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Linear regression value - time series forecast v2 by footon

45434 downloads / 3796 views / Created: 24.05.2013

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Linear regression value - time series forecast v2

Forum link: Footon's indi corner

Download in C# Download in MQL

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footon

Mqh provided by Jetaro! Thank you!

//============================================================== // 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 LinearRegressionValueV2 : Indicator { public LinearRegressionValueV2() { IndicatorName = "Linear Regression Value V2"; PossibleSlots = SlotTypes.OpenFilter | SlotTypes.CloseFilter; SeparatedChart = true; //SeparatedChartMinValue = -3; //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; IndParam.IndicatorType = TypeOfIndicator.IndicatorsMA; // The ComboBox parameters IndParam.ListParam[0].Caption = "Logic"; IndParam.ListParam[0].ItemList = new string[] { "The fast line rises", "The fast line falls", "The fast line changes its direction upward", "The fast line changes its direction downward", "The fast line crosses the slow line upward", "The fast line crosses the slow line downward", "The fast line is higher than the slow line", "The fast line is lower than the slow 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 oscillator."; 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 = "Z 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"; IndParam.ListParam[1].Caption = "buffer 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 = "method"; IndParam.ListParam[4].Caption = "Trigger Smoothing method"; IndParam.ListParam[4].ItemList = Enum.GetNames(typeof(MAMethod)); IndParam.ListParam[4].Index = (int)MAMethod.Simple; IndParam.ListParam[4].Text = IndParam.ListParam[4].ItemList[IndParam.ListParam[4].Index]; IndParam.ListParam[4].Enabled = true; IndParam.ListParam[4].ToolTip = "method"; // The NumericUpDown parameters IndParam.NumParam[0].Caption = "Smoothing period"; IndParam.NumParam[0].Value = 20; 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 = 100; IndParam.NumParam[1].Min = 0; IndParam.NumParam[1].Max = 200; //IndParam.NumParam[1].Point = 1; IndParam.NumParam[1].Enabled = true; IndParam.NumParam[1].ToolTip = "A critical level (for the appropriate logic)."; IndParam.NumParam[2].Caption = "LRVForecast"; IndParam.NumParam[2].Value = 0; IndParam.NumParam[2].Min = -200; IndParam.NumParam[2].Max = 200; IndParam.NumParam[2].Enabled = true; IndParam.NumParam[2].ToolTip = "The period of forecast < 0 => future; > 0 => past"; IndParam.NumParam[3].Caption = "Momentum"; IndParam.NumParam[3].Value = 2; IndParam.NumParam[3].Min = 1; IndParam.NumParam[3].Max = 200; IndParam.NumParam[3].Enabled = true; IndParam.NumParam[3].ToolTip = "The 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 BasePrice basePrice = (BasePrice)IndParam.ListParam[2].Index; int LRVPeriod = (int)IndParam.NumParam[0].Value; double dLevel = IndParam.NumParam[1].Value; MAMethod maMethod = (MAMethod )IndParam.ListParam[3].Index; MAMethod maMethodf = (MAMethod )IndParam.ListParam[1].Index; MAMethod maMethods = (MAMethod )IndParam.ListParam[4].Index; int LRVForecast = (int)IndParam.NumParam[2].Value; int iMomentum = (int)IndParam.NumParam[3].Value; int iPrvs = IndParam.CheckParam[0].Checked ? 1 : 0; // Calculation double[] Zscore = new double[Bars]; double[] buffer = new double[Bars]; double[] Trigger = new double[Bars]; double[] stdevi = new double[Bars]; int iFirstBar = LRVPeriod + iMomentum + 2; double[] adBasePrice = Price(basePrice); double[] price = MovingAverage(1, 0, maMethod, adBasePrice); double sumXSqr = LRVPeriod * (LRVPeriod-1) * (2*LRVPeriod-1) / 6.0; double sumX = LRVPeriod * (LRVPeriod-1) * 0.5; for(int iBar = iFirstBar; iBar < Bars; iBar++) { double sumXY = 0; double sumY = 0; // // // // // for (int k=0; k /// 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 "The fast line rises": EntryFilterLongDescription += "rises"; EntryFilterShortDescription += "falls"; ExitFilterLongDescription += "rises"; ExitFilterShortDescription += "falls"; break; case "The fast line falls": EntryFilterLongDescription += "falls"; EntryFilterShortDescription += "rises"; ExitFilterLongDescription += "falls"; ExitFilterShortDescription += "rises"; break; case "The fast line 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 "The fast line 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 "The fast 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 fast 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 fast 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 fast 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; default: break; } return; } ///

/// Indicator to string ///

public override string ToString() { string sString = IndicatorName + (IndParam.CheckParam[0].Checked ? "* (" : " (") + IndParam.ListParam[1].Text + ", " + // Smoothing method IndParam.ListParam[2].Text + ", " + // Signal line method IndParam.ListParam[3].Text + ", " + // Base price IndParam.NumParam[0].ValueToString + ", " + // RSI period IndParam.NumParam[1].ValueToString + ")"; // slow line period return sString; } } }

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Linear regression value - time series forecast v2 by footon

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