/// <summary>
/// Initializes a new instance of the <see cref="NormalizedAverageTrueRange"/> class using the specified name and period.
/// </summary>
/// <param name="name">The name of this indicator</param>
/// <param name="period">The period of the NATR</param>
public NormalizedAverageTrueRange(string name, int period) :
base(name)
{
_period = period;
_tr = new TrueRange(name + "_TR");
_atr = new AverageTrueRange(name + "_ATR", period, MovingAverageType.Simple);
}
/// <summary>
/// Initializes a new instance of the <see cref="NormalizedAverageTrueRange"/> class using the specified name and period.
/// </summary>
/// <param name="name">The name of this indicator</param>
/// <param name="period">The period of the NATR</param>
public NormalizedAverageTrueRange(string name, int period) :
base(name)
{
_period = period;
_tr = new TrueRange(name + "_TR");
_atr = new AverageTrueRange(name + "_ATR", period, MovingAverageType.Simple);
}
/// <summary>
/// Resets this indicator to its initial state
/// </summary>
public override void Reset()
{
AverageTrueRange.Reset();
MiddleBand.Reset();
UpperBand.Reset();
LowerBand.Reset();
base.Reset();
}
/// <summary>
/// Creates a new SuperTrend indicator using the specified name, period, multiplier and moving average type
/// </summary>
/// <param name="name">The name of this indicator</param>
/// <param name="period">The smoothing period used by average true range</param>
/// <param name="multiplier">The coefficient used in calculations of basic upper and lower bands</param>
/// <param name="movingAverageType">The type of smoothing used to smooth the true range values</param>
public SuperTrend(string name, int period, decimal multiplier, MovingAverageType movingAverageType = MovingAverageType.Wilders)
: base(name)
{
_averageTrueRange = new AverageTrueRange(period, movingAverageType);
_multiplier = multiplier;
_period = period;
_prevSuper = -1;
}
public RandomWalkIndexHigh(string name, int period) : base(name)
{
_period = period;
_sqrtPeriod = (decimal)Math.Sqrt(_period);
_low = new Delay(name + "_Low", _period);
_atr = new AverageTrueRange(name + "_ATR", _period);
}
/// <summary>
/// Computes the next value for this indicator from the given state.
/// </summary>
/// <param name="input">The TradeBar to this indicator on this time step</param>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(IBaseDataBar input)
{
AverageTrueRange.Update(input);
var typicalPrice = (input.High + input.Low + input.Close) / 3m;
MiddleBand.Update(input.Time, typicalPrice);
// poke the upper/lower bands, they actually don't use the input, they compute
// based on the ATR and the middle band
LowerBand.Update(input);
UpperBand.Update(input);
return(MiddleBand);
}
/// <summary>
/// Computes the next value for this indicator from the given state.
/// </summary>
/// <param name="input">The TradeBar to this indicator on this time step</param>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(TradeBar input)
{
AverageTrueRange.Update(input);
var typicalPrice = (input.High + input.Low + input.Close) / 3m;
MiddleBand.Update(input.Time, typicalPrice);
Console.WriteLine(input.Time.ToString("yyyymmdd") + "\t" + typicalPrice.SmartRounding() + "\t" + MiddleBand.Current.Value.SmartRounding());
// poke the upper/lower bands, they actually don't use the input, they compute
// based on the ATR and the middle band
LowerBand.Update(input);
UpperBand.Update(input);
return(MiddleBand);
}
public void TrueRangePropertyIsReadyAfterOneSample()
{
var atr = new AverageTrueRange(14, MovingAverageType.Simple);
Assert.IsFalse(atr.TrueRange.IsReady);
atr.Update(new TradeBar
{
Time = DateTime.Today,
Open = 1m,
High = 3m,
Low = .5m,
Close = 2.75m,
Volume = 1234567890
});
Assert.IsTrue(atr.TrueRange.IsReady);
}
public void ResetsProperly()
{
var atr = new AverageTrueRange(14, MovingAverageType.Simple);
atr.Update(new TradeBar
{
Time = DateTime.Today,
Open = 1m,
High = 3m,
Low = .5m,
Close = 2.75m,
Volume = 1234567890
});
atr.Reset();
TestHelper.AssertIndicatorIsInDefaultState(atr);
TestHelper.AssertIndicatorIsInDefaultState(atr.TrueRange);
}
public void ComparesAgainstExternalData()
{
var atr = new AverageTrueRange(14, MovingAverageType.Simple);
TestHelper.TestIndicator(atr, "spy_atr.txt", "Average True Range 14");
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
public override void Initialize()
{
// initialize algorithm level parameters
SetStartDate(2013, 10, 07);
SetEndDate(2013, 10, 11);
//SetStartDate(2014, 01, 01);
//SetEndDate(2014, 06, 01);
SetCash(100000);
// leverage tradier $1 traders
SetBrokerageModel(BrokerageName.TradierBrokerage);
// request high resolution equity data
AddSecurity(SecurityType.Equity, Symbol, Resolution.Second);
// save off our security so we can reference it quickly later
Security = Securities[Symbol];
// Set our max leverage
Security.SetLeverage(MaximumLeverage);
// define our longer term indicators
ADX14 = ADX(Symbol, 28, Resolution.Hour);
STD14 = STD(Symbol, 14, Resolution.Daily);
ATR14 = ATR(Symbol, 14, resolution: Resolution.Daily);
PSARMin = new ParabolicStopAndReverse(Symbol, afStart: 0.0001m, afIncrement: 0.0001m);
// smooth our ATR over a week, we'll use this to determine if recent volatilty warrants entrance
var oneWeekInMarketHours = (int)(5*6.5);
SmoothedATR14 = new ExponentialMovingAverage("Smoothed_" + ATR14.Name, oneWeekInMarketHours).Of(ATR14);
// smooth our STD over a week as well
SmoothedSTD14 = new ExponentialMovingAverage("Smoothed_"+STD14.Name, oneWeekInMarketHours).Of(STD14);
// initialize our charts
var chart = new Chart(Symbol);
chart.AddSeries(new Series(ADX14.Name));
chart.AddSeries(new Series("Enter", SeriesType.Scatter));
chart.AddSeries(new Series("Exit", SeriesType.Scatter));
chart.AddSeries(new Series(PSARMin.Name, SeriesType.Scatter));
AddChart(chart);
var history = History(Symbol, 20, Resolution.Daily);
foreach (var bar in history)
{
ADX14.Update(bar);
ATR14.Update(bar);
STD14.Update(bar.EndTime, bar.Close);
}
// schedule an event to run every day at five minutes after our Symbol's market open
Schedule.Event("MarketOpenSpan")
.EveryDay(Symbol)
.AfterMarketOpen(Symbol, minutesAfterOpen: OpeningSpanInMinutes)
.Run(MarketOpeningSpanHandler);
Schedule.Event("MarketOpen")
.EveryDay(Symbol)
.AfterMarketOpen(Symbol, minutesAfterOpen: -1)
.Run(() => PSARMin.Reset());
}
