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R-Squared by zuijaideai

4349 downloads / 4479 views / Created: 23.05.2013

Average Rating: 0

General Information
C# Code

Indicator Description

Hi All,
This is an R-Squared indicator. It is a non-directional indicator which give us a useful information regarding the non trending and trending price. Lower value of R-Squared suggests a non trending price and higher value suggests a trending price.

Forum link: R-Squared

Rgds
Denny Imanuel
imanuel.denny@gmail.com

Download in C#

Comments

Popov

Uploaded v2.1 - fixed to work with FSB Pro

//============================================================== // Forex Strategy Builder // Copyright � 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 RSquared : Indicator { public RSquared() { // General properties IndicatorName = "R-Squared"; PossibleSlots = SlotTypes.OpenFilter | SlotTypes.CloseFilter; SeparatedChart = true; IndicatorAuthor = "Denny Imanuel"; IndicatorVersion = "2.1"; IndicatorDescription = "A custom indicator for FSB and FST."; } public override void Initialize(SlotTypes slotType) { SlotType = slotType; IndParam.IndicatorType = TypeOfIndicator.Additional; // The ComboBox parameters IndParam.ListParam[0].Caption = "Logic"; IndParam.ListParam[0].ItemList = new string[] { "The R-Squared rises", "The R-Squared falls", "The R-Squared is higher than the Level line", "The R-Squared is lower than the Level line", "The R-Squared crosses the Level line upward", "The R-Squared crosses the Level line downward", "The R-Squared changes its direction upward", "The R-Squared 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[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 of Moving Average used for the calculations."; 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 the indicator is based on."; // The NumericUpDown parameters IndParam.NumParam[0].Caption = "R-Squared Period"; IndParam.NumParam[0].Value = 30; IndParam.NumParam[0].Min = 2; IndParam.NumParam[0].Max = 200; IndParam.NumParam[0].Enabled = true; IndParam.NumParam[0].ToolTip = "The period of R-Squared calculation."; IndParam.NumParam[1].Caption = "Smoothing Period"; IndParam.NumParam[1].Value = 3; IndParam.NumParam[1].Min = 2; IndParam.NumParam[1].Max = 200; IndParam.NumParam[1].Enabled = true; IndParam.NumParam[1].ToolTip = "The period of Smoothing calculation."; IndParam.NumParam[2].Caption = "Level"; IndParam.NumParam[2].Value = 0; IndParam.NumParam[2].Min = 0; IndParam.NumParam[2].Max = 100; IndParam.NumParam[2].Point = 4; IndParam.NumParam[2].Enabled = true; IndParam.NumParam[2].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."; } public override void Calculate(IDataSet dataSet) { DataSet = dataSet; // Reading the parameters MAMethod maMethod = (MAMethod)IndParam.ListParam[1].Index; BasePrice basePrice = (BasePrice)IndParam.ListParam[2].Index; int iRSPeriod = (int)IndParam.NumParam[0].Value; int iMAPeriod = (int)IndParam.NumParam[1].Value; double dLevel = IndParam.NumParam[2].Value; int iPrvs = IndParam.CheckParam[0].Checked ? 1 : 0; // Calculation double[] adPrice = Price(basePrice); double[] adR = RCoefficient(adPrice, iRSPeriod); double[] adRR = new double[Bars]; double[] adAvgRR = new double[Bars]; int iFirstBar = iRSPeriod + iMAPeriod + 1; for (int iBar=iFirstBar; iBar< Bars; iBar++) { adRR[iBar] = Math.Pow(adR[iBar],2); } adAvgRR = MovingAverage(iMAPeriod, 0, maMethod, adRR);; // Saving the components Component = new IndicatorComp[3]; Component[0] = new IndicatorComp(); Component[0].CompName = "R-Squared"; Component[0].DataType = IndComponentType.IndicatorValue; Component[0].ChartType = IndChartType.Line; Component[0].ChartColor = Color.Blue; Component[0].FirstBar = iFirstBar; Component[0].Value = adAvgRR; 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 "The R-Squared rises": indLogic = IndicatorLogic.The_indicator_rises; break; case "The R-Squared falls": indLogic = IndicatorLogic.The_indicator_falls; break; case "The R-Squared is higher than the Level line": indLogic = IndicatorLogic.The_indicator_is_higher_than_the_level_line; SpecialValues = new double[1] { dLevel }; break; case "The R-Squared is lower than the Level line": indLogic = IndicatorLogic.The_indicator_is_lower_than_the_level_line; SpecialValues = new double[1] { dLevel }; break; case "The R-Squared crosses the Level line upward": indLogic = IndicatorLogic.The_indicator_crosses_the_level_line_upward; SpecialValues = new double[1] { dLevel }; break; case "The R-Squared crosses the Level line downward": indLogic = IndicatorLogic.The_indicator_crosses_the_level_line_downward; SpecialValues = new double[1] { dLevel }; break; case "The R-Squared changes its direction upward": indLogic = IndicatorLogic.The_indicator_changes_its_direction_upward; break; case "The R-Squared changes its direction downward": indLogic = IndicatorLogic.The_indicator_changes_its_direction_downward; break; default: break; } NoDirectionOscillatorLogic(iFirstBar, iPrvs, adAvgRR, dLevel, ref Component[1], indLogic); Component[2].Value = Component[1].Value; } public override void SetDescription() { string sLevelLong = IndParam.NumParam[1].ValueToString; string sLevelShort = sLevelLong; EntryFilterLongDescription = "the " + ToString() + " "; EntryFilterShortDescription = "the " + ToString() + " "; ExitFilterLongDescription = "the " + ToString() + " "; ExitFilterShortDescription = "the " + ToString() + " "; switch (IndParam.ListParam[0].Text) { case "The R-Squared rises": EntryFilterLongDescription += "rises"; EntryFilterShortDescription += "rises"; ExitFilterLongDescription += "rises"; ExitFilterShortDescription += "rises"; break; case "The R-Squared falls": EntryFilterLongDescription += "falls"; EntryFilterShortDescription += "falls"; ExitFilterLongDescription += "falls"; ExitFilterShortDescription += "falls"; break; case "The R-Squared is higher than the Level line": EntryFilterLongDescription += "is higher than the Level " + sLevelLong; EntryFilterShortDescription += "is higher than the Level " + sLevelShort; ExitFilterLongDescription += "is higher than the Level " + sLevelLong; ExitFilterShortDescription += "is higher than the Level " + sLevelShort; break; case "The R-Squared is lower than the Level line": EntryFilterLongDescription += "is lower than the Level " + sLevelLong; EntryFilterShortDescription += "is lower than the Level " + sLevelShort; ExitFilterLongDescription += "is lower than the Level " + sLevelLong; ExitFilterShortDescription += "is lower than the Level " + sLevelShort; break; case "The R-Squared crosses the Level line upward": EntryFilterLongDescription += "crosses the Level " + sLevelLong + " upward"; EntryFilterShortDescription += "crosses the Level " + sLevelShort + " upward"; ExitFilterLongDescription += "crosses the Level " + sLevelLong + " upward"; ExitFilterShortDescription += "crosses the Level " + sLevelShort + " upward"; break; case "The R-Squared crosses the Level line downward": EntryFilterLongDescription += "crosses the Level " + sLevelLong + " downward"; EntryFilterShortDescription += "crosses the Level " + sLevelShort + " downward"; ExitFilterLongDescription += "crosses the Level " + sLevelLong + " downward"; ExitFilterShortDescription += "crosses the Level " + sLevelShort + " downward"; break; case "The R-Squared changes its direction upward": EntryFilterLongDescription += "changes its direction upward"; EntryFilterShortDescription += "changes its direction upward"; ExitFilterLongDescription += "changes its direction upward"; ExitFilterShortDescription += "changes its direction upward"; break; case "The R-Squared changes its direction downward": EntryFilterLongDescription += "changes its direction downward"; EntryFilterShortDescription += "changes its direction downward"; ExitFilterLongDescription += "changes its direction downward"; ExitFilterShortDescription += "changes its direction downward"; break; } } public override string ToString() { return IndicatorName + (IndParam.CheckParam[0].Checked ? "* (" : " (") + IndParam.ListParam[1].Text + ", " + // Smoothing method IndParam.ListParam[2].Text + ", " + // Base price IndParam.NumParam[0].ValueToString + ")"; // Period } protected double[] RCoefficient(double[] adPrice, int iLength) { double[] RCoeff = new double[Bars]; double[] X = new double[Bars]; double[] Y = new double[Bars]; double AvgX; double AvgP; double SumXP; double SumXX; double SumPP; double LowerEQ1; double LowerEQ2; double UpperEQ; double LowerEQ; for (int iBar=iLength; iBar

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R-Squared by zuijaideai

Indicator Description

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