/// <summary>
/// Called on every new bar of data.
/// </summary>
/// <param name="currentBar">The current bar of the simulation</param>
public override void OnBarUpdate(int currentBar)
{
base.OnBarUpdate(currentBar);
if (currentBar < 2)
{
return;
}
ZigZag zigzag = (ZigZag)_dependents[0];
int cutoffBar = Math.Max(0, currentBar - _maxCycleLookback);
int searchBar = currentBar - 1;
List <WavePoint> points = new List <WavePoint>();
List <double> currentSeries = null;
int pointBeingSearchFor = 0; // Point 0 being the last point most recent in time.
double trendDirection = 0.0;
// Start searching for the point that either made a high-high or low-low cycle.
for (int i = searchBar; i >= cutoffBar; i--)
{
if (pointBeingSearchFor == 0)
{
if (zigzag.ZigZagLows[i] > 0.0)
{
trendDirection = Order.OrderType.Long;
points.Add(new WavePoint()
{
Bar = i, Price = zigzag.Value[i]
});
currentSeries = zigzag.ZigZagHighs;
++pointBeingSearchFor;
}
else if (zigzag.ZigZagHighs[i] > 0.0)
{
trendDirection = Order.OrderType.Short;
points.Add(new WavePoint()
{
Bar = i, Price = zigzag.Value[i]
});
currentSeries = zigzag.ZigZagLows;
++pointBeingSearchFor;
}
}
// Each time we find a zigzag point, save the price and move to the next one for searching.
else if (currentSeries != null && currentSeries[i] > 0.0)
{
// Calculate the retracement in percentage from the previous point.
WavePoint previousPoint = points[points.Count - 1];
double retracement = UtilityMethods.PercentChange(zigzag.Value[i], previousPoint.Price);
previousPoint.Retracement = retracement;
points.Add(new WavePoint()
{
Bar = i, Price = zigzag.Value[i], Retracement = 0.0
});
currentSeries = currentSeries == zigzag.ZigZagHighs ? zigzag.ZigZagLows : zigzag.ZigZagHighs;
++pointBeingSearchFor;
}
}
// Did we get all the points needed to wave information about the waves.
if (pointBeingSearchFor >= MinRequiredPoints)
{
Waves[currentBar] = new WaveData()
{
Points = points, TrendDirection = trendDirection
};
}
else
{
Waves[currentBar] = null;
}
}
/// <summary>
/// Sets the zigzag deviation value.
/// </summary>
/// <param name="deviation">New deviation value</param>
public void SetZigZagDeviation(double deviation)
{
ZigZag zigzag = (ZigZag)_dependents[0];
zigzag.DeviationValue = deviation;
}
/// <summary>
/// Called on every new bar of data.
/// </summary>
/// <param name="currentBar">The current bar of the simulation</param>
public override void OnBarUpdate(int currentBar)
{
base.OnBarUpdate(currentBar);
if (currentBar > 1)
{
ZigZag zigzag = (ZigZag)_dependents[0];
int cutoffBar = Math.Max(0, currentBar - _maxBarsForWave);
int searchBar = currentBar - 2;
WavePoint[] points = new WavePoint[6];
WavePointWithLabel[] labels = new WavePointWithLabel[6];
List <double> currentSeries = null;
int waveEndpointBeingSearchFor = 4;
double trendDirection = 0.0;
double fifthWaveDirection = 0.0; // 1 is bull, -1 bear, 0 not in a 5th wave
// We have an endpoint on the 4th wave, so lets check and see if we
// have all the previous waves by searching for the endpoints.
for (int i = searchBar; i >= cutoffBar && waveEndpointBeingSearchFor >= 0; i--)
{
// See if we've just recently had the end of the 4th wave. For bull
// waves this will start with a low and for bear will start with a high.
// Need to check the past 3rd bar since that is the lag of the zigzag indicator.
// For every zig there is a zag meaning if we found a low, the previous point will
// be a high. This makes it easier to search back for the patterns.
if (waveEndpointBeingSearchFor == 4)
{
if (zigzag.ZigZagLows[i] > 0.0)
{
trendDirection = Order.OrderType.Long;
points[waveEndpointBeingSearchFor] = new WavePoint()
{
Bar = i, Price = zigzag.Value[i]
};
labels[waveEndpointBeingSearchFor] = new WavePointWithLabel()
{
Bar = i, Price = zigzag.Value[i], Label = waveEndpointBeingSearchFor.ToString()
};
currentSeries = zigzag.ZigZagHighs;
--waveEndpointBeingSearchFor;
}
else if (zigzag.ZigZagHighs[i] > 0.0)
{
trendDirection = Order.OrderType.Short;
points[waveEndpointBeingSearchFor] = new WavePoint()
{
Bar = i, Price = zigzag.Value[i]
};
labels[waveEndpointBeingSearchFor] = new WavePointWithLabel()
{
Bar = i, Price = zigzag.Value[i], Label = waveEndpointBeingSearchFor.ToString()
};
currentSeries = zigzag.ZigZagLows;
--waveEndpointBeingSearchFor;
}
}
// Each time we find a wave endpoint, save the price and move to the next one for searching.
else if (currentSeries != null && currentSeries[i] > 0.0)
{
points[waveEndpointBeingSearchFor] = new WavePoint()
{
Bar = i, Price = zigzag.Value[i]
};
labels[waveEndpointBeingSearchFor] = new WavePointWithLabel()
{
Bar = i, Price = zigzag.Value[i], Label = waveEndpointBeingSearchFor.ToString()
};
currentSeries = currentSeries == zigzag.ZigZagHighs ? zigzag.ZigZagLows : zigzag.ZigZagHighs;
--waveEndpointBeingSearchFor;
}
}
// Did we get all the points needed to search for the 5 wave trend pattern?
if (waveEndpointBeingSearchFor < 0)
{
// Trend pattern guidelines.
// 1. Wave-2 cannot trade beyond the beginning of Wave-1
// 2. Wave-3 cannot be the shortest in price of Waves 1,3, and 5 (but we haven't found
// this wave yet so we won't check for that.
// 3. Wave-4 cannot make a daily close into the closing range of Wave-1
bool isValidTrend = true;
// Guideline 1.
if (UtilityMethods.ComparePrices(points[0].Price, points[2].Price, trendDirection) < 0.0)
{
isValidTrend = false;
}
// Guideline 2.
double wave1PriceLength = Math.Abs(points[1].Price - points[0].Price);
double wave3PriceLength = Math.Abs(points[3].Price - points[2].Price);
if (wave3PriceLength < wave1PriceLength)
{
isValidTrend = false;
}
// Guideline 3.
double point1Open = Data.Open[points[1].Bar];
double point1Close = Data.Close[points[1].Bar];
double wave1maxClosingRange = trendDirection > 0.0 ? Math.Max(point1Open, point1Close) : Math.Min(point1Open, point1Close);
if (UtilityMethods.ComparePrices(wave1maxClosingRange, Data.Close[points[4].Bar], trendDirection) < 0.0)
{
isValidTrend = false;
}
// All the conditions are met up to the 5th wave, so we'll assume this next one is a 5th wave.
if (isValidTrend)
{
fifthWaveDirection = trendDirection;
}
}
// We're in a 5th wave, so lets label it to see on the chart. Also, the next point we'll label
// as the 5th point and then save that we aren't in the 5th wave.
if (fifthWaveDirection != 0.0)
{
// Label the 5th wave from the 4th point to now.
int fourthWaveBar = points[4].Bar + 1;
for (int j = fourthWaveBar; j <= currentBar; j++)
{
FifthWaveValue[j] = fifthWaveDirection > 0.0 ? Data.Low[j] : Data.High[j];
FifthWaveDirection[j] = fifthWaveDirection;
}
// See if we can label the 5th point.
List <double> zigzagSeries = fifthWaveDirection > 0.0 ? zigzag.ZigZagHighs : zigzag.ZigZagLows;
if (zigzagSeries[searchBar] > 0.0)
{
labels[5] = new WavePointWithLabel()
{
Price = zigzag.Value[searchBar], Label = "5"
};
}
// Label all the points regardless if we have a 5th point or not.
for (int j = 0; j < 6; j++)
{
if (labels[j] != null)
{
WaveLabels[labels[j].Bar] = labels[j];
}
}
// Reset searching for the next bar.
fifthWaveDirection = 0.0;
}
}
}
