dinodelides
02 Dec 2020, 14:08

RE:

Thank you for the swift reply Panagiotis.

PanagiotisCharalampous said:

Hi dinodelides,

It is not possible to backtest two strategies at the same time. To achieve this, you will need to merge the two strategies into a single cBot.

Best Regards,

Panagiotis 

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dinodelides
30 Nov 2020, 17:36

RE:

Ευχαριστώ πολύ Panagiotis! I have added this to my bots where necessary.

Best regards

Dino

PanagiotisCharalampous said:

Hi dinodelides,

You can change the value which the cBot checks to enter the trade. Instead of the LastValue, you can check Last(1), Last(2) etc. where the number represent a backwards index of the relevant series.

Best Regards,

Panagiotis 

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dinodelides
29 Nov 2020, 09:41

RE: RE:

prosteel1 said:

This is a modified RSI bot.

series.Count - 3 gives 2 full bars back, each new bar increases the count by 1.

You can check the print of the High to make sure it is working properly.

 

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

namespace cAlgo
{
    [Robot(TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)]
    public class SampleRSIcBot : Robot
    {
        [Parameter("Quantity (Lots)", Group = "Volume", DefaultValue = 1, MinValue = 0.01, Step = 0.01)]
        public double Quantity { get; set; }

        [Parameter("Source", Group = "RSI")]
        public DataSeries Source { get; set; }

        [Parameter("Periods", Group = "RSI", DefaultValue = 14)]
        public int Periods { get; set; }

        [Parameter("Partial Close offset", DefaultValue = 10, MinValue = 10, Step = 10)]
        public int Offset { get; set; }

        [Parameter("Timeframe", DefaultValue = "Hour")]
        public TimeFrame tf { get; set; }

        private RelativeStrengthIndex rsi;

        Bars series;
        int BarLast;

        protected override void OnStart()
        {
            rsi = Indicators.RelativeStrengthIndex(Source, Periods);
            series = MarketData.GetBars(tf);
            BarLast = series.Count - 3;
        }
        protected override void OnStop()
        {
            foreach (var position in Positions)
            {
                ClosePosition(position);
            }
        }

        protected override void OnTick()
        {
            if (series.Count - 3 > BarLast)
            {
                Print("series.Count - 3 = " + (series.Count - 3) + " has a High of = " + series.HighPrices[series.Count - 3]);

                if (rsi.Result.LastValue < 30)
                {
                    Close(TradeType.Sell);
                    Open(TradeType.Buy);
                }
                else if (rsi.Result.LastValue > 70)
                {
                    Close(TradeType.Buy);
                    Open(TradeType.Sell);
                }
                if (rsi.Result.LastValue < 30 + Offset)
                {
                    PartialClose(TradeType.Sell);
                }
                if (rsi.Result.LastValue > 70 - Offset)
                {
                    PartialClose(TradeType.Buy);
                }
                BarLast = series.Count - 3;
            }
        }

        private void Close(TradeType tradeType)
        {
            foreach (var position in Positions.FindAll("SampleRSI", SymbolName, tradeType))
                ClosePosition(position);
        }

        private void PartialClose(TradeType tradeType)
        {

            foreach (var position in Positions.FindAll("SampleRSI", SymbolName, tradeType))
            {
                double newVol = Symbol.NormalizeVolumeInUnits((position.VolumeInUnits / 2), RoundingMode.Up);
                if (position.Quantity == Quantity)
                {
                    ClosePosition(position, newVol);
                    Print("Partial closing " + newVol + " of " + position + " due to RSI = " + rsi.Result.LastValue);
                }
            }
        }

        private void Open(TradeType tradeType)
        {
            var position = Positions.Find("SampleRSI", SymbolName, tradeType);
            var volumeInUnits = Symbol.QuantityToVolumeInUnits(Quantity);

            if (position == null)
                ExecuteMarketOrder(tradeType, SymbolName, volumeInUnits, "SampleRSI");
        }
    }
}

Thank you very much for the quick response Prosteel1 - I will work through it to make sure I understand what it is doing and then give it a test.  Have a great day :)