//============================================================== // 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 AVWAP : Indicator { public AVWAP() { IndicatorName = "AVWAP"; PossibleSlots = SlotTypes.Open | SlotTypes.OpenFilter | SlotTypes.Close | SlotTypes.CloseFilter; IndicatorAuthor = "NAYA +237674724684"; IndicatorVersion = "1.0"; IndicatorDescription = "Anchored Volume Weighted Average Price"; } public override void Initialize(SlotTypes slotType) { SlotType = slotType; // --- Logic selection IndParam.ListParam[0].Caption = "Logic"; switch (SlotType) { case SlotTypes.Open: IndParam.ListParam[0].ItemList = new[] { "Enter the market at the AVWAP" }; break; case SlotTypes.OpenFilter: IndParam.ListParam[0].ItemList = new[] { "The AVWAP rises", "The AVWAP falls", "The bar opens above the AVWAP", "The bar opens below the AVWAP", "The bar opens above the AVWAP after opening below it", "The bar opens below the AVWAP after opening above it", "The position opens above the AVWAP", "The position opens below the AVWAP", }; break; case SlotTypes.Close: IndParam.ListParam[0].ItemList = new[] { "Exit the market at the AVWAP" }; break; case SlotTypes.CloseFilter: IndParam.ListParam[0].ItemList = new[] { "The AVWAP rises", "The AVWAP falls", "The bar closes below the AVWAP", "The bar closes above the AVWAP", }; break; default: IndParam.ListParam[0].ItemList = new[] { "Not Defined" }; break; } IndParam.ListParam[0].Index = 0; IndParam.ListParam[0].Text = IndParam.ListParam[0].ItemList[0]; IndParam.ListParam[0].Enabled = true; IndParam.ListParam[0].ToolTip = "Logic of application of the AVWAP."; // --- Anchor period selection IndParam.ListParam[1].Caption = "Anchor Period"; IndParam.ListParam[1].ItemList = new[] { "Daily", "Weekly", "Monthly" }; IndParam.ListParam[1].Index = 0; IndParam.ListParam[1].Text = "Daily"; IndParam.ListParam[1].Enabled = true; IndParam.ListParam[1].ToolTip = "Anchor period for AVWAP calculation."; // --- Shift parameter (now in bars) IndParam.NumParam[0].Caption = "Shift (bars)"; IndParam.NumParam[0].Value = 0; IndParam.NumParam[0].Min = 0; IndParam.NumParam[0].Max = 2; IndParam.NumParam[0].Enabled = true; IndParam.NumParam[0].ToolTip = "Number of bars to shift the AVWAP."; // --- Use previous bar? IndParam.CheckParam[0].Caption = "Use previous bar value"; IndParam.CheckParam[0].Enabled = true; IndParam.CheckParam[0].ToolTip = "If checked, signals use the previous bar's AVWAP value."; return; } public override void Calculate(IDataSet dataSet) { DataSet = dataSet; int anchorType = IndParam.ListParam[1].Index + 1; // 1=Daily,2=Weekly,3=Monthly int shift = (int)IndParam.NumParam[0].Value; int usePrev = IndParam.CheckParam[0].Checked ? 1 : 0; int firstBar = 3; int bars = Bars; double[] avwapBuffer = new double[bars]; // Cumulative PV and V double cumPV = 0; double cumV = 0; DateTime currentAnchorDate = DateTime.MinValue; // Main loop for (int iBar = firstBar; iBar < bars; iBar++) { DateTime barTime = Time[iBar]; DateTime anchorStart = GetAnchorStartTime(barTime, anchorType); // New anchor period? if (anchorStart != currentAnchorDate) { cumPV = 0; cumV = 0; currentAnchorDate = anchorStart; } // Typical price = (O+H+L+C)/4 double typicalPrice = (Open[iBar] + High[iBar] + Low[iBar] + Close[iBar]) / 4.0; double volume = Volume[iBar]; // Update cumulatives cumPV += typicalPrice * volume; cumV += volume; // Compute AVWAP avwapBuffer[iBar] = (cumV > 0) ? (cumPV / cumV) : 0.0; } // Apply shift double[] shiftedAVWAP = new double[bars]; for (int bar = 0; bar < bars; bar++) { int sourceBar = bar - shift; if (sourceBar >= 0 && sourceBar < bars) shiftedAVWAP[bar] = avwapBuffer[sourceBar]; else if (bar >= shift) shiftedAVWAP[bar] = avwapBuffer[bar - shift]; } // Build components if (SlotType == SlotTypes.Open || SlotType == SlotTypes.Close) { Component = new IndicatorComp[2]; Component[1] = new IndicatorComp { Value = new double[bars] }; // Entry/Exit price logic for (int iBar = firstBar + shift; iBar < bars; iBar++) { // current and previous AVWAP (with shift and optional prev-bar offset) double v0 = shiftedAVWAP[iBar - usePrev]; double v1 = shiftedAVWAP[iBar - usePrev - 1]; double outPrice = v0; // handle price gaps if ((v1 > High[iBar - 1] && v0 < Open[iBar]) || (v1 < Low[iBar - 1] && v0 > Open[iBar]) || (Close[iBar - 1] < v0 && v0 < Open[iBar]) || (Close[iBar - 1] > v0 && v0 > Open[iBar])) outPrice = Open[iBar]; Component[1].Value[iBar] = outPrice; } } else { Component = new IndicatorComp[3]; // No-chart filter buffers Component[1] = new IndicatorComp { ChartType = IndChartType.NoChart, FirstBar = firstBar + shift, Value = new double[bars] }; Component[2] = new IndicatorComp { ChartType = IndChartType.NoChart, FirstBar = firstBar + shift, Value = new double[bars] }; } // Main AVWAP line Component[0] = new IndicatorComp { CompName = "AVWAP Value", DataType = IndComponentType.IndicatorValue, ChartType = IndChartType.Line, ChartColor= Color.DodgerBlue, FirstBar = firstBar + shift, Value = shiftedAVWAP }; // Assign names and types switch (SlotType) { case SlotTypes.Open: Component[1].CompName = "Position opening price"; Component[1].DataType = IndComponentType.OpenPrice; break; case SlotTypes.OpenFilter: Component[1].CompName = "Is long entry allowed"; Component[1].DataType = IndComponentType.AllowOpenLong; Component[2].CompName = "Is short entry allowed"; Component[2].DataType = IndComponentType.AllowOpenShort; break; case SlotTypes.Close: Component[1].CompName = "Position closing price"; Component[1].DataType = IndComponentType.ClosePrice; break; case SlotTypes.CloseFilter: Component[1].CompName = "Close out long position"; Component[1].DataType = IndComponentType.ForceCloseLong; Component[2].CompName = "Close out short position"; Component[2].DataType = IndComponentType.ForceCloseShort; break; } // Apply filter logic if needed if (SlotType == SlotTypes.OpenFilter || SlotType == SlotTypes.CloseFilter) { switch (IndParam.ListParam[0].Text) { case "The AVWAP rises": IndicatorRisesLogic(firstBar + shift, usePrev, shiftedAVWAP, ref Component[1], ref Component[2]); break; case "The AVWAP falls": IndicatorFallsLogic(firstBar + shift, usePrev, shiftedAVWAP, ref Component[1], ref Component[2]); break; case "The bar opens above the AVWAP": BarOpensAboveIndicatorLogic(firstBar + shift, usePrev, shiftedAVWAP, ref Component[1], ref Component[2]); break; case "The bar opens below the AVWAP": BarOpensBelowIndicatorLogic(firstBar + shift, usePrev, shiftedAVWAP, ref Component[1], ref Component[2]); break; case "The bar opens above the AVWAP after opening below it": BarOpensAboveIndicatorAfterOpeningBelowLogic(firstBar + shift, usePrev, shiftedAVWAP, ref Component[1], ref Component[2]); break; case "The bar opens below the AVWAP after opening above it": BarOpensBelowIndicatorAfterOpeningAboveLogic(firstBar + shift, usePrev, shiftedAVWAP, ref Component[1], ref Component[2]); break; case "The position opens above the AVWAP": Component[0].PosPriceDependence = PositionPriceDependence.BuyHigherSellLower; Component[0].UsePreviousBar = usePrev; Component[1].ShowInDynInfo = false; Component[2].ShowInDynInfo = false; break; case "The position opens below the AVWAP": Component[0].PosPriceDependence = PositionPriceDependence.BuyLowerSellHigher; Component[0].UsePreviousBar = usePrev; Component[1].ShowInDynInfo = false; Component[2].ShowInDynInfo = false; break; case "The bar closes below the AVWAP": BarClosesBelowIndicatorLogic(firstBar + shift, usePrev, shiftedAVWAP, ref Component[1], ref Component[2]); break; case "The bar closes above the AVWAP": BarClosesAboveIndicatorLogic(firstBar + shift, usePrev, shiftedAVWAP, ref Component[1], ref Component[2]); break; } } } private DateTime GetAnchorStartTime(DateTime currentTime, int anchorType) { switch (anchorType) { case 1: // Daily return currentTime.Date; case 2: // Weekly (Monday) DateTime monday = currentTime.Date; while (monday.DayOfWeek != DayOfWeek.Monday) monday = monday.AddDays(-1); return monday; case 3: // Monthly return new DateTime(currentTime.Year, currentTime.Month, 1); default: return currentTime.Date; } } public override void SetDescription() { EntryPointLongDescription = "at the " + ToString(); EntryPointShortDescription = "at the " + ToString(); ExitPointLongDescription = "at the " + ToString(); ExitPointShortDescription = "at the " + ToString(); string logic = IndParam.ListParam[0].Text; switch (logic) { case "The AVWAP rises": EntryFilterLongDescription = "the " + ToString() + " rises"; EntryFilterShortDescription = "the " + ToString() + " falls"; ExitFilterLongDescription = "the " + ToString() + " rises"; ExitFilterShortDescription = "the " + ToString() + " falls"; break; case "The AVWAP falls": EntryFilterLongDescription = "the " + ToString() + " falls"; EntryFilterShortDescription = "the " + ToString() + " rises"; ExitFilterLongDescription = "the " + ToString() + " falls"; ExitFilterShortDescription = "the " + ToString() + " rises"; break; case "The bar opens above the AVWAP": EntryFilterLongDescription = "the bar opens above the " + ToString(); EntryFilterShortDescription = "the bar opens below the " + ToString(); break; case "The bar opens below the AVWAP": EntryFilterLongDescription = "the bar opens below the " + ToString(); EntryFilterShortDescription = "the bar opens above the " + ToString(); break; case "The position opens above the AVWAP": EntryFilterLongDescription = "the position opening price is higher than the " + ToString(); EntryFilterShortDescription = "the position opening price is lower than the " + ToString(); break; case "The position opens below the AVWAP": EntryFilterLongDescription = "the position opening price is lower than the " + ToString(); EntryFilterShortDescription = "the position opening price is higher than the " + ToString(); break; case "The bar closes above the AVWAP": ExitFilterLongDescription = "the bar closes above the " + ToString(); ExitFilterShortDescription = "the bar closes below the " + ToString(); break; case "The bar closes below the AVWAP": ExitFilterLongDescription = "the bar closes below the " + ToString(); ExitFilterShortDescription = "the bar closes above the " + ToString(); break; } } public override string ToString() { return IndicatorName + (IndParam.CheckParam[0].Checked ? "* (" : " (") + IndParam.ListParam[1].Text + ", " + IndParam.NumParam[0].ValueToString + ")"; } } }