public override void ResetsProperly()
{
var cci = new CommodityChannelIndex(2);
cci.Update(new TradeBar
{
Symbol = Symbols.SPY,
Time = DateTime.Today,
Open = 3m,
High = 7m,
Low = 2m,
Close = 5m,
Volume = 10
});
Assert.IsFalse(cci.IsReady);
cci.Update(new TradeBar
{
Symbol = Symbols.SPY,
Time = DateTime.Today.AddSeconds(1),
Open = 3m,
High = 7m,
Low = 2m,
Close = 5m,
Volume = 10
});
Assert.IsTrue(cci.IsReady);
cci.Reset();
TestHelper.AssertIndicatorIsInDefaultState(cci);
TestHelper.AssertIndicatorIsInDefaultState(cci.TypicalPriceAverage);
TestHelper.AssertIndicatorIsInDefaultState(cci.TypicalPriceMeanDeviation);
}
protected override void Initialize()
{
trendMagic = Robot.Indicators.GetIndicator<TrendMagicIndicator>(TmCciPeriod, TmAtrPeriod);
_cci = Robot.Indicators.CommodityChannelIndex(TmCciPeriod);
}
public void ResetsProperly()
{
var cci = new CommodityChannelIndex(2);
cci.Update(DateTime.Today, new TradeBarValue {
Open = 3d,
High = 7d,
Low = 2d,
Close = 5d,
Volume = 10
});
Assert.IsFalse(cci.IsReady);
cci.Update(DateTime.Today.AddSeconds(1), new TradeBarValue {
Open = 3d,
High = 7d,
Low = 2d,
Close = 5d,
Volume = 10
});
Assert.IsTrue(cci.IsReady);
cci.Reset();
TestHelper.AssertIndicatorIsInDefaultState(cci);
TestHelper.AssertIndicatorIsInDefaultState(cci.TypicalPriceAverage);
TestHelper.AssertIndicatorIsInDefaultState(cci.TypicalPriceMeanDeviation);
}
public void ResetsProperly()
{
var cci = new CommodityChannelIndex(2);
cci.Update(new TradeBar
{
Ticker = Props.TickerSymbol,
Occured = DateTime.Today,
Open = 3m,
High = 7m,
Low = 2m,
Close = 5m,
Volume = 10,
TimeZone = TimeZone.Utc
});
Assert.False(cci.IsReady);
cci.Update(new TradeBar
{
Ticker = Props.TickerSymbol,
Occured = DateTime.Today.AddSeconds(1),
Open = 3m,
High = 7m,
Low = 2m,
Close = 5m,
Volume = 10,
TimeZone = TimeZone.Utc
});
Assert.True(cci.IsReady);
cci.Reset();
TestHelper.AssertIndicatorIsInDefaultState(cci);
TestHelper.AssertIndicatorIsInDefaultState(cci.TypicalPriceAverage);
TestHelper.AssertIndicatorIsInDefaultState(cci.TypicalPriceMeanDeviation);
}
//******************************************
protected override void Initialize()
{
//**************************************
LR_Slope = Indicators.LinearRegressionSlope(MarketSeries.Close, 12);
MA20 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 20);
MA50 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 50);
MA100 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 100);
LTF_Candle = MarketData.GetSeries(LTF);
MTF_Candle = MarketData.GetSeries(MTF);
STF_Candle = MarketData.GetSeries(STF);
//**************************************
///////////////////////////////////////////////////////////
// Initialize and create nested indicators
MA = Indicators.MovingAverage(MarketSeries.Close, MA_Periods, MovingAverageType.Exponential);
// Initalize RSI
RSI = Indicators.RelativeStrengthIndex(MarketSeries.Close, RSI_Periods);
// Initalize CCI
CCI = Indicators.CommodityChannelIndex(MarketSeries, CCI_Periods);
thecount = MarketSeries.Close.Count;
Print("theCount = " + thecount);
}
protected override void Initialize()
{
// Initialize and create nested indicators
CCI = Indicators.CommodityChannelIndex(CCI_Period);
atr = CreateDataSeries();
tr = CreateDataSeries();
tri = Indicators.TrueRange();
}
/// <summary>
/// Creates a new CommodityChannelIndex indicator. The indicator will be automatically
/// updated on the given resolution.
/// </summary>
/// <param name="symbol">The symbol whose CCI we want</param>
/// <param name="period">The period over which to compute the CCI</param>
/// <param name="movingAverageType">The type of moving average to use in computing the typical price averge</param>
/// <param name="resolution">The resolution</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar</param>
/// <returns>The CommodityChannelIndex indicator for the requested symbol over the specified period</returns>
public CommodityChannelIndex CCI(string symbol, int period, MovingAverageType movingAverageType = MovingAverageType.Simple, Resolution?resolution = null, Func <BaseData, TradeBar> selector = null)
{
var name = CreateIndicatorName(symbol, "CCI" + period, resolution);
var cci = new CommodityChannelIndex(name, period, movingAverageType);
RegisterIndicator(symbol, cci, resolution, selector);
return(cci);
}
protected override void Initialize()
{
// Initialize and create nested indicators
CCI = Indicators.CommodityChannelIndex(CCI_Period);
atr = CreateDataSeries();
tr = CreateDataSeries();
tri = Indicators.TrueRange();
}
public override void Initialize()
{
SetCash(10000);
SetStartDate(2007, 1, 1);
SetEndDate(DateTime.Now);
// Request SPY data with minute resolution
AddSecurity(SecurityType.Equity, Symbol, Resolution.Daily);
_ama = new KaufmanAdaptiveMovingAverage(Symbol, 5);
_cci = new CommodityChannelIndex(5, MovingAverageType.Kama);
_atr = new AverageTrueRange(Symbol, 14, MovingAverageType.Kama);
SetWarmup(3);
}
protected override void Init()
{
_period = Timeframe;
commodt = Instrument.Name;
CCIindSlow = GetIndicator <CommodityChannelIndex>(
Instrument.Id,
_period,
A_period,
_priceMode
);
CCIindFast = GetIndicator <CommodityChannelIndex>(
Instrument.Id,
_period,
B_period,
_priceMode
);
}
protected override void OnStart()
{
base.OnStart();
botLabel = string.Format("{0}-{1} {2}", botPrefix, Symbol.Code, TimeFrame);
Print(this.botName());
wpr = Indicators.GetIndicator <WilliamsPercentRange>(wprSource, wprPeriod, wprOverbuyCeil, wprOversellCeil, WprMagicNumber, wprMinMaxPeriod, wprExceedMinMax);
// ZigZag Kwan MBFX Timing ou Beta
zigzagKwanMBFXTiming = Indicators.GetIndicator <ZigzagKwanMBFXTiming>(mbfxLen, mbfxFilter);
zigZag = Indicators.GetIndicator <ZigZag>(ZzDepth, ZzDeviation, ZzBackStep);
trendMagic = Indicators.GetIndicator <TrendMagic>(TMCciPeriod, TMAtrPeriod);
_cci = Indicators.CommodityChannelIndex(TMCciPeriod);
Positions.Opened += OnPositionOpened;
Positions.Closed += OnPositionClosed;
}
protected override void OnStart()
{
_cci = Indicators.CommodityChannelIndex(Periods);
}
public void ComparesAgainstExternalData()
{
var cci = new CommodityChannelIndex(14);
TestHelper.TestIndicator(cci, "spy_with_cci.txt", "Commodity Channel Index (CCI) 14", 1e-2);
}
protected override void Initialize()
{
cci = Indicators.CommodityChannelIndex(CciPeriod);
}
protected override void Initialize()
{
cci = Indicators.CommodityChannelIndex(CciPeriod);
}
public CCISignal(CommodityChannelIndex cci, SecurityHolding securityHolding)
{
_cci = cci;
_securityHolding = securityHolding;
}
protected override void Initialize()
{
trendMagic = Robot.Indicators.GetIndicator <TrendMagicIndicator>(TmCciPeriod, TmAtrPeriod);
_cci = Robot.Indicators.CommodityChannelIndex(TmCciPeriod);
}
protected override void Initialize()
{
cci = Indicators.CommodityChannelIndex(Period);
value1 = CreateDataSeries();
}
protected override void OnStart()
{
_cci = Indicators.CommodityChannelIndex(Periods);
}
public override void Calculate(IDataSet dataSet)
{
DataSet = dataSet;
// Reading the parameters
var basePrice = (BasePrice)IndParam.ListParam[2].Index;
var referencePeriod = (int)IndParam.NumParam[2].Value;
int previous = IndParam.CheckParam[0].Checked ? 1 : 0;
// Calculation
// ---------------------------------------------------------
var cci = new CommodityChannelIndex();
cci.Initialize(SlotType);
cci.IndParam.ListParam[1].Index = IndParam.ListParam[1].Index;
cci.IndParam.ListParam[2].Index = IndParam.ListParam[2].Index;
cci.IndParam.NumParam[0].Value = IndParam.NumParam[0].Value;
cci.IndParam.NumParam[2].Value = IndParam.NumParam[1].Value;
cci.IndParam.CheckParam[0].Checked = IndParam.CheckParam[0].Checked;
cci.Calculate(DataSet);
double[] indicatorMa = MovingAverage(referencePeriod, previous, MAMethod.Simple, cci.Component[0].Value);
double[] marketMa = MovingAverage(referencePeriod, previous, MAMethod.Simple, Price(basePrice));
// ----------------------------------------------------------
int firstBar = cci.Component[0].FirstBar + referencePeriod + 2;
var cd = new double[Bars];
if (IndParam.ListParam[0].Text == "Convergence")
{
for (int bar = firstBar; bar < Bars; bar++)
{
cd[bar] = IsConvergence(indicatorMa, marketMa, bar);
}
}
else if (IndParam.ListParam[0].Text == "Divergence")
{
for (int bar = firstBar; bar < Bars; bar++)
{
cd[bar] = IsDivergence(indicatorMa, marketMa, bar);
}
}
// Saving the components
Component = new IndicatorComp[4];
Component[0] = new IndicatorComp
{
CompName = "CCI",
DataType = IndComponentType.IndicatorValue,
ChartType = IndChartType.Line,
ChartColor = Color.RoyalBlue,
FirstBar = firstBar,
Value = cci.Component[0].Value
};
Component[1] = new IndicatorComp
{
CompName = "CCI MA",
DataType = IndComponentType.IndicatorValue,
ChartType = IndChartType.Line,
ChartColor = Color.Red,
FirstBar = firstBar,
Value = indicatorMa
};
Component[2] = new IndicatorComp
{
ChartType = IndChartType.NoChart,
FirstBar = firstBar,
Value = cd
};
Component[3] = new IndicatorComp
{
ChartType = IndChartType.NoChart,
FirstBar = firstBar,
Value = cd
};
// Sets the Component's type
if (SlotType == SlotTypes.OpenFilter)
{
Component[2].DataType = IndComponentType.AllowOpenLong;
Component[2].CompName = "Is long entry allowed";
Component[3].DataType = IndComponentType.AllowOpenShort;
Component[3].CompName = "Is short entry allowed";
}
else if (SlotType == SlotTypes.CloseFilter)
{
Component[2].DataType = IndComponentType.ForceCloseLong;
Component[2].CompName = "Close out long position";
Component[3].DataType = IndComponentType.ForceCloseShort;
Component[3].CompName = "Close out short position";
}
}
protected override void OnStart()
{
i_MACD = Indicators.MacdHistogram(MarketSeries.Close, (int)_MACD_Slow_EMA, (int)_MACD_Fast_EMA, (int)_MACD_Signal);
i_CCI_0 = Indicators.CommodityChannelIndex((int)_CCI_Period);
i_CCI_1 = Indicators.CommodityChannelIndex((int)_CCI_Period);
}
protected override void Initialize()
{
cci = Indicators.CommodityChannelIndex(Period);
value1 = CreateDataSeries();
}
protected override void Initialize()
{
cci = Indicators.CommodityChannelIndex(CCI_period);
cciline = Indicators.CommodityChannelIndex(CCI_period);
}
public override void Calculate(IDataSet dataSet)
{
DataSet = dataSet;
// Reading the parameters
var maMethod = (MAMethod)IndParam.ListParam[2].Index;
var periodCci = (int)IndParam.NumParam[0].Value;
var periodMa = (int)IndParam.NumParam[1].Value;
var level = (int)IndParam.NumParam[2].Value;
int previous = IndParam.CheckParam[0].Checked ? 1 : 0;
SpecialValues = new double[] { -level, level };
// Calculation
int firstBar = periodCci + periodMa + 2;
var cciIndicator = new CommodityChannelIndex();
cciIndicator.Initialize(SlotType);
cciIndicator.IndParam.ListParam[1].Index = IndParam.ListParam[1].Index;
cciIndicator.IndParam.ListParam[2].Index = IndParam.ListParam[3].Index;
cciIndicator.IndParam.NumParam[0].Value = IndParam.NumParam[0].Value;
cciIndicator.IndParam.CheckParam[0].Checked = IndParam.CheckParam[0].Checked;
cciIndicator.Calculate(DataSet);
double[] cci = cciIndicator.Component[0].Value;
double[] maCci = MovingAverage(periodMa, 0, maMethod, cci);
double[] buyZone = new double[Bars];
double[] sellZone = new double[Bars];
for (int bar = firstBar; bar < Bars; bar++)
{
if (buyZone[bar - 1] > Epsilon && maCci[bar] < -level)
{
// Continue Buy zone
buyZone[bar] = 1;
continue;
}
if (sellZone[bar - 1] > Epsilon && maCci[bar] > level)
{
// Continue Sell zone
sellZone[bar] = 1;
continue;
}
if (cci[bar] > maCci[bar] + Epsilon && cci[bar - 1] <= maCci[bar - 1] &&
maCci[bar] < -level)
{
// Start Buy zone
buyZone[bar] = 1;
continue;
}
if (cci[bar] < maCci[bar] - Epsilon && cci[bar - 1] >= maCci[bar - 1] &&
maCci[bar] > level)
{
// Start Sell zone
sellZone[bar] = 1;
}
}
// Shift signal if it is necessary
if (previous > 0)
{
for (int bar = Bars - 1; bar >= firstBar; bar--)
{
buyZone[bar] = buyZone[bar - 1];
sellZone[bar] = sellZone[bar - 1];
}
}
// Saving the components
Component = new IndicatorComp[4];
Component[0] = new IndicatorComp
{
CompName = "CCI",
DataType = IndComponentType.IndicatorValue,
ChartType = IndChartType.Line,
ChartColor = Color.RoyalBlue,
FirstBar = firstBar,
Value = cci
};
Component[1] = new IndicatorComp
{
CompName = "MA CCI",
DataType = IndComponentType.IndicatorValue,
ChartType = IndChartType.Line,
ChartColor = Color.Red,
FirstBar = firstBar,
Value = maCci
};
Component[2] = new IndicatorComp
{
ChartType = IndChartType.NoChart,
FirstBar = firstBar
};
Component[3] = new IndicatorComp
{
ChartType = IndChartType.NoChart,
FirstBar = firstBar
};
// Sets the Component's type
if (SlotType == SlotTypes.OpenFilter)
{
Component[2].DataType = IndComponentType.AllowOpenLong;
Component[2].CompName = "Is long entry allowed";
Component[2].Value = buyZone;
Component[3].DataType = IndComponentType.AllowOpenShort;
Component[3].CompName = "Is short entry allowed";
Component[3].Value = sellZone;
}
else if (SlotType == SlotTypes.CloseFilter)
{
Component[2].DataType = IndComponentType.ForceCloseLong;
Component[2].CompName = "Close out long position";
Component[2].Value = sellZone;
Component[3].DataType = IndComponentType.ForceCloseShort;
Component[3].CompName = "Close out short position";
Component[3].Value = buyZone;
}
}
/// <summary>
/// Initialize test
/// </summary>
public TestIndicatorCommodityChannelIndex()
{
DataStream stream = new OHLCBarStream(new ForexSecurity("EURUSD"), BarInterval.FiveMin);
_sut = new CommodityChannelIndex(Period, stream.DefaultInterval, stream);
}
protected override void OnStart()
{
base.OnStart();
botLabel = string.Format("{0}-{1} {2}", botPrefix, Symbol.Code, TimeFrame);
Print(this.botName());
wpr = Indicators.GetIndicator<WilliamsPercentRange>(wprSource, wprPeriod, wprOverbuyCeil, wprOversellCeil, WprMagicNumber, wprMinMaxPeriod, wprExceedMinMax);
// ZigZag Kwan MBFX Timing ou Beta
zigzagKwanMBFXTiming = Indicators.GetIndicator<ZigzagKwanMBFXTiming>(mbfxLen, mbfxFilter);
zigZag = Indicators.GetIndicator<ZigZag>(ZzDepth, ZzDeviation, ZzBackStep);
trendMagic = Indicators.GetIndicator<TrendMagic>(TMCciPeriod, TMAtrPeriod);
_cci = Indicators.CommodityChannelIndex(TMCciPeriod);
Positions.Opened += OnPositionOpened;
Positions.Closed += OnPositionClosed;
}
