Directional volatility by footon

4102 downloads / 2928 views / Created: 24.05.2013
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Indicator Description

Forum link: Footon's indi corner

Directional volatility

Comments

I think the directional volatility indicator has an error.

The strategy summary shows:

Open a new long position at the beginning of the bar when the following logic condition is satisfied:

Directional volatility* (5); the line rises.

Open a new short position at the beginning of the bar when the following logic condition is satisfied:

Directional volatility* (5); the line falls.

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Open a new long position at the beginning of the bar when the following logic condition is satisfied:

Directional volatility* (5); the line changes its direction upward.

Open a new short position at the beginning of the bar when the following logic condition is satisfied:

Directional volatility* (5); the line changes its direction downward.
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Thus in all the logics of the indicator

In this way we can only apply ascending volatility when the price rises, but not when the price falls.
//============================================================== // 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 DirectionalVolatility : Indicator { public DirectionalVolatility() { IndicatorName = "Directional volatility"; PossibleSlots = SlotTypes.OpenFilter | SlotTypes.CloseFilter; SeparatedChart = true; IndicatorAuthor = "Footon"; IndicatorVersion = "2.0"; IndicatorDescription = "Footon's indi corner: custom indicators for FSB and FST."; } public override void Initialize(SlotTypes slotType) { SlotType = slotType; // The ComboBox parameters IndParam.ListParam[0].Caption = "Logic"; IndParam.ListParam[0].ItemList = new string[] { "The line rises", "The line falls", "The line changes its direction upward", "The line changes its direction downward", "The line crosses the Signal line upward", "The line crosses the Signal line downward", "The line is higher than the Signal line", "The line is lower than the Signal line" }; 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[1].Caption = "Smoothing method"; IndParam.ListParam[1].ItemList = Enum.GetNames(typeof(MAMethod)); IndParam.ListParam[1].Index = (int)MAMethod.Simple; IndParam.ListParam[1].Text = IndParam.ListParam[1].ItemList[IndParam.ListParam[1].Index]; IndParam.ListParam[1].Enabled = true; IndParam.ListParam[1].ToolTip = "The method used for smoothing."; IndParam.NumParam[0].Caption = "period1"; IndParam.NumParam[0].Value = 5; IndParam.NumParam[0].Min = 1; IndParam.NumParam[0].Max = 200; IndParam.NumParam[0].Enabled = true; IndParam.NumParam[0].ToolTip = "The smoothing period "; IndParam.NumParam[1].Caption = "period2"; IndParam.NumParam[1].Value = 3; IndParam.NumParam[1].Min = 1; IndParam.NumParam[1].Max = 200; IndParam.NumParam[1].Enabled = true; IndParam.NumParam[1].ToolTip = "The smoothing period "; // 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; } public override void Calculate(IDataSet dataSet) { DataSet = dataSet; // Reading the parameters MAMethod maMethod = (MAMethod)IndParam.ListParam[1].Index; int iPeriod = (int)IndParam.NumParam[0].Value; int iPeriod2 = (int)IndParam.NumParam[1].Value; int iPrvs = IndParam.CheckParam[0].Checked ? 1 : 0; // Calculation int iFirstBar = iPeriod + 3; double[] range = new double[Bars]; double[] distance = new double[Bars]; double[] adSTDV = new double[Bars]; for (int iBar = 1; iBar < Bars; iBar++) { range[iBar] = High[iBar] - Low[iBar]; distance[iBar] = Math.Abs(Open[iBar] - Close[iBar]); } for (int iBar = iPeriod; iBar < Bars; iBar++) { double dSum = 0; for (int index = 0; index < iPeriod; index++) { double fDelta = (range[iBar - index] - distance[iBar]); dSum += fDelta * fDelta; } adSTDV[iBar] = Math.Sqrt(dSum / iPeriod); } double[] signal = MovingAverage(iPeriod2, 0, maMethod, adSTDV); // Saving the components Component = new IndicatorComp[4]; Component[0] = new IndicatorComp(); Component[0].CompName = "Main Line"; Component[0].DataType = IndComponentType.IndicatorValue; Component[0].ChartType = IndChartType.Line; Component[0].ChartColor = Color.Green; Component[0].FirstBar = iFirstBar; Component[0].Value = adSTDV; Component[1] = new IndicatorComp(); Component[1].CompName = "Signal line"; Component[1].DataType = IndComponentType.IndicatorValue; Component[1].ChartType = IndChartType.Line; Component[1].ChartColor = Color.Red; Component[1].FirstBar = iFirstBar; Component[1].Value = signal; 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.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.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"; } switch (IndParam.ListParam[0].Text) { case "The line rises": OscillatorLogic(iFirstBar, iPrvs, adSTDV, 0, 0, ref Component[2], ref Component[3], IndicatorLogic.The_indicator_rises); break; case "The line falls": OscillatorLogic(iFirstBar, iPrvs, adSTDV, 0, 0, ref Component[2], ref Component[3], IndicatorLogic.The_indicator_falls); break; case "The line is higher than level": OscillatorLogic(iFirstBar, iPrvs, adSTDV, 0, 0, ref Component[2], ref Component[3], IndicatorLogic.The_indicator_is_higher_than_the_level_line); break; case "The line is lower than level": OscillatorLogic(iFirstBar, iPrvs, adSTDV, 0, 0, ref Component[2], ref Component[3], IndicatorLogic.The_indicator_is_lower_than_the_level_line); break; case "The line crosses the level line upward": OscillatorLogic(iFirstBar, iPrvs, adSTDV, 0, 0, ref Component[2], ref Component[3], IndicatorLogic.The_indicator_crosses_the_level_line_upward); break; case "The line crosses the level line downward": OscillatorLogic(iFirstBar, iPrvs, adSTDV, 0, 0, ref Component[2], ref Component[3], IndicatorLogic.The_indicator_crosses_the_level_line_downward); break; case "The line changes its direction upward": OscillatorLogic(iFirstBar, iPrvs, adSTDV, 0, 0, ref Component[2], ref Component[3], IndicatorLogic.The_indicator_changes_its_direction_upward); break; case "The line changes its direction downward": OscillatorLogic(iFirstBar, iPrvs, adSTDV, 0, 0, ref Component[2], ref Component[3], IndicatorLogic.The_indicator_changes_its_direction_downward); break; case "The line crosses the Signal line upward": IndicatorCrossesAnotherIndicatorUpwardLogic(iFirstBar, iPrvs, adSTDV, signal, ref Component[2], ref Component[3]); break; case "The line crosses the Signal line downward": IndicatorCrossesAnotherIndicatorDownwardLogic(iFirstBar, iPrvs, adSTDV, signal, ref Component[2], ref Component[3]); break; case "The line is higher than the Signal line": IndicatorIsHigherThanAnotherIndicatorLogic(iFirstBar, iPrvs, adSTDV, signal, ref Component[2], ref Component[3]); break; case "The line is lower than the Signal line": IndicatorIsLowerThanAnotherIndicatorLogic(iFirstBar, iPrvs, adSTDV, signal, ref Component[2], ref Component[3]); break; default: break; } return; } /// /// Sets the indicator logic description /// public override void SetDescription() { EntryFilterLongDescription = ToString() + "; the line "; EntryFilterShortDescription = ToString() + "; the line "; ExitFilterLongDescription = ToString() + "; the line "; ExitFilterShortDescription = ToString() + "; the line "; switch (IndParam.ListParam[0].Text) { case "The line rises": EntryFilterLongDescription += "rises"; EntryFilterShortDescription += "falls"; ExitFilterLongDescription += "rises"; ExitFilterShortDescription += "falls"; break; case "The line falls": EntryFilterLongDescription += "falls"; EntryFilterShortDescription += "rises"; ExitFilterLongDescription += "falls"; ExitFilterShortDescription += "rises"; break; case "The line is higher than level": 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 "The line is lower than level": 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 "The line 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 "The line 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 "The line 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 "The line 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 line is higher than the Signal line": EntryFilterLongDescription += "is higher than the Signal line"; EntryFilterShortDescription += "is lower than the Signal line"; ExitFilterLongDescription += "is higher than the Signal line"; ExitFilterShortDescription += "is lower than the Signal line"; break; case "The line is lower than the Signal line": EntryFilterLongDescription += "is lower than the Signal line"; EntryFilterShortDescription += "is higher than the Signal line"; ExitFilterLongDescription += "is lower than the Signal line"; ExitFilterShortDescription += "is higher than the Signal line"; break; case "The line crosses the Signal line upward": EntryFilterLongDescription += "crosses the Signal line upward"; EntryFilterShortDescription += "crosses the Signal line downward"; ExitFilterLongDescription += "crosses the Signal line upward"; ExitFilterShortDescription += "crosses the Signal line downward"; break; case "The line crosses the Signal line downward": EntryFilterLongDescription += "crosses the Signal line downward"; EntryFilterShortDescription += "crosses the Signal line upward"; ExitFilterLongDescription += "crosses the Signal line downward"; ExitFilterShortDescription += "crosses the Signal line upward"; break; default: break; } return; } /// /// Indicator to string /// public override string ToString() { string sString = IndicatorName + (IndParam.CheckParam[0].Checked ? "* (" : " (") + IndParam.NumParam[0].ValueToString + ")"; // period return sString; } } }
//+--------------------------------------------------------------------+ //| 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 Directionalvolatility : public Indicator { public: Directionalvolatility(SlotTypes slotType) { SlotType=slotType; IndicatorName="Directional volatility"; WarningMessage = ""; IsAllowLTF = true; ExecTime = ExecutionTime_DuringTheBar; IsSeparateChart = true; IsDiscreteValues = false; IsDeafultGroupAll = false; } virtual void Calculate(DataSet &dataSet); }; //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ void Directionalvolatility::Calculate(DataSet &dataSet) { Data=GetPointer(dataSet); // Reading the parameters MAMethod maMethod=(MAMethod) ListParam[1].Index; int period=(int) NumParam[0].Value; int period2=(int) NumParam[1].Value; int prvs=CheckParam[0].Checked ? 1 : 0; // Calculation int firstBar=period+3; double range[]; ArrayResize(range,Data.Bars); ArrayInitialize(range, 0); double distance[]; ArrayResize(distance,Data.Bars); ArrayInitialize(distance, 0); double adStdv[]; ArrayResize(adStdv,Data.Bars); ArrayInitialize(adStdv, 0); for(int bar=1; bar<Data.Bars; bar++) { range[bar]=Data.High[bar]-Data.Low[bar]; distance[bar]=MathAbs(Data.Open[bar]-Data.Close[bar]); } for(int bar=period; bar<Data.Bars; bar++) { double sum=0; for(int index=0; index<period; index++) { double delta=(range[bar-index]-distance[bar]); sum+=delta*delta; } adStdv[bar]=MathSqrt(sum/period); } double signal[]; MovingAverage(period2,0,maMethod,adStdv,signal); // Saving the components ArrayResize(Component[0].Value,Data.Bars); Component[0].CompName = "Main Line"; Component[0].DataType = IndComponentType_IndicatorValue; Component[0].FirstBar = firstBar; ArrayCopy(Component[0].Value,adStdv); ArrayResize(Component[1].Value,Data.Bars); Component[1].CompName = "Signal line"; Component[1].DataType = IndComponentType_IndicatorValue; Component[1].FirstBar = firstBar; ArrayCopy(Component[1].Value,signal); ArrayResize(Component[2].Value,Data.Bars); Component[2].FirstBar=firstBar; ArrayResize(Component[3].Value,Data.Bars); Component[3].FirstBar=firstBar; // Sets the Component's type 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_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(ListParam[0].Text=="The line rises") OscillatorLogic(firstBar,prvs,adStdv,0,0,Component[2],Component[3],IndicatorLogic_The_indicator_rises); else if(ListParam[0].Text=="The line falls") OscillatorLogic(firstBar,prvs,adStdv,0,0,Component[2],Component[3],IndicatorLogic_The_indicator_falls); else if(ListParam[0].Text=="The line is higher than level") OscillatorLogic(firstBar,prvs,adStdv,0,0,Component[2],Component[3],IndicatorLogic_The_indicator_is_higher_than_the_level_line); else if(ListParam[0].Text=="The line is lower than level") OscillatorLogic(firstBar,prvs,adStdv,0,0,Component[2],Component[3],IndicatorLogic_The_indicator_is_lower_than_the_level_line); else if(ListParam[0].Text=="The line crosses the level line upward") OscillatorLogic(firstBar,prvs,adStdv,0,0,Component[2],Component[3],IndicatorLogic_The_indicator_crosses_the_level_line_upward); else if(ListParam[0].Text=="The line crosses the level line downward") OscillatorLogic(firstBar,prvs,adStdv,0,0,Component[2],Component[3],IndicatorLogic_The_indicator_crosses_the_level_line_downward); else if(ListParam[0].Text=="The line changes its direction upward") OscillatorLogic(firstBar,prvs,adStdv,0,0,Component[2],Component[3],IndicatorLogic_The_indicator_changes_its_direction_upward); else if(ListParam[0].Text=="The line changes its direction downward") OscillatorLogic(firstBar,prvs,adStdv,0,0,Component[2],Component[3],IndicatorLogic_The_indicator_changes_its_direction_downward); else if(ListParam[0].Text=="The line crosses the Signal line upward") IndicatorCrossesAnotherIndicatorUpwardLogic(firstBar,prvs,adStdv,signal,Component[2],Component[3]); else if(ListParam[0].Text=="The line crosses the Signal line downward") IndicatorCrossesAnotherIndicatorDownwardLogic(firstBar,prvs,adStdv,signal,Component[2],Component[3]); else if(ListParam[0].Text=="The line is higher than the Signal line") IndicatorIsHigherThanAnotherIndicatorLogic(firstBar,prvs,adStdv,signal,Component[2],Component[3]); else if(ListParam[0].Text=="The line is lower than the Signal line") IndicatorIsLowerThanAnotherIndicatorLogic(firstBar,prvs,adStdv,signal,Component[2],Component[3]); } //+------------------------------------------------------------------+
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