//============================================================== // 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 MovingAverageOfATR : Indicator { public MovingAverageOfATR() { IndicatorName = "Moving Average of ATR"; PossibleSlots = SlotTypes.OpenFilter | SlotTypes.CloseFilter; SeparatedChart = true; IndicatorAuthor = "NAYA +237674724684"; IndicatorVersion = "1.0"; IndicatorDescription = "Moving Average applied to Average True Range"; } public override void Initialize(SlotTypes slotType) { SlotType = slotType; // The ComboBox parameters IndParam.ListParam[0].Caption = "Logic"; if (SlotType == SlotTypes.OpenFilter) { IndParam.ListParam[0].ItemList = new[] { "Moving Average rises", "Moving Average falls", "ATR rises", "ATR falls", "The ATR is above its Moving Average", "The ATR is below its Moving Average", "The ATR crosses above its Moving Average", "The ATR crosses below its Moving Average" }; } else if (SlotType == SlotTypes.CloseFilter) { IndParam.ListParam[0].ItemList = new[] { "Moving Average rises", "Moving Average falls", "ATR rises", "ATR falls", "The ATR is above its Moving Average", "The ATR is below its Moving Average" }; } 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 Moving Average method used for smoothing the ATR."; // The NumericUpDown parameters IndParam.NumParam[0].Caption = "ATR period"; IndParam.NumParam[0].Value = 14; IndParam.NumParam[0].Min = 2; IndParam.NumParam[0].Max = 50; IndParam.NumParam[0].Enabled = true; IndParam.NumParam[0].ToolTip = "The period of ATR."; IndParam.NumParam[1].Caption = "MA period"; IndParam.NumParam[1].Value = 14; IndParam.NumParam[1].Min = 2; IndParam.NumParam[1].Max = 100; IndParam.NumParam[1].Enabled = true; IndParam.NumParam[1].ToolTip = "The period of Moving Average."; IndParam.NumParam[2].Caption = "Shift"; IndParam.NumParam[2].Value = 0; IndParam.NumParam[2].Min = 0; IndParam.NumParam[2].Max = 2; IndParam.NumParam[2].Enabled = true; IndParam.NumParam[2].ToolTip = "How many bars to shift with."; // 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 var maMethod = (MAMethod)IndParam.ListParam[1].Index; var atrPeriod = (int)IndParam.NumParam[0].Value; var maPeriod = (int)IndParam.NumParam[1].Value; var shift = (int)IndParam.NumParam[2].Value; var previous = IndParam.CheckParam[0].Checked ? 1 : 0; // Calculation int firstBar = Math.Max(atrPeriod, maPeriod) + shift + previous + 2; // Calculate ATR var atr = new double[Bars]; for (int bar = 1; bar < Bars; bar++) { atr[bar] = Math.Max(High[bar], Close[bar - 1]) - Math.Min(Low[bar], Close[bar - 1]); } atr = MovingAverage(atrPeriod, 0, MAMethod.Simple, atr); // Calculate MA of ATR var maOfAtr = MovingAverage(maPeriod, shift, maMethod, atr); // Saving the components Component = new IndicatorComp[3]; Component[0] = new IndicatorComp { CompName = "MA of ATR", DataType = IndComponentType.IndicatorValue, ChartType = IndChartType.Line, ChartColor = Color.Blue, FirstBar = firstBar, Value = maOfAtr }; Component[1] = new IndicatorComp { ChartType = IndChartType.NoChart, FirstBar = firstBar, Value = new double[Bars] }; Component[2] = new IndicatorComp { ChartType = IndChartType.NoChart, FirstBar = firstBar, 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 switch (IndParam.ListParam[0].Text) { case "Moving Average rises": IndicatorRisesLogic(firstBar, previous, maOfAtr, ref Component[1], ref Component[2]); break; case "Moving Average falls": IndicatorFallsLogic(firstBar, previous, maOfAtr, ref Component[1], ref Component[2]); break; case "ATR rises": IndicatorRisesLogic(firstBar, previous, atr, ref Component[1], ref Component[2]); break; case "ATR falls": IndicatorFallsLogic(firstBar, previous, atr, ref Component[1], ref Component[2]); break; case "The ATR is above its Moving Average": IndicatorIsHigherThanAnotherIndicatorLogic(firstBar, previous, atr, maOfAtr, ref Component[1], ref Component[2]); break; case "The ATR is below its Moving Average": IndicatorIsLowerThanAnotherIndicatorLogic(firstBar, previous, atr, maOfAtr, ref Component[1], ref Component[2]); break; case "The ATR crosses above its Moving Average": IndicatorCrossesAnotherIndicatorUpwardLogic(firstBar, previous, atr, maOfAtr, ref Component[1], ref Component[2]); break; case "The ATR crosses below its Moving Average": IndicatorCrossesAnotherIndicatorDownwardLogic(firstBar, previous, atr, maOfAtr, ref Component[1], ref Component[2]); break; } // For all ATR-based signals (including Moving Average of ATR), both components should be the same // All logics are self-converse since they all relate to ATR volatility Component[2].Value = Component[1].Value; } public override void SetDescription() { string maPeriod = IndParam.NumParam[1].ValueToString; string atrPeriod = IndParam.NumParam[0].ValueToString; EntryFilterLongDescription = ToString() + " "; EntryFilterShortDescription = ToString() + " "; ExitFilterLongDescription = ToString() + " "; ExitFilterShortDescription = ToString() + " "; switch (IndParam.ListParam[0].Text) { case "Moving Average rises": EntryFilterLongDescription += "rises"; EntryFilterShortDescription += "rises"; ExitFilterLongDescription += "rises"; ExitFilterShortDescription += "rises"; break; case "Moving Average falls": EntryFilterLongDescription += "falls"; EntryFilterShortDescription += "falls"; ExitFilterLongDescription += "falls"; ExitFilterShortDescription += "falls"; break; case "ATR rises": EntryFilterLongDescription += "rises"; EntryFilterShortDescription += "rises"; ExitFilterLongDescription += "rises"; ExitFilterShortDescription += "rises"; break; case "ATR falls": EntryFilterLongDescription += "falls"; EntryFilterShortDescription += "falls"; ExitFilterLongDescription += "falls"; ExitFilterShortDescription += "falls"; break; case "The ATR is above its Moving Average": EntryFilterLongDescription += "is above its Moving Average"; EntryFilterShortDescription += "is above its Moving Average"; ExitFilterLongDescription += "is above its Moving Average"; ExitFilterShortDescription += "is above its Moving Average"; break; case "The ATR is below its Moving Average": EntryFilterLongDescription += "is below its Moving Average"; EntryFilterShortDescription += "is below its Moving Average"; ExitFilterLongDescription += "is below its Moving Average"; ExitFilterShortDescription += "is below its Moving Average"; break; case "The ATR crosses above its Moving Average": EntryFilterLongDescription += "crosses above its Moving Average"; EntryFilterShortDescription += "crosses above its Moving Average"; break; case "The ATR crosses below its Moving Average": EntryFilterLongDescription += "crosses below its Moving Average"; EntryFilterShortDescription += "crosses below its Moving Average"; break; } } public override string ToString() { return string.Format("{0}{1} ({2}, ATR={3}, MA={4}, Shift={5})", IndicatorName, IndParam.CheckParam[0].Checked ? "*" : "", IndParam.ListParam[1].Text, IndParam.NumParam[0].ValueToString, IndParam.NumParam[1].ValueToString, IndParam.NumParam[2].ValueToString); } } }