private boolean isPriceAtResistance(final InstrumentPriceModel tick, BigDecimal pricePoint) {
// calc % from ma
final double highPctFromPoint =
100 * (tick.getHigh().doubleValue() - pricePoint.doubleValue()) / pricePoint.doubleValue();
final double closePctFromPoint =
100 * (tick.getClose().doubleValue() - pricePoint.doubleValue()) / pricePoint.doubleValue();
if (highPctFromPoint <= HIGH_THRESHOLD && highPctFromPoint >= -HIGH_THRESHOLD) {
return true;
} else if (closePctFromPoint < CLOSE_THRESHOLD && closePctFromPoint > -CLOSE_THRESHOLD) {
return true;
}
return false;
}
private boolean isPriceAtSupport(final InstrumentPriceModel tick, BigDecimal pricePoint) {
// calc % from ma
final double lowPctFromPoint =
100 * (tick.getLow().doubleValue() - pricePoint.doubleValue()) / pricePoint.doubleValue();
final double closePctFromPoint =
100 * (tick.getClose().doubleValue() - pricePoint.doubleValue()) / pricePoint.doubleValue();
if (lowPctFromPoint <= LOW_THRESHOLD && lowPctFromPoint >= -LOW_THRESHOLD) {
return true;
} else if (closePctFromPoint < CLOSE_THRESHOLD && closePctFromPoint > -CLOSE_THRESHOLD) {
return true;
}
return false;
}
public void populateChartAnalysis(final PriceAnalysisData currentPrice) {
if (currentPrice == null
|| currentPrice.getPrice() == null
|| currentPrice.getPrice().getDateType() != TradeDateType.TRADING_DATE
|| currentPrice.getPrice().getVolume() == null
|| currentPrice.getPrice().getVolume() == 0) {
return;
}
final boolean new52wkHigh = calendar365DaysHighHelper.processTick(currentPrice.getPrice());
trading100DaysHighHelper.processTick(currentPrice.getPrice());
ChartAnalysisType analysisType = null;
if (new52wkHigh) {
final InstrumentPriceModel previousHigh = calendar365DaysHighHelper.getPreviousHighTick();
if (previousHigh != null
&& currentPrice.getPrice().getClose().doubleValue()
>= previousHigh.getHigh().doubleValue()) {
analysisType = ChartAnalysisType.NEW_HIGHS;
final PriceAnalysisElementData analysis = new PriceAnalysisElementData();
analysis.setElementType(ChartElementType.PRICE);
analysis.setAnalysisType(analysisType);
currentPrice.getPriceAnalysisElements().add(analysis);
}
}
// add recent-high logic ONLY if 52-wk high is not added
if (analysisType == null) {
if (trading100DaysHighHelper.getHighTick() != null
&& currentPrice.getPrice() == trading100DaysHighHelper.getHighTick()) {
final InstrumentPriceModel previousHigh = calendar365DaysHighHelper.getPreviousHighTick();
if (previousHigh != null
&& currentPrice.getPrice().getClose().doubleValue()
>= previousHigh.getHigh().doubleValue()) {
analysisType = ChartAnalysisType.NEW_RECENT_HIGHS;
final PriceAnalysisElementData analysis = new PriceAnalysisElementData();
analysis.setElementType(ChartElementType.PRICE);
analysis.setAnalysisType(analysisType);
currentPrice.getPriceAnalysisElements().add(analysis);
}
}
}
}
private boolean isPriceBelowResistanceThreshold(
final InstrumentPriceModel tick, BigDecimal pricePoint) {
// calc % from ma
final double closePctFromPoint =
100 * (tick.getClose().doubleValue() - pricePoint.doubleValue()) / pricePoint.doubleValue();
if (closePctFromPoint <= -CLOSE_THRESHOLD) {
return true;
}
return false;
}
public static double getClosingRange(
InstrumentPriceModel currentPrice, InstrumentPriceModel lastPrice) {
final BigDecimal close = currentPrice.getClose();
final BigDecimal low = currentPrice.getLow();
BigDecimal high = null;
if (lastPrice != null
&& lastPrice.getLow().doubleValue() > currentPrice.getHigh().doubleValue()) {
// this is a gap down
high = lastPrice.getClose();
} else {
high = currentPrice.getHigh();
}
return ((close.doubleValue() - low.doubleValue()) * 100)
/ (high.doubleValue() - low.doubleValue());
}
public static List<PriceAnalysisData> analyzeDailyPrices(final List<InstrumentPriceModel> pvList)
throws ApplicationException {
if (pvList == null || pvList.size() <= 2) {
return null;
}
if (pvList.get(0).getPriceDate().after(pvList.get(1).getPriceDate())) {
Collections.reverse(pvList);
}
final List<PriceAnalysisData> analyzedPrices = new ArrayList<PriceAnalysisData>();
final PriceMovingAverageHelper pMAHelper10dEma =
new PriceMovingAverageHelper(10, false); // 10 EMA
final PriceMovingAverageHelper pMAHelper20dEma =
new PriceMovingAverageHelper(20, false); // 20 EMA
final PriceMovingAverageHelper pMAHelper50dSma =
new PriceMovingAverageHelper(50, true); // 50 SMA
final PriceMovingAverageHelper pMAHelper200dSma =
new PriceMovingAverageHelper(200, true); // 200 SMA
final VolumeMovingAverageHelper vMAHelper = new VolumeMovingAverageHelper(50, true); // 50 SMA
final MAAnalysisHelper ma10AnalysisHelper = new MAAnalysisHelper(ChartElementType.PRICE_MA_10);
final MAAnalysisHelper ma20AnalysisHelper = new MAAnalysisHelper(ChartElementType.PRICE_MA_20);
final MAAnalysisHelper ma50AnalysisHelper = new MAAnalysisHelper(ChartElementType.PRICE_MA_50);
final MAAnalysisHelper ma200AnalysisHelper =
new MAAnalysisHelper(ChartElementType.PRICE_MA_200);
final GapAnalysisHelper gapAnalysisHelper = new GapAnalysisHelper();
final ATRHelper atr14Helper = new ATRHelper(14);
final HighAnalysisHelper highAnalysisHelper = new HighAnalysisHelper();
BigDecimal lastPriceMA10 = null;
BigDecimal lastPriceMA20 = null;
BigDecimal lastPriceMA50 = null;
BigDecimal lastPriceMA200 = null;
BigDecimal lastVolMA = null;
for (final InstrumentPriceModel aPrice : pvList) {
if (aPrice == null
|| aPrice.getDateType() == null
|| TradeDateType.TRADING_DATE != aPrice.getDateType()
|| aPrice.getVolume() == null
|| aPrice.getClose() == null
|| aPrice.getVolume() <= 0) {
continue;
}
final PriceAnalysisData analyzedPrice = new PriceAnalysisData();
analyzedPrice.setPrice(aPrice);
// first calculate moving averages because we would need it in checking the signals
final BigDecimal priceMA10 = pMAHelper10dEma.processTick(aPrice, lastPriceMA10);
final BigDecimal priceMA20 = pMAHelper20dEma.processTick(aPrice, lastPriceMA20);
final BigDecimal priceMA50 = pMAHelper50dSma.processTick(aPrice, lastPriceMA50);
final BigDecimal priceMA200 = pMAHelper200dSma.processTick(aPrice, lastPriceMA200);
final BigDecimal volMA = vMAHelper.processTick(aPrice, lastVolMA);
final BigDecimal atr14 = atr14Helper.processTick(aPrice);
// set the MA and other analyzed data now..
analyzedPrice.setPrice10dEma(priceMA10);
analyzedPrice.setPrice20dEma(priceMA20);
analyzedPrice.setPrice50dSma(priceMA50);
analyzedPrice.setPrice200dSma(priceMA200);
analyzedPrice.setVol50dSma(volMA);
analyzedPrice.setAtr14d(atr14);
lastPriceMA10 = priceMA10;
lastPriceMA20 = priceMA20;
lastPriceMA50 = priceMA50;
lastPriceMA200 = priceMA200;
lastVolMA = volMA;
// analyze for signals now..
ma200AnalysisHelper.populateChartAnalysis(analyzedPrice);
ma50AnalysisHelper.populateChartAnalysis(analyzedPrice);
ma20AnalysisHelper.populateChartAnalysis(analyzedPrice);
ma10AnalysisHelper.populateChartAnalysis(analyzedPrice);
gapAnalysisHelper.populateChartAnalysis(analyzedPrice);
// analyze new-highs
highAnalysisHelper.populateChartAnalysis(analyzedPrice);
analyzedPrices.add(analyzedPrice);
if (analyzedPrice.getPriceAnalysisElements().size() > 0) {
StringBuffer buffy = new StringBuffer(analyzedPrice.getPrice().getPriceDate() + " : ");
for (PriceAnalysisElementData pae : analyzedPrice.getPriceAnalysisElements()) {
buffy.append(pae.getElementType() + " " + pae.getAnalysisType() + ",");
}
// System.err.println(buffy.toString());
}
}
return analyzedPrices;
}
