113 lines
3.3 KiB
C#
113 lines
3.3 KiB
C#
using Managing.Core;
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using Managing.Domain.Candles;
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using Managing.Domain.Shared.Rules;
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using Skender.Stock.Indicators;
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using static Managing.Common.Enums;
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namespace Managing.Domain.Strategies;
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public class StochRsiTrendStrategy : Strategy
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{
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public List<Signal> Signals { get; set; }
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public StochRsiTrendStrategy(
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string name,
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Timeframe timeframe,
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int period,
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int stochPeriod,
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int signalPeriod,
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int smoothPeriods) : base(name, timeframe, StrategyType.StochRsiTrend)
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{
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Signals = new List<Signal>();
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StochPeriods = stochPeriod;
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SignalPeriods = signalPeriod;
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SmoothPeriods = smoothPeriods;
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Period = period;
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}
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public override List<Signal> Run()
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{
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if (Candles.Count <= 10 * Period + 50)
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{
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return null;
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}
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try
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{
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var stochRsi = Candles.GetStochRsi(Period.Value, StochPeriods.Value, SignalPeriods.Value, SmoothPeriods.Value).RemoveWarmupPeriods().ToList();
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var stochRsiCandles = MapStochRsiToCandle(stochRsi, Candles.TakeLast(Period.Value));
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if (stochRsi.Count == 0)
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return null;
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var previousCandle = stochRsiCandles[0];
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foreach (var currentCandle in stochRsiCandles.Skip(1))
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{
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if (currentCandle.Signal < 20)
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{
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AddSignal(currentCandle, Timeframe, TradeDirection.Long, Confidence.None);
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}
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else if (currentCandle.Signal > 80)
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{
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AddSignal(currentCandle, Timeframe, TradeDirection.Short, Confidence.None);
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}
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previousCandle = currentCandle;
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}
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return Signals.OrderBy(s => s.Date).ToList();
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}
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catch (RuleException)
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{
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return null;
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}
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}
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private List<CandleStochRsi> MapStochRsiToCandle(List<StochRsiResult> ema, IEnumerable<Candle> candles)
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{
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var emaList = new List<CandleStochRsi>();
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foreach (var candle in candles)
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{
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var currentEma = ema.Find(candle.Date);
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if (currentEma != null)
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{
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emaList.Add(new CandleStochRsi()
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{
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Close = candle.Close,
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Open = candle.Open,
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Date = candle.Date,
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Ticker = candle.Ticker,
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Exchange = candle.Exchange,
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Signal = currentEma.Signal.Value,
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StochRsi = currentEma.StochRsi.Value
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});
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}
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}
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return emaList;
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}
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private void AddSignal(CandleStochRsi candleSignal, Timeframe timeframe, TradeDirection direction, Confidence confidence)
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{
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var signal = new Signal(
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MiscExtensions.ParseEnum<Ticker>(candleSignal.Ticker),
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direction,
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confidence,
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candleSignal,
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candleSignal.Date,
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candleSignal.Exchange,
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timeframe,
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Type,
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SignalType);
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if (!Signals.Any(s => s.Identifier == signal.Identifier))
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{
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Signals.AddItem(signal);
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}
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}
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private class CandleStochRsi : Candle
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{
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public double Signal { get; internal set; }
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public double StochRsi { get; internal set; }
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}
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}
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