Sean/marketdata
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

Added ExponentialMovingAverageCrossover and moved all of the moving average stuff into it's own folder.

Browse Source
This commit is contained in:
Sean
2025-01-31 18:13:22 -05:00
parent 492982c55c
commit 1e130e3a15
15 changed files with 288 additions and 9 deletions
Download Patch File Download Diff File Expand all files Collapse all files

212
MarketDataLib/Generator/MovingAverage/ExponentialMovingAverageCrossover.cs Normal file
View File

@@ -0,0 +1,212 @@
using MarketData.Cache;
using MarketData.MarketDataModel;
using System;
using System.Collections.Generic;
using System.Linq;
namespace MarketData.Generator.MovingAverage
{
public static class ExponentialMovingAverageCrossover
{
public static MovingAverageCrossovers GetMovingAverageCrossovers(String symbol, DateTime analysisDate,double threshholdPercentDecimal=.05, int fastCrossOverDays=9, int slowCrossoverDays=41)
{
Prices prices = GBPriceCache.GetInstance().GetPrices(symbol, analysisDate, slowCrossoverDays * 6);
if(prices == null || 0==prices.Count)return new MovingAverageCrossovers();
return GetMovingAverageCrossovers(prices, threshholdPercentDecimal, fastCrossOverDays, slowCrossoverDays);
}
/// <summary>
/// GetMovingAverageCrossovers
/// Prices will be in descending order with the most recent price at index[0] and the least recent price at index[count-1]
/// </summary>
/// <param name="prices"></param>
/// <param name="fastCrossOverDays">The fast crossover. Tom Basso uses 9</param>
/// <param name="slowCrossoverDays">The slow crosser. Tom Basso uses 41</param>
/// <param name="threshholdPercent">The threshhold percent. 5% would be .05</param>
/// <returns></returns>
public static MovingAverageCrossovers GetMovingAverageCrossovers(Prices prices, double threshholdPercentDecimal=.05, int fastCrossOverDays=9, int slowCrossoverDays=41)
{
MovingAverageCrossovers movingAverageCrossovers = new MovingAverageCrossovers();
if(prices == null || 0==prices.Count || prices.Count<=slowCrossoverDays)return movingAverageCrossovers;
if(fastCrossOverDays >= slowCrossoverDays)return movingAverageCrossovers;
DMAPrices fastDMAPrices = MovingAverageGenerator.GenerateExponentialMovingAverage(prices, fastCrossOverDays);
DMAPrices slowDMAPrices = MovingAverageGenerator.GenerateExponentialMovingAverage(prices, slowCrossoverDays);
if(null == fastDMAPrices || 0 == fastDMAPrices.Count)return movingAverageCrossovers;
if(null == slowDMAPrices || 0 == slowDMAPrices.Count)return movingAverageCrossovers;
FindCrossovers(fastDMAPrices, slowDMAPrices, movingAverageCrossovers, threshholdPercentDecimal);
// put the most recent item in the lowest index
movingAverageCrossovers = new MovingAverageCrossovers((movingAverageCrossovers as List<MovingAverageCrossover>).Where(x => x.IsChangeInTrend==true).OrderByDescending(x => x.EventDate).ToList());
return movingAverageCrossovers;
}
/// <summary>
/// If the sorter term (faster) crossed the longer term (slower) moving average then a direction change is noted.
/// If the change carried more than 5% in that direction then consider it a successful trend
/// </summary>
/// <param name="fastDMAPrices"></param>
/// <param name="slowDMAPrices"></param>
/// <param name="movingAverageCrossovers"></param>
private static void FindCrossovers(DMAPrices fastDMAPrices, DMAPrices slowDMAPrices,MovingAverageCrossovers movingAverageCrossovers, double threshholdPercentDecimal)
{
double trendChangePercentThreshhold = threshholdPercentDecimal*100.00; // if a change in direction carries more than 5% then consider is a successful trend
movingAverageCrossovers.Clear();
DateTime startDate = slowDMAPrices[slowDMAPrices.Count-1].Date;
MovingAverageCrossover movingAverageCrossover = default;
DMAPricesByDate fastDMAPricesByDate = fastDMAPrices.GetDMAPricesByDate();
DMAPricesByDate slowDMAPricesByDate = slowDMAPrices.GetDMAPricesByDate();
List<DateTime> availableDates = new List<DateTime>(slowDMAPricesByDate.Keys);
availableDates.Sort((a, b) => DateTime.Compare(a,b)); // earliest date should be in the lowest index, most recent date should be in the highest 2024[0], 2025[1], 2026[2] for example
int currentDirection=0; // 1:fast DMA is above the slow, -1:fast DMA is below the slow, 0:slow DMA == fastDMA
DMAPrice prevSlowDMAPrice = default;
DMAPrice prevFastDMAPrice = default;
for(int index=0;index<availableDates.Count;index++)
{
DateTime analysisDate = availableDates[index];
DMAPrice slowDMAPrice = slowDMAPricesByDate[analysisDate];
DMAPrice fastDMAPrice = fastDMAPricesByDate[analysisDate];
if(index == 0) // establish an initial orientation of the fast and slow moving averages. We need to create a new record to have a current trend
{
if(fastDMAPrice.AVGPrice > slowDMAPrice.AVGPrice)
{
movingAverageCrossover = new MovingAverageCrossover();
movingAverageCrossover.EventDate = analysisDate;
movingAverageCrossover.Symbol = slowDMAPrice.Symbol;
movingAverageCrossover.CrossOverDirection = MovingAverageCrossover.CrossoverDirectionEnum.UpStart;
movingAverageCrossover.IsChangeInTrend = false;
movingAverageCrossover.SlowDMAPrice = slowDMAPrice;
movingAverageCrossover.FastDMAPrice = fastDMAPrice;
movingAverageCrossover.ChangePercent=0.00;
movingAverageCrossovers.Add(movingAverageCrossover);
currentDirection = 1;
}
else if(fastDMAPrice.AVGPrice < slowDMAPrice.AVGPrice)
{
movingAverageCrossover = new MovingAverageCrossover();
movingAverageCrossover.EventDate = analysisDate;
movingAverageCrossover.Symbol = slowDMAPrice.Symbol;
movingAverageCrossover.CrossOverDirection = MovingAverageCrossover.CrossoverDirectionEnum.DownStart;
movingAverageCrossover.IsChangeInTrend = false;
movingAverageCrossover.SlowDMAPrice = slowDMAPrice;
movingAverageCrossover.FastDMAPrice = fastDMAPrice;
movingAverageCrossover.ChangePercent=0.00;
movingAverageCrossovers.Add(movingAverageCrossover);
currentDirection = -1;
}
else
{
movingAverageCrossover = new MovingAverageCrossover();
movingAverageCrossover.EventDate = analysisDate;
movingAverageCrossover.Symbol = slowDMAPrice.Symbol;
movingAverageCrossover.CrossOverDirection = MovingAverageCrossover.CrossoverDirectionEnum.NeutralStart;
movingAverageCrossover.IsChangeInTrend = false;
movingAverageCrossover.SlowDMAPrice = slowDMAPrice;
movingAverageCrossover.FastDMAPrice = fastDMAPrice;
movingAverageCrossover.ChangePercent=0.00;
movingAverageCrossovers.Add(movingAverageCrossover);
currentDirection = 0;
}
prevSlowDMAPrice = slowDMAPrice;
prevFastDMAPrice = fastDMAPrice;
}
else
{
if(fastDMAPrice.AVGPrice > slowDMAPrice.AVGPrice)
{
if(1 == currentDirection) // The fast is above the slow as it was previously
{
if(movingAverageCrossovers.Count>0) // check the last change record for a threshhold break
{
MovingAverageCrossover movingAverageCrossOver = movingAverageCrossovers[movingAverageCrossovers.Count-1];
double changePercent = ((fastDMAPrice.AVGPrice - movingAverageCrossOver.FastDMAPrice.AVGPrice)/movingAverageCrossOver.FastDMAPrice.AVGPrice)*100.00;
if(changePercent > 0.00 && changePercent > trendChangePercentThreshhold) // if the threshhold is exceeded then create a new record and mark it as a trend change
{
movingAverageCrossover = new MovingAverageCrossover();
movingAverageCrossover.EventDate = analysisDate;
movingAverageCrossover.Symbol = slowDMAPrice.Symbol;
movingAverageCrossover.CrossOverDirection = MovingAverageCrossover.CrossoverDirectionEnum.UpCross;
movingAverageCrossover.IsChangeInTrend = true;
movingAverageCrossover.SlowDMAPrice = slowDMAPrice;
movingAverageCrossover.FastDMAPrice = fastDMAPrice;
movingAverageCrossover.ChangePercent=changePercent;
movingAverageCrossovers.Add(movingAverageCrossover);
}
}
}
else if(-1 == currentDirection || 0 == currentDirection) // The fast is above the slow and it was below the slow previously
{
currentDirection = 1; // switch directions
movingAverageCrossover = new MovingAverageCrossover();
movingAverageCrossover.EventDate = analysisDate;
movingAverageCrossover.Symbol = slowDMAPrice.Symbol;
movingAverageCrossover.CrossOverDirection = MovingAverageCrossover.CrossoverDirectionEnum.UpCross;
movingAverageCrossover.SlowDMAPrice = slowDMAPrice;
movingAverageCrossover.FastDMAPrice = fastDMAPrice;
double changePercent = Math.Abs(((fastDMAPrice.AVGPrice - slowDMAPrice.AVGPrice)/slowDMAPrice.AVGPrice)*100.00);
movingAverageCrossover.ChangePercent=changePercent;
if(changePercent>trendChangePercentThreshhold)movingAverageCrossover.IsChangeInTrend = true;
else movingAverageCrossover.IsChangeInTrend = false;
movingAverageCrossovers.Add(movingAverageCrossover);
}
}
else if(fastDMAPrice.AVGPrice < slowDMAPrice.AVGPrice)
{
if(-1 == currentDirection) // The fast is below the slow as it was previously
{
if(movingAverageCrossovers.Count>0) // check the last change record for a threshhold break
{
movingAverageCrossover = movingAverageCrossovers[movingAverageCrossovers.Count-1];
double changePercent = Math.Abs(((fastDMAPrice.AVGPrice - movingAverageCrossover.FastDMAPrice.AVGPrice)/movingAverageCrossover.FastDMAPrice.AVGPrice)*100.00);
if(changePercent<0.00 && Math.Abs(changePercent)>trendChangePercentThreshhold) // if the threshhold is exceeded then create a new record and mark it as a trend change
{
movingAverageCrossover = new MovingAverageCrossover();
movingAverageCrossover.EventDate = analysisDate;
movingAverageCrossover.Symbol = slowDMAPrice.Symbol;
movingAverageCrossover.CrossOverDirection = MovingAverageCrossover.CrossoverDirectionEnum.UpCross;
movingAverageCrossover.IsChangeInTrend = true;
movingAverageCrossover.SlowDMAPrice = slowDMAPrice;
movingAverageCrossover.FastDMAPrice = fastDMAPrice;
movingAverageCrossover.ChangePercent = changePercent;
movingAverageCrossovers.Add(movingAverageCrossover);
}
}
}
else if(1 == currentDirection || 0 == currentDirection) // The fast is below the slow but it was above the slow previously so we've crossed
{
currentDirection = -1; // switch directions
movingAverageCrossover = new MovingAverageCrossover();
movingAverageCrossover.EventDate = analysisDate;
movingAverageCrossover.Symbol = slowDMAPrice.Symbol;
movingAverageCrossover.CrossOverDirection = MovingAverageCrossover.CrossoverDirectionEnum.DownCross;
movingAverageCrossover.SlowDMAPrice = slowDMAPrice;
movingAverageCrossover.FastDMAPrice = fastDMAPrice;
double changePercent = Math.Abs(((fastDMAPrice.AVGPrice - slowDMAPrice.AVGPrice)/slowDMAPrice.AVGPrice)*100.00);
movingAverageCrossover.ChangePercent=changePercent;
if(changePercent>trendChangePercentThreshhold)movingAverageCrossover.IsChangeInTrend = true;
else movingAverageCrossover.IsChangeInTrend = false;
movingAverageCrossovers.Add(movingAverageCrossover);
}
}
else // The fast and the slow are equal. There's nothing to do here
{
}
prevSlowDMAPrice = slowDMAPrice;
prevFastDMAPrice = fastDMAPrice;
}
}
}
}
}