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jhlHurstExponent.cs
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jhlHurstExponent.cs
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#region Using declarations
using System;
using System.ComponentModel;
using System.Diagnostics;
using System.Drawing;
using System.Drawing.Drawing2D;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.Gui.Chart;
#endregion
namespace JHL.Utility {
public class HurstExponent {
private JHL.Utility.FractalDimension _fd;
public HurstExponent(int period)
{
_fd = new JHL.Utility.FractalDimension(period);
}
public double set(double curVal, int barNum)
{
return -(_fd.set(curVal, barNum) - 2.0);
}
}
}
namespace NinjaTrader.Indicator
{
/// <summary>
/// Calculates the Hurst Exponent (H) of a time series. Interpretation is H < 0.5 => mean reverting, H == 0.5 => random, H > 0.5 => trending.
/// </summary>
[Description("Calculates the Hurst Exponent (H) of a time series. Interpretation is H < 0.5 => mean reverting, H == 0.5 => random, H > 0.5 => trending.")]
public class jhlHurstExponent : Indicator
{
#region Variables
private int period = 14;
private JHL.Utility.HurstExponent h;
#endregion
protected override void Initialize()
{
Add(new Plot(Color.Blue, PlotStyle.Dot, "H"));
Add(new Line(Color.DarkOliveGreen, 0.5, "Random"));
PriceTypeSupported = true;
Overlay = false;
CalculateOnBarClose = true; // This indicator supports COBC == false, but cannot be calculated without
} // iterating over past bars, so is not efficient to update per tick.
protected override void OnStartUp()
{
h = new JHL.Utility.HurstExponent(period);
}
protected override void OnBarUpdate()
{
H.Set(h.set(Input[0], CurrentBar));
//DrawTextFixed("tag1", h.set(Input[0], CurrentBar), TextPosition.BottomRight);
}
#region Properties
[Browsable(false)] // this line prevents the property from being displayed in the indicator properties dialog, do not remove
[XmlIgnore()] // this line ensures that the indicator can be saved/recovered as part of a chart template, do not remove
public double value
{
get { this.Update(); return Values[0][0]; }
}
[Browsable(false)] // this line prevents the data series from being displayed in the indicator properties dialog, do not remove
[XmlIgnore()] // this line ensures that the indicator can be saved/recovered as part of a chart template, do not remove
public DataSeries H
{
get { return Values[0]; }
}
[Description("Number of bars in calculation")]
[GridCategory("Parameters")]
public int Periods
{
get { return period; }
set { period = Math.Max(1, value); }
}
#endregion
}
}
#region NinjaScript generated code. Neither change nor remove.
// This namespace holds all indicators and is required. Do not change it.
namespace NinjaTrader.Indicator
{
public partial class Indicator : IndicatorBase
{
private jhlHurstExponent[] cachejhlHurstExponent = null;
private static jhlHurstExponent checkjhlHurstExponent = new jhlHurstExponent();
/// <summary>
/// Calculates the Hurst Exponent (H) of a time series. Interpretation is H < 0.5 => mean reverting, H == 0.5 => random, H > 0.5 => trending.
/// </summary>
/// <returns></returns>
public jhlHurstExponent jhlHurstExponent(int periods)
{
return jhlHurstExponent(Input, periods);
}
/// <summary>
/// Calculates the Hurst Exponent (H) of a time series. Interpretation is H < 0.5 => mean reverting, H == 0.5 => random, H > 0.5 => trending.
/// </summary>
/// <returns></returns>
public jhlHurstExponent jhlHurstExponent(Data.IDataSeries input, int periods)
{
if (cachejhlHurstExponent != null)
for (int idx = 0; idx < cachejhlHurstExponent.Length; idx++)
if (cachejhlHurstExponent[idx].Periods == periods && cachejhlHurstExponent[idx].EqualsInput(input))
return cachejhlHurstExponent[idx];
lock (checkjhlHurstExponent)
{
checkjhlHurstExponent.Periods = periods;
periods = checkjhlHurstExponent.Periods;
if (cachejhlHurstExponent != null)
for (int idx = 0; idx < cachejhlHurstExponent.Length; idx++)
if (cachejhlHurstExponent[idx].Periods == periods && cachejhlHurstExponent[idx].EqualsInput(input))
return cachejhlHurstExponent[idx];
jhlHurstExponent indicator = new jhlHurstExponent();
indicator.BarsRequired = BarsRequired;
indicator.CalculateOnBarClose = CalculateOnBarClose;
#if NT7
indicator.ForceMaximumBarsLookBack256 = ForceMaximumBarsLookBack256;
indicator.MaximumBarsLookBack = MaximumBarsLookBack;
#endif
indicator.Input = input;
indicator.Periods = periods;
Indicators.Add(indicator);
indicator.SetUp();
jhlHurstExponent[] tmp = new jhlHurstExponent[cachejhlHurstExponent == null ? 1 : cachejhlHurstExponent.Length + 1];
if (cachejhlHurstExponent != null)
cachejhlHurstExponent.CopyTo(tmp, 0);
tmp[tmp.Length - 1] = indicator;
cachejhlHurstExponent = tmp;
return indicator;
}
}
}
}
// This namespace holds all market analyzer column definitions and is required. Do not change it.
namespace NinjaTrader.MarketAnalyzer
{
public partial class Column : ColumnBase
{
/// <summary>
/// Calculates the Hurst Exponent (H) of a time series. Interpretation is H < 0.5 => mean reverting, H == 0.5 => random, H > 0.5 => trending.
/// </summary>
/// <returns></returns>
[Gui.Design.WizardCondition("Indicator")]
public Indicator.jhlHurstExponent jhlHurstExponent(int periods)
{
return _indicator.jhlHurstExponent(Input, periods);
}
/// <summary>
/// Calculates the Hurst Exponent (H) of a time series. Interpretation is H < 0.5 => mean reverting, H == 0.5 => random, H > 0.5 => trending.
/// </summary>
/// <returns></returns>
public Indicator.jhlHurstExponent jhlHurstExponent(Data.IDataSeries input, int periods)
{
return _indicator.jhlHurstExponent(input, periods);
}
}
}
// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
public partial class Strategy : StrategyBase
{
/// <summary>
/// Calculates the Hurst Exponent (H) of a time series. Interpretation is H < 0.5 => mean reverting, H == 0.5 => random, H > 0.5 => trending.
/// </summary>
/// <returns></returns>
[Gui.Design.WizardCondition("Indicator")]
public Indicator.jhlHurstExponent jhlHurstExponent(int periods)
{
return _indicator.jhlHurstExponent(Input, periods);
}
/// <summary>
/// Calculates the Hurst Exponent (H) of a time series. Interpretation is H < 0.5 => mean reverting, H == 0.5 => random, H > 0.5 => trending.
/// </summary>
/// <returns></returns>
public Indicator.jhlHurstExponent jhlHurstExponent(Data.IDataSeries input, int periods)
{
if (InInitialize && input == null)
throw new ArgumentException("You only can access an indicator with the default input/bar series from within the 'Initialize()' method");
return _indicator.jhlHurstExponent(input, periods);
}
}
}
#endregion