//============================================================== // 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 RegressionPolynomial : Indicator { public RegressionPolynomial() { IndicatorName = "RegressionPolynomial"; PossibleSlots = SlotTypes.OpenFilter | SlotTypes.CloseFilter; //SeparatedChart = true; //SeparatedChartMinValue = 0; //SeparatedChartMaxValue = 100; 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[] { "Price closes above lines", "Price closes below lines", "Price crosses lines upward", "Price crosses lines downward", "Price closes below lines", "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", "The slow line rises", "The slow line falls", "The slow line changes its direction upward", "The slow line 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 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 the CMO is based on."; 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 = "Signal method"; // The NumericUpDown parameters IndParam.NumParam[0].Caption = "Period"; IndParam.NumParam[0].Value = 55; IndParam.NumParam[0].Min = 2; 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 = 20; IndParam.NumParam[1].Min = 0; IndParam.NumParam[1].Max = 100; //IndParam.NumParam[1].Point = 3; IndParam.NumParam[1].Enabled = true; IndParam.NumParam[1].ToolTip = "A critical level (for the appropriate logic).";*/ IndParam.NumParam[2].Caption = "signal"; IndParam.NumParam[2].Value = 5; IndParam.NumParam[2].Min = 1; IndParam.NumParam[2].Max = 200; //IndParam.NumParam[2].Point = 1; IndParam.NumParam[2].Enabled = true; IndParam.NumParam[2].ToolTip = "The period of signal"; IndParam.NumParam[3].Caption = "degree"; IndParam.NumParam[3].Value = 2; IndParam.NumParam[3].Min = 1; IndParam.NumParam[3].Max = 8; IndParam.NumParam[3].Enabled = true; IndParam.NumParam[3].ToolTip = "The degree"; // 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 period = (int)IndParam.NumParam[0].Value; int degree = (int)IndParam.NumParam[3].Value; int signal = (int)IndParam.NumParam[2].Value; double dLevel = 0;//IndParam.NumParam[1].Value; MAMethod maMethod = (MAMethod )IndParam.ListParam[3].Index; int iPrvs = IndParam.CheckParam[0].Checked ? 1 : 0; // Calculation double[] Line = new double[Bars]; int iFirstBar = Math.Max(period,signal) + 2 + degree*2; double[] adBasePrice = Price(basePrice); double[] adMA1 = MovingAverage(period, 0, MAMethod.Weighted, adBasePrice); double[] adMA2 = MovingAverage(period, 0, MAMethod.Simple, adBasePrice); double[,] a = new double[10,10]; double[] b = new double[10]; double[] x = new double[10]; double[] sx = new double[20]; for (int iBar = iFirstBar; iBar < Bars; iBar++) { if(degree == 1) { Line[iBar] = (3 * adMA1[iBar] - 2 * adMA2[iBar]); } else if(degree == 2) { int i = 1; double sum = 0; for (int j = 0; j < period; j++, i++) { sum += adBasePrice[iBar-j] * Math.Pow(period - i + 1, 2); } double value = 6.0 / (period * ( period + 1) * (2 * period + 1)) ; double qwma = (value * sum); Line[iBar] = 3.0 * adMA2[iBar] + qwma * (10 - 15 / (period + 2 )) - adMA1[iBar] * (12 - 15 / (period + 2)); } else { int k; double t; int degree1; sx[1] = period + 1; degree1 = degree + 1; for(int i = 1; i <= degree1 * 2 - 2; i++) { sx[i+1] = 0; for(int n = 0; n <= period; n++) { sx[i+1] += Math.Pow(n, i); } } for(int i = 1; i <= degree1; i++) { b[i] = 0; for(int n = 0; n <= period; n++) { if(i == 1) { b[i] += adBasePrice[iBar-n]; } else { b[i] += adBasePrice[iBar-n] * Math.Pow(n, i - 1); } } } for(int j = 1; j <= degree1; j++) { for(int i = 1; i <= degree1; i++) { k = i + j - 1; a[i, j] = sx[k]; } } for(k = 1; k <= degree1-1; k++) { int l = 0; double mm = 0; for(int i = k; i <= degree1; i++) { if(Math.Abs(a[i, k]) > mm) { mm = Math.Abs(a[i, k]); l = i; } } /*if(l == 0) { return(0); }*/ if (l != k) { for(int j = 1; j <= degree1; j++) { t = a[k, j]; a[k, j] = a[l, j]; a[l, j] = t; } t = b[k]; b[k] = b[l]; b[l] = t; } double div = 0; for(int i = k + 1; i <= degree1; i++) { div = a[i, k] / a[k, k]; for(int j = 1; j <= degree1; j++) { if(j == k) { a[i, j] = 0; } else { a[i, j] = a[i, j] - div * a[k, j]; } } b[i] = b[i] - div * b[k]; } } x[degree1] = b[degree1] / a[degree1, degree1]; for(int i = degree; i >= 1; i--) { t = 0; for(int j = 1; j <= degree1 - i; j++) { t = t + a[i, i + j] * x[i + j]; x[i] = (1 / a[i, i]) * (b[i] - t); } } double value = x[1]; for(int i = 1; k <= degree; i++) { double n = period; value += x[i + 1] * Math.Pow(n, i); } Line[iBar] = value; } } double[] Signal = MovingAverage(signal, 0, maMethod, Line); // Saving the components Component = new IndicatorComp[4]; Component[0] = new IndicatorComp(); Component[0].CompName = "Fast line"; Component[0].DataType = IndComponentType.IndicatorValue; Component[0].ChartType = IndChartType.Line; Component[0].ChartColor = Color.Blue; Component[0].FirstBar = iFirstBar; Component[0].Value = Line; Component[3] = new IndicatorComp(); Component[3].CompName = "Slow line"; Component[3].DataType = IndComponentType.IndicatorValue; Component[3].ChartType = IndChartType.Line; Component[3].ChartColor = Color.Green; Component[3].FirstBar = iFirstBar; Component[3].Value = Signal; 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 "Price closes above lines": for (int iBar = iFirstBar + iPrvs; iBar < Bars; iBar++) { Component[1].Value[iBar] = Close[iBar - 1] > Math.Max(Line[iBar - iPrvs], Signal[iBar - iPrvs]) ? 1 : 0; Component[2].Value[iBar] = Close[iBar - 1] < Math.Min(Line[iBar - iPrvs], Signal[iBar - iPrvs]) ? 1 : 0; } break; case "Price closes below lines": for (int iBar = iFirstBar + iPrvs; iBar < Bars; iBar++) { Component[1].Value[iBar] = Close[iBar - 1] < Math.Min(Line[iBar - iPrvs], Signal[iBar - iPrvs]) ? 1 : 0; Component[2].Value[iBar] = Close[iBar - 1] > Math.Max(Line[iBar - iPrvs], Signal[iBar - iPrvs]) ? 1 : 0; } break; case "Price crosses lines upward": for (int iBar = iFirstBar + iPrvs; iBar < Bars; iBar++) { if (Close[iBar - 2] < Math.Max(Line[iBar - iPrvs - 1], Signal[iBar - iPrvs - 1])) Component[1].Value[iBar] = Close[iBar - 1] > Math.Max(Line[iBar - iPrvs], Signal[iBar - iPrvs]) ? 1 : 0; if (Close[iBar - 2] > Math.Min(Line[iBar - iPrvs - 1], Signal[iBar - iPrvs - 1])) Component[2].Value[iBar] = Close[iBar - 1] < Math.Min(Line[iBar - iPrvs], Signal[iBar - iPrvs]) ? 1 : 0; } break; case "Price crosses lines downward": for (int iBar = iFirstBar + iPrvs; iBar < Bars; iBar++) { if (Close[iBar - 2] > Math.Min(Line[iBar - iPrvs - 1], Signal[iBar - iPrvs - 1])) Component[1].Value[iBar] = Close[iBar - 1] < Math.Min(Line[iBar - iPrvs], Signal[iBar - iPrvs]) ? 1 : 0; if (Close[iBar - 2] < Math.Max(Line[iBar - iPrvs - 1], Signal[iBar - iPrvs - 1])) Component[2].Value[iBar] = Close[iBar - 1] > Math.Max(Line[iBar - iPrvs], Signal[iBar - iPrvs]) ? 1 : 0; } break; case "The fast line rises": indLogic = IndicatorLogic.The_indicator_rises; break; case "The fast line falls": indLogic = IndicatorLogic.The_indicator_falls; break; /*case "The fast line is higher than the level line": indLogic = IndicatorLogic.The_indicator_is_higher_than_the_level_line; break; case "The fast line is lower than the level line": indLogic = IndicatorLogic.The_indicator_is_lower_than_the_level_line; break; case "The fast line crosses the level line upward": indLogic = IndicatorLogic.The_indicator_crosses_the_level_line_upward; break; case "The fast line crosses the level line downward": indLogic = IndicatorLogic.The_indicator_crosses_the_level_line_downward; break;*/ case "The fast line changes its direction upward": indLogic = IndicatorLogic.The_indicator_changes_its_direction_upward; break; case "The fast line changes its direction downward": indLogic = IndicatorLogic.The_indicator_changes_its_direction_downward; break; case "The fast line crosses the slow line upward": IndicatorCrossesAnotherIndicatorUpwardLogic(iFirstBar, iPrvs, Line, Signal, ref Component[1], ref Component[2]); break; case "The fast line crosses the slow line downward": IndicatorCrossesAnotherIndicatorDownwardLogic(iFirstBar, iPrvs, Line, Signal, ref Component[1], ref Component[2]); break; case "The fast line is higher than the slow line": IndicatorIsHigherThanAnotherIndicatorLogic(iFirstBar, iPrvs, Line, Signal, ref Component[1], ref Component[2]); break; case "The fast line is lower than the slow line": IndicatorIsLowerThanAnotherIndicatorLogic(iFirstBar, iPrvs, Line, Signal, ref Component[1], ref Component[2]); break; case "The slow line rises": OscillatorLogic(iFirstBar, iPrvs, Signal, 0, 0, ref Component[1], ref Component[2], IndicatorLogic.The_indicator_rises); break; case "The slow line falls": OscillatorLogic(iFirstBar, iPrvs, Signal, 0, 0, ref Component[1], ref Component[2], IndicatorLogic.The_indicator_falls); break; case "The slow line changes its direction upward": OscillatorLogic(iFirstBar, iPrvs, Signal, 0, 0, ref Component[1], ref Component[2], IndicatorLogic.The_indicator_changes_its_direction_upward); break; case "The slow line changes its direction downward": OscillatorLogic(iFirstBar, iPrvs, Signal, 0, 0, ref Component[1], ref Component[2], IndicatorLogic.The_indicator_changes_its_direction_downward); break; /*case "The slow line is higher than the level line": OscillatorLogic(iFirstBar, iPrvs, Signal, dLevel, dLevel, ref Component[1], ref Component[2], IndicatorLogic.The_indicator_is_higher_than_the_level_line); break; case "The slow line is lower than the level line": OscillatorLogic(iFirstBar, iPrvs, Signal, dLevel, dLevel, ref Component[1], ref Component[2], IndicatorLogic.The_indicator_is_lower_than_the_level_line); break; case "The slow line crosses the level line upward": OscillatorLogic(iFirstBar, iPrvs, Signal, dLevel, dLevel, ref Component[1], ref Component[2], IndicatorLogic.The_indicator_crosses_the_level_line_upward); break; case "The slow line crosses the level line downward": OscillatorLogic(iFirstBar, iPrvs, Signal, dLevel, dLevel, ref Component[1], ref Component[2], IndicatorLogic.The_indicator_crosses_the_level_line_downward); break;*/ default: break; } OscillatorLogic(iFirstBar, iPrvs, Line, 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 "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; } } }