//============================================================== // 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 FDI : Indicator { public FDI() { IndicatorName = "FDI"; PossibleSlots = SlotTypes.OpenFilter | SlotTypes.CloseFilter; SeparatedChart = true; //SeparatedChartMinValue = 0; //SeparatedChartMaxValue = 3; 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[] { " 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."; 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 "; IndParam.ListParam[3].Caption = "Smoothing method"; IndParam.ListParam[3].ItemList = Enum.GetNames(typeof(MAMethod)); IndParam.ListParam[3].Index = (int)MAMethod.Simple; IndParam.ListParam[3].Text = IndParam.ListParam[3].ItemList[IndParam.ListParam[3].Index]; IndParam.ListParam[3].Enabled = true; IndParam.ListParam[3].ToolTip = "method"; // 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 "; IndParam.NumParam[1].Caption = "Level"; IndParam.NumParam[1].Value = 2; IndParam.NumParam[1].Min = -2; IndParam.NumParam[1].Max = 2; IndParam.NumParam[1].Point = 1; 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."; return; } public override void Calculate(IDataSet dataSet) { DataSet = dataSet; // Reading the parameters BasePrice basePrice = (BasePrice)IndParam.ListParam[2].Index; int iPeriod = (int)IndParam.NumParam[0].Value; double dLevel = IndParam.NumParam[1].Value; MAMethod maMethod = (MAMethod )IndParam.ListParam[3].Index; int iPrvs = IndParam.CheckParam[0].Checked ? 1 : 0; int g_period_minus_1 = iPeriod -1; double LOG_2 = Math.Log( 2.0 ); double e_random_line = dLevel; // Calculation double[] FDI = new double[Bars]; //double[] StdDev = new double[Bars]; double[] stdevi = new double[Bars]; int iFirstBar = iPeriod + 2; double[] adBasePrice = Price(basePrice); //double[] MA = MovingAverage(iPeriod, 0, maMethod, adBasePrice); double[] ExtOutputBufferUp = new double[Bars]; double[] ExtOutputBufferDown = new double[Bars]; double[] UpBufferUp = new double[Bars]; double[] UpBufferDown = new double[Bars]; double[] DownBufferUp = new double[Bars]; double[] DownBufferDown = new double[Bars]; double diff = 0; double priorDiff;// = 0; = 0; double length;// = 0; double delta = 0; double mean = 0; double sum;// = 0; = 0; double fdi = 0; double variance = 0; double stddev = 0; for (int iBar = iFirstBar; iBar < Bars; iBar++) { length = 0; priorDiff = 0; sum = 0; double priceMax = double.MinValue; double priceMin = double.MaxValue; for (int i = 0; i < iPeriod; i++) { if (adBasePrice[iBar - i] > priceMax) priceMax = adBasePrice[iBar - i]; if (adBasePrice[iBar - i] < priceMin) priceMin = adBasePrice[iBar - i]; } for( int iteration = 0; iteration <= g_period_minus_1; iteration++ ) { if(( priceMax - priceMin)> 0.0 ) { diff =(adBasePrice[iBar - iteration] - priceMin )/( priceMax - priceMin ); if(iteration > 0 ) { length+=Math.Sqrt( Math.Pow( diff - priorDiff, 2.0)+(1.0/Math.Pow( iPeriod, 2.0)) ); } priorDiff=diff; } } if(length > 0.0 ) { fdi=1.0 +(Math.Log( length)+ LOG_2 )/Math.Log( 2 * g_period_minus_1 ); FDI[iBar] = fdi; mean=length/g_period_minus_1; for( int iteration = 0; iteration <= g_period_minus_1; iteration++ ) { if(( priceMax - priceMin)> 0.0 ) { diff =(adBasePrice[iBar - iteration] - priceMin )/( priceMax - priceMin ); if(iteration > 0 ) { delta=Math.Sqrt( Math.Pow( diff - priorDiff, 2.0)+(1.0/Math.Pow( iPeriod, 2.0)) ); sum+=Math.Pow(delta-(length/g_period_minus_1),2); } priorDiff=diff; } } variance=sum/(Math.Pow(length,2)*Math.Pow(Math.Log(2*g_period_minus_1),2)); } else { fdi=0.0; variance=0.0; } stddev=Math.Sqrt(variance); if(fdi > e_random_line ) { ExtOutputBufferUp[iBar]=fdi; //ExtOutputBufferUp[pos+1]=MathMin( ExtOutputBufferUp[pos+1], ExtOutputBufferDown[pos+1] ); //ExtOutputBufferDown[iBar]=EMPTY_VALUE; //UpBuffer is clearly above e_random_line, we just have an 'if' case for DownBuffer UpBufferUp[iBar] =fdi+stddev; //UpBufferUp[pos+1]=ExtOutputBufferUp[pos+1]+stddev; //UpBufferDown[iBar]=EMPTY_VALUE; if (fdi-stddev > e_random_line ) { DownBufferUp[iBar]=fdi-stddev; //DownBufferUp[pos+1]=ExtOutputBufferUp[pos+1]-stddev; //DownBufferDown[iBar]=EMPTY_VALUE; } else { DownBufferDown[iBar]=fdi-stddev; //DownBufferDown[pos+1]=ExtOutputBufferUp[pos+1]-stddev; //DownBufferUp[iBar]=EMPTY_VALUE; } } else { ExtOutputBufferDown[iBar]=fdi; //ExtOutputBufferDown[pos+1]=MathMin( ExtOutputBufferUp[pos+1], ExtOutputBufferDown[pos+1] ); //ExtOutputBufferUp[iBar]=EMPTY_VALUE; //Symmetrically, DownBuffer is clearly below e_random_line, we just have an 'if' case for UpBuffer if (fdi+stddev > e_random_line ) { UpBufferUp[iBar] =fdi+stddev; //UpBufferUp[pos+1]=ExtOutputBufferDown[pos+1]+stddev; //UpBufferDown[iBar]=EMPTY_VALUE; } else { UpBufferDown[iBar] =fdi+stddev; //UpBufferDown[pos+1]=ExtOutputBufferDown[pos+1]+stddev; //UpBufferUp[iBar]=EMPTY_VALUE; } DownBufferDown[iBar]=fdi-stddev; //DownBufferDown[pos+1]=ExtOutputBufferDown[pos+1]-stddev; //DownBufferUp[iBar]=EMPTY_VALUE; } } // Saving the components Component = new IndicatorComp[9]; Component[0] = new IndicatorComp(); Component[0].CompName = "FDI"; Component[0].DataType = IndComponentType.IndicatorValue; Component[0].ChartType = IndChartType.Line; Component[0].ChartColor = Color.RoyalBlue; Component[0].FirstBar = iFirstBar; Component[0].Value = FDI; Component[3] = new IndicatorComp(); Component[3].CompName = "ExtOutputBufferUp"; Component[3].DataType = IndComponentType.IndicatorValue; Component[3].ChartType = IndChartType.Level;//Line; Component[3].ChartColor = Color.RoyalBlue; Component[3].FirstBar = iFirstBar; Component[3].Value = ExtOutputBufferUp; Component[4] = new IndicatorComp(); Component[4].CompName = "ExtOutputBufferDown"; Component[4].DataType = IndComponentType.IndicatorValue; Component[4].ChartType = IndChartType.Level;//Line; Component[4].ChartColor = Color.RoyalBlue; Component[4].FirstBar = iFirstBar; Component[4].Value = ExtOutputBufferDown; Component[5] = new IndicatorComp(); Component[5].CompName = "UpBufferUp"; Component[5].DataType = IndComponentType.IndicatorValue; Component[5].ChartType = IndChartType.Level;//Line; Component[5].ChartColor = Color.RoyalBlue; Component[5].FirstBar = iFirstBar; Component[5].Value = UpBufferUp; Component[6] = new IndicatorComp(); Component[6].CompName = "UpBufferDown"; Component[6].DataType = IndComponentType.IndicatorValue; Component[6].ChartType = IndChartType.Level;//Line; Component[6].ChartColor = Color.RoyalBlue; Component[6].FirstBar = iFirstBar; Component[6].Value = UpBufferDown; Component[7] = new IndicatorComp(); Component[7].CompName = "DownBufferUp"; Component[7].DataType = IndComponentType.IndicatorValue; Component[7].ChartType = IndChartType.Level;//Line; Component[7].ChartColor = Color.RoyalBlue; Component[7].FirstBar = iFirstBar; Component[7].Value = DownBufferUp; Component[8] = new IndicatorComp(); Component[8].CompName = "DownBufferDown"; Component[8].DataType = IndComponentType.IndicatorValue; Component[8].ChartType = IndChartType.Level;//Line; Component[8].ChartColor = Color.RoyalBlue; Component[8].FirstBar = iFirstBar; Component[8].Value = DownBufferDown; 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]; // 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; default: break; } OscillatorLogic(iFirstBar, iPrvs, FDI, dLevel, dLevel, ref Component[1], ref Component[2], indLogic); return; } ///

/// Sets the indicator logic description ///

public override void SetDescription() { EntryFilterLongDescription = "the " + ToString() + " "; EntryFilterShortDescription = "the " + ToString() + " "; ExitFilterLongDescription = "the " + ToString() + " "; ExitFilterShortDescription = "the " + 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; default: break; } return; } ///

/// Indicator to string ///

public override string ToString() { string sString = IndicatorName + (IndParam.CheckParam[0].Checked ? "* (" : " (") + IndParam.ListParam[1].Text + ", " + // Price IndParam.NumParam[0].ValueToString + ")"; // Period return sString; } } }