RsiAtr II

#region Licence
//The MIT License (MIT)
//Copyright (c) 2014 abdallah HACID, https://www.facebook.com/ab.hacid

//Permission is hereby granted, free of charge, to any person obtaining a copy of this software
//and associated documentation files (the "Software"), to deal in the Software without restriction,
//including without limitation the rights to use, copy, modify, merge, publish, distribute,
//sublicense, and/or sell copies of the Software, and to permit persons to whom the Software
//is furnished to do so, subject to the following conditions:

//The above copyright notice and this permission notice shall be included in all copies or
//substantial portions of the Software.

//THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING
//BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
//NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM,
//DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
//OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.

// Project Hosting for Open Source Software on Codeplex : https://calgobots.codeplex.com/
#endregion

#region cBot Infos
// -------------------------------------------------------------------------------
//
//		RsiAtrII (5 Aout 2014)
//		version 2.2014.8.5.13h00
//		Author : https://www.facebook.com/ab.hacid
//
// -------------------------------------------------------------------------------
#endregion

#region cBot Parameters Comments
// Robot using the indicators RSI and ATR
//	
//			Symbol							=	EURUSD
//			TimeFrame						=	H4
//
//			TP Factor						=	2.43					
//			Volatility Factor	     		=   2.7
//			MM Factor						=	5		//	Money Management
//			RSI Source						=	Close	
//			RSI Period						=	14						
//			RSI Ceil						=	1	
//
//			ATR Period						=	20
//			ATR MAType						=	VIDYA
//
//	Results :
//          Results				=	entre le 01/01/2014 et 5/8/2014 a 13h00 gain de 44559 euros(+89%).
//			Net profit			=	47599.19 euros
//			Ending Equity		=	47599.19 euros
//
// -------------------------------------------------------------------------------
//			Trading using leverage carries a high degree of risk to your capital, and it is possible to lose more than
//			your initial investment. Only speculate with money you can afford to lose.
// -------------------------------------------------------------------------------
#endregion

#region advertisement
// -------------------------------------------------------------------------------
//			Trading using leverage carries a high degree of risk to your capital, and it is possible to lose more than
//			your initial investment. Only speculate with money you can afford to lose.
// -------------------------------------------------------------------------------
#endregion


using System;
using cAlgo.API;
using cAlgo.API.Indicators;
using cAlgo.API.Internals;
using cAlgo.Lib;
using cAlgo.Indicators;

namespace cAlgo.Robots
{
    [Robot(TimeZone = TimeZones.UTC)]
    public class RsiAtrII : Robot
    {
        #region cBot parameters
        [Parameter("TP Factor", DefaultValue = 2.43, MinValue = 0.1)]
        public double TPFactor { get; set; }

        [Parameter("Volatility Factor", DefaultValue = 2.7, MinValue = 0.1)]
        public double VolFactor { get; set; }

        [Parameter("MM Factor", DefaultValue = 5, MinValue = 0.1)]
        public double MMFactor { get; set; }

        [Parameter("RSI Source")]
        public DataSeries RsiSource { get; set; }
        // Close
        [Parameter("RSI Period", DefaultValue = 14, MinValue = 1)]
        public int RsiPeriod { get; set; }

        [Parameter("RSI Ceil", DefaultValue = 1)]
        public int RsiCeil { get; set; }

        [Parameter("ATR Period", DefaultValue = 20, MinValue = 1)]
        public int AtrPeriod { get; set; }

        [Parameter("ATR MAType", DefaultValue = 4)]
        public MovingAverageType AtrMaType { get; set; }
        // VIDYA
        #endregion


        private RelativeStrengthIndex rsi;
        private PipsATRIndicator pipsATR;

        // Prefix commands the robot passes
        private const string botPrefix = "RSI-ATR-II";
        // Label orders the robot passes
        private string botLabel;
        double minPipsATR;
        double maxPipsATR;
        double ceilSignalPipsATR;
        double minRSI;
        double maxRSI;

        protected override void OnStart()
        {
            botLabel = string.Format("{0}-{1} {2}", botPrefix, Symbol.Code, TimeFrame);
            rsi = Indicators.RelativeStrengthIndex(RsiSource, RsiPeriod);
            pipsATR = Indicators.GetIndicator<PipsATRIndicator>(TimeFrame, AtrPeriod, AtrMaType);

            minPipsATR = pipsATR.Result.Minimum(pipsATR.Result.Count);
            maxPipsATR = pipsATR.Result.Maximum(pipsATR.Result.Count);

        }

        protected override void OnTick()
        {
            double volatility = pipsATR.Result.lastRealValue(0);
            int minimaxPeriod = (int)((4.0 / 3.0) * volatility);

            minPipsATR = Math.Min(minPipsATR, pipsATR.Result.LastValue);
            maxPipsATR = Math.Max(maxPipsATR, pipsATR.Result.LastValue);
            minRSI = rsi.Result.Minimum(minimaxPeriod);
            maxRSI = rsi.Result.Maximum(minimaxPeriod);

            ceilSignalPipsATR = minPipsATR + ((maxPipsATR - minPipsATR) / 9) * VolFactor;

            if (rsi.Result.LastValue < minRSI)
                this.closeAllSellPositions();
            else if (rsi.Result.LastValue > maxRSI)
                this.closeAllBuyPositions();

            // Do nothing if daily ATR > Max allowed
            if (pipsATR.Result.LastValue <= ceilSignalPipsATR)
            {

                if ((!(this.existBuyPositions())) && rsi.Result.HasCrossedAbove(minRSI + 1, 0))
                {
                    double stopLoss = VolFactor * volatility;
                    this.closeAllSellPositions();
                    ExecuteMarketOrder(TradeType.Buy, Symbol, Symbol.NormalizeVolume(this.moneyManagement(MMFactor / 100, stopLoss), RoundingMode.ToNearest), this.botName(), stopLoss, TPFactor * stopLoss);
                }
                else if (!(this.existSellPositions()) && rsi.Result.HasCrossedBelow(maxRSI - 1, 0))
                {
                    double stopLoss = VolFactor * volatility;
                    this.closeAllBuyPositions();
                    ExecuteMarketOrder(TradeType.Sell, Symbol, Symbol.NormalizeVolume(this.moneyManagement(MMFactor / 100, stopLoss), RoundingMode.ToNearest), this.botName(), stopLoss, TPFactor * stopLoss);
                }
            }
        }

        protected override void OnStop()
        {
            base.OnStop();
            this.closeAllPositions();

        }

    }
}