//============================================================== // 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. //============================================================== using System; using System.Drawing; using ForexStrategyBuilder.Infrastructure.Entities; using ForexStrategyBuilder.Infrastructure.Enums; using ForexStrategyBuilder.Infrastructure.Interfaces; namespace ForexStrategyBuilder.Indicators.Store { public class HilbertChannel : Indicator { public HilbertChannel() { // General properties IndicatorName = "Hilbert Channel"; PossibleSlots = SlotTypes.Open | SlotTypes.OpenFilter | SlotTypes.Close | SlotTypes.CloseFilter; IndicatorAuthor = "Denny Imanuel"; IndicatorVersion = "2.1"; IndicatorDescription = "Hilbert Channel Indicator from John Ehlers appears in TASC magazine Nov 2000"; } public override void Initialize(SlotTypes slotType) { SlotType = slotType; // The ComboBox parameters IndParam.ListParam[0].Caption = "Logic"; if (slotType == SlotTypes.Open) IndParam.ListParam[0].ItemList = new string[] { "Enter long at the Entry Channel", "Enter long at the Exit Channel" }; else if (slotType == SlotTypes.OpenFilter) IndParam.ListParam[0].ItemList = new string[] { "The bar opens below the Entry Channel", "The bar opens above the Entry Channel", "The bar opens below the Exit Channel", "The bar opens above the Exit Channel", "The position opens below the Entry Channel", "The position opens above the Entry Channel", "The position opens below the Exit Channel", "The position opens above the Exit Channel", "The bar opens below the Entry Channel after opening above it", "The bar opens above the Entry Channel after opening below it", "The bar opens below the Exit Channel after opening above it", "The bar opens above the Exit Channel after opening below it" }; else if (slotType == SlotTypes.Close) IndParam.ListParam[0].ItemList = new string[] { "Exit long at the Entry Channel", "Exit long at the Exit Channel" }; else if (slotType == SlotTypes.CloseFilter) IndParam.ListParam[0].ItemList = new string[] { "The bar closes below the Entry Channel", "The bar closes above the Entry Channel", "The bar closes below the Exit Channel", "The bar closes above the Exit Channel" }; else IndParam.ListParam[0].ItemList = new string[] { "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 the indicator."; IndParam.ListParam[2].Caption = "Base price"; IndParam.ListParam[2].ItemList = Enum.GetNames(typeof(BasePrice)); IndParam.ListParam[2].Index = (int)BasePrice.Median; IndParam.ListParam[2].Text = IndParam.ListParam[2].ItemList[IndParam.ListParam[2].Index]; IndParam.ListParam[2].Enabled = true; IndParam.ListParam[2].ToolTip = "The price the central Moving Average is based on."; // The NumericUpDown parameters IndParam.NumParam[0].Caption = "Look Back Value"; IndParam.NumParam[0].Value = 15; IndParam.NumParam[0].Min = 1; IndParam.NumParam[0].Max = 100; IndParam.NumParam[0].Point = 0; IndParam.NumParam[0].Enabled = true; IndParam.NumParam[0].ToolTip = "The Hilbert Channel look back value."; IndParam.NumParam[1].Caption = "K Coefficient"; IndParam.NumParam[1].Value = 0; IndParam.NumParam[1].Min = 0; IndParam.NumParam[1].Max = 5; IndParam.NumParam[1].Point = 2; IndParam.NumParam[1].Enabled = true; IndParam.NumParam[1].ToolTip = "Determines the width of Hilbert Channel."; // 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 BasePrice price = (BasePrice)IndParam.ListParam[2].Index; int iVal = (int)IndParam.NumParam[0].Value; double dMpl = IndParam.NumParam[1].Value; int iPrvs = IndParam.CheckParam[0].Checked ? 1 : 0; // Calculation double[] adPrice = Price(price); double[] adPeriod = HilbertPeriod(adPrice); double[] adEntryChannel = new double[Bars]; double[] adExitChannel = new double[Bars]; int iLookBack; int iFirstBar = iVal + iPrvs + 2; for (int iBar = iFirstBar; iBar < Bars; iBar++) { if (iVal!=0) iLookBack = iVal; else iLookBack = (int)(dMpl*adPeriod[iBar]); if (iLookBack<1) iLookBack = 1; adEntryChannel[iBar] = double.MinValue; adExitChannel[iBar] = double.MaxValue; for (int iBack=1; iBack<=iLookBack; iBack++) { if (adEntryChannel[iBar]Low[iBar-iBack]) adExitChannel[iBar] = Low[iBar-iBack]; } } // Saving the components Component = new IndicatorComp[4]; Component[0] = new IndicatorComp(); Component[0].CompName = "Entry Channel"; Component[0].DataType = IndComponentType.IndicatorValue; Component[0].ChartType = IndChartType.Line; Component[0].ChartColor = Color.DarkGreen; Component[0].FirstBar = iFirstBar; Component[0].Value = adEntryChannel; Component[1] = new IndicatorComp(); Component[1].CompName = "Exit Channel"; Component[1].DataType = IndComponentType.IndicatorValue; Component[1].ChartType = IndChartType.Line; Component[1].ChartColor = Color.DarkRed; Component[1].FirstBar = iFirstBar; Component[1].Value = adExitChannel; Component[2] = new IndicatorComp(); Component[2].ChartType = IndChartType.NoChart; Component[2].FirstBar = iFirstBar; Component[2].Value = new double[Bars]; Component[3] = new IndicatorComp(); Component[3].ChartType = IndChartType.NoChart; Component[3].FirstBar = iFirstBar; Component[3].Value = new double[Bars]; // Sets the Component's type. if (SlotType == SlotTypes.Open) { Component[2].DataType = IndComponentType.OpenLongPrice; Component[2].CompName = "Long position entry price"; Component[3].DataType = IndComponentType.OpenShortPrice; Component[3].CompName = "Short position entry price"; } else if (SlotType == SlotTypes.OpenFilter) { Component[2].DataType = IndComponentType.AllowOpenLong; Component[2].CompName = "Is long entry allowed"; Component[3].DataType = IndComponentType.AllowOpenShort; Component[3].CompName = "Is short entry allowed"; } else if (SlotType == SlotTypes.Close) { Component[2].DataType = IndComponentType.CloseLongPrice; Component[2].CompName = "Long position closing price"; Component[3].DataType = IndComponentType.CloseShortPrice; Component[3].CompName = "Short position closing price"; } else if (SlotType == SlotTypes.CloseFilter) { Component[2].DataType = IndComponentType.ForceCloseLong; Component[2].CompName = "Close out long position"; Component[3].DataType = IndComponentType.ForceCloseShort; Component[3].CompName = "Close out short position"; } if (SlotType == SlotTypes.Open || SlotType == SlotTypes.Close) { if (iFirstBar > 1) { for (int iBar = 2; iBar < Bars; iBar++) { // Covers the cases when the price can pass through the band without a signal double dValueUp = adEntryChannel[iBar - iPrvs]; // Current value double dValueUp1 = adEntryChannel[iBar - iPrvs - 1]; // Previous value double dTempValUp = dValueUp; if ((dValueUp1 > High[iBar - 1] && dValueUp < Low[iBar]) || // It jumps below the current bar (dValueUp1 < Low[iBar - 1] && dValueUp > High[iBar]) || // It jumps above the current bar (Close[iBar - 1] < dValueUp && dValueUp < Open[iBar]) || // Positive gap (Close[iBar - 1] > dValueUp && dValueUp > Open[iBar])) // Negative gap dTempValUp = Open[iBar]; double dValueDown = adExitChannel[iBar - iPrvs]; // Current value double dValueDown1 = adExitChannel[iBar - iPrvs - 1]; // Previous value double dTempValDown = dValueDown; if ((dValueDown1 > High[iBar - 1] && dValueDown < Low[iBar]) || // It jumps below the current bar (dValueDown1 < Low[iBar - 1] && dValueDown > High[iBar]) || // It jumps above the current bar (Close[iBar - 1] < dValueDown && dValueDown < Open[iBar]) || // Positive gap (Close[iBar - 1] > dValueDown && dValueDown > Open[iBar])) // Negative gap dTempValDown = Open[iBar]; if (IndParam.ListParam[0].Text == "Enter long at the Entry Channel" || IndParam.ListParam[0].Text == "Exit long at the Entry Channel") { Component[2].Value[iBar] = dTempValUp; Component[3].Value[iBar] = dTempValDown; } else { Component[2].Value[iBar] = dTempValDown; Component[3].Value[iBar] = dTempValUp; } } } else { for (int iBar = 2; iBar < Bars; iBar++) { if (IndParam.ListParam[0].Text == "Enter long at the Entry Channel" || IndParam.ListParam[0].Text == "Exit long at the Entry Channel") { Component[2].Value[iBar] = adEntryChannel[iBar - iPrvs]; Component[3].Value[iBar] = adExitChannel[iBar - iPrvs]; } else { Component[2].Value[iBar] = adExitChannel[iBar - iPrvs]; Component[3].Value[iBar] = adEntryChannel[iBar - iPrvs]; } } } } else { switch (IndParam.ListParam[0].Text) { case "The bar opens below the Entry Channel": BandIndicatorLogic(iFirstBar, iPrvs, adEntryChannel, adExitChannel, ref Component[2], ref Component[3], BandIndLogic.The_bar_opens_below_the_Upper_Band); break; case "The bar opens above the Entry Channel": BandIndicatorLogic(iFirstBar, iPrvs, adEntryChannel, adExitChannel, ref Component[2], ref Component[3], BandIndLogic.The_bar_opens_above_the_Upper_Band); break; case "The bar opens below the Exit Channel": BandIndicatorLogic(iFirstBar, iPrvs, adEntryChannel, adExitChannel, ref Component[2], ref Component[3], BandIndLogic.The_bar_opens_below_the_Lower_Band); break; case "The bar opens above the Exit Channel": BandIndicatorLogic(iFirstBar, iPrvs, adEntryChannel, adExitChannel, ref Component[2], ref Component[3], BandIndLogic.The_bar_opens_above_the_Lower_Band); break; case "The bar opens below the Entry Channel after opening above it": BandIndicatorLogic(iFirstBar, iPrvs, adEntryChannel, adExitChannel, ref Component[2], ref Component[3], BandIndLogic.The_bar_opens_below_the_Upper_Band_after_opening_above_it); break; case "The bar opens above the Entry Channel after opening below it": BandIndicatorLogic(iFirstBar, iPrvs, adEntryChannel, adExitChannel, ref Component[2], ref Component[3], BandIndLogic.The_bar_opens_above_the_Upper_Band_after_opening_below_it); break; case "The bar opens below the Exit Channel after opening above it": BandIndicatorLogic(iFirstBar, iPrvs, adEntryChannel, adExitChannel, ref Component[2], ref Component[3], BandIndLogic.The_bar_opens_below_the_Lower_Band_after_opening_above_it); break; case "The bar opens above the Exit Channel after opening below it": BandIndicatorLogic(iFirstBar, iPrvs, adEntryChannel, adExitChannel, ref Component[2], ref Component[3], BandIndLogic.The_bar_opens_above_the_Lower_Band_after_opening_below_it); break; case "The position opens above the Entry Channel": Component[0].PosPriceDependence = PositionPriceDependence.PriceBuyHigher; Component[2].PosPriceDependence = PositionPriceDependence.PriceSellLower; Component[0].UsePreviousBar = iPrvs; Component[2].UsePreviousBar = iPrvs; Component[2].DataType = IndComponentType.Other; Component[3].DataType = IndComponentType.Other; Component[2].ShowInDynInfo = false; Component[3].ShowInDynInfo = false; break; case "The position opens below the Entry Channel": Component[0].PosPriceDependence = PositionPriceDependence.PriceBuyLower; Component[2].PosPriceDependence = PositionPriceDependence.PriceSellHigher; Component[0].UsePreviousBar = iPrvs; Component[2].UsePreviousBar = iPrvs; Component[2].DataType = IndComponentType.Other; Component[3].DataType = IndComponentType.Other; Component[2].ShowInDynInfo = false; Component[3].ShowInDynInfo = false; break; case "The position opens above the Exit Channel": Component[0].PosPriceDependence = PositionPriceDependence.PriceSellLower; Component[2].PosPriceDependence = PositionPriceDependence.PriceBuyHigher; Component[0].UsePreviousBar = iPrvs; Component[2].UsePreviousBar = iPrvs; Component[2].DataType = IndComponentType.Other; Component[3].DataType = IndComponentType.Other; Component[2].ShowInDynInfo = false; Component[3].ShowInDynInfo = false; break; case "The position opens below the Exit Channel": Component[0].PosPriceDependence = PositionPriceDependence.PriceSellHigher; Component[2].PosPriceDependence = PositionPriceDependence.PriceBuyLower; Component[0].UsePreviousBar = iPrvs; Component[2].UsePreviousBar = iPrvs; Component[2].DataType = IndComponentType.Other; Component[3].DataType = IndComponentType.Other; Component[2].ShowInDynInfo = false; Component[3].ShowInDynInfo = false; break; case "The bar closes below the Entry Channel": BandIndicatorLogic(iFirstBar, iPrvs, adEntryChannel, adExitChannel, ref Component[2], ref Component[3], BandIndLogic.The_bar_closes_below_the_Upper_Band); break; case "The bar closes above the Entry Channel": BandIndicatorLogic(iFirstBar, iPrvs, adEntryChannel, adExitChannel, ref Component[2], ref Component[3], BandIndLogic.The_bar_closes_above_the_Upper_Band); break; case "The bar closes below the Exit Channel": BandIndicatorLogic(iFirstBar, iPrvs, adEntryChannel, adExitChannel, ref Component[2], ref Component[3], BandIndLogic.The_bar_closes_below_the_Lower_Band); break; case "The bar closes above the Exit Channel": BandIndicatorLogic(iFirstBar, iPrvs, adEntryChannel, adExitChannel, ref Component[2], ref Component[3], BandIndLogic.The_bar_closes_above_the_Lower_Band); break; } } } public override void SetDescription() { switch (IndParam.ListParam[0].Text) { case "Enter long at the Entry Channel": EntryPointLongDescription = "at the Entry Channel of " + ToString(); EntryPointShortDescription = "at the Exit Channel of " + ToString(); break; case "Enter long at the Exit Channel": EntryPointLongDescription = "at the Exit Channel of " + ToString(); EntryPointShortDescription = "at the Entry Channel of " + ToString(); break; case "Exit long at the Entry Channel": ExitPointLongDescription = "at the Entry Channel of " + ToString(); ExitPointShortDescription = "at the Exit Channel of " + ToString(); break; case "Exit long at the Exit Channel": ExitPointLongDescription = "at the Exit Channel of " + ToString(); ExitPointShortDescription = "at the Entry Channel of " + ToString(); break; case "The bar opens below the Entry Channel": EntryFilterLongDescription = "the bar opens below the Entry Channel of " + ToString(); EntryFilterShortDescription = "the bar opens above the Exit Channel of " + ToString(); break; case "The bar opens above the Entry Channel": EntryFilterLongDescription = "the bar opens above the Entry Channel of " + ToString(); EntryFilterShortDescription = "the bar opens below the Exit Channel of " + ToString(); break; case "The bar opens below the Exit Channel": EntryFilterLongDescription = "the bar opens below the Exit Channel of " + ToString(); EntryFilterShortDescription = "the bar opens above the Entry Channel of " + ToString(); break; case "The bar opens above the Exit Channel": EntryFilterLongDescription = "the bar opens above the Exit Channel of " + ToString(); EntryFilterShortDescription = "the bar opens below the Entry Channel of " + ToString(); break; case "The bar opens below the Entry Channel after opening above it": EntryFilterLongDescription = "the bar opens below the Entry Channel of " + ToString() + " after the previous bar has opened above it"; EntryFilterShortDescription = "the bar opens above the Exit Channel of " + ToString() + " after the previous bar has opened below it"; break; case "The bar opens above the Entry Channel after opening below it": EntryFilterLongDescription = "the bar opens above the Entry Channel of " + ToString() + " after the previous bar has opened below it"; EntryFilterShortDescription = "the bar opens below the Exit Channel of " + ToString() + " after the previous bar has opened above it"; break; case "The bar opens below the Exit Channel after opening above it": EntryFilterLongDescription = "the bar opens below the Exit Channel of " + ToString() + " after the previous bar has opened above it"; EntryFilterShortDescription = "the bar opens above the Entry Channel of " + ToString() + " after the previous bar has opened below it"; break; case "The bar opens above the Exit Channel after opening below it": EntryFilterLongDescription = "the bar opens above the Exit Channel of " + ToString() + " after the previous bar has opened below it"; EntryFilterShortDescription = "the bar opens below the Entry Channel of " + ToString() + " after the previous bar has opened above it"; break; case "The bar closes below the Entry Channel": ExitFilterLongDescription = "the bar closes below the Entry Channel of " + ToString(); ExitFilterShortDescription = "the bar closes above the Exit Channel of " + ToString(); break; case "The bar closes above the Entry Channel": ExitFilterLongDescription = "the bar closes above the Entry Channel of " + ToString(); ExitFilterShortDescription = "the bar closes below the Exit Channel of " + ToString(); break; case "The bar closes below the Exit Channel": ExitFilterLongDescription = "the bar closes below the Exit Channel of " + ToString(); ExitFilterShortDescription = "the bar closes above the Entry Channel of " + ToString(); break; case "The bar closes above the Exit Channel": ExitFilterLongDescription = "the bar closes above the Exit Channel of " + ToString(); ExitFilterShortDescription = "the bar closes below the Entry Channel of " + ToString(); break; } } public override string ToString() { return IndicatorName + (IndParam.CheckParam[0].Checked ? "* (" : " (") + IndParam.ListParam[2].Text + ", " + // Price IndParam.NumParam[0].ValueToString + ", " + // Look Back IndParam.NumParam[1].ValueToString + ")"; // K Coeff } protected double[] HilbertPeriod(double[] adPrice) { double[] adPeriod = new double[Bars]; double[] adSmoother = new double[Bars]; double[] adDetrender = new double[Bars]; double[] Q1 = new double[Bars]; double[] I1 = new double[Bars]; double[] jI = new double[Bars]; double[] jQ = new double[Bars]; double[] I2 = new double[Bars]; double[] Q2 = new double[Bars]; double[] Re = new double[Bars]; double[] Im = new double[Bars]; double X1; double X2; double Y1; double Y2; for(int iBar=6; iBar1.5*adPeriod[iBar-1]) adPeriod[iBar] = 1.5*adPeriod[iBar-1]; if (adPeriod[iBar]<.67*adPeriod[iBar-1]) adPeriod[iBar] = .67*adPeriod[iBar-1]; if (adPeriod[iBar]<6) adPeriod[iBar] = 6; if (adPeriod[iBar]>50) adPeriod[iBar] = 50; adPeriod[iBar] = .2*adPeriod[iBar] + .8*adPeriod[iBar-1]; } return adPeriod; } } }