// LowPassFilter Indicator // by Squalou, June 2013 //============================================================== // Forex Strategy Builder // Copyright © Miroslav Popov. All rights reserved. // http://forexsb.com/ //============================================================== // 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 { /// /// LowPass Indicator /// public class LowPass : Indicator { /// /// Sets the default indicator parameters for the designated slot type /// public LowPass() { // General properties IndicatorName = "LowPass Filter"; PossibleSlots = SlotTypes.Open | SlotTypes.OpenFilter | SlotTypes.Close | SlotTypes.CloseFilter; IndicatorAuthor = "Squalou"; IndicatorVersion = "1.0"; IndicatorDescription = "LowPass Filter line on chart"; } 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 at LP" }; else if (SlotType == SlotTypes.OpenFilter) IndParam.ListParam[0].ItemList = new string[] { "LowPass rises", "LowPass falls", "The bar opens above LowPass", "The bar opens below LowPass", "The bar opens above LowPass after opening below it", "The bar opens below LowPass after opening above it", "The position opens above LowPass", "The position opens below LowPass", }; else if (SlotType == SlotTypes.Close) IndParam.ListParam[0].ItemList = new string[] { "Exit at LowPass" }; else if (SlotType == SlotTypes.CloseFilter) IndParam.ListParam[0].ItemList = new string[] { "LowPass rises", "LowPass falls", "The bar closes below LowPass", "The bar closes above LowPass", }; 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 LowPass."; IndParam.ListParam[1].Caption = "Base price"; IndParam.ListParam[1].ItemList = Enum.GetNames(typeof(BasePrice)); IndParam.ListParam[1].Index = (int)BasePrice.Close; IndParam.ListParam[1].Text = IndParam.ListParam[1].ItemList[IndParam.ListParam[1].Index]; IndParam.ListParam[1].Enabled = true; IndParam.ListParam[1].ToolTip = "The price LowPass is based on."; IndParam.ListParam[3].Caption = "Line Color"; IndParam.ListParam[3].ItemList = new string [] { "Orange", "Blue", "Red", "Green", "Purple", }; 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 = 100; IndParam.NumParam[0].Min = 1; IndParam.NumParam[0].Max = 200; IndParam.NumParam[0].Enabled = true; IndParam.NumParam[0].ToolTip = "Period bars"; 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 (delay)"; // 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."; return; } /// /// Calculates the indicator's components /// public override void Calculate(IDataSet dataSet) { DataSet = dataSet; // Reading the parameters BasePrice basePrice = (BasePrice)IndParam.ListParam[1].Index; int iPeriod = (int)IndParam.NumParam[0].Value; int iShift = (int)IndParam.NumParam[1].Value; int iPrvs = IndParam.CheckParam[0].Checked ? 1 : 0; // TimeExecution if (basePrice == BasePrice.Open && iPeriod == 1 && iShift == 0) IndParam.ExecutionTime = ExecutionTime.AtBarOpening; // Calculation double[] adPrice = Price(basePrice); double[] adLowPass = new double[Bars]; double[] lp = new double[Bars]; double[] Diff = new double[Bars]; double HH,LL; double a = Math.Exp(-Math.PI/iPeriod); double b = 2*a*Math.Cos(Math.Sqrt(3)*Math.PI/iPeriod); double c = Math.Exp(-2*Math.PI/iPeriod); //a * a; int iFirstBar = 24 + iShift + 2 + iPrvs; for (int iBar = 4; iBar < Bars - iShift; iBar++) { lp[iBar] = (b + c) * lp[iBar - 1] - (c + b * c) * lp[iBar - 2] + c * c * lp[iBar - 3] + (1 - b + c) * (1 - c) * adPrice[iBar]; adLowPass[iBar+iShift] = lp[iBar]; } // Saving the components if (SlotType == SlotTypes.Open || SlotType == SlotTypes.Close) { Component = new IndicatorComp[2]; Component[1] = new IndicatorComp(); Component[1].Value = new double[Bars]; for (int iBar = iFirstBar; iBar < Bars; iBar++) { // Covers the cases when the price can pass through the MA without a signal double dValue = adLowPass[iBar - iPrvs]; // Current value double dValue1 = adLowPass[iBar - iPrvs - 1]; // Previous value double dTempVal = dValue; if ((dValue1 > High[iBar - 1] && dValue < Open[iBar]) || // The Open price jumps above the indicator (dValue1 < Low[iBar - 1] && dValue > Open[iBar]) || // The Open price jumps below the indicator (Close[iBar - 1] < dValue && dValue < Open[iBar]) || // The Open price is in a positive gap (Close[iBar - 1] > dValue && dValue > Open[iBar])) // The Open price is in a negative gap dTempVal = Open[iBar]; Component[1].Value[iBar] = dTempVal; // Entry or exit value } } else { Component = new IndicatorComp[3]; Component[1] = new IndicatorComp(); Component[1].ChartType = IndChartType.NoChart; Component[1].FirstBar = iFirstBar; Component[1].Value = new double[Bars]; Component[2] = new IndicatorComp(); Component[2].ChartType = IndChartType.NoChart; Component[2].FirstBar = iFirstBar; Component[2].Value = new double[Bars]; } Component[0] = new IndicatorComp(); Component[0].CompName = "MA Value"; Component[0].DataType = IndComponentType.IndicatorValue; Component[0].ChartType = IndChartType.Line; Component[0].ChartColor = Color.FromName(IndParam.ListParam[3].ItemList[IndParam.ListParam[3].Index]); Component[0].FirstBar = iFirstBar; Component[0].Value = adLowPass; if (SlotType == SlotTypes.Open) { Component[1].CompName = "Position opening price"; Component[1].DataType = IndComponentType.OpenPrice; } else if (SlotType == 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"; } else if (SlotType == SlotTypes.Close) { Component[1].CompName = "Position closing price"; Component[1].DataType = IndComponentType.ClosePrice; } else if (SlotType == 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"; } if (SlotType == SlotTypes.OpenFilter || SlotType == SlotTypes.CloseFilter) { switch (IndParam.ListParam[0].Text) { case "LowPass rises": IndicatorRisesLogic(iFirstBar, iPrvs, adLowPass, ref Component[1], ref Component[2]); break; case "LowPass falls": IndicatorFallsLogic(iFirstBar, iPrvs, adLowPass, ref Component[1], ref Component[2]); break; case "The bar opens above LowPass": BarOpensAboveIndicatorLogic(iFirstBar, iPrvs, adLowPass, ref Component[1], ref Component[2]); break; case "The bar opens below LowPass": BarOpensBelowIndicatorLogic(iFirstBar, iPrvs, adLowPass, ref Component[1], ref Component[2]); break; case "The bar opens above LowPass after opening below it": BarOpensAboveIndicatorAfterOpeningBelowLogic(iFirstBar, iPrvs, adLowPass, ref Component[1], ref Component[2]); break; case "The bar opens below LowPass after opening above it": BarOpensBelowIndicatorAfterOpeningAboveLogic(iFirstBar, iPrvs, adLowPass, ref Component[1], ref Component[2]); break; case "The position opens above LowPass": Component[0].PosPriceDependence = PositionPriceDependence.BuyHigherSellLower; Component[0].UsePreviousBar = iPrvs; Component[1].DataType = IndComponentType.Other; Component[1].ShowInDynInfo = false; Component[2].DataType = IndComponentType.Other; Component[2].ShowInDynInfo = false; break; case "The position opens below LowPass": Component[0].PosPriceDependence = PositionPriceDependence.BuyLowerSelHigher; Component[0].UsePreviousBar = iPrvs; Component[1].DataType = IndComponentType.Other; Component[1].ShowInDynInfo = false; Component[2].DataType = IndComponentType.Other; Component[2].ShowInDynInfo = false; break; case "The bar closes below LowPass": BarClosesBelowIndicatorLogic(iFirstBar, iPrvs, adLowPass, ref Component[1], ref Component[2]); break; case "The bar closes above LowPass": BarClosesAboveIndicatorLogic(iFirstBar, iPrvs, adLowPass, ref Component[1], ref Component[2]); break; default: break; } } return; } /// /// Sets the indicator logic description /// 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 "LowPass rises": EntryFilterLongDescription = "the " + ToString() + " rises"; EntryFilterShortDescription = "the " + ToString() + " falls"; ExitFilterLongDescription = "the " + ToString() + " rises"; ExitFilterShortDescription = "the " + ToString() + " falls"; break; case "LowPass falls": EntryFilterLongDescription = "the " + ToString() + " falls"; EntryFilterShortDescription = "the " + ToString() + " rises"; ExitFilterLongDescription = "the " + ToString() + " falls"; ExitFilterShortDescription = "the " + ToString() + " rises"; break; case "The bar opens above LowPass": EntryFilterLongDescription = "the bar opens above the " + ToString(); EntryFilterShortDescription = "the bar opens below the " + ToString(); break; case "The bar opens below LowPass": EntryFilterLongDescription = "the bar opens below the " + ToString(); EntryFilterShortDescription = "the bar opens above the " + ToString(); break; case "The position opens above LowPass": 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 LowPass": 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 LowPass 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 LowPass 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 LowPass": ExitFilterLongDescription = "the bar closes above the " + ToString(); ExitFilterShortDescription = "the bar closes below the " + ToString(); break; case "The bar closes below LowPass": ExitFilterLongDescription = "the bar closes below the " + ToString(); ExitFilterShortDescription = "the bar closes above the " + ToString(); break; default: break; } return; } /// /// Indicator to string /// public override string ToString() { string sString = IndicatorName + (IndParam.CheckParam[0].Checked ? "* (" : " (") + IndParam.ListParam[1].Text + ", " + // Method IndParam.ListParam[2].Text + ", " + // Price IndParam.NumParam[0].ValueToString + ", " + // MA period IndParam.NumParam[1].ValueToString + ")"; // MA shift return sString; } } }