Hello,
maybe someone can help me here. I am trying to implement a strategy based on the minmax indicator. I might have to say, that I am new to the JForex API, but I am an experienced Java programmer. The strategy is fairly simple. If there is a new high, I go long, vice versa on selling. When I run the history tester, it seems that for some reasons the min (max) value is ignored.
You can clearly see what I mean when you look at the picture. A buy (sell) order is only generated with a new high(low), however the strategy is placing new orders although I am clearly in an uptrend. How can this be possible? FYI: The minimum is calculated on a 55 bars thirty Minute base. The picture displays one bar as an hour.
You will find the complete source code below.
Let me just point out the area where the minimum is calculated.
If you have any idea how this issue can be fixed please let me know.
Thank you in advance for your help
Tag
private void calculateMin()throws JFException{
long prevBarTime = history.getBar(instrument, Period.THIRTY_MINS, OfferSide.BID, 1).getTime();
double[][]minArray = indicators.minMax(instrument, Period.THIRTY_MINS, OfferSide.ASK, AppliedPrice.LOW, 55, Filter.WEEKENDS, prevBarTime, prevBarTime);
if(minArray[0].length > 0){
this.min = minArray[0][0];
}
}
import com.dukascopy.api.Filter;
import com.dukascopy.api.IAccount;
import com.dukascopy.api.IBar;
import com.dukascopy.api.IConsole;
import com.dukascopy.api.IContext;
import com.dukascopy.api.IEngine;
import com.dukascopy.api.IEngine.OrderCommand;
import com.dukascopy.api.IHistory;
import com.dukascopy.api.IIndicators;
import com.dukascopy.api.IIndicators.AppliedPrice;
import com.dukascopy.api.IMessage;
import com.dukascopy.api.IOrder;
import com.dukascopy.api.IStrategy;
import com.dukascopy.api.ITick;
import com.dukascopy.api.Instrument;
import com.dukascopy.api.JFException;
import com.dukascopy.api.OfferSide;
import com.dukascopy.api.Period;
import com.dukascopy.api.RequiresFullAccess;
import java.util.ArrayList;
import java.util.Arrays;
import java.util.HashSet;
import java.util.List;
/**
*
* @author Daniel
* @version 0.1
* Copyrights Daniel
*/
@RequiresFullAccess
public class FirstStrategy implements IStrategy{
private IEngine engine;
private IConsole console;
private IHistory history;
private IContext context;
private IIndicators indicators;
private IAccount account;
Instrument instrument = Instrument.EURUSD;
private List<Instrument> instruments = Arrays.asList(instrument);
private double max = 10000;
private double min = -10000;
private boolean hasActiveOrder = false;
@Override
public void onStart(IContext context) throws JFException {
setGlobals(context);
calculateMinMax();
console.getOut().println("Greetings Old Friend");
}
@Override
public void onTick(Instrument instrument, ITick tick) throws JFException {
double ask = tick.getAsk();
if(ask > max){
if(!hasActiveOrder()){
placeLongOrder(tick);
}
}
if(ask < min){
if(!hasActiveOrder()){
placeShortOrder(tick);
}
}
}
@Override
public void onBar(Instrument instrument, Period period, IBar askBar, IBar bidBar) throws JFException {
calculateMinMax();
}
@Override
public void onMessage(IMessage message) throws JFException {
}
@Override
public void onAccount(IAccount account) throws JFException {
}
@Override
public void onStop() throws JFException {
}
private boolean hasActiveOrder() throws JFException{
IOrder orderLong = engine.getOrder("WideLong");
if(orderLong != null){
return true;
}
IOrder orderShort = engine.getOrder("WideShort");
if(orderShort != null){
return true;
}
return false;
}
/**
* This here is not working yet properly - some debugging has to be done
* @param tick
* @throws JFException
*/
private void placeLongOrder(ITick tick) throws JFException{
double ask = tick.getAsk();
double stopLoss = ask - 0.001;
double takeProfit = ask + 0.0100;
double lastBidPrice = history.getLastTick(instrument).getAsk();
IOrder order = engine.submitOrder("WideLong", instrument, OrderCommand.BUY, 0.01, lastBidPrice, 2, stopLoss, takeProfit);
}
private void placeShortOrder(ITick tick) throws JFException{
double bid = tick.getBid();
double stopLoss = bid + 0.0005;
double takeProfit = bid - 0.0100;
double lastBidPrice = history.getLastTick(instrument).getBid();
IOrder order = engine.submitOrder("WideShort", instrument, OrderCommand.SELL, 0.01, lastBidPrice, 2, stopLoss, takeProfit);
}
private void calculateMinMax()throws JFException{
calculateMin();
calculateMax();
}
private void calculateMin()throws JFException{
long prevBarTime = history.getBar(instrument, Period.THIRTY_MINS, OfferSide.BID, 1).getTime();
double[][]minArray = indicators.minMax(instrument, Period.THIRTY_MINS, OfferSide.ASK, AppliedPrice.LOW, 55, Filter.WEEKENDS, prevBarTime, prevBarTime);
if(minArray[0].length > 0){
this.min = minArray[0][0];
}
}
private void calculateMax()throws JFException{
long prevBarTime = history.getBar(instrument, Period.THIRTY_MINS, OfferSide.ASK, 1).getTime();
double[][] maxArray = indicators.minMax(instrument, Period.THIRTY_MINS, OfferSide.ASK, AppliedPrice.HIGH, 55, Filter.WEEKENDS, prevBarTime, prevBarTime);
if(maxArray[0].length > 0 ){
this.max = maxArray[1][0];
}
}
private void setGlobals(IContext context){
this.engine = context.getEngine();
this.console = context.getConsole();
this.history = context.getHistory();
this.context = context;
this.indicators = context.getIndicators();
this.account = context.getAccount();
context.setSubscribedInstruments(new HashSet<Instrument>(instruments));
}
}
