//============================================================== // 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 BetterBollingerBands : Indicator { public BetterBollingerBands() { IndicatorName = "Better Bollinger Bands"; PossibleSlots = SlotTypes.Open | SlotTypes.OpenFilter | SlotTypes.Close | SlotTypes.CloseFilter; IndicatorAuthor = "Footon"; IndicatorVersion = "2.0"; IndicatorDescription = "Footon's indi corner: custom indicators for FSB and FST."; } public override void Initialize(SlotTypes slotType) { SlotType = slotType; // The ComboBox parameters IndParam.ListParam[0].Caption = "Logic"; if (SlotType == SlotTypes.Open) IndParam.ListParam[0].ItemList = new string[] { "Enter long at the Upper Band", "Enter long at the Lower Band" }; else if (SlotType == SlotTypes.OpenFilter) IndParam.ListParam[0].ItemList = new string[] { "The bar opens below the Upper Band", "The bar opens above the Upper Band", "The bar opens below the Lower Band", "The bar opens above the Lower Band", "The position opens below the Upper Band", "The position opens above the Upper Band", "The position opens below the Lower Band", "The position opens above the Lower Band", "The bar opens below the Upper Band after opening above it", "The bar opens above the Upper Band after opening below it", "The bar opens below the Lower Band after opening above it", "The bar opens above the Lower Band after opening below it" }; else if (SlotType == SlotTypes.Close) IndParam.ListParam[0].ItemList = new string[] { "Exit long at the Upper Band", "Exit long at the Lower Band" }; else if (SlotType == SlotTypes.CloseFilter) IndParam.ListParam[0].ItemList = new string[] { "The bar closes below the Upper Band", "The bar closes above the Upper Band", "The bar closes below the Lower Band", "The bar closes above the Lower Band" }; else IndParam.ListParam[0].ItemList = new string[] { "Not Defined" }; 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 smoothing of central Moving Average."; 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 central Moving Average is based on."; // The NumericUpDown parameters IndParam.NumParam[0].Caption = "Period"; IndParam.NumParam[0].Value = 20; IndParam.NumParam[0].Min = 2; IndParam.NumParam[0].Max = 200; IndParam.NumParam[0].Enabled = true; IndParam.NumParam[0].ToolTip = "The central Moving Average period."; IndParam.NumParam[1].Caption = "Multiplier"; IndParam.NumParam[1].Value = 2; IndParam.NumParam[1].Min = 1; IndParam.NumParam[1].Max = 5; IndParam.NumParam[1].Point = 2; IndParam.NumParam[1].Enabled = true; IndParam.NumParam[1].ToolTip = "Determines the width of Bollinger Bands."; // 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 MAMethod maMethod = (MAMethod)IndParam.ListParam[1].Index; BasePrice price = (BasePrice)IndParam.ListParam[2].Index; int BandsLength = (int)IndParam.NumParam[0].Value; double dMpl = IndParam.NumParam[1].Value; int iPrvs = IndParam.CheckParam[0].Checked ? 1 : 0; // Calculation double[] adPrice = Price(price); double[] MaBuffer = new double[Bars]; double[] adUpBand = new double[Bars]; double[] adDnBand = new double[Bars]; double[,] tBuffer = new double[Bars,4]; //double[] j2lg = new double[Bars]; int iFirstBar = 2+iPrvs; int iMt1 = 0; int iMt2 = 1; int iUt1 = 2; int iUt2 = 3; double alpha = 2.0/(BandsLength+1.0); for (int iBar = 2, r=iBar-1; iBar < Bars; iBar++, r++) { tBuffer[r,iMt1] = tBuffer[r-1,iMt1] + alpha*(adPrice[iBar] -tBuffer[r-1,iMt1]); tBuffer[r,iUt1] = tBuffer[r-1,iUt1] + alpha*(tBuffer[r,iMt1]-tBuffer[r-1,iUt1]); double dt = ((2-alpha)*tBuffer[r,iMt1]-tBuffer[r,iUt1])/(1-alpha); tBuffer[r,iMt2] = tBuffer[r-1,iMt2] + alpha*(Math.Abs(adPrice[iBar]-dt)-tBuffer[r-1,iMt2]); tBuffer[r,iUt2] = tBuffer[r-1,iUt2] + alpha*(tBuffer[r,iMt2] -tBuffer[r-1,iUt2]); double dt2 = ((2-alpha)*tBuffer[r,iMt2]-tBuffer[r,iUt2])/(1-alpha); adUpBand[iBar] = dt+dMpl*dt2; adDnBand[iBar] = dt-dMpl*dt2; MaBuffer[iBar] = dt; } // Saving the components Component = new IndicatorComp[5]; Component[0] = new IndicatorComp(); Component[0].CompName = "Upper Band"; Component[0].DataType = IndComponentType.IndicatorValue; Component[0].ChartType = IndChartType.Line; Component[0].ChartColor = Color.Blue; Component[0].FirstBar = iFirstBar; Component[0].Value = adUpBand; Component[1] = new IndicatorComp(); Component[1].CompName = "Moving Average"; Component[1].DataType = IndComponentType.IndicatorValue; Component[1].ChartType = IndChartType.Line; Component[1].ChartColor = Color.Gold; Component[1].FirstBar = iFirstBar; Component[1].Value = MaBuffer; Component[2] = new IndicatorComp(); Component[2].CompName = "Lower Band"; Component[2].DataType = IndComponentType.IndicatorValue; Component[2].ChartType = IndChartType.Line; Component[2].ChartColor = Color.Blue; Component[2].FirstBar = iFirstBar; Component[2].Value = adDnBand; Component[3] = new IndicatorComp(); Component[3].ChartType = IndChartType.NoChart; Component[3].FirstBar = iFirstBar; Component[3].Value = new double[Bars]; Component[4] = new IndicatorComp(); Component[4].ChartType = IndChartType.NoChart; Component[4].FirstBar = iFirstBar; Component[4].Value = new double[Bars]; // Sets the Component's type. if (SlotType == SlotTypes.Open) { Component[3].DataType = IndComponentType.OpenLongPrice; Component[3].CompName = "Long position entry price"; Component[4].DataType = IndComponentType.OpenShortPrice; Component[4].CompName = "Short position entry price"; } else if (SlotType == SlotTypes.OpenFilter) { Component[3].DataType = IndComponentType.AllowOpenLong; Component[3].CompName = "Is long entry allowed"; Component[4].DataType = IndComponentType.AllowOpenShort; Component[4].CompName = "Is short entry allowed"; } else if (SlotType == SlotTypes.Close) { Component[3].DataType = IndComponentType.CloseLongPrice; Component[3].CompName = "Long position closing price"; Component[4].DataType = IndComponentType.CloseShortPrice; Component[4].CompName = "Short position closing price"; } else if (SlotType == SlotTypes.CloseFilter) { Component[3].DataType = IndComponentType.ForceCloseLong; Component[3].CompName = "Close out long position"; Component[4].DataType = IndComponentType.ForceCloseShort; Component[4].CompName = "Close out short position"; } if (SlotType == SlotTypes.Open || SlotType == SlotTypes.Close) { if (BandsLength > 1) { for (int iBar = iFirstBar; iBar < Bars; iBar++) { // Covers the cases when the price can pass through the band without a signal. double dOpen = Open[iBar]; // Current open price // Upper band double dValueUp = adUpBand[iBar - iPrvs]; // Current value double dValueUp1 = adUpBand[iBar - iPrvs - 1]; // Previous value double dTempValUp = dValueUp; if ((dValueUp1 > High[iBar - 1] && dValueUp < dOpen) || // The Open price jumps above the indicator (dValueUp1 < Low[iBar - 1] && dValueUp > dOpen) || // The Open price jumps below the indicator (Close[iBar - 1] < dValueUp && dValueUp < dOpen) || // The Open price is in a positive gap (Close[iBar - 1] > dValueUp && dValueUp > dOpen)) // The Open price is in a negative gap dTempValUp = dOpen; // The entry/exit level is moved to Open price // Lower band double dValueDown = adDnBand[iBar - iPrvs]; // Current value double dValueDown1 = adDnBand[iBar - iPrvs - 1]; // Previous value double dTempValDown = dValueDown; if ((dValueDown1 > High[iBar - 1] && dValueDown < dOpen) || // The Open price jumps above the indicator (dValueDown1 < Low[iBar - 1] && dValueDown > dOpen) || // The Open price jumps below the indicator (Close[iBar - 1] < dValueDown && dValueDown < dOpen) || // The Open price is in a positive gap (Close[iBar - 1] > dValueDown && dValueDown > dOpen)) // The Open price is in a negative gap dTempValDown = dOpen; // The entry/exit level is moved to Open price if (IndParam.ListParam[0].Text == "Enter long at the Upper Band" || IndParam.ListParam[0].Text == "Exit long at the Upper Band") { Component[3].Value[iBar] = dTempValUp; Component[4].Value[iBar] = dTempValDown; } else { Component[3].Value[iBar] = dTempValDown; Component[4].Value[iBar] = dTempValUp; } } } else { for (int iBar = 2; iBar < Bars; iBar++) { if (IndParam.ListParam[0].Text == "Enter long at the Upper Band" || IndParam.ListParam[0].Text == "Exit long at the Upper Band") { Component[3].Value[iBar] = adUpBand[iBar - iPrvs]; Component[4].Value[iBar] = adDnBand[iBar - iPrvs]; } else { Component[3].Value[iBar] = adDnBand[iBar - iPrvs]; Component[4].Value[iBar] = adUpBand[iBar - iPrvs]; } } } } else { switch (IndParam.ListParam[0].Text) { case "The bar opens below the Upper Band": BandIndicatorLogic(iFirstBar, iPrvs, adUpBand, adDnBand, ref Component[3], ref Component[4], BandIndLogic.The_bar_opens_below_the_Upper_Band); break; case "The bar opens above the Upper Band": BandIndicatorLogic(iFirstBar, iPrvs, adUpBand, adDnBand, ref Component[3], ref Component[4], BandIndLogic.The_bar_opens_above_the_Upper_Band); break; case "The bar opens below the Lower Band": BandIndicatorLogic(iFirstBar, iPrvs, adUpBand, adDnBand, ref Component[3], ref Component[4], BandIndLogic.The_bar_opens_below_the_Lower_Band); break; case "The bar opens above the Lower Band": BandIndicatorLogic(iFirstBar, iPrvs, adUpBand, adDnBand, ref Component[3], ref Component[4], BandIndLogic.The_bar_opens_above_the_Lower_Band); break; case "The bar opens below the Upper Band after opening above it": BandIndicatorLogic(iFirstBar, iPrvs, adUpBand, adDnBand, ref Component[3], ref Component[4], BandIndLogic.The_bar_opens_below_the_Upper_Band_after_opening_above_it); break; case "The bar opens above the Upper Band after opening below it": BandIndicatorLogic(iFirstBar, iPrvs, adUpBand, adDnBand, ref Component[3], ref Component[4], BandIndLogic.The_bar_opens_above_the_Upper_Band_after_opening_below_it); break; case "The bar opens below the Lower Band after opening above it": BandIndicatorLogic(iFirstBar, iPrvs, adUpBand, adDnBand, ref Component[3], ref Component[4], BandIndLogic.The_bar_opens_below_the_Lower_Band_after_opening_above_it); break; case "The bar opens above the Lower Band after opening below it": BandIndicatorLogic(iFirstBar, iPrvs, adUpBand, adDnBand, ref Component[3], ref Component[4], BandIndLogic.The_bar_opens_above_the_Lower_Band_after_opening_below_it); break; case "The position opens above the Upper Band": Component[0].PosPriceDependence = PositionPriceDependence.PriceBuyHigher; Component[2].PosPriceDependence = PositionPriceDependence.PriceSellLower; Component[0].UsePreviousBar = iPrvs; Component[2].UsePreviousBar = iPrvs; Component[3].DataType = IndComponentType.Other; Component[4].DataType = IndComponentType.Other; Component[3].ShowInDynInfo = false; Component[4].ShowInDynInfo = false; break; case "The position opens below the Upper Band": Component[0].PosPriceDependence = PositionPriceDependence.PriceBuyLower; Component[2].PosPriceDependence = PositionPriceDependence.PriceSellHigher; Component[0].UsePreviousBar = iPrvs; Component[2].UsePreviousBar = iPrvs; Component[3].DataType = IndComponentType.Other; Component[4].DataType = IndComponentType.Other; Component[3].ShowInDynInfo = false; Component[4].ShowInDynInfo = false; break; case "The position opens above the Lower Band": Component[0].PosPriceDependence = PositionPriceDependence.PriceSellLower; Component[2].PosPriceDependence = PositionPriceDependence.PriceBuyHigher; Component[0].UsePreviousBar = iPrvs; Component[2].UsePreviousBar = iPrvs; Component[3].DataType = IndComponentType.Other; Component[4].DataType = IndComponentType.Other; Component[3].ShowInDynInfo = false; Component[4].ShowInDynInfo = false; break; case "The position opens below the Lower Band": Component[0].PosPriceDependence = PositionPriceDependence.PriceSellHigher; Component[2].PosPriceDependence = PositionPriceDependence.PriceBuyLower; Component[0].UsePreviousBar = iPrvs; Component[2].UsePreviousBar = iPrvs; Component[3].DataType = IndComponentType.Other; Component[4].DataType = IndComponentType.Other; Component[3].ShowInDynInfo = false; Component[4].ShowInDynInfo = false; break; case "The bar closes below the Upper Band": BandIndicatorLogic(iFirstBar, iPrvs, adUpBand, adDnBand, ref Component[3], ref Component[4], BandIndLogic.The_bar_closes_below_the_Upper_Band); break; case "The bar closes above the Upper Band": BandIndicatorLogic(iFirstBar, iPrvs, adUpBand, adDnBand, ref Component[3], ref Component[4], BandIndLogic.The_bar_closes_above_the_Upper_Band); break; case "The bar closes below the Lower Band": BandIndicatorLogic(iFirstBar, iPrvs, adUpBand, adDnBand, ref Component[3], ref Component[4], BandIndLogic.The_bar_closes_below_the_Lower_Band); break; case "The bar closes above the Lower Band": BandIndicatorLogic(iFirstBar, iPrvs, adUpBand, adDnBand, ref Component[3], ref Component[4], BandIndLogic.The_bar_closes_above_the_Lower_Band); break; default: break; } } return; } ///

/// Sets the indicator logic description ///

public override void SetDescription() { switch (IndParam.ListParam[0].Text) { case "Enter long at the Upper Band": EntryPointLongDescription = "at the Upper Band of " + ToString(); EntryPointShortDescription = "at the Lower Band of " + ToString(); break; case "Enter long at the Lower Band": EntryPointLongDescription = "at the Lower Band of " + ToString(); EntryPointShortDescription = "at the Upper Band of " + ToString(); break; case "Exit long at the Upper Band": ExitPointLongDescription = "at the Upper Band of " + ToString(); ExitPointShortDescription = "at the Lower Band of " + ToString(); break; case "Exit long at the Lower Band": ExitPointLongDescription = "at the Lower Band of " + ToString(); ExitPointShortDescription = "at the Upper Band of " + ToString(); break; case "The bar opens below the Upper Band": EntryFilterLongDescription = "the bar opens below the Upper Band of " + ToString(); EntryFilterShortDescription = "the bar opens above the Lower Band of " + ToString(); break; case "The bar opens above the Upper Band": EntryFilterLongDescription = "the bar opens above the Upper Band of " + ToString(); EntryFilterShortDescription = "the bar opens below the Lower Band of " + ToString(); break; case "The bar opens below the Lower Band": EntryFilterLongDescription = "the bar opens below the Lower Band of " + ToString(); EntryFilterShortDescription = "the bar opens above the Upper Band of " + ToString(); break; case "The bar opens above the Lower Band": EntryFilterLongDescription = "the bar opens above the Lower Band of " + ToString(); EntryFilterShortDescription = "the bar opens below the Upper Band of " + ToString(); break; case "The bar opens below the Upper Band after opening above it": EntryFilterLongDescription = "the bar opens below the Upper Band of " + ToString() + " after the previous bar has opened above it"; EntryFilterShortDescription = "the bar opens above the Lower Band of " + ToString() + " after the previous bar has opened below it"; break; case "The bar opens above the Upper Band after opening below it": EntryFilterLongDescription = "the bar opens above the Upper Band of " + ToString() + " after the previous bar has opened below it"; EntryFilterShortDescription = "the bar opens below the Lower Band of " + ToString() + " after the previous bar has opened above it"; break; case "The bar opens below the Lower Band after opening above it": EntryFilterLongDescription = "the bar opens below the Lower Band of " + ToString() + " after the previous bar has opened above it"; EntryFilterShortDescription = "the bar opens above the Upper Band of " + ToString() + " after the previous bar has opened below it"; break; case "The bar opens above the Lower Band after opening below it": EntryFilterLongDescription = "the bar opens above the Lower Band of " + ToString() + " after the previous bar has opened below it"; EntryFilterShortDescription = "the bar opens below the Upper Band of " + ToString() + " after the previous bar has opened above it"; break; case "The bar closes below the Upper Band": ExitFilterLongDescription = "the bar closes below the Upper Band of " + ToString(); ExitFilterShortDescription = "the bar closes above the Lower Band of " + ToString(); break; case "The bar closes above the Upper Band": ExitFilterLongDescription = "the bar closes above the Upper Band of " + ToString(); ExitFilterShortDescription = "the bar closes below the Lower Band of " + ToString(); break; case "The bar closes below the Lower Band": ExitFilterLongDescription = "the bar closes below the Lower Band of " + ToString(); ExitFilterShortDescription = "the bar closes above the Upper Band of " + ToString(); break; case "The bar closes above the Lower Band": ExitFilterLongDescription = "the bar closes above the Lower Band of " + ToString(); ExitFilterShortDescription = "the bar closes below the Upper Band of " + ToString(); break; default: break; } return; } ///

/// Indicator to string ///

public override string ToString() { string sString = IndicatorName + (IndParam.CheckParam[0].Checked ? "* (" : " (") + IndParam.ListParam[1].Text + ", " + // Method IndParam.ListParam[2].Text + ", " + // Price IndParam.NumParam[0].ValueToString + ", " + // MA period IndParam.NumParam[1].ValueToString + ")"; // Multiplier return sString; } } }