Tidying up strategies, building a lock and draft section. Started wor…

…king on momentum

scripts/backtestings/aws.sh

@@ -31,7 +31,7 @@ main() {
 
  ######################################
  ### EXPERIMENT DEFINITION
- source $my_dir/experiments/random-hh-ll/indices/range
+ source $my_dir/experiments/momentum/indices/fixed
  ######################################
 
  # Remove binary files & tests

scripts/backtestings/experiments/momentum/forex/fixed

@@ -0,0 +1,18 @@
+declare -a strategies=("Momentum_4d991e3b")
+declare -a symbolsArray=("EURUSD" "USDJPY" "GBPUSD" "NZDUSD" "USDCHF" "USDCAD" "AUDUSD")
+
+# Forex from 2004
+yearsStart=2018
+yearsEnd=2023
+
+# These don't mean anything in RandomHHLL as the SL/TP is defined by the highest and lowest value from the last time period
+stopLossInPipsRange="200 1 200" # STOP LOSS Distance in PIPs
+limitInPipsRange="200 1 200" # TAKE PROFIT Distance in PIPs
+
+# Account Equity
+accountEquity=10000
+maximumDrawndownPercentage=75
+fasterProcessingBySkippingSomeTickData=true
+
+# Strategy Variables
+randomStrategyAmountOfHHLLSseq="5 5 15"

scripts/backtestings/experiments/momentum/indices/fixed

@@ -0,0 +1,20 @@
+declare -a strategies=("Momentum_4d991e3b")
+
+## Multiple Indexes
+declare -a symbolsArray=("JPNIDXJPY" "ESPIDXEUR" "FRAIDXEUR" "DEUIDXEUR" "AUSIDXAUD" "USATECHIDXUSD" "USA500IDXUSD" "USA30IDXUSD" "EUSIDXEUR" "GBRIDXGBP")
+
+# Forex from 2004
+yearsStart=2018
+yearsEnd=2023
+
+# These don't mean anything in RandomHHLL as the SL/TP is defined by the highest and lowest value from the last time period
+stopLossInPipsRange="200 1 200" # STOP LOSS Distance in PIPs
+limitInPipsRange="200 1 200" # TAKE PROFIT Distance in PIPs
+
+# Account Equity
+accountEquity=10000
+maximumDrawndownPercentage=75
+fasterProcessingBySkippingSomeTickData=true
+
+# Strategy Variables
+randomStrategyAmountOfHHLLSseq="5 5 15"

scripts/backtestings/experiments/random-hh-ll/bonds/range

@@ -0,0 +1,21 @@
+declare -a strategies=("RandomRecentHighLow")
+
+declare -a symbolsArray=("BUNDTREUR" "UKGILTTRGBP" "USTBONDTRUSD")
+
+# Forex from 2004
+yearsStart=2020
+yearsEnd=2023
+
+# These don't mean anything in RandomHHLL as the SL/TP is defined by the highest and lowest value from the last time period
+stopLossInPipsRange="200 1 200" # STOP LOSS Distance in PIPs
+limitInPipsRange="200 1 200" # TAKE PROFIT Distance in PIPs
+
+# Account Equity
+accountEquity=10000
+maximumDrawndownPercentage=75
+fasterProcessingBySkippingSomeTickData=true
+
+# Strategy Variables
+randomStrategyAmountOfHHLLSseq="4 2 10"
+#RANDOMHHLL_HOURS_TO_KEEP=5
+#RANDOMHHLL_TP_LOOKBACK_OVER_HOURS=2

scripts/backtestings/experiments/random-hh-ll/crypto/range

@@ -0,0 +1,22 @@
+declare -a strategies=("RandomRecentHighLow")
+
+## Crypto
+declare -a symbolsArray=("ETHUSD" "BTCUSD")
+
+# Forex from 2004
+yearsStart=2018
+yearsEnd=2023
+
+# These don't mean anything in RandomHHLL as the SL/TP is defined by the highest and lowest value from the last time period
+stopLossInPipsRange="200 1 200" # STOP LOSS Distance in PIPs
+limitInPipsRange="200 1 200" # TAKE PROFIT Distance in PIPs
+
+# Account Equity
+accountEquity=10000
+maximumDrawndownPercentage=75
+fasterProcessingBySkippingSomeTickData=true
+
+# Strategy Variables
+randomStrategyAmountOfHHLLSseq="4 2 10"
+#RANDOMHHLL_HOURS_TO_KEEP=5
+#RANDOMHHLL_TP_LOOKBACK_OVER_HOURS=2

src/backtesting/Analysis/Reporting.cs

@@ -78,6 +78,7 @@ public void EndOfRunReport(string reason = "")
  stopDistanceInPips = decimal.Parse(envVariables.stopDistanceInPips),
  limitDistanceInPips = decimal.Parse(envVariables.limitDistanceInPips),
  instanceCount = envVariables.instanceCount,
+ randomHHLLValue = envVariables.randomStrategyAmountOfHHLL
  };
 
 

src/backtesting/Utilities/ReportObj.cs

@@ -35,6 +35,7 @@ public class ReportFinalObj {
  public decimal limitDistanceInPips {get;set;}
 
  public int instanceCount { get;set; }
+ public decimal randomHHLLValue {get;set;}
 
  public IEnvironmentVariables? environmentVariables {get;set;}
 }

src/strategies/locked/Momentum/Momentum_14a2da93.cs

@@ -0,0 +1,96 @@
+using System.Diagnostics.CodeAnalysis;
+using backtesting_engine;
+using backtesting_engine.interfaces;
+using backtesting_engine_models;
+using Utilities;
+
+namespace backtesting_engine_strategies;
+
+public class Momentum_14a2da93: BaseStrategy, IStrategy
+{
+ private List<OhlcObject> ohlcList = new List<OhlcObject>();
+
+ public Momentum_14a2da93(IRequestOpenTrade requestOpenTrade, IEnvironmentVariables envVariables, ITradingObjects tradeObjs, ICloseOrder closeOrder, IWebNotification webNotification) : base(requestOpenTrade, tradeObjs, envVariables, closeOrder, webNotification) { }
+
+ private OhlcObject lastItem = new OhlcObject();
+
+ private DateTime lastTraded = DateTime.MinValue;
+
+ [SuppressMessage("Sonar Code Smell", "S2245:Using pseudorandom number generators (PRNGs) is security-sensitive", Justification = "Random function has no security use")]
+ public async Task Invoke(PriceObj priceObj)
+ {
+
+ ohlcList = GenericOhlc.CalculateOHLC(priceObj, priceObj.ask, TimeSpan.FromMinutes(120), ohlcList);
+
+ // Maximum of one trade open at a time
+ // Conditional to only invoke the strategy if there are no trades open
+ if (tradeObjs.openTrades.Count() >= 1)
+ {
+ return;
+ }
+
+ if(priceObj.date.Subtract(lastTraded).TotalHours < 8){
+ return;
+ }
+
+
+ // Keep 5 hours of history (30*10)
+ // Only start trading once you have 5 hours
+ if (ohlcList.Count > envVariables.randomStrategyAmountOfHHLL)
+ {
+
+ lastTraded=priceObj.date;
+
+ // Get the highest value from all of the OHLC objects
+ var distance = (ohlcList.Last().close - ohlcList.First().close) * envVariables.GetScalingFactor(priceObj.symbol);
+ var speed = distance / (120*envVariables.randomStrategyAmountOfHHLL);
+
+ // System.Console.WriteLine(speed);
+
+ // Too slow
+ if(Math.Abs(speed) < 1m){
+ return;
+ }
+
+ var direction = TradeDirection.BUY;
+ if(speed > 0){
+ direction = TradeDirection.SELL;
+ }
+
+ var stopLevel = direction == TradeDirection.BUY ? ohlcList.Min(x => x.low) :
+ ohlcList.Max(x => x.high);
+
+ var limitLevel = direction == TradeDirection.BUY ? ohlcList.TakeLast(2).Average(x => x.close): 
+ ohlcList.TakeLast(2).Average(x => x.close);
+
+ var stopDistance = direction == TradeDirection.SELL ? (stopLevel - priceObj.bid) : (priceObj.ask - stopLevel);
+ stopDistance = stopDistance * envVariables.GetScalingFactor(priceObj.symbol);
+
+ var limitDistance = direction == TradeDirection.BUY ? (limitLevel - priceObj.bid) : (priceObj.ask - limitLevel);
+ limitDistance = limitDistance * envVariables.GetScalingFactor(priceObj.symbol);
+
+ if (stopDistance < 10 || limitDistance < 2)
+ {
+ return;
+ }
+
+ var key = DictionaryKeyStrings.OpenTrade(priceObj.symbol, priceObj.date);
+
+ var openOrderRequest = new RequestObject(priceObj, direction, envVariables, key)
+ {
+ size = decimal.Parse(envVariables.tradingSize),
+ stopDistancePips = stopDistance,
+ limitDistancePips = limitDistance
+ };
+
+ this.requestOpenTrade.Request(openOrderRequest);
+
+ ohlcList.RemoveAt(0);
+ }
+
+ // Surpress CS1998
+ // Async method lacks 'await' operators and will run synchronously
+ await Task.CompletedTask;
+
+ }
+}

src/strategies/locked/Momentum/Momentum_18d834cc.cs

@@ -0,0 +1,100 @@
+using System.Diagnostics.CodeAnalysis;
+using backtesting_engine;
+using backtesting_engine.interfaces;
+using backtesting_engine_models;
+using Utilities;
+
+namespace backtesting_engine_strategies;
+
+public class Momentum_18d834cc : BaseStrategy, IStrategy
+{
+ private List<OhlcObject> ohlcList = new List<OhlcObject>();
+
+ public Momentum_18d834cc(IRequestOpenTrade requestOpenTrade, IEnvironmentVariables envVariables, ITradingObjects tradeObjs, ICloseOrder closeOrder, IWebNotification webNotification) : base(requestOpenTrade, tradeObjs, envVariables, closeOrder, webNotification) { }
+
+ private OhlcObject lastItem = new OhlcObject();
+
+ private DateTime lastTraded = DateTime.MinValue;
+
+ [SuppressMessage("Sonar Code Smell", "S2245:Using pseudorandom number generators (PRNGs) is security-sensitive", Justification = "Random function has no security use")]
+ public async Task Invoke(PriceObj priceObj)
+ {
+
+ ohlcList = GenericOhlc.CalculateOHLC(priceObj, priceObj.ask, TimeSpan.FromMinutes(30), ohlcList);
+
+ // Maximum of one trade open at a time
+ // Conditional to only invoke the strategy if there are no trades open
+ if (tradeObjs.openTrades.Count() >= 1)
+ {
+ return;
+ }
+
+ if(priceObj.date.Subtract(lastTraded).TotalHours < 8){
+ return;
+ }
+
+
+ // Keep 5 hours of history (30*10)
+ // Only start trading once you have 5 hours
+ if (ohlcList.Count > envVariables.randomStrategyAmountOfHHLL)
+ {
+
+ lastTraded=priceObj.date;
+
+ // Get the highest value from all of the OHLC objects
+ var distance = (ohlcList.Last().close - ohlcList.First().close) * envVariables.GetScalingFactor(priceObj.symbol);
+ var speed = distance / (30 * envVariables.randomStrategyAmountOfHHLL);
+
+ // System.Console.WriteLine(speed);
+
+ // Too slow
+ if(Math.Abs(speed) < 1m){
+ return;
+ }
+
+ var direction = TradeDirection.BUY;
+ if(speed > 0){
+ direction = TradeDirection.SELL;
+ }
+
+ var stopLevel = direction == TradeDirection.BUY ? ohlcList.Min(x => x.low) :
+ ohlcList.Max(x => x.high);
+
+ var limitLevel = direction == TradeDirection.BUY ? ohlcList.TakeLast(2).Average(x => x.close): 
+ ohlcList.TakeLast(2).Average(x => x.close);
+
+ var stopDistance = direction == TradeDirection.SELL ? (stopLevel - priceObj.bid) : (priceObj.ask - stopLevel);
+ stopDistance = stopDistance * envVariables.GetScalingFactor(priceObj.symbol);
+
+ var limitDistance = direction == TradeDirection.BUY ? (limitLevel - priceObj.bid) : (priceObj.ask - limitLevel);
+ limitDistance = limitDistance * envVariables.GetScalingFactor(priceObj.symbol);
+
+ if (stopDistance < 10 || limitDistance < 2)
+ {
+ return;
+ }
+
+ if(stopDistance > 100){
+ stopDistance = 100;
+ }
+
+ var key = DictionaryKeyStrings.OpenTrade(priceObj.symbol, priceObj.date);
+
+ var openOrderRequest = new RequestObject(priceObj, direction, envVariables, key)
+ {
+ size = decimal.Parse(envVariables.tradingSize),
+ stopDistancePips = stopDistance,
+ limitDistancePips = limitDistance
+ };
+
+ this.requestOpenTrade.Request(openOrderRequest);
+
+ ohlcList.RemoveAt(0);
+ }
+
+ // Surpress CS1998
+ // Async method lacks 'await' operators and will run synchronously
+ await Task.CompletedTask;
+
+ }
+}