//============================================================== // Forex Strategy Builder // Copyright © Miroslav Popov. All rights reserved. //============================================================== // THIS CODE IS PROVIDED "AS IS" WITHOUT WARRANTY OF ANY KIND, // EITHER EXPRESSED OR IMPLIED, INCLUDING BUT NOT LIMITED TO // THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR // A PARTICULAR PURPOSE. //============================================================== // HMA: Hull Moving Average, by Squalou, June 2013 using System; using System.Drawing; using ForexStrategyBuilder.Infrastructure.Entities; using ForexStrategyBuilder.Infrastructure.Enums; using ForexStrategyBuilder.Infrastructure.Interfaces; namespace ForexStrategyBuilder.Indicators.Store { public class HMA : Indicator { public HMA() { IndicatorName = "HMA"; PossibleSlots = SlotTypes.Open | SlotTypes.OpenFilter | SlotTypes.Close | SlotTypes.CloseFilter; IndicatorAuthor = "Squalou / Popov"; IndicatorVersion = "2.1"; IndicatorDescription = "Hull Moving Average."; } public override void Initialize(SlotTypes slotType) { SlotType = slotType; IndParam.IndicatorType = TypeOfIndicator.Indicator; IndParam.ExecutionTime = ExecutionTime.DuringTheBar; // The ComboBox parameters IndParam.ListParam[0].Caption = "Logic"; if (slotType == SlotTypes.Open) IndParam.ListParam[0].ItemList = new[] { "Enter the market at HMA" }; else if (slotType == SlotTypes.OpenFilter) IndParam.ListParam[0].ItemList = new[] { "HMA rises", "HMA falls", "HMA changes its direction upward", "HMA changes its direction downward", "The bar opens above HMA", "The bar opens below HMA", "The bar opens above HMA after opening below it", "The bar opens below HMA after opening above it", "The position opens above HMA", "The position opens below HMA" }; else if (slotType == SlotTypes.Close) IndParam.ListParam[0].ItemList = new[] { "Exit the market at HMA" }; else if (slotType == SlotTypes.CloseFilter) IndParam.ListParam[0].ItemList = new[] { "HMA rises", "HMA falls", "HMA changes its direction upward", "HMA changes its direction downward", "The bar closes below HMA", "The bar closes above HMA" }; else IndParam.ListParam[0].ItemList = new[] { "Not Defined" }; IndParam.ListParam[0].Index = 0; IndParam.ListParam[0].Text = IndParam.ListParam[0].ItemList[IndParam.ListParam[0].Index]; IndParam.ListParam[0].Enabled = true; IndParam.ListParam[0].ToolTip = "Logic of application of HMA."; IndParam.ListParam[1].Caption = "Smoothing method"; IndParam.ListParam[1].ItemList = Enum.GetNames(typeof (MAMethod)); IndParam.ListParam[1].Index = (int) MAMethod.Weighted; IndParam.ListParam[1].Text = IndParam.ListParam[1].ItemList[IndParam.ListParam[1].Index]; IndParam.ListParam[1].Enabled = true; IndParam.ListParam[1].ToolTip = "The smoothing method of HMA."; IndParam.ListParam[2].Caption = "Base price"; IndParam.ListParam[2].ItemList = Enum.GetNames(typeof (BasePrice)); IndParam.ListParam[2].Index = (int) BasePrice.Close; IndParam.ListParam[2].Text = IndParam.ListParam[2].ItemList[IndParam.ListParam[2].Index]; IndParam.ListParam[2].Enabled = true; IndParam.ListParam[2].ToolTip = "The price HMA is based on."; IndParam.ListParam[3].Caption = "Line Color"; IndParam.ListParam[3].ItemList = new string [] { "Orange", "Yellow", "Blue", "Red", "Green", "Purple", "White", "Black", }; IndParam.ListParam[3].Index = 0; IndParam.ListParam[3].Text = IndParam.ListParam[3].ItemList[IndParam.ListParam[3].Index]; IndParam.ListParam[3].Enabled = true; IndParam.ListParam[3].ToolTip = "Color of line on chart for this MA WTF value."; // The NumericUpDown parameters IndParam.NumParam[0].Caption = "Period"; IndParam.NumParam[0].Value = 14; IndParam.NumParam[0].Min = 1; IndParam.NumParam[0].Max = 300; IndParam.NumParam[0].Enabled = true; IndParam.NumParam[0].ToolTip = "HMA period."; IndParam.NumParam[1].Caption = "Shift"; IndParam.NumParam[1].Value = 0; IndParam.NumParam[1].Min = 0; IndParam.NumParam[1].Max = 200; IndParam.NumParam[1].Enabled = true; IndParam.NumParam[1].ToolTip = "How many bars to shift with."; // The CheckBox parameters IndParam.CheckParam[0].Caption = "Use previous bar value"; IndParam.CheckParam[0].Enabled = true; IndParam.CheckParam[0].ToolTip = "Use the indicator value from the previous bar."; } public override void Calculate(IDataSet dataSet) { DataSet = dataSet; // Reading the parameters var maMethod = (MAMethod) IndParam.ListParam[1].Index; var price = (BasePrice) IndParam.ListParam[2].Index; int period = (int) IndParam.NumParam[0].Value; int halfPeriod = (int) Math.Ceiling(period / 2.0); var shift = (int) IndParam.NumParam[1].Value; int previous = IndParam.CheckParam[0].Checked ? 1 : 0; // TimeExecution if (price == BasePrice.Open && period == 1 && shift == 0) { IndParam.ExecutionTime = ExecutionTime.AtBarOpening; } // Calculation: HMA = LWMA(sqrt(period), 2*LWMA(period/2,price)-LWMA(period,price)); double[] adMASlow = MovingAverage(period, shift, maMethod, Price(price)); double[] adMAFast = MovingAverage(halfPeriod, shift, maMethod, Price(price)); var adMA3 = new double[Bars]; for (int bar = period - 1; bar < Bars; bar++) { adMA3[bar] = 2*adMAFast[bar] - adMASlow[bar]; } var adMA = MovingAverage((int)Math.Sqrt(period), shift, maMethod, adMA3); int firstBar = period + shift + 6 + previous; // Saving the components if (SlotType == SlotTypes.Open || SlotType == SlotTypes.Close) { Component = new IndicatorComp[2]; Component[1] = new IndicatorComp {Value = new double[Bars]}; for (int bar = firstBar; bar < Bars; bar++) { // Covers the cases when the price can pass through the MA without a signal double value = adMA[bar - previous]; // Current value double value1 = adMA[bar - previous - 1]; // Previous value double tempVal = value; if ((value1 > High[bar - 1] && value < Open[bar]) || // The Open price jumps above the indicator (value1 < Low[bar - 1] && value > Open[bar]) || // The Open price jumps below the indicator (Close[bar - 1] < value && value < Open[bar]) || // The Open price is in a positive gap (Close[bar - 1] > value && value > Open[bar])) // The Open price is in a negative gap { tempVal = Open[bar]; } Component[1].Value[bar] = tempVal; // Entry or exit value } } else { Component = new IndicatorComp[3]; Component[1] = new IndicatorComp {ChartType = IndChartType.NoChart, FirstBar = firstBar, Value = new double[Bars]}; Component[2] = new IndicatorComp {ChartType = IndChartType.NoChart, FirstBar = firstBar, Value = new double[Bars]}; } Component[0] = new IndicatorComp { CompName = "MA Value", DataType = IndComponentType.IndicatorValue, ChartType = IndChartType.Line, ChartColor = Color.FromName(IndParam.ListParam[3].ItemList[IndParam.ListParam[3].Index]), //ChartColor = Color.Red, FirstBar = firstBar, Value = adMA }; switch (SlotType) { case SlotTypes.Open: Component[1].CompName = "Position opening price"; Component[1].DataType = IndComponentType.OpenPrice; break; case SlotTypes.OpenFilter: Component[1].DataType = IndComponentType.AllowOpenLong; Component[1].CompName = "Is long entry allowed"; Component[2].DataType = IndComponentType.AllowOpenShort; Component[2].CompName = "Is short entry allowed"; break; case SlotTypes.Close: Component[1].CompName = "Position closing price"; Component[1].DataType = IndComponentType.ClosePrice; break; case SlotTypes.CloseFilter: Component[1].DataType = IndComponentType.ForceCloseLong; Component[1].CompName = "Close out long position"; Component[2].DataType = IndComponentType.ForceCloseShort; Component[2].CompName = "Close out short position"; break; } if (SlotType == SlotTypes.OpenFilter || SlotType == SlotTypes.CloseFilter) { switch (IndParam.ListParam[0].Text) { case "HMA rises": IndicatorRisesLogic(firstBar, previous, adMA, ref Component[1], ref Component[2]); break; case "HMA falls": IndicatorFallsLogic(firstBar, previous, adMA, ref Component[1], ref Component[2]); break; case "HMA changes its direction upward": OscillatorLogic(firstBar, previous, adMA, 0, 0, ref Component[1], ref Component[2], IndicatorLogic.The_indicator_changes_its_direction_upward); break; case "HMA changes its direction downward": OscillatorLogic(firstBar, previous, adMA, 0, 0, ref Component[1], ref Component[2], IndicatorLogic.The_indicator_changes_its_direction_downward); break; case "The bar opens above HMA": BarOpensAboveIndicatorLogic(firstBar, previous, adMA, ref Component[1], ref Component[2]); break; case "The bar opens below HMA": BarOpensBelowIndicatorLogic(firstBar, previous, adMA, ref Component[1], ref Component[2]); break; case "The bar opens above HMA after opening below it": BarOpensAboveIndicatorAfterOpeningBelowLogic(firstBar, previous, adMA, ref Component[1], ref Component[2]); break; case "The bar opens below HMA after opening above it": BarOpensBelowIndicatorAfterOpeningAboveLogic(firstBar, previous, adMA, ref Component[1], ref Component[2]); break; case "The position opens above HMA": Component[0].PosPriceDependence = PositionPriceDependence.BuyHigherSellLower; Component[0].UsePreviousBar = previous; Component[1].DataType = IndComponentType.Other; Component[1].ShowInDynInfo = false; Component[2].DataType = IndComponentType.Other; Component[2].ShowInDynInfo = false; break; case "The position opens below HMA": Component[0].PosPriceDependence = PositionPriceDependence.BuyLowerSelHigher; Component[0].UsePreviousBar = previous; Component[1].DataType = IndComponentType.Other; Component[1].ShowInDynInfo = false; Component[2].DataType = IndComponentType.Other; Component[2].ShowInDynInfo = false; break; case "The bar closes below HMA": BarClosesBelowIndicatorLogic(firstBar, previous, adMA, ref Component[1], ref Component[2]); break; case "The bar closes above HMA": BarClosesAboveIndicatorLogic(firstBar, previous, adMA, ref Component[1], ref Component[2]); break; } } } public override void SetDescription() { EntryPointLongDescription = "at the " + ToString(); EntryPointShortDescription = "at the " + ToString(); ExitPointLongDescription = "at the " + ToString(); ExitPointShortDescription = "at the " + ToString(); switch (IndParam.ListParam[0].Text) { case "HMA rises": EntryFilterLongDescription = "the " + ToString() + " rises"; EntryFilterShortDescription = "the " + ToString() + " falls"; ExitFilterLongDescription = "the " + ToString() + " rises"; ExitFilterShortDescription = "the " + ToString() + " falls"; break; case "HMA falls": EntryFilterLongDescription = "the " + ToString() + " falls"; EntryFilterShortDescription = "the " + ToString() + " rises"; ExitFilterLongDescription = "the " + ToString() + " falls"; ExitFilterShortDescription = "the " + ToString() + " rises"; break; case "HMA changes its direction upward": EntryFilterLongDescription = "the " + ToString() + " changes its direction upward"; EntryFilterShortDescription = "the " + ToString() + " changes its direction downward"; ExitFilterLongDescription = "the " + ToString() + " changes its direction upward"; ExitFilterShortDescription = "the " + ToString() + " changes its direction downward"; break; case "HMA changes its direction downward": EntryFilterLongDescription += "changes its direction downward"; EntryFilterShortDescription += "changes its direction upward"; ExitFilterLongDescription += "changes its direction downward"; ExitFilterShortDescription += "changes its direction upward"; break; case "The bar opens above HMA": EntryFilterLongDescription = "the bar opens above the " + ToString(); EntryFilterShortDescription = "the bar opens below the " + ToString(); break; case "The bar opens below HMA": EntryFilterLongDescription = "the bar opens below the " + ToString(); EntryFilterShortDescription = "the bar opens above the " + ToString(); break; case "The position opens above HMA": EntryFilterLongDescription = "the position opening price is higher than the " + ToString(); EntryFilterShortDescription = "the position opening price is lower than the " + ToString(); break; case "The position opens below HMA": EntryFilterLongDescription = "the position opening price is lower than the " + ToString(); EntryFilterShortDescription = "the position opening price is higher than the " + ToString(); break; case "The bar opens above HMA after opening below it": EntryFilterLongDescription = "the bar opens above the " + ToString() + " after opening below it"; EntryFilterShortDescription = "the bar opens below the " + ToString() + " after opening above it"; break; case "The bar opens below HMA after opening above it": EntryFilterLongDescription = "the bar opens below the " + ToString() + " after opening above it"; EntryFilterShortDescription = "the bar opens above the " + ToString() + " after opening below it"; break; case "The bar closes above HMA": ExitFilterLongDescription = "the bar closes above the " + ToString(); ExitFilterShortDescription = "the bar closes below the " + ToString(); break; case "The bar closes below HMA": ExitFilterLongDescription = "the bar closes below the " + ToString(); ExitFilterShortDescription = "the bar closes above the " + ToString(); break; } } public override string ToString() { return string.Format("{0}{1} ({2}, {3}, {4}, {5})", IndicatorName, (IndParam.CheckParam[0].Checked ? "*" : ""), IndParam.ListParam[1].Text, IndParam.ListParam[2].Text, IndParam.NumParam[0].ValueToString, IndParam.NumParam[1].ValueToString); } } }