a/Calculations/Trends/DWMA_Series.cs
+++ b/Calculations/Trends/DWMA_Series.cs
@@ -9,24 +9,22 @@ DWMA: Double Weighted Moving Average
*/
public class DWMA_Series : Single_TSeries_Indicator {
+ private readonly System.Collections.Generic.List _buffer1 = new();
+ private readonly System.Collections.Generic.List _weights = new();
public DWMA_Series(TSeries source, int period, bool useNaN = false) : base(source, period, useNaN) {
for (int i = 0; i < this._p; i++) {
double _weight = (i + 1) * (i + 1);
this._weights.Add(_weight);
}
-
if (base._data.Count > 0) { base.Add(base._data); }
}
- private readonly System.Collections.Generic.List _buffer1 = new();
- private readonly System.Collections.Generic.List _weights = new();
public override void Add((System.DateTime t, double v) TValue, bool update) {
Add_Replace_Trim(_buffer1, TValue.v, _p, update);
- double _wma1 = 0;
- double _wsum = 0;
+ double _wma1 = 0, _wsum = 0;
for (int i = 0; i < _buffer1.Count; i++) {
- _wma1 += _buffer1[i] * this._weights[i];
- _wsum += this._weights[i];
+ _wma1 += _buffer1[i] * _weights[i];
+ _wsum += _weights[i];
}
_wma1 /= _wsum;
diff --git a/Calculations/Trends/EMA_Series.cs b/Calculations/Trends/EMA_Series.cs
index 6fe35b19..6ce1d3a1 100644
--- a/Calculations/Trends/EMA_Series.cs
+++ b/Calculations/Trends/EMA_Series.cs
@@ -60,7 +60,7 @@ public class EMA_Series : Single_TSeries_Indicator {
else {
_ema = _k * (TValue.v - _lastema) + _lastema;
}
- _lastema = _ema;
+ _lastema = Double.IsNaN(_ema)?_lastema:_ema;
base.Add((TValue.t, _ema), update, _NaN);
}
diff --git a/Calculations/Trends/JMA_Series.cs b/Calculations/Trends/JMA_Series.cs
index 09cdeeb3..f3d221a3 100644
--- a/Calculations/Trends/JMA_Series.cs
+++ b/Calculations/Trends/JMA_Series.cs
@@ -27,13 +27,14 @@ public class JMA_Series : Single_TSeries_Indicator {
public TSeries mma1 { get; }
public TSeries mma2 { get; }
- private double upperBand, lowerBand, vsum, Kv, del1, del2;
+ private double upperBand, lowerBand, vsum, Kv;
private double prev_ma1, prev_det0, prev_det1, prev_vsum, prev_jma;
private double p_upperBand, p_lowerBand, p_Kv, p_prev_ma1, p_prev_det0, p_prev_det1, p_prev_vsum, p_prev_jma;
private readonly int _voltyS, _voltyL;
public JMA_Series(TSeries source, int period, double phase = 0.0, int vshort = 10, int vlong = 65, bool useNaN = false) : base(source, period, useNaN) {
- upperBand = lowerBand = prev_ma1 = prev_det0 = prev_det1 = prev_vsum = prev_jma = Kv = del1 = del2 = 0.0;
+ upperBand = lowerBand = prev_ma1 = prev_det0 = prev_det1 = prev_vsum = prev_jma = Kv = 0.0;
+
Kv = 0;
pr = (phase * 0.01) + 1.5;
@@ -48,6 +49,7 @@ public class JMA_Series : Single_TSeries_Indicator {
}
public override void Add((System.DateTime t, double v) TValue, bool update) {
+ double del1 = 0.0, del2 = 0.0;
if (this.Count == 0) { prev_ma1 = prev_jma = TValue.v; }
if (update) {
upperBand = p_upperBand;
@@ -95,8 +97,8 @@ public class JMA_Series : Single_TSeries_Indicator {
/// from avolty to rolty
double rvolty = (avolty != 0) ? volty / avolty : 0;
double len1 = (Math.Log(Math.Sqrt(_p)) / Math.Log(2.0)) + 2;
- if (len1 < 0)
- len1 = 0;
+ if (len1 < 0) { len1 = 0; }
+
double pow1 = Math.Max(len1 - 2.0, 0.5);
if (rvolty > Math.Pow(len1, 1.0 / pow1)) { rvolty = Math.Pow(len1, 1.0 / pow1); }
if (rvolty < 1) { rvolty = 1; }
diff --git a/Calculations/Trends/MAMA_Series.cs b/Calculations/Trends/MAMA_Series.cs
index 7c491913..624321a8 100644
--- a/Calculations/Trends/MAMA_Series.cs
+++ b/Calculations/Trends/MAMA_Series.cs
@@ -33,7 +33,7 @@ public class MAMA_Series : Single_TSeries_Indicator
public override void Add((System.DateTime t, double v) TValue, bool update)
{
-
+
if (!update) {
// roll forward (oldx = x)
pr.io = pr.i6; pr.i6 = pr.i5; pr.i5 = pr.i4; pr.i4 = pr.i3; pr.i3 = pr.i2; pr.i2 = pr.i1; pr.i1 = pr.i;
diff --git a/Calculations/Trends/T3_Series.cs b/Calculations/Trends/T3_Series.cs
index 304fc200..4f598993 100644
--- a/Calculations/Trends/T3_Series.cs
+++ b/Calculations/Trends/T3_Series.cs
@@ -13,16 +13,6 @@ Sources:
https://technicalindicators.net/indicators-technical-analysis/150-t3-moving-average
http://www.binarytribune.com/forex-trading-indicators/t3-moving-average-indicator/
-Calculation:
- Volume Factor is typically 0.7 (but also 0.618);
- Ema1 = Ema (Close);
- Ema2 = Ema (Ema1);
- Ema3 = Ema (Ema2);
- Ema4 = Ema (Ema3);
- Ema5 = Ema (Ema4);
- Ema6 = Ema (Ema5);
- T3 = –(a*a*a) * Ema6 + (3*a*a + 3*a*a*a) * Ema5 + (–6*a*a – 3*a – 3*a*a*a) * Ema4 + (1 + 3*a + a*a*a + 3*a*a) * Ema3
-
*/
public class T3_Series : Single_TSeries_Indicator {
private readonly double _k, _k1m, _c1, _c2, _c3, _c4;
@@ -35,7 +25,7 @@ public class T3_Series : Single_TSeries_Indicator {
private double _lastema1, _lastema2, _lastema3, _lastema4, _lastema5, _lastema6;
private double _llastema1, _llastema2, _llastema3, _llastema4, _llastema5, _llastema6;
- private bool _useSMA;
+ private readonly bool _useSMA;
public T3_Series(TSeries source, int period, double vfactor = 0.7, bool useNaN = false, bool useSMA = true) : base(source, period, useNaN) {
double _a = vfactor; //0.7; //0.618
diff --git a/Calculations/Trends/TRIX_Series.cs b/Calculations/Trends/TRIX_Series.cs
index 36c97fdb..7815048c 100644
--- a/Calculations/Trends/TRIX_Series.cs
+++ b/Calculations/Trends/TRIX_Series.cs
@@ -9,13 +9,6 @@ TRIX: Triple Exponential Average
has become a popular technical analysis tool to aid chartists in spotting diversions
and directional cues in stock trading patterns.
-
-Calculation:
- Ema1 = Ema (Close);
- Ema2 = Ema (Ema1);
- Ema3 = Ema (Ema2);
- TRIX = (Ema3-Ema3[1]) / Ema3[1]
-
Sources:
https://www.investopedia.com/terms/t/trix.asp
@@ -29,7 +22,7 @@ public class TRIX_Series : Single_TSeries_Indicator
private double _lastema1, _lastema2, _lastema3;
private double _llastema1, _llastema2, _llastema3;
- private bool _useSMA;
+ private readonly bool _useSMA;
public TRIX_Series(TSeries source, int period, bool useNaN = false, bool useSMA = true) : base(source, period, useNaN)
{
diff --git a/Calculations/Volatility/ADOSC_Series.cs b/Calculations/Volatility/ADOSC_Series.cs
index 9fca7e30..797e1f85 100644
--- a/Calculations/Volatility/ADOSC_Series.cs
+++ b/Calculations/Volatility/ADOSC_Series.cs
@@ -6,7 +6,7 @@ ADO: Chaikin Accumulation/Distribution Oscillator
ADO measures the momentum of ADL using the difference between slow (10-day) EMA(ADL)
and fast (3-day) EMA(ADL):
- Chaikin A/D Oscillator = (3-day EMA of ADL) - (10-day EMA of ADL)
+ Chaikin A/D Oscillator is defined as 3-day EMA of ADL minus 10-day EMA of ADL
Sources:
https://school.stockcharts.com/doku.php?id=technical_indicators:chaikin_oscillator
@@ -53,35 +53,3 @@ public class ADOSC_Series : Single_TBars_Indicator
}
}
-/*
-public class ADOSC_Series : Single_TBars_Indicator
-{
- private readonly ADL_Series _TSadl;
-
- private readonly EMA_Series _TSslow;
- private readonly EMA_Series _TSfast;
- private readonly SUB_Series _TSado;
-
- public ADOSC_Series(TBars source, bool useNaN = false) : base(source, period: 0, useNaN)
- {
- _TSadl = new(source: source, useNaN: false);
- _TSslow = new(source: _TSadl, period: 10, useNaN: false);
- _TSfast = new(source: _TSadl, period: 3, useNaN: false);
- _TSado = new(_TSfast, _TSslow);
-
- if (source.Count > 0)
- { base.Add(_TSado); }
- Console.WriteLine(base.Count);
- }
-
- public override void Add((DateTime t, double o, double h, double l, double c, double v) TBar, bool update)
- {
- if (update)
- { _TSadl.Add(TBar, true); }
-
- double _ado = this._TSado[(this.Count < this._TSado.Count) ? this.Count : this._TSado.Count - 1].v;
- var result = (TBar.t, _ado);
- base.Add(result, update);
- }
-}
-*/
\ No newline at end of file
diff --git a/Calculations/Volatility/CMO_Series.cs b/Calculations/Volatility/CMO_Series.cs
index 9295dfa5..6cabc235 100644
--- a/Calculations/Volatility/CMO_Series.cs
+++ b/Calculations/Volatility/CMO_Series.cs
@@ -26,7 +26,7 @@ public class CMO_Series : Single_TSeries_Indicator {
public override void Add((DateTime t, double v) TValue, bool update) {
if (this.Count == 0) { _plast_value = _last_value = TValue.v; }
- if (update) _last_value = _plast_value; else _plast_value = _last_value;
+ if (update) {_last_value = _plast_value;} else {_plast_value = _last_value;}
Add_Replace_Trim(_buff_up, (TValue.v > _last_value) ? TValue.v-_last_value : 0, _p, update);
Add_Replace_Trim(_buff_dn, (TValue.v < _last_value) ? _last_value-TValue.v : 0, _p, update);
@@ -40,8 +40,7 @@ public class CMO_Series : Single_TSeries_Indicator {
}
double _cmo = 100 * (_cmo_up - _cmo_dn) / (_cmo_up + _cmo_dn);
- if (_cmo_up + _cmo_dn == 0)
- _cmo = 0;
+ if (_cmo_up + _cmo_dn == 0) {_cmo = 0;}
base.Add((TValue.t, _cmo), update, _NaN);
}
}
\ No newline at end of file
diff --git a/Indicators/Basics/QuanTAlib_Indicator.cs b/Indicators/Basics/QuanTAlib_Indicator.cs
deleted file mode 100644
index 483ca3c5..00000000
--- a/Indicators/Basics/QuanTAlib_Indicator.cs
+++ /dev/null
@@ -1,55 +0,0 @@
-using TradingPlatform.BusinessLayer;
-using System.Drawing;
-using QuanTAlib;
-using System;
-using TradingPlatform.BusinessLayer.Chart;
-
-namespace QuanTAlib;
-
-public abstract class QuanTAlib_Indicator : Indicator {
- protected TBars bars;
- protected IChartWindow mainWindow;
- protected Graphics graphics;
- protected int firstOnScreenBarIndex, lastOnScreenBarIndex;
- protected HistoricalData History;
- protected int HistPeriod;
-
- protected override void OnInit() {
- base.OnInit();
- bars = new();
- var dur1 = this.HistoricalData.FromTime;
- var dur = this.HistoricalData.Period.Duration.TotalSeconds * (HistPeriod*4) ; //seconds of two periods
-
- this.History = this.Symbol.GetHistory(period: this.HistoricalData.Period, fromTime: HistoricalData.FromTime);
-
- for (int i = this.History.Count-1; i >= 0; i--) {
-
- var rec = this.History[i, SeekOriginHistory.Begin];
-
- bars.Add(rec.TimeLeft, rec[PriceType.Open],
- rec[PriceType.High], rec[PriceType.Low],
- rec[PriceType.Close], rec[PriceType.Volume]);
- }
- }
-
- protected override void OnUpdate(UpdateArgs args) {
- base.OnUpdate(args);
- bars.Add(Time(), GetPrice(PriceType.Open),
- GetPrice(PriceType.High),
- GetPrice(PriceType.Low),
- GetPrice(PriceType.Close),
- GetPrice(PriceType.Volume),
- update: !(args.Reason == UpdateReason.NewBar || args.Reason == UpdateReason.HistoricalBar));
- }
- public override void OnPaintChart(PaintChartEventArgs args) {
- base.OnPaintChart(args);
- if (this.CurrentChart == null) return;
- graphics = args.Graphics;
- mainWindow = this.CurrentChart.MainWindow;
-
- DateTime leftTime = mainWindow.CoordinatesConverter.GetTime(mainWindow.ClientRectangle.Left);
- DateTime rightTime = mainWindow.CoordinatesConverter.GetTime(mainWindow.ClientRectangle.Right);
- firstOnScreenBarIndex = (int)mainWindow.CoordinatesConverter.GetBarIndex(leftTime);
- lastOnScreenBarIndex = (int)Math.Ceiling(mainWindow.CoordinatesConverter.GetBarIndex(rightTime));
- }
-}
\ No newline at end of file
diff --git a/Indicators/Charts/JMA_chart.cs b/Indicators/Charts/JMA_chart.cs
index e2166ef4..366d759b 100644
--- a/Indicators/Charts/JMA_chart.cs
+++ b/Indicators/Charts/JMA_chart.cs
@@ -3,9 +3,10 @@ using System.Diagnostics;
using System.Drawing;
using System.Linq;
using TradingPlatform.BusinessLayer;
+using TradingPlatform.BusinessLayer.Chart;
namespace QuanTAlib;
-public class JMA_chart : QuanTAlib_Indicator {
+public class JMA_chart : Indicator {
#region Parameters
[InputParameter("Data source", 0, variants: new object[]
@@ -31,6 +32,12 @@ public class JMA_chart : QuanTAlib_Indicator {
private JMA_Series indicator;
///////
+ protected TBars bars;
+ protected IChartWindow mainWindow;
+ protected Graphics graphics;
+ protected int firstOnScreenBarIndex, lastOnScreenBarIndex;
+ protected HistoricalData History;
+ protected int HistPeriod;
public JMA_chart() :base() {
Name = "JMA - Jurik Moving Avg";
Description = "Jurik Moving Average description";
@@ -42,6 +49,21 @@ public class JMA_chart : QuanTAlib_Indicator {
protected override void OnInit() {
base.OnInit();
+ bars = new();
+ var dur1 = this.HistoricalData.FromTime;
+ var dur = this.HistoricalData.Period.Duration.TotalSeconds * (HistPeriod * 4); //seconds of two periods
+
+ this.History = this.Symbol.GetHistory(period: this.HistoricalData.Period, fromTime: HistoricalData.FromTime);
+
+ for (int i = this.History.Count - 1; i >= 0; i--) {
+
+ var rec = this.History[i, SeekOriginHistory.Begin];
+
+ bars.Add(rec.TimeLeft, rec[PriceType.Open],
+ rec[PriceType.High], rec[PriceType.Low],
+ rec[PriceType.Close], rec[PriceType.Volume]);
+ }
+
indicator = new(source: bars.Select(DataSource), period: Period,
phase: Jphase, vshort: Vshort, vlong: Vlong,
useNaN: true);
@@ -49,6 +71,26 @@ public class JMA_chart : QuanTAlib_Indicator {
protected override void OnUpdate(UpdateArgs args) {
base.OnUpdate(args);
+ bars.Add(Time(), GetPrice(PriceType.Open),
+ GetPrice(PriceType.High),
+ GetPrice(PriceType.Low),
+ GetPrice(PriceType.Close),
+ GetPrice(PriceType.Volume),
+ update: !(args.Reason == UpdateReason.NewBar || args.Reason == UpdateReason.HistoricalBar));
+
this.SetValue(indicator[^1].v, lineIndex: 0);
}
+ public override void OnPaintChart(PaintChartEventArgs args) {
+ base.OnPaintChart(args);
+ if (this.CurrentChart == null)
+ return;
+ graphics = args.Graphics;
+ mainWindow = this.CurrentChart.MainWindow;
+
+ DateTime leftTime = mainWindow.CoordinatesConverter.GetTime(mainWindow.ClientRectangle.Left);
+ DateTime rightTime = mainWindow.CoordinatesConverter.GetTime(mainWindow.ClientRectangle.Right);
+ firstOnScreenBarIndex = (int)mainWindow.CoordinatesConverter.GetBarIndex(leftTime);
+ lastOnScreenBarIndex = (int)Math.Ceiling(mainWindow.CoordinatesConverter.GetBarIndex(rightTime));
+ }
+
}
diff --git a/Indicators/Charts/TrailingStop.cs b/Indicators/Charts/TrailingStop.cs
new file mode 100644
index 00000000..3df040ca
--- /dev/null
+++ b/Indicators/Charts/TrailingStop.cs
@@ -0,0 +1,89 @@
+using System;
+using System.Diagnostics;
+using System.Drawing;
+using System.Linq;
+using TradingPlatform.BusinessLayer;
+namespace QuanTAlib;
+
+public class TrailingStop_chart : Indicator {
+ #region Parameters
+
+ [InputParameter("Period", 0, 1, 100, 1, 1)]
+ protected int _period = 30;
+
+ [InputParameter("Factor", 1, 1, 100, 0.1, 1)]
+ protected double _factor = 10;
+
+ [InputParameter("Long TS", 2)]
+ private bool _LongTS = true;
+
+ [InputParameter("Short TS", 3)]
+ private bool _ShortTS = false;
+
+ #endregion Parameters
+
+ ///////
+ private HistoricalData History;
+ private TBars bars;
+ private ATR_Series _atr;
+
+ private double _tslineL, _ratchetL, _tslineS, _ratchetS;
+ ///////
+
+ public TrailingStop_chart() :base() {
+ Name = $"ATR Trailing Stop";
+ AddLineSeries(lineName: "TrailingATR Long", lineColor: Color.Yellow, lineWidth: 1,lineStyle: LineStyle.Dot);
+ AddLineSeries(lineName: "Ratchet Long", lineColor: Color.Yellow, lineWidth: 3, lineStyle: LineStyle.Solid);
+
+ AddLineSeries(lineName: "TrailingATR Short", lineColor: Color.Yellow, lineWidth: 1, lineStyle: LineStyle.Dot);
+ AddLineSeries(lineName: "Ratchet Short", lineColor: Color.Yellow, lineWidth: 3, lineStyle: LineStyle.Solid);
+ SeparateWindow = false;
+ }
+
+
+ protected override void OnInit() {
+ this.Name = $"Trailing Stop (ATR:{_period}, Mult:{_factor:f2})";
+ this.bars = new();
+
+ this.History = this.Symbol.GetHistory(period: this.HistoricalData.Period, fromTime: HistoricalData.FromTime);
+ for (int i = this.History.Count - 1; i >= 0; i--) {
+ var rec = this.History[i, SeekOriginHistory.Begin];
+ bars.Add(rec.TimeLeft, rec[PriceType.Open],
+ rec[PriceType.High], rec[PriceType.Low],
+ rec[PriceType.Close], rec[PriceType.Volume]);
+ }
+ _atr = new(source: bars, _period, useNaN: true);
+ _ratchetL = Double.NegativeInfinity;
+ _ratchetS = Double.PositiveInfinity;
+
+ this.LinesSeries[0].Visible = _LongTS;
+ this.LinesSeries[1].Visible = _LongTS;
+ this.LinesSeries[2].Visible = _ShortTS;
+ this.LinesSeries[3].Visible = _ShortTS;
+ }
+
+ protected override void OnUpdate(UpdateArgs args) {
+ bool update = !(args.Reason == UpdateReason.NewBar ||
+ args.Reason == UpdateReason.HistoricalBar);
+ this.bars.Add(this.Time(), this.GetPrice(PriceType.Open),
+ this.GetPrice(PriceType.High),
+ this.GetPrice(PriceType.Low),
+ this.GetPrice(PriceType.Close),
+ this.GetPrice(PriceType.Volume), update);
+
+ _tslineL = bars.High[^1].v - (_factor * _atr[^1].v);
+ _ratchetL = Math.Max(_tslineL,_ratchetL);
+ _ratchetL = (_ratchetL > bars.Low[^1].v) ? _tslineL : _ratchetL;
+
+ _tslineS = bars.Low[^1].v + (_factor * _atr[^1].v);
+ _ratchetS = Math.Min(_tslineS, _ratchetS);
+ _ratchetS = (_ratchetS < bars.High[^1].v) ? _tslineS : _ratchetS;
+
+
+ this.SetValue(_tslineL, lineIndex: 0);
+ this.SetValue(_ratchetL, lineIndex: 1);
+ this.SetValue(_tslineS, lineIndex: 2);
+ this.SetValue(_ratchetS, lineIndex: 3);
+ }
+}
+
diff --git a/Indicators/Charts/xMA_chart.cs b/Indicators/Charts/xMA_chart.cs
index f66b43cf..a6b412b6 100644
--- a/Indicators/Charts/xMA_chart.cs
+++ b/Indicators/Charts/xMA_chart.cs
@@ -1,136 +1,280 @@
using System;
using System.Drawing;
+using System.Linq;
using TradingPlatform.BusinessLayer;
namespace QuanTAlib;
-public class MovingAverage_chart : Indicator
-{
- #region Parameters
-
- [InputParameter("Smoothing period", 0, 1, 999, 1, 1)]
- private int Period = 10;
-
- [InputParameter("Data source", 1, variants: new object[]
- { "Open", 0, "High", 1, "Low", 2, "Close", 3, "HL2", 4, "OC2", 5,
- "OHL3", 6, "HLC3", 7, "OHLC4", 8, "Weighted (HLCC4)", 9 })]
- private int DataSource = 3;
-
- [InputParameter("Moving Average Type", 2, variants: new object[]
+public class MovingAverage_chart : Indicator {
+ #region Parameters
+ [InputParameter("MA1: Type", 0, variants: new object[]
{ "SMA", 0, "EMA", 1, "WMA", 2, "T3", 3, "SMMA", 4, "TRIMA", 5, "DWMA", 6, "FMA", 7, "DEMA", 8, "TEMA", 9,
"ALMA", 10, "HMA", 11, "HEMA", 12, "MAMA", 13, "KAMA", 14, "ZLEMA", 15, "JMA", 16})]
- private int MAtype = 1;
+ private int MA1type = 15;
+
+ [InputParameter("MA1: Smoothing period", 1, 1, 999, 1, 1)]
+ private int MA1Period = 10;
+
+ [InputParameter("MA1: Data source", 2, variants: new object[]
+ { "Open", 0, "High", 1, "Low", 2, "Close", 3, "HL2", 4, "OC2", 5,
+ "OHL3", 6, "HLC3", 7, "OHLC4", 8, "Weighted (HLCC4)", 9 })]
+ private int MA1DataSource = 3;
+
+ [InputParameter("MA2: Type", 3, variants: new object[]
+ { "SMA", 0, "EMA", 1, "WMA", 2, "T3", 3, "SMMA", 4, "TRIMA", 5, "DWMA", 6, "FMA", 7, "DEMA", 8, "TEMA", 9,
+ "ALMA", 10, "HMA", 11, "HEMA", 12, "MAMA", 13, "KAMA", 14, "ZLEMA", 15, "JMA", 16})]
+ private int MA2type = 16;
+
+ [InputParameter("MA2: Smoothing period", 4, 1, 999, 1, 1)]
+ private int MA2Period = 50;
+
+ [InputParameter("MA2: Data source", 5, variants: new object[]
+ { "Open", 0, "High", 1, "Low", 2, "Close", 3, "HL2", 4, "OC2", 5,
+ "OHL3", 6, "HLC3", 7, "OHLC4", 8, "Weighted (HLCC4)", 9 })]
+ private int MA2DataSource = 8;
+
+ [InputParameter("Long trades", 6)]
+ private bool LongTrades = true;
+
+ [InputParameter("Short trades", 6)]
+ private bool ShortTrades = false;
+
#endregion Parameters
protected HistoricalData History;
- private TBars bars ;
+ private TBars bars;
- ///////
- private TSeries indicator;
- ///////
+ ///////
+ private TSeries MA1, MA2;
+ private CROSS_Series trades;
+ private COMPARE_Series overunder;
+ private EQUITY_Series equity;
+ ///////
- public MovingAverage_chart()
- {
- this.SeparateWindow = false;
- this.Name = "Flexible Moving Average";
- this.AddLineSeries("MA", Color.Yellow, 3, LineStyle.Solid);
- }
-
- protected override void OnInit()
- {
- this.bars = new();
- this.History = this.Symbol.GetHistory(period: this.HistoricalData.Period, fromTime: HistoricalData.FromTime);
- for (int i = this.History.Count - 1; i >= 0; i--) {
- var rec = this.History[i, SeekOriginHistory.Begin];
- bars.Add(rec.TimeLeft, rec[PriceType.Open],
- rec[PriceType.High], rec[PriceType.Low],
- rec[PriceType.Close], rec[PriceType.Volume]);
- }
-
- switch (MAtype) {
- case 0:
- indicator = new SMA_Series(source: bars.Select(this.DataSource), period: this.Period, useNaN: false);
- this.Name = $"Simple Moving Average - SMA";
- break;
- case 1:
- indicator = new EMA_Series(source: bars.Select(this.DataSource), period: this.Period, useNaN: false);
- this.Name = $"Exponential Moving Average - EMA";
- break;
- case 2:
- indicator = new WMA_Series(source: bars.Select(this.DataSource), period: this.Period, useNaN: false);
- this.Name = $"Weighted Moving Average - WMA";
- break;
- case 3:
- indicator = new T3_Series(source: bars.Select(this.DataSource), period: this.Period, useNaN: false);
- this.Name = $"Tillson T3 Moving Average - T3";
- break;
- case 4:
- indicator = new SMMA_Series(source: bars.Select(this.DataSource), period: this.Period, useNaN: false);
- this.Name = $"Smoothed Moving Average - SMMA";
- break;
- case 5:
- indicator = new TRIMA_Series(source: bars.Select(this.DataSource), period: this.Period, useNaN: false);
- this.Name = $"Triangular Moving Average - TRIMA";
- break;
- case 6:
- indicator = new DWMA_Series(source: bars.Select(this.DataSource), period: this.Period, useNaN: false);
- this.Name = $"Double Weighted Moving Average - DWMA";
- break;
- case 7:
- indicator = new FMA_Series(source: bars.Select(this.DataSource), period: this.Period);
- this.Name = $"Fibonacci Moving Average - FMA";
- break;
- case 8:
- indicator = new DEMA_Series(source: bars.Select(this.DataSource), period: this.Period, useNaN: false);
- this.Name = $"Double Exponential Moving Average - DEMA";
- break;
- case 9:
- indicator = new TEMA_Series(source: bars.Select(this.DataSource), period: this.Period, useNaN: false);
- this.Name = $"Triple Exponential Moving Average - TEMA";
- break;
- case 10:
- indicator = new ALMA_Series(source: bars.Select(this.DataSource), period: this.Period, useNaN: false);
- this.Name = $"Arnaud Legoux Moving Average - ALMA";
- break;
- case 11:
- indicator = new HMA_Series(source: bars.Select(this.DataSource), period: this.Period, useNaN: false);
- this.Name = $"Hull Moving Average - HMA";
- break;
- case 12:
- indicator = new HEMA_Series(source: bars.Select(this.DataSource), period: this.Period, useNaN: false);
- this.Name = $"Hull-Exponential Moving Average - HEMA";
- break;
- case 13:
- double factor= 1.015 * Math.Exp(-0.043 * (double)this.Period);
- indicator = new MAMA_Series(source: bars.Select(this.DataSource),
- fastlimit: factor, slowlimit: factor*0.1,
- useNaN: false);
- this.Name = $"MESA Adaptive Moving Average - MAMA";
- break;
- case 14:
- indicator = new KAMA_Series(source: bars.Select(this.DataSource), period: this.Period, useNaN: false);
- this.Name = $"Kaufman's Adaptive Moving Average - KAMA";
- break;
- case 15:
- indicator = new ZLEMA_Series(source: bars.Select(this.DataSource), period: this.Period, useNaN: false);
- this.Name = $"Zero Lag Exponential Moving Average - ZLEMA";
- break;
- default:
- indicator = new JMA_Series(source: bars.Select(this.DataSource), period: this.Period, useNaN: false);
- this.Name = $"Jurik Moving Average - JMA";
- break;
- }
- this.Name = this.Name + $" ({Period}:{TBars.SelectStr(this.DataSource)})";
+ public MovingAverage_chart() {
+ this.SeparateWindow = false;
+ this.Name = "2MA Crossover";
+ this.AddLineSeries("MA1", Color.SeaGreen, 3, LineStyle.Solid);
+ this.AddLineSeries("MA2", Color.OrangeRed, 3, LineStyle.Solid);
}
- protected override void OnUpdate(UpdateArgs args)
- {
- bool update = !(args.Reason == UpdateReason.NewBar ||
- args.Reason == UpdateReason.HistoricalBar);
- this.bars.Add(this.Time(), this.GetPrice(PriceType.Open),
- this.GetPrice(PriceType.High),
- this.GetPrice(PriceType.Low),
- this.GetPrice(PriceType.Close),
- this.GetPrice(PriceType.Volume), update);
- this.SetValue(this.indicator[this.indicator.Count - 1].v);
- }
+ protected override void OnInit() {
+ this.bars = new();
+ this.History = this.Symbol.GetHistory(period: this.HistoricalData.Period, fromTime: HistoricalData.FromTime);
+ for (int i = this.History.Count - 1; i >= 0; i--) {
+ var rec = this.History[i, SeekOriginHistory.Begin];
+ bars.Add(rec.TimeLeft, rec[PriceType.Open],
+ rec[PriceType.High], rec[PriceType.Low],
+ rec[PriceType.Close], rec[PriceType.Volume]);
+ }
+ this.Name = "Crossover[ ";
+ switch (MA1type) {
+ case 0:
+ MA1 = new SMA_Series(source: bars.Select(this.MA1DataSource), period: this.MA1Period, useNaN: false);
+ this.Name += $"SMA";
+ break;
+ case 1:
+ MA1 = new EMA_Series(source: bars.Select(this.MA1DataSource), period: this.MA1Period, useNaN: false);
+ this.Name += $"EMA";
+ break;
+ case 2:
+ MA1 = new WMA_Series(source: bars.Select(this.MA1DataSource), period: this.MA1Period, useNaN: false);
+ this.Name += $"WMA";
+ break;
+ case 3:
+ MA1 = new T3_Series(source: bars.Select(this.MA1DataSource), period: this.MA1Period, useNaN: false);
+ this.Name += $"T3";
+ break;
+ case 4:
+ MA1 = new SMMA_Series(source: bars.Select(this.MA1DataSource), period: this.MA1Period, useNaN: false);
+ this.Name += $"SMMA";
+ break;
+ case 5:
+ MA1 = new TRIMA_Series(source: bars.Select(this.MA1DataSource), period: this.MA1Period, useNaN: false);
+ this.Name += $"TRIMA";
+ break;
+ case 6:
+ MA1 = new DWMA_Series(source: bars.Select(this.MA1DataSource), period: this.MA1Period, useNaN: false);
+ this.Name += $"DWMA";
+ break;
+ case 7:
+ MA1 = new FMA_Series(source: bars.Select(this.MA1DataSource), period: this.MA1Period);
+ this.Name += $"FMA";
+ break;
+ case 8:
+ MA1 = new DEMA_Series(source: bars.Select(this.MA1DataSource), period: this.MA1Period, useNaN: false);
+ this.Name += $"DEMA";
+ break;
+ case 9:
+ MA1 = new TEMA_Series(source: bars.Select(this.MA1DataSource), period: this.MA1Period, useNaN: false);
+ this.Name += $"TEMA";
+ break;
+ case 10:
+ MA1 = new ALMA_Series(source: bars.Select(this.MA1DataSource), period: this.MA1Period, useNaN: false);
+ this.Name += $"ALMA";
+ break;
+ case 11:
+ MA1 = new HMA_Series(source: bars.Select(this.MA1DataSource), period: this.MA1Period, useNaN: false);
+ this.Name += $"HMA";
+ break;
+ case 12:
+ MA1 = new HEMA_Series(source: bars.Select(this.MA1DataSource), period: this.MA1Period, useNaN: false);
+ this.Name += $"HEMA";
+ break;
+ case 13:
+ double factor = 1.015 * Math.Exp(-0.043 * (double)this.MA1Period);
+ MA1 = new MAMA_Series(source: bars.Select(this.MA1DataSource), fastlimit: factor, slowlimit: factor * 0.1, useNaN: false);
+ this.Name += $"MAMA";
+ break;
+ case 14:
+ MA1 = new KAMA_Series(source: bars.Select(this.MA1DataSource), period: this.MA1Period, useNaN: false);
+ this.Name += $"KAMA";
+ break;
+ case 15:
+ MA1 = new ZLEMA_Series(source: bars.Select(this.MA1DataSource), period: this.MA1Period, useNaN: false);
+ this.Name += $"ZLEMA";
+ break;
+ default:
+ MA1 = new JMA_Series(source: bars.Select(this.MA1DataSource), period: this.MA1Period, useNaN: false);
+ this.Name += $"JMA";
+ break;
+ }
+
+ this.Name = this.Name + $" ({MA1Period}:{TBars.SelectStr(this.MA1DataSource)}) : ";
+
+ switch (MA2type) {
+ case 0:
+ MA2 = new SMA_Series(source: bars.Select(this.MA2DataSource), period: this.MA2Period, useNaN: false);
+ this.Name += $"SMA";
+ break;
+ case 1:
+ MA2 = new EMA_Series(source: bars.Select(this.MA2DataSource), period: this.MA2Period, useNaN: false);
+ this.Name += $"EMA";
+ break;
+ case 2:
+ MA2 = new WMA_Series(source: bars.Select(this.MA2DataSource), period: this.MA2Period, useNaN: false);
+ this.Name += $"WMA";
+ break;
+ case 3:
+ MA2 = new T3_Series(source: bars.Select(this.MA2DataSource), period: this.MA2Period, useNaN: false);
+ this.Name += $"T3";
+ break;
+ case 4:
+ MA2 = new SMMA_Series(source: bars.Select(this.MA2DataSource), period: this.MA2Period, useNaN: false);
+ this.Name += $"SMMA";
+ break;
+ case 5:
+ MA2 = new TRIMA_Series(source: bars.Select(this.MA2DataSource), period: this.MA2Period, useNaN: false);
+ this.Name += $"TRIMA";
+ break;
+ case 6:
+ MA2 = new DWMA_Series(source: bars.Select(this.MA2DataSource), period: this.MA2Period, useNaN: false);
+ this.Name += $"DWMA";
+ break;
+ case 7:
+ MA2 = new FMA_Series(source: bars.Select(this.MA2DataSource), period: this.MA2Period);
+ this.Name += $"FMA";
+ break;
+ case 8:
+ MA2 = new DEMA_Series(source: bars.Select(this.MA2DataSource), period: this.MA2Period, useNaN: false);
+ this.Name += $"DEMA";
+ break;
+ case 9:
+ MA2 = new TEMA_Series(source: bars.Select(this.MA2DataSource), period: this.MA2Period, useNaN: false);
+ this.Name += $"TEMA";
+ break;
+ case 10:
+ MA2 = new ALMA_Series(source: bars.Select(this.MA2DataSource), period: this.MA2Period, useNaN: false);
+ this.Name += $"ALMA";
+ break;
+ case 11:
+ MA2 = new HMA_Series(source: bars.Select(this.MA2DataSource), period: this.MA2Period, useNaN: false);
+ this.Name += $"HMA";
+ break;
+ case 12:
+ MA2 = new HEMA_Series(source: bars.Select(this.MA2DataSource), period: this.MA2Period, useNaN: false);
+ this.Name += $"HEMA";
+ break;
+ case 13:
+ double factor = 1.015 * Math.Exp(-0.043 * (double)this.MA2Period);
+ MA2 = new MAMA_Series(source: bars.Select(this.MA2DataSource), fastlimit: factor, slowlimit: factor * 0.1, useNaN: false);
+ this.Name += $"MAMA";
+ break;
+ case 14:
+ MA2 = new KAMA_Series(source: bars.Select(this.MA2DataSource), period: this.MA2Period, useNaN: false);
+ this.Name += $"KAMA";
+ break;
+ case 15:
+ MA2 = new ZLEMA_Series(source: bars.Select(this.MA2DataSource), period: this.MA2Period, useNaN: false);
+ this.Name += $"ZLEMA";
+ break;
+ default:
+ MA2 = new JMA_Series(source: bars.Select(this.MA2DataSource), period: this.MA2Period, useNaN: false);
+ this.Name += $"JMA";
+ break;
+ }
+ this.Name += $"({MA2Period}:{TBars.SelectStr(this.MA2DataSource)}) ]";
+
+ overunder = new(MA1, MA2);
+ trades = new(MA1, MA2);
+ equity = new(trades,price: bars.Open,warmup:MA1Period+MA2Period);
+ }
+
+ protected override void OnUpdate(UpdateArgs args) {
+ bool update = !(args.Reason == UpdateReason.NewBar ||
+ args.Reason == UpdateReason.HistoricalBar);
+ this.bars.Add(this.Time(), this.GetPrice(PriceType.Open),
+ this.GetPrice(PriceType.High),
+ this.GetPrice(PriceType.Low),
+ this.GetPrice(PriceType.Close),
+ this.GetPrice(PriceType.Volume), update);
+ this.SetValue(this.MA1[^1].v, lineIndex: 0);
+ this.SetValue(this.MA2[^1].v, lineIndex: 1);
+
+ if (trades[^1].v == 1) {
+ this.EndCloud(0, 1, Color.Empty);
+ if (LongTrades) {
+ this.LinesSeries[0].SetMarker(0, new IndicatorLineMarker(Color.SeaGreen, upperIcon: IndicatorLineMarkerIconType.UpArrow));
+ this.BeginCloud(0, 1, Color.FromArgb(127, Color.Green));
+ }
+ if (ShortTrades) {
+ this.LinesSeries[1].SetMarker(0, new IndicatorLineMarker(Color.OrangeRed, bottomIcon: IndicatorLineMarkerIconType.DownArrow));
+ }
+ }
+ if (trades[^1].v == -1) {
+ this.EndCloud(0, 1, Color.Empty);
+ if (ShortTrades) {
+ this.LinesSeries[1].SetMarker(0, new IndicatorLineMarker(Color.OrangeRed, bottomIcon: IndicatorLineMarkerIconType.UpArrow));
+ this.BeginCloud(0, 1, Color.FromArgb(127, Color.Red));
+ }
+ if (LongTrades) {
+ this.LinesSeries[0].SetMarker(0, new IndicatorLineMarker(Color.SeaGreen, upperIcon: IndicatorLineMarkerIconType.DownArrow));
+ }
+ }
+ }
+ public override void OnPaintChart(PaintChartEventArgs args) {
+ base.OnPaintChart(args);
+ if (this.CurrentChart == null) {return;}
+ Graphics graphics = args.Graphics;
+ var mainWindow = this.CurrentChart.MainWindow;
+ int leftIndex = (int)mainWindow.CoordinatesConverter.GetBarIndex(mainWindow.CoordinatesConverter.GetTime(mainWindow.ClientRectangle.Left));
+ int rightIndex = (int)Math.Ceiling(mainWindow.CoordinatesConverter.GetBarIndex(mainWindow.CoordinatesConverter.GetTime(mainWindow.ClientRectangle.Right)));
+ int historycount = HistoricalData.Count;
+ int ymax = mainWindow.ClientRectangle.Height;
+ int ymin = ymax - (int)(ymax / 4);
+ double eqmin = equity.v.Min();
+ double eqmax = equity.v.Max();
+ double proportion = (ymax-ymin) / (eqmax-eqmin);
+
+ for (int i = leftIndex; i <= rightIndex; i++) {
+ int xi = (int)Math.Round(mainWindow.CoordinatesConverter.GetChartX(Time(Count - 1 - i)));
+ int width = this.CurrentChart.BarsWidth;
+ int height = (int)((equity[i+historycount].v) *proportion);
+
+ Brush bb = Brushes.DarkSlateGray;
+ bb = (overunder[i+historycount].v>0 && LongTrades)? Brushes.Green : bb;
+ bb = (overunder[i + historycount].v < 0 && ShortTrades) ? Brushes.Red : bb;
+
+ graphics.FillRectangle(bb, xi, ymax - height, width, height);
+ }
+ }
}
diff --git a/Indicators/Indicators.csproj b/Indicators/Indicators.csproj
index 3ba70424..8c28acf6 100644
--- a/Indicators/Indicators.csproj
+++ b/Indicators/Indicators.csproj
@@ -16,6 +16,7 @@
0.2.1.0
0.2.1-dev.2+Branch.dev.Sha.cb5fe2dc86a78fe9358da810d17952c82299ed3d
0.2.1-dev.2
+ NETSDK1057
True
diff --git a/Strategies/SimpleMACross1.cs b/Strategies/SimpleMACross1.cs
index 98e14aa2..117af5ca 100644
--- a/Strategies/SimpleMACross1.cs
+++ b/Strategies/SimpleMACross1.cs
@@ -38,8 +38,8 @@ namespace SimpleMACross {
}
protected override void OnRun() {
- if (this.CurrentAccount != null && this.CurrentAccount.State == BusinessObjectState.Fake) this.CurrentAccount = Core.Instance.GetAccount(this.CurrentAccount.CreateInfo());
- if (this.CurrentSymbol != null && this.CurrentSymbol.State == BusinessObjectState.Fake) this.CurrentSymbol = Core.Instance.GetSymbol(this.CurrentSymbol.CreateInfo());
+ if (this.CurrentAccount != null && this.CurrentAccount.State == BusinessObjectState.Fake) {this.CurrentAccount = Core.Instance.GetAccount(this.CurrentAccount.CreateInfo());}
+ if (this.CurrentSymbol != null && this.CurrentSymbol.State == BusinessObjectState.Fake) {this.CurrentSymbol = Core.Instance.GetSymbol(this.CurrentSymbol.CreateInfo());}
if (this.CurrentSymbol == null || this.CurrentAccount == null || this.CurrentSymbol.ConnectionId != this.CurrentAccount.ConnectionId) {
this.Log("Incorrect input parameters... Symbol or Account are not specified or they have different connectionID.", StrategyLoggingLevel.Error);
return; }
@@ -59,12 +59,12 @@ namespace SimpleMACross {
private void OnUpdate() {
bool update = hdm.Last().TimeLeft - prev_time < this.period.Duration ? true : false;
- if (!update) prev_time = hdm.Last().TimeLeft;
+ if (!update) {prev_time = hdm.Last().TimeLeft;}
bars.Add(hdm.Last().TimeLeft, hdm.Last()[PriceType.Open], hdm.Last()[PriceType.High],
hdm.Last()[PriceType.Low], hdm.Last()[PriceType.Close], hdm.Last()[PriceType.Volume], update);
- if (!update) this.LogInfo($"{bars.Close.Last().t} OHLC4:{(double)bars.OHLC4}");
+ if (!update) {this.LogInfo($"{bars.Close.Last().t} OHLC4:{(double)bars.OHLC4}");}
}
diff --git a/Strategies/Strategies.csproj b/Strategies/Strategies.csproj
index 88daf6b3..aa04c0c4 100644
--- a/Strategies/Strategies.csproj
+++ b/Strategies/Strategies.csproj
@@ -16,6 +16,7 @@
0.2.1.0
0.2.1-dev.2+Branch.dev.Sha.cb5fe2dc86a78fe9358da810d17952c82299ed3d
0.2.1-dev.2
+ NETSDK1057
True
diff --git a/Tests/Basics/TSeries_Test.cs b/Tests/Basics/TSeries_Test.cs
index 84bf9d42..2344e85c 100644
--- a/Tests/Basics/TSeries_Test.cs
+++ b/Tests/Basics/TSeries_Test.cs
@@ -9,7 +9,7 @@ public class TSeries_Test
public void InsertingTuple()
{
TSeries s = new() { (t: DateTime.Today, v: double.Epsilon) };
- Assert.Equal((DateTime.Today, double.Epsilon), s);
+ Assert.Equal((DateTime.Today, double.Epsilon), s[^1]);
}
[Fact]
diff --git a/Tests/MovingAvg/ALMA_Test.cs b/Tests/MovingAvg/ALMA_Test.cs
index 589ab75e..b35e0d4b 100644
--- a/Tests/MovingAvg/ALMA_Test.cs
+++ b/Tests/MovingAvg/ALMA_Test.cs
@@ -8,13 +8,14 @@ public class Update
[Fact]
public void Add_Test()
{
- TSeries a = new() { 0, 1, 2, 3, 4, 5 };
+ TSeries a = new() { Double.NaN, 0, 1, 2, 3, 4 };
ALMA_Series c = new(a, 4);
Assert.Equal(6, c.Count);
a.Add(5);
Assert.Equal(a.Count, c.Count);
a.Add(10, update: true);
Assert.Equal(a.Count, c.Count);
+ Assert.Equal(0, a[1].v);
}
[Fact]
diff --git a/Tests/MovingAvg/DWMA_Test.cs b/Tests/MovingAvg/DWMA_Test.cs
new file mode 100644
index 00000000..471f1713
--- /dev/null
+++ b/Tests/MovingAvg/DWMA_Test.cs
@@ -0,0 +1,32 @@
+using Xunit;
+using System;
+using QuanTAlib;
+
+namespace MovingAvg;
+public class DWMA_Test
+{
+ [Fact]
+ public void Add_Test()
+ {
+ TSeries a = new() { Double.NaN, 0, 1, 2, 3, 4 };
+ DWMA_Series c = new(a, 3);
+ Assert.Equal(6, c.Count);
+ a.Add(5);
+ Assert.Equal(a.Count, c.Count);
+ a.Add(0, update: true);
+ Assert.Equal(a.Count, c.Count);
+ Assert.Equal(0, a[1].v);
+ }
+
+ [Fact]
+ public void Edge_Test()
+ {
+ TSeries a = new() { double.NaN, double.Epsilon, double.PositiveInfinity, double.MaxValue };
+ DWMA_Series c = new(a, 3);
+ Assert.Equal(a.Count, c.Count);
+ a.Add(double.NaN);
+ Assert.Equal(a.Count, c.Count);
+ a.Add(double.PositiveInfinity);
+ Assert.Equal(a.Count, c.Count);
+ }
+}
diff --git a/Tests/MovingAvg/EMA_Test.cs b/Tests/MovingAvg/EMA_Test.cs
index dbba9ac8..fddc3279 100644
--- a/Tests/MovingAvg/EMA_Test.cs
+++ b/Tests/MovingAvg/EMA_Test.cs
@@ -8,13 +8,14 @@ public class EMA_Test
[Fact]
public void Add_Test()
{
- TSeries a = new() { 0, 1, 2, 3, 4, 5 };
+ TSeries a = new() { Double.NaN, 0, 1, 2, 3, 4 };
EMA_Series c = new(a, 3);
Assert.Equal(6, c.Count);
a.Add(5);
Assert.Equal(a.Count, c.Count);
a.Add(0, update: true);
Assert.Equal(a.Count, c.Count);
+ Assert.Equal(0, a[1].v);
}
[Fact]
diff --git a/Tests/Tests.csproj b/Tests/Tests.csproj
index 7751eda6..fb878d36 100644
--- a/Tests/Tests.csproj
+++ b/Tests/Tests.csproj
@@ -12,6 +12,10 @@
0.2.1-dev.2
+
+ runtime; build; native; contentfiles; analyzers; buildtransitive
+ all
+