Choppiness Index by footon

4573 downloads / 6693 views / Created: 24.05.2013
 Average Rating: 4

Indicator Description

Choppiness Index

Forum link: Footon's indi corner

Comments

Indicator updated. Removed white spaces from the beginning of the logical rules.
This indicator has a possible bug. As much as I understand then CHOP should behave similarily to the ADX in terms of opening longs and shorts (e.g. crosses the level line upward). Instead the CHOP behaves like oscillator. See the description: https://www.tradingview.com/wiki/Choppiness_Index_(CHOP)
//============================================================== // Forex Strategy Builder // Copyright (c) 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 ChoppinessIndex : Indicator { public ChoppinessIndex() { IndicatorName = "Choppiness Index"; PossibleSlots = SlotTypes.OpenFilter | SlotTypes.CloseFilter; SeparatedChart = true; IndicatorAuthor = "Footon"; IndicatorVersion = "2.0"; IndicatorDescription = "Footon's indi corner: custom indicators for FSB and FST."; // Code updated by Popov on 2015-07-23 } public override void Initialize(SlotTypes slotType) { SlotType = slotType; // The ComboBox parameters IndParam.ListParam[0].Caption = "Logic"; IndParam.ListParam[0].ItemList = new string[] { "Rises", "Falls", "Is higher than the level line", "Is lower than the level line", "Crosses the level line upward", "Crosses the level line downward", "Changes its direction upward", "Changes its direction downward" }; 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."; // The NumericUpDown parameters IndParam.NumParam[0].Caption = "Smoothing period"; IndParam.NumParam[0].Value = 14; IndParam.NumParam[0].Min = 1; IndParam.NumParam[0].Max = 200; IndParam.NumParam[0].Enabled = true; IndParam.NumParam[0].ToolTip = "The period of smoothing of the CMO value."; IndParam.NumParam[1].Caption = "Level"; IndParam.NumParam[1].Value = 50; IndParam.NumParam[1].Min = 0; IndParam.NumParam[1].Max = 100; IndParam.NumParam[1].Enabled = true; IndParam.NumParam[1].ToolTip = "A critical level (for the appropriate logic)."; // 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 basePrice = (BasePrice)IndParam.ListParam[2].Index; int period = (int)IndParam.NumParam[0].Value; double level = IndParam.NumParam[1].Value; int previous = IndParam.CheckParam[0].Checked ? 1 : 0; int CILength = period; double log = Math.Log(CILength)/100.00; // Calculation double[] fdi = new double[Bars]; double[] stdevi = new double[Bars]; int firstBar = period + 2; for (int bar = firstBar; bar < Bars; bar++) { double atrSum = 0.00; double maxHig = High[bar]; double minLow = Low[bar]; for (int k = 0; k < CILength; k++) { atrSum += Math.Max(High[bar-k],Close[bar-k-1])-Math.Min(Low[bar-k],Close[bar-k-1]); maxHig = Math.Max(maxHig,Math.Max(High[bar-k],Close[bar-k-1])); minLow = Math.Min(minLow,Math.Min(Low[bar-k],Close[bar-k-1])); } if (maxHig!=minLow) fdi[bar] = Math.Log(atrSum/(maxHig-minLow))/log; } // Saving the components Component = new IndicatorComp[3]; Component[0] = new IndicatorComp(); Component[0].CompName = "Choppiness index"; Component[0].DataType = IndComponentType.IndicatorValue; Component[0].ChartType = IndChartType.Line; Component[0].ChartColor = Color.RoyalBlue; Component[0].FirstBar = firstBar; Component[0].Value = fdi; Component[1] = new IndicatorComp(); Component[1].ChartType = IndChartType.NoChart; Component[1].FirstBar = firstBar; Component[1].Value = new double[Bars]; Component[2] = new IndicatorComp(); Component[2].ChartType = IndChartType.NoChart; Component[2].FirstBar = firstBar; Component[2].Value = new double[Bars]; // Sets the Component's type 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.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"; } // Calculation of the logic IndicatorLogic indLogic = IndicatorLogic.It_does_not_act_as_a_filter; switch (IndParam.ListParam[0].Text) { case "Rises": indLogic = IndicatorLogic.The_indicator_rises; break; case "Falls": indLogic = IndicatorLogic.The_indicator_falls; break; case "Is higher than the level line": indLogic = IndicatorLogic.The_indicator_is_higher_than_the_level_line; break; case "Is lower than the level line": indLogic = IndicatorLogic.The_indicator_is_lower_than_the_level_line; break; case "Crosses the level line upward": indLogic = IndicatorLogic.The_indicator_crosses_the_level_line_upward; break; case "Crosses the level line downward": indLogic = IndicatorLogic.The_indicator_crosses_the_level_line_downward; break; case "Changes its direction upward": indLogic = IndicatorLogic.The_indicator_changes_its_direction_upward; break; case "Changes its direction downward": indLogic = IndicatorLogic.The_indicator_changes_its_direction_downward; break; } OscillatorLogic(firstBar, previous, fdi, level, 100-level, ref Component[1], ref Component[2], indLogic); } public override void SetDescription() { EntryFilterLongDescription = ToString() + " "; EntryFilterShortDescription = ToString() + " "; ExitFilterLongDescription = ToString() + " "; ExitFilterShortDescription = ToString() + " "; switch (IndParam.ListParam[0].Text) { case "Rises": EntryFilterLongDescription += "rises"; EntryFilterShortDescription += "falls"; ExitFilterLongDescription += "rises"; ExitFilterShortDescription += "falls"; break; case "Falls": EntryFilterLongDescription += "falls"; EntryFilterShortDescription += "rises"; ExitFilterLongDescription += "falls"; ExitFilterShortDescription += "rises"; break; case "Is higher than the level line": EntryFilterLongDescription += "is higher than the level line"; EntryFilterShortDescription += "is lower than the level line"; ExitFilterLongDescription += "is higher than the level line"; ExitFilterShortDescription += "is lower than the level line"; break; case "Is lower than the level line": EntryFilterLongDescription += "is lower than the level line"; EntryFilterShortDescription += "is higher than the level line"; ExitFilterLongDescription += "is lower than the level line"; ExitFilterShortDescription += "is higher than the level line"; break; case "Crosses the level line upward": EntryFilterLongDescription += "crosses the level line upward"; EntryFilterShortDescription += "crosses the level line downward"; ExitFilterLongDescription += "crosses the level line upward"; ExitFilterShortDescription += "crosses the level line downward"; break; case "Crosses the level line downward": EntryFilterLongDescription += "crosses the level line downward"; EntryFilterShortDescription += "crosses the level line upward"; ExitFilterLongDescription += "crosses the level line downward"; ExitFilterShortDescription += "crosses the level line upward"; break; case "Changes its direction upward": EntryFilterLongDescription += "changes its direction upward"; EntryFilterShortDescription += "changes its direction downward"; ExitFilterLongDescription += "changes its direction upward"; ExitFilterShortDescription += "changes its direction downward"; break; case "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; } } public override string ToString() { return IndicatorName + (IndParam.CheckParam[0].Checked ? "* (" : " (") + IndParam.NumParam[0].ValueToString + ")"; } } }
//+--------------------------------------------------------------------+ //| Copyright: (C) 2014, Miroslav Popov - All rights reserved! | //| Website: http://forexsb.com/ | //| Support: http://forexsb.com/forum/ | //| License: Proprietary under the following circumstances: | //| | //| This code is a part of Forex Strategy Builder. It is free for | //| use as an integral part of Forex Strategy Builder. | //| One can modify it in order to improve the code or to fit it for | //| personal use. This code or any part of it cannot be used in | //| another applications without a permission. Contact information | //| cannot be changed. | //| | //| NO LIABILITY FOR CONSEQUENTIAL DAMAGES | //| | //| In no event shall the author be liable for any damages whatsoever | //| (including, without limitation, incidental, direct, indirect and | //| consequential damages, damages for loss of business profits, | //| business interruption, loss of business information, or other | //| pecuniary loss) arising out of the use or inability to use this | //| product, even if advised of the possibility of such damages. | //+--------------------------------------------------------------------+ #property copyright "Copyright 2014, Miroslav Popov" #property link "http://forexsb.com" #property version "1.00" #property strict #include <Forexsb.com/Indicator.mqh> #include <Forexsb.com/Enumerations.mqh> //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ class ChoppinessIndex : public Indicator { public: ChoppinessIndex(SlotTypes slotType) { SlotType=slotType; IndicatorName="Choppiness Index"; WarningMessage = ""; IsAllowLTF = true; ExecTime = ExecutionTime_DuringTheBar; IsSeparateChart = true; IsDiscreteValues = false; IsDeafultGroupAll = false; } virtual void Calculate(DataSet &dataSet); }; //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ void ChoppinessIndex::Calculate(DataSet &dataSet) { Data=GetPointer(dataSet); // Reading the parameters int iPeriod=(int) NumParam[0].Value; double dLevel=NumParam[1].Value; int iPrvs=CheckParam[0].Checked ? 1 : 0; int CILength=iPeriod; double log=MathLog(CILength)/100.00; // Calculation double FDI[]; ArrayResize(FDI,Data.Bars); ArrayInitialize(FDI,0); int firstBar=iPeriod+2; for(int bar=firstBar; bar<Data.Bars; bar++) { double atrSum = 0.00; double maxHig = Data.High[bar]; double minLow = Data.Low[bar]; for(int k=0; k<CILength; k++) { atrSum+=MathMax(Data.High[bar-k],Data.Close[bar-k-1]) - MathMin(Data.Low[bar-k], Data.Close[bar-k-1]); maxHig = MathMax(maxHig, MathMax(Data.High[bar - k], Data.Close[bar - k - 1])); minLow = MathMin(minLow, MathMin(Data.Low[bar - k], Data.Close[bar - k - 1])); } if(maxHig!=minLow) FDI[bar]=MathLog(atrSum/(maxHig-minLow))/log; } // Saving the components ArrayResize(Component[0].Value,Data.Bars); Component[0].CompName = "Choppiness index"; Component[0].DataType = IndComponentType_IndicatorValue; Component[0].FirstBar = firstBar; ArrayCopy(Component[0].Value,FDI); ArrayResize(Component[1].Value,Data.Bars); Component[1].FirstBar=firstBar; ArrayResize(Component[2].Value,Data.Bars); Component[2].FirstBar=firstBar; // Sets the Component's type 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_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"; } // Calculation of the logic IndicatorLogic indLogic=IndicatorLogic_It_does_not_act_as_a_filter; if(ListParam[0].Text=="Rises") indLogic=IndicatorLogic_The_indicator_rises; else if(ListParam[0].Text=="Falls") indLogic=IndicatorLogic_The_indicator_falls; else if(ListParam[0].Text=="Is higher than the level line") indLogic=IndicatorLogic_The_indicator_is_higher_than_the_level_line; else if(ListParam[0].Text=="Is lower than the level line") indLogic=IndicatorLogic_The_indicator_is_lower_than_the_level_line; else if(ListParam[0].Text=="Crosses the level line upward") indLogic=IndicatorLogic_The_indicator_crosses_the_level_line_upward; else if(ListParam[0].Text=="Crosses the level line downward") indLogic=IndicatorLogic_The_indicator_crosses_the_level_line_downward; else if(ListParam[0].Text=="Changes its direction upward") indLogic=IndicatorLogic_The_indicator_changes_its_direction_upward; else if(ListParam[0].Text=="Changes its direction downward") indLogic=IndicatorLogic_The_indicator_changes_its_direction_downward; OscillatorLogic(firstBar,iPrvs,FDI,dLevel,100-dLevel,Component[1],Component[2],indLogic); } //+------------------------------------------------------------------+
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