/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(TradeBar input)
{
if (!_averageTrueRange.Update(input))
{
_previousClose = input.Close;
return(0m);
}
_currentClose = input.Close;
BasicLowerBand = ((input.High + input.Low) / 2) - (_multiplier * _averageTrueRange.Current.Value);
BasicUpperBand = ((input.High + input.Low) / 2) + (_multiplier * _averageTrueRange.Current.Value);
CurrentTrailingLowerBand = ((BasicLowerBand > _previousTrailingLowerBand) || (_previousClose < _previousTrailingLowerBand)) ? BasicLowerBand : _previousTrailingLowerBand;
CurrentTrailingUpperBand = ((BasicUpperBand < _previousTrailingUpperBand) || (_previousClose > _previousTrailingUpperBand)) ? BasicUpperBand : _previousTrailingUpperBand;
if ((_prevSuper == -1) || (_prevSuper == _previousTrailingUpperBand))
{
_superTrend = (_currentClose <= CurrentTrailingUpperBand) ? CurrentTrailingUpperBand : CurrentTrailingLowerBand;
}
else if (_prevSuper == _previousTrailingLowerBand)
{
_superTrend = (_currentClose >= CurrentTrailingLowerBand) ? CurrentTrailingLowerBand : CurrentTrailingUpperBand;
}
// Save the values to be used in next iteration.
_previousClose = _currentClose;
_prevSuper = _superTrend;
_previousTrailingLowerBand = CurrentTrailingLowerBand;
_previousTrailingUpperBand = CurrentTrailingUpperBand;
return(_superTrend);
}
protected override decimal ComputeNextValue(IBaseDataBar input)
{
_low.Update(input.EndTime, input.Low);
_atr.Update(input);
return((input.High - _low) / (_atr * _sqrtPeriod));
}
/// <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);
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(IBaseDataBar input)
{
_tr.Update(input);
if (!IsReady)
{
_atr.Update(input);
return(input.Close != 0 ? _atr / input.Close * 100 : 0m);
}
if (Samples == _period + 1)
{
// first output value is SMA of TrueRange
_atr.Update(input);
_lastAtrValue = _atr;
}
else
{
// next TrueRange values are smoothed using Wilder's approach
_lastAtrValue = (_lastAtrValue * (_period - 1) + _tr) / _period;
}
return(input.Close != 0 ? _lastAtrValue / input.Close * 100 : 0m);
}
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);
}
/// <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());
}
