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Optimize CMTTrend model

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Sean
2025-04-09 23:02:30 -04:00
parent e83cf3d34b
commit c3729551a8
5 changed files with 49 additions and 5 deletions
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11
MarketData/MarketDataLib/Generator/CMTrend/CMTCandidateGenerator.cs
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@@ -95,7 +95,7 @@ namespace MarketData.Generator.CMTrend
}
// Current Price Check
Price currentPrice=prices[0];
if(currentPrice.Date!=tradeDate)
if(currentPrice.Date.Date!=tradeDate.Date)
{
cmtCandidate.Violation=true;
cmtCandidate.Symbol=symbol;
@@ -203,8 +203,13 @@ namespace MarketData.Generator.CMTrend
// Trend #8 check. Evaluate the RSI
// generate a 14 day standard RSI with 30 days of pricing data
RSICollection rsiCollection=RSIGenerator.GenerateRSI(symbol,currentPrice.Date,30);
if(null==rsiCollection||0==rsiCollection.Count||rsiCollection[rsiCollection.Count-1].RSI<cmtParams.MinRSI)
Prices rsiPrices=GBPriceCache.GetInstance().GetPrices(symbol,currentPrice.Date,30);
RSICollection rsiCollection=RSIGenerator.GenerateRSI(rsiPrices);
double rsi=rsiCollection[rsiCollection.Count-1].RSI;
// RSICollection rsiCollection=RSIGenerator.GenerateRSI(symbol,currentPrice.Date,30);
// double rsi=rsiCollection[rsiCollection.Count-1].RSI;
if(null==rsiCollection||0==rsiCollection.Count||rsi<cmtParams.MinRSI)
{
cmtCandidate.Violation=true;
cmtCandidate.Symbol=symbol;