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