{
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"cell_type": "code",
"execution_count": 46,
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{
"data": {
"text/html": [
""
]
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"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": 47,
"metadata": {
"dotnet_interactive": {
"language": "csharp"
},
"polyglot_notebook": {
"kernelName": "csharp"
}
},
"outputs": [
{
"data": {
"text/html": [
""
]
},
"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(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(30,10,40,30,1,false)).WithXAxisRangeSlider(RangeSlider.init(Visible:false)).WithTitle(symbol);\n",
"d"
]
},
{
"cell_type": "code",
"execution_count": 48,
"metadata": {
"dotnet_interactive": {
"language": "csharp"
}
},
"outputs": [
{
"data": {
"text/html": [
""
]
},
"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(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(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(30,10,40,30,1,false))\n",
" .WithXAxisRangeSlider(RangeSlider.init(Visible:false)).WithTitle($\"slow MA and fast MA of {symbol} OHLC4\");\n",
"chart"
]
},
{
"cell_type": "code",
"execution_count": 49,
"metadata": {
"dotnet_interactive": {
"language": "csharp"
},
"polyglot_notebook": {
"kernelName": "csharp"
}
},
"outputs": [
{
"data": {
"text/html": [
""
]
},
"metadata": {},
"output_type": "display_data"
}
],
"source": [
"SUB_Series MACD_line = new(fastMA, slowMA); //MACD line is just a SUBtraction fastMA-slowMA\n",
"JMA_Series signal_line = new(MACD_line, 9); //signal line is an EMA(9) of MACD; we use superior JMA(9) instead\n",
"\n",
"//make a chart\n",
"var cfast = Chart2D.Chart.Line(MACD_line.t.Skip(warmup).ToList(), MACD_line.v.Skip(warmup).ToList(), false, \"MACD\").WithLineStyle(Width: 2, Color: Color.fromString(\"orange\"));\n",
"var cslow = Chart2D.Chart.Line(signal_line.t.Skip(warmup).ToList(), signal_line.v.Skip(warmup).ToList(), false, \"signal\").WithLineStyle(Width: 2, Color: Color.fromString(\"green\"));\n",
"var chart = Chart.Combine(new []{cfast,cslow}).WithSize(1200,400).WithMargin(Margin.init(30,10,40,30,1,false))\n",
" .WithXAxisRangeSlider(RangeSlider.init(Visible:false)).WithTitle($\"MACD line and signal line of fastMA-slowMA\");\n",
"chart"
]
},
{
"cell_type": "code",
"execution_count": 50,
"metadata": {
"dotnet_interactive": {
"language": "csharp"
},
"polyglot_notebook": {
"kernelName": "csharp"
}
},
"outputs": [
{
"data": {
"text/html": [
""
]
},
"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(values: histogram.v.Skip(warmup).ToList(), Keys: histogram.t.Skip(warmup).ToList())\n",
".WithSize(1200,400).WithMargin(Margin.init(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": 51,
"metadata": {
"dotnet_interactive": {
"language": "csharp"
},
"polyglot_notebook": {
"kernelName": "csharp"
}
},
"outputs": [
{
"data": {
"text/html": [
""
]
},
"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(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(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(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": 52,
"metadata": {
"dotnet_interactive": {
"language": "csharp"
},
"polyglot_notebook": {
"kernelName": "csharp"
}
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"outputs": [
{
"data": {
"text/html": [
""
]
},
"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(folio.t.Skip(warmup).ToList(), folio.v.Skip(warmup).ToList(),false ).WithSize(1200,400).WithMargin(Margin.init(30,10,40,30,1,false))\n",
" .WithXAxisRangeSlider(RangeSlider.init(Visible:false)).WithTitle($\"Equity curve (long trades only) for MACD on {symbol}\");\n",
"cbars"
]
},
{
"cell_type": "code",
"execution_count": 53,
"metadata": {
"dotnet_interactive": {
"language": "csharp"
},
"polyglot_notebook": {
"kernelName": "csharp"
}
},
"outputs": [
{
"data": {
"text/html": [
""
]
},
"metadata": {},
"output_type": "display_data"
}
],
"source": [
"// some what-if examples\n",
"string symbol=\"IBM\";\n",
"int warmup = 50;\n",
"Yahoo_Feed bars = new(symbol,350);\n",
"TSeries data = bars.Close;\n",
"HEMA_Series fastMA = new(data,12);\n",
"JMA_Series slowMA = new(data,23,-100);\n",
"SUB_Series MACD_line = new(fastMA, slowMA);\n",
"JMA_Series signal_line = new(MACD_line, 9);\n",
"SUB_Series histogram = new(MACD_line, signal_line);\n",
"CROSS_Series trades = new(histogram,0);\n",
"EQUITY_Series folio = new(trades, data, Long:true, Short:false, Warmup:warmup);\n",
"folio[^1].v"
]
}
],
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