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Global fix (#9)

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* Fix time for candle

* Fix out ouf range

* Fix pnl, fix custom money management

* Clean a bit
This commit is contained in:
Oda
2025-02-04 14:59:39 +07:00
committed by GitHub
parent ff0433c349
commit 0987fa76cf
26 changed files with 153 additions and 139 deletions
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2
src/Managing.Domain/Scenarios/ScenarioHelpers.cs
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@@ -17,7 +17,7 @@ public static class ScenarioHelpers
strategy.Period.Value),
StrategyType.RsiDivergenceConfirm => new RSIDivergenceConfirmStrategy(strategy.Name, strategy.Timeframe,
strategy.Period.Value),
StrategyType.MacdCross => new MACDCrossStrategy(strategy.Name, strategy.Timeframe,
StrategyType.MacdCross => new MacdCrossStrategy(strategy.Name, strategy.Timeframe,
strategy.FastPeriods.Value, strategy.SlowPeriods.Value, strategy.SignalPeriods.Value),
StrategyType.EmaCross => new EmaCrossStrategy(strategy.Name, strategy.Timeframe, strategy.Period.Value),
StrategyType.ThreeWhiteSoldiers => new ThreeWhiteSoldiersStrategy(strategy.Name, strategy.Timeframe,

11
src/Managing.Domain/Shared/Helpers/TradingBox.cs
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@@ -46,8 +46,8 @@ public static class TradingBox
Signal signal = null;
if (strategies.Count > 1)
{
var trendSignal = signalOnCandles.Where(s => s.SignalType == SignalType.Trend);
var signals = signalOnCandles.Where(s => s.SignalType == SignalType.Signal);
var trendSignal = signalOnCandles.Where(s => s.SignalType == SignalType.Trend).ToList();
var signals = signalOnCandles.Where(s => s.SignalType == SignalType.Signal).ToList();
var contextStrategiesCount = strategies.Count(s => s.SignalType == SignalType.Context);
var validContext = true;
@@ -111,7 +111,7 @@ public static class TradingBox
{
var position = positions[i];
var nextPosition = i + 1 < positions.Count ? positions[i + 1] : null;
var (stopLoss, takeProfit) = GetBestSLTPForPosition(candles, position, nextPosition);
var (stopLoss, takeProfit) = GetBestSltpForPosition(candles, position, nextPosition);
stoplossPercentage.Add(stopLoss);
takeProfitsPercentage.Add(takeProfit);
@@ -126,13 +126,14 @@ public static class TradingBox
return moneyManagement;
}
public static (decimal Stoploss, decimal TakeProfit) GetBestSLTPForPosition(List<Candle> candles, Position position,
public static (decimal Stoploss, decimal TakeProfit) GetBestSltpForPosition(List<Candle> candles, Position position,
Position nextPosition)
{
var stopLoss = 0M;
var takeProfit = 0M;
var candlesBeforeNextPosition = candles.Where(c =>
c.Date >= position.Date && c.Date <= (nextPosition == null ? candles.Last().Date : nextPosition.Date));
c.Date >= position.Date && c.Date <= (nextPosition == null ? candles.Last().Date : nextPosition.Date))
.ToList();
if (position.OriginDirection == TradeDirection.Long)
{

2
src/Managing.Domain/Shared/Helpers/TradingHelpers.cs
View File

@@ -21,7 +21,7 @@ public static class TradingHelpers
public static PerformanceMetrics GetStatistics(Dictionary<DateTime, decimal> pnls)
{
var priceSeries = new TimePriceSeries(pnls);
var priceSeries = new TimePriceSeries(pnls.DistinctBy(p => p.Key).ToDictionary(p => p.Key, p => p.Value));
return priceSeries.CalculatePerformanceMetrics();
}

22
src/Managing.Domain/Strategies/MACDCrossStrategy.cs
View File

@@ -6,11 +6,12 @@ using static Managing.Common.Enums;
namespace Managing.Domain.Strategies;
public class MACDCrossStrategy : Strategy
public class MacdCrossStrategy : Strategy
{
public List<Signal> Signals { get; set; }
public MACDCrossStrategy(string name, Timeframe timeframe, int fastPeriods, int slowPeriods, int signalPeriods) : base(name, timeframe, StrategyType.MacdCross)
public MacdCrossStrategy(string name, Timeframe timeframe, int fastPeriods, int slowPeriods, int signalPeriods) :
base(name, timeframe, StrategyType.MacdCross)
{
Signals = new List<Signal>();
FastPeriods = fastPeriods;
@@ -20,7 +21,7 @@ public class MACDCrossStrategy : Strategy
public override List<Signal> Run()
{
if (Candles.Count <= 2*(SlowPeriods + SignalPeriods))
if (Candles.Count <= 2 * (SlowPeriods + SignalPeriods))
{
return null;
}
@@ -29,7 +30,7 @@ public class MACDCrossStrategy : Strategy
{
var macd = Candles.GetMacd(FastPeriods.Value, SlowPeriods.Value, SignalPeriods.Value).ToList();
var macdCandle = MapMacdToCandle(macd, Candles.TakeLast(SignalPeriods.Value));
if (macd.Count == 0)
return null;
@@ -72,19 +73,20 @@ public class MACDCrossStrategy : Strategy
Date = candle.Date,
Ticker = candle.Ticker,
Exchange = candle.Exchange,
FastEma = currentMacd.FastEma.Value,
SlowEma = currentMacd.SlowEma.Value,
Macd = currentMacd.Macd.Value,
Histogram = currentMacd.Histogram.Value
});
}
}
return macdList;
}
private void AddSignal(CandleMacd candleSignal, Timeframe timeframe, TradeDirection direction, Confidence confidence)
private void AddSignal(CandleMacd candleSignal, Timeframe timeframe, TradeDirection direction,
Confidence confidence)
{
var signal = new Signal(MiscExtensions.ParseEnum<Ticker>(candleSignal.Ticker), direction, confidence, candleSignal, candleSignal.Date, candleSignal.Exchange, timeframe, Type, SignalType);
var signal = new Signal(MiscExtensions.ParseEnum<Ticker>(candleSignal.Ticker), direction, confidence,
candleSignal, candleSignal.Date, candleSignal.Exchange, timeframe, Type, SignalType);
if (!Signals.Any(s => s.Identifier == signal.Identifier))
{
Signals.AddItem(signal);
@@ -96,7 +98,5 @@ public class MACDCrossStrategy : Strategy
public double Macd { get; set; }
public double Signal { get; set; }
public double Histogram { get; set; }
public double FastEma { get; set; }
public double SlowEma { get; set; }
}
}
}