Design Strategy - MoonPhaser

C# Strategy Designer

MoonPhaser Published by vk on 8/24/2023	Start a Discussion for this Strategy
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using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Indicators;
using System.Collections.Generic;

namespace WealthScript2 
{
	public class MoonPhaseDetector : UserStrategyBase
	{
		List<DateTime> _holidays;
		BarHistory _bars;
		int _idx;

		public override void Initialize(BarHistory bars)
		{
			StartIndex = 1;
			_bars = bars;
			LoadMarketHolidays();

			// Moon phase check
			MoonPhase moonphase = new MoonPhase();
			TimeSeries moonage = new TimeSeries(bars.DateTimes);

			for (int bar = 0; bar < bars.Count; bar++)
			{
				DateTime dt = bars.DateTimes[bar].Date;
				moonage[bar] = moonphase.GetMoonAge(dt.Day, dt.Month, dt.Year);
			}

			PlotTimeSeries(moonage, "Moon Age", "Moon Age");

			//WriteToDebugLog(_holidays.Contains(new DateTime(2007, 1, 15)).ToString());
		}

		public MoonPhaseDetector()
		{
		}

		public override void Execute(BarHistory bars, int idx)
		{
			int Z = IntegerDate(bars.DateTimes[idx]);
			string S = "NA";

			DateTime checkDate = bars.DateTimes[idx];

			//			WriteToDebugLog(checkDate.ToShortDateString());
			// Look ahead to see if the moon phase is "tomorrow"
			do
			{
				checkDate = checkDate.AddDays(1);
				S = GetMoonPhase(IntegerDate(checkDate));
				//				WriteToDebugLog("\t" + checkDate.ToShortDateString() + "\t" + S 
				//					+ "\t" + IsWeekendOrHoliday(checkDate));

			}
			while (S == "NA" && IsWeekendOrHoliday(checkDate));

			SetBackgroundColor(bars, idx + 1, WLColor.FromArgb(40, WLColor.Blue));
			if (HasOpenPosition(bars, PositionType.Long))
			{
				if (S == "NEW")
				{
					//SellAtClose(idx, LastPosition, S + " Moon Sell");
					PlaceTrade(bars, TransactionType.Sell, OrderType.Market);

					if (idx + 1 < bars.Count)
					{
						SetBackgroundColor(bars, idx + 1, WLColor.FromArgb(40, WLColor.Red));
						DrawBarAnnotation("NEW", idx + 1, true, WLColor.Black, 7);
					}
				}
			}
			else
			{
				if (S == "FULL")
				{
					//BuyAtClose(idx, (S + " Moon Buy"));
					PlaceTrade(bars, TransactionType.Buy, OrderType.Market);
					if (idx + 1 < bars.Count)
					{
						SetBackgroundColor(bars, idx + 1, WLColor.FromArgb(40, WLColor.Green));
						DrawBarAnnotation("FULL", idx + 1, true, WLColor.Black, 7);
					}
				}
			}
		}

		bool IsWeekendOrHoliday(DateTime dt)
		{
			return _holidays.Contains(dt.Date) || dt.DayOfWeek == DayOfWeek.Saturday || dt.DayOfWeek == DayOfWeek.Sunday;
		}

		int IntegerDate(DateTime dt)
		{
			int y = dt.Year;
			int m = dt.Month;
			int d = dt.Day;
			return (y * 10000) + (m * 100) + d;
		}

		//Julian to Calendar Date
		double JulianToCal(double J, double F)
		{
			double A, A1, B, C, D, D1, E, M;  // H, H1, M9;
			int Y;

			F += 0.5;
			if (F >= 1)
			{
				F -= 1.0;
				J += 1.0;
			}

			A1 = Math.Truncate((J / 36524.25) - 51.12264);
			A = J + 1 + A1 - Math.Truncate(A1 / 4);
			B = A + 1524;
			C = Math.Truncate((B / 365.25) - 0.3343);
			D = Math.Truncate(365.25 * C);
			E = Math.Truncate((B - D) / 30.61);
			D = B - D - Math.Truncate(30.61 * E) + F;
			M = E - 1;
			Y = (int)Math.Truncate(C - 4716);
			if (E > 13.5) M -= 12;
			if (M < 2.5) Y++;
			D1 = Math.Truncate(D);

			//Hours and Minutes - not needed
			//H = 24 * ( D - D1 );
			//H1 = Math.Truncate( H );
			//M9 = Math.Truncate( 60 * ( H - H1 ) );

			D = (Y * 10000) + (M * 100) + D1;
			return D;
		}

		//Date Input Format = YYYYMMDD
		//Return 'FULL', 'NEW' or 'NA'.
		string GetMoonPhase(int date)
		{
			const double R1 = 3.14159265 / 180d;
			bool U;
			int Y;
			string S;
			double K0, X, T, T2, T3, J0, F0, J, F, M0, M1, B1, K, M5, M6, B6;

			string result = "NA";
			Y = date / 10000;       // rws - integer division on purpose
			U = false;
			K0 = Math.Truncate((Y - 1900) * 12.3685);
			T = (Y - 1899.5) / 100;
			T2 = T * T;
			T3 = T * T * T;
			J0 = 2415020 + (29 * K0);
			F0 = (0.0001178 * T2) - (0.000000155 * T3);
			F0 = F0 + (0.75933 + (0.53058868 * K0));
			F0 = F0 - (0.000837 * T + (0.000335 * T2));
			M0 = K0 * 0.08084821133;
			M0 = 360 * (M0 - Math.Truncate(M0)) + 359.2242;
			M0 = M0 - (0.0000333 * T2);
			M0 = M0 - (0.00000347 * T3);
			M1 = K0 * 0.07171366128;
			M1 = (360 * (M1 - Math.Truncate(M1))) + 306.0253;
			M1 = M1 + (0.0107306 * T2);
			M1 = M1 + (0.00001236 * T3);
			B1 = K0 * 0.08519585128;
			B1 = 360 * ((B1 - Math.Truncate(B1))) + 21.2964;
			B1 = B1 - (0.0016528 * T2);
			B1 = B1 - (0.00000239 * T3);

			for (int K9 = 0; K9 <= 28; K9++)
			{
				J = J0 + 14 * K9;
				F = F0 + 0.765294 * K9;
				K = K9 / 2d;
				M5 = (M0 + (K * 29.10535608)) * R1;
				M6 = (M1 + (K * 385.81691806)) * R1;
				B6 = (B1 + (K * 390.67050646)) * R1;
				F -= (0.4068 * Math.Sin(M6));
				F += ((0.1734 - (0.000393 * T)) * Math.Sin(M5));
				F += (0.0161 * Math.Sin(2 * M6));
				F += (0.0104 * Math.Sin(2 * B6));
				F -= (0.0074 * Math.Sin(M5 - M6));
				F -= (0.0051 * Math.Sin(M5 + M6));
				F += (0.0021 * Math.Sin(2 * M5));
				F += (0.0010 * Math.Sin(2 * B6 - M6));
				F += (0.5 / 1440);
				J += Math.Truncate(F);
				F -= Math.Truncate(F);

				if (!U)
					S = "NEW";
				else
					S = "FULL";

				X = JulianToCal(J, F);

				if (X == date)
				{
					result = S;
					return result;
				}

				U = !U;
			}
			return result;
		}

		void LoadMarketHolidays()
		{
			_holidays = new List<DateTime>();
			for (int y = 1990; y <= DateTime.Now.Year; y++)
			{
				LoadHolidays(y);
			}

			IFormatProvider fp = System.Globalization.CultureInfo.InvariantCulture;
			_holidays.Add(DateTime.ParseExact("20010911", "yyyyMMdd", fp));
			_holidays.Add(DateTime.ParseExact("20010912", "yyyyMMdd", fp));
			_holidays.Add(DateTime.ParseExact("20010913", "yyyyMMdd", fp));
			_holidays.Add(DateTime.ParseExact("20010914", "yyyyMMdd", fp));
		}

		private void LoadHolidays(int year)
		{
			//NEW YEARS - no weekend adjustment for U.S. Markets; e.g. ,was open on 12/31/1999
			DateTime newYearsDate = new DateTime(year, 1, 1).Date;
			if (newYearsDate.DayOfWeek != DayOfWeek.Saturday && newYearsDate.DayOfWeek != DayOfWeek.Sunday)
				_holidays.Add(newYearsDate);

			//MLK DAY -- third monday in Jan; first observed January 20, 1986.
			if (year > 1985)
			{
				DateTime mlkDay = new DateTime(year, 1, 7);
				int count = 1;
				do
				{
					mlkDay = mlkDay.AddDays(1);
					if (mlkDay.DayOfWeek == DayOfWeek.Monday)
						count++;

				} while (count < 3);
				_holidays.Add(mlkDay.Date);
			}

			//PRESIDENT's DAY -- third monday in Feb
			if (year > 1985)
			{
				DateTime presDay = new DateTime(year, 1, 31);
				int count = 0;
				do
				{
					presDay = presDay.AddDays(1);
					if (presDay.DayOfWeek == DayOfWeek.Monday)
						count++;

				} while (count < 3);
				_holidays.Add(presDay.Date);
			}

			// GOOD FRIDAY
			{
				int g = year % 19;
				int c = year / 100;
				int h = (c - (int)(c / 4) - (int)((8 * c + 13) / 25) + 19 * g + 15) % 30;
				int i = h - (int)(h / 28) * (1 - (int)(h / 28) * (int)(29 / (h + 1)) * (int)((21 - g) / 11));

				int day = i - ((year + (int)(year / 4) + i + 2 - c + (int)(c / 4)) % 7) + 28;
				int month = 3;

				if (day > 31)
				{
					month++;
					day -= 31;
				}
				DateTime Easter = new DateTime(year, month, day);
				_holidays.Add(Easter.AddDays(-2));
			}

			//MEMORIAL DAY  -- last monday in May 
			DateTime memorialDay = new DateTime(year, 5, 31);
			DayOfWeek dayOfWeek = memorialDay.DayOfWeek;
			while (dayOfWeek != DayOfWeek.Monday)
			{
				memorialDay = memorialDay.AddDays(-1);
				dayOfWeek = memorialDay.DayOfWeek;
			}
			_holidays.Add(memorialDay.Date);

			//INDEPENCENCE DAY 
			DateTime independenceDay = AdjustForWeekendHoliday(new DateTime(year, 7, 4).Date);
			_holidays.Add(independenceDay);

			//LABOR DAY -- 1st Monday in September 
			DateTime laborDay = new DateTime(year, 9, 1);
			dayOfWeek = laborDay.DayOfWeek;
			while (dayOfWeek != DayOfWeek.Monday)
			{
				laborDay = laborDay.AddDays(1);
				dayOfWeek = laborDay.DayOfWeek;
			}
			_holidays.Add(laborDay.Date);

			//THANKSGIVING DAY - 4th Thursday in November
			{
				DateTime thanksgivingDay = new DateTime(year, 10, 31);
				int k = 0;
				do
				{
					thanksgivingDay = thanksgivingDay.AddDays(1);
					if (thanksgivingDay.DayOfWeek == DayOfWeek.Thursday)
						k++;

				} while (k < 4);
				_holidays.Add(thanksgivingDay.Date);
			}

			// CHRISTMAS
			DateTime christmasDay = AdjustForWeekendHoliday(new DateTime(year, 12, 25).Date);
			_holidays.Add(christmasDay.Date);
		}

		public DateTime AdjustForWeekendHoliday(DateTime holiday)
		{
			if (holiday.DayOfWeek == DayOfWeek.Saturday)
			{
				return holiday.AddDays(-1);
			}
			else if (holiday.DayOfWeek == DayOfWeek.Sunday)
			{
				return holiday.AddDays(1);
			}
			else
			{
				return holiday;
			}
		}
	}

	// https://gist.github.com/adrianstevens/776530e198734b34a9c8a43aaf880041
	public class MoonPhase
	{
		static double MoonCycleLength = 29.53059;

		public int GetJulianDate(int day, int month, int year)
		{
			year = year - (12 - month) / 10;

			month = month + 9;

			if (month >= 12)
				month = month - 12;

			var k1 = (int)(365.25 * (year + 4712));
			var k2 = (int)(30.6001 * month + 0.5);

			// 'j' for dates in Julian calendar:
			var julianDate = k1 + k2 + day + 59;

			//Gregorian calendar
			if (julianDate > 2299160)
			{
				var k3 = (int)((year / 100 + 49) * 0.75) - 38;
				julianDate = julianDate - k3; //at 12h UT (Universal Time)
			}

			return julianDate;
		}

		public double GetMoonAge(int day, int month, int year)
		{
			double ip, age;

			int julianDate = GetJulianDate(day, month, year);

			ip = (julianDate + 4.867) / 29.53059;
			ip = ip - Math.Floor(ip);

			age = ip * MoonCycleLength + MoonCycleLength / 2;

			if (age > MoonCycleLength)
				age -= MoonCycleLength;

			return age;
		}
	}
}

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C# Strategy Tips

• Strategies are coded in the C# language and utilize the Microsoft .NET framework.

• Your Strategy is a .NET class derived from the UserStrategyBase base class.

• Override Initialize to perform one-time tasks like creating indicators.

• Override Execute, which is called once for every bar of data being processed, to implement your trading rules.

• Check the Online WealthLab Framework Reference for documentation on classes and methods.