Using Volume in CandleCode
Let's build a gene that indicates whether the bar is light, medium, or heavy volume. We can use a "V" as the gene's prefix, and then simply append a one character suffix to denote (L)ight, (M)edium, or (H)eavy volume. To determine how heavy volume is, we'll compare the bar's volume to the 10 day average volume, and consider it light if it is half the average volume, and heavy if it is twice the average.
Our web articles describe how to build extensions for Quantacula Studio. We'll follow the same format, and first create a .NET class library targeting the 4.6.2 .NET framework. We need to add references to the following libraries:
- QuantaculaCore
- Candlesticks
- QuantaculaIndicators (because we will use the SMA indicator class)
Next create a new class called VolumeStrength, and add the libraries mentioned above to its using section. Make the VolumeStrength class derive from CandleGene.
Prefix
Override the Prefix property to return the string "V".
Code Property
CandleGenes have a string property called Code. Use this property to store whatever you need as parameters for your gene. Our VolumeStrength assigns one of three string values to the Code property. "L" for light volume, "M" for medium volume, and "H" for heavy volume.
Mutate Method
In this method, mutate your gene by changing one aspect. Our VolumeStrength gene has only a single parameter, so in our implementation we simply randomize the volume strength. If your gene uses more than one parameter in its definition, change only one of them in the Mutate method.
RandomGene
Override this method to return a randomized instance of your gene.
IsPositive Method
In this method you test your gene on source data passed as an instance of the BarHistory class. You're also supplied the index on which to test. Return a true if the data at that point in the history satisfies your gene's condition. In our implementation, we use the SMA to obtain the 10 bar average volume, and then compare the current volume with the average. If the current volume is less than half the average volume, it is considered light, if it is twice the average, it is considered heavy.
Summary
With our new CandleGene in place we can launch the Candlestick Genetic Evolver and see is volume plays a role in identifying profitable patterns in our source data. The scope of CandleCode genes is really unlimited, and if you come up with any useful genes please share your findings with the Quantacula Community!
Code Property
CandleGenes have a string property called Code. Use this property to store whatever you need as parameters for your gene. Our VolumeStrength assigns one of three string values to the Code property. "L" for light volume, "M" for medium volume, and "H" for heavy volume.
Mutate Method
In this method, mutate your gene by changing one aspect. Our VolumeStrength gene has only a single parameter, so in our implementation we simply randomize the volume strength. If your gene uses more than one parameter in its definition, change only one of them in the Mutate method.
RandomGene
Override this method to return a randomized instance of your gene.
IsPositive Method
In this method you test your gene on source data passed as an instance of the BarHistory class. You're also supplied the index on which to test. Return a true if the data at that point in the history satisfies your gene's condition. In our implementation, we use the SMA to obtain the 10 bar average volume, and then compare the current volume with the average. If the current volume is less than half the average volume, it is considered light, if it is twice the average, it is considered heavy.
Summary
With our new CandleGene in place we can launch the Candlestick Genetic Evolver and see is volume plays a role in identifying profitable patterns in our source data. The scope of CandleCode genes is really unlimited, and if you come up with any useful genes please share your findings with the Quantacula Community!
Code
using QuantaculaCore;
using QuantaculaIndicators;
namespace Candlesticks.CandleGenes
{
public class VolumeStrength : CandleGene
{
//Return the prefix of the gene
public override string PrefixCode
{
get
{
return "V";
}
}
//Return a random gene
public override CandleGene RandomGene
{
get
{
VolumeStrength vs = new VolumeStrength();
vs.RandomizeGeneCode();
return vs;
}
}
//Test the gene against source data
public override bool IsPositive(BarHistory bars, int idx)
{
if (idx < 9)
return false;
double vol = bars.Volume[idx];
double avgVol = SMA.Calculate(idx, bars.Volume, 10);
switch(Code)
{
case "L":
//light volume
return vol < avgVol * 0.5;
case "M":
//medium volume
return vol >= avgVol * 0.5 && vol <= avgVol * 2.0;
default:
//heavy volume
return vol > avgVol * 2.0;
}
}
//mutate the gene (randomize its value)
public override void Mutate()
{
string oldCode = Code;
do
{
RandomizeGeneCode();
}
while (Code == oldCode);
}
//private members
private void RandomizeGeneCode()
{
int n = RNG.Next(3);
switch (n)
{
case 0:
Code = "L";
break;
case 1:
Code = "M";
break;
case 2:
Code = "H";
break;
}
}
}
}
