/// <summary>
/// Initializes a new instance of the <see cref="MovingAverageConvergenceDivergenceSignal"/>.
/// </summary>
/// <param name="macd">Convergence/divergence of moving averages.</param>
/// <param name="signalMa">Signalling Voving Average.</param>
public MovingAverageConvergenceDivergenceSignal(MovingAverageConvergenceDivergence macd, ExponentialMovingAverage signalMa)
: base(macd, signalMa)
{
Macd = macd;
SignalMa = signalMa;
Mode = ComplexIndicatorModes.Sequence;
}
protected override void Initialize()
{
ema5 = Robot.Indicators.ExponentialMovingAverage(Robot.MarketSeries.Close, 5);
sma8 = Robot.Indicators.SimpleMovingAverage(Robot.MarketSeries.Open, 8);
ema21 = Robot.Indicators.ExponentialMovingAverage(Robot.MarketSeries.Close, 21);
ema55 = Robot.Indicators.ExponentialMovingAverage(Robot.MarketSeries.Close, 55);
}
protected override void Initialize()
{
diff = CreateDataSeries();
ema1 = Indicators.ExponentialMovingAverage(MarketSeries.Close, (int)(Period / 2));
ema2 = Indicators.ExponentialMovingAverage(MarketSeries.Close, Period);
ema3 = Indicators.ExponentialMovingAverage(diff, (int)(Math.Sqrt(Period)));
}
protected override void Initialize()
{
iSeries1 = CreateDataSeries();
iSeries4 = CreateDataSeries();
_sma = Indicators.SimpleMovingAverage(MarketSeries.Close, Len1);
_sma2 = Indicators.SimpleMovingAverage(_sma.Result, Len1);
_sma3 = Indicators.SimpleMovingAverage(_sma2.Result, Len1);
_sma4 = Indicators.SimpleMovingAverage(_sma3.Result, Len1);
_sma5 = Indicators.SimpleMovingAverage(_sma4.Result, Len1);
_sma6 = Indicators.SimpleMovingAverage(_sma5.Result, Len1);
_sma7 = Indicators.SimpleMovingAverage(_sma6.Result, Len1);
_sma8 = Indicators.SimpleMovingAverage(_sma7.Result, Len1);
_sma9 = Indicators.SimpleMovingAverage(_sma8.Result, Len1);
_sma10 = Indicators.SimpleMovingAverage(_sma9.Result, Len1);
_ema1 = Indicators.ExponentialMovingAverage(iSeries1, Len3);
_ema2 = Indicators.ExponentialMovingAverage(_ema1.Result, Len3);
_ema3 = Indicators.ExponentialMovingAverage(ST2, Len3);
_ema4 = Indicators.ExponentialMovingAverage(_ema3.Result, Len3);
_ema5 = Indicators.ExponentialMovingAverage(iSeries1, Len4);
_ema6 = Indicators.ExponentialMovingAverage(_ema3.Result, Len4);
}
protected override void Initialize()
{
wt = CreateDataSeries();
lsma_ma = CreateDataSeries();
_EMA = Indicators.ExponentialMovingAverage(wt, lsma_length);
}
public MACrossEntry(int p1, int p2, int p3, int p4)
: base()
{
EMA1 = new ExponentialMovingAverage(p1);
EMA2 = new ExponentialMovingAverage(p2);
EMA3 = new ExponentialMovingAverage(p3);
EMA4 = new ExponentialMovingAverage(p4);
}
public async Task TestEmaAsync()
{
var equity = await ImportEquityAsync();
var indicator = new ExponentialMovingAverage(equity, 30);
var result = indicator.ComputeByIndex(equity.Count - 1).Ema;
Assert.IsTrue(136.09m.IsApproximatelyEquals(result.Value));
}
/// <summary>
/// Viene generato all'avvio dell'indicatore, si inizializza l'indicatore
/// </summary>
protected override void Initialize()
{
// --> Stampo nei log la versione corrente
Print("{0} : {1}", NAME, VERSION);
_ma = Indicators.MovingAverage(Source, MAPeriods, MaType);
_rsi = Indicators.RelativeStrengthIndex(_ma.Result, RSIPeriods);
_ema = Indicators.ExponentialMovingAverage(_rsi.Result, TPeriods);
}
protected override void OnStart()
{
i_MACD_main = Indicators.MacdHistogram(MarketSeries.Close, (int)_Period_SlowEMA, (int)_Period_FastEMA, (int)_Period_MACD_SMA);
i_MCAD_signal = Indicators.MacdHistogram(MarketSeries.Close, (int)_Period_SlowEMA, (int)_Period_FastEMA, (int)_Period_MACD_SMA);
i_MA_Close = Indicators.SimpleMovingAverage(MarketSeries.Close, 1);
i_Parabolic_SAR = Indicators.ParabolicSAR(_Step_PrbSAR, 0.1);
i_MA_Open = Indicators.SimpleMovingAverage(MarketSeries.Open, 1);
i_EMAf = Indicators.ExponentialMovingAverage(MarketSeries.Close, (int)_Period_FastEMA);
}
protected override void OnTick()
{
ExponentialMovingAverage EMA20 = Indicators.ExponentialMovingAverage(null, 20);
EMA20.Calculate(0);
int x = EMA20.Result;
x = x;
}
protected override void OnStart()
{
cBotLabel = "ADXR " + Symbol.Code + " " + TimeFrame.ToString();
_adx = Indicators.GetIndicator <ADXR>(Source, interval);
_emaFast = Indicators.ExponentialMovingAverage(Price, FastPeriods);
Positions.Opened += PositionsOnOpened;
Positions.Closed += PositionsOnClosed;
}
protected override void Initialize()
{
// Initialize and create nested indicators
accDist = CreateDataSeries();
ema3 = Indicators.ExponentialMovingAverage(accDist, 3);
ema10 = Indicators.ExponentialMovingAverage(accDist, 10);
marketSeriesDaily = MarketData.GetSeries(TimeFrame.Daily);
}
protected override void OnStart()
{
_macd = Indicators.MacdHistogram(LongCycle, ShortCycle, Period);
_emaFast = Indicators.ExponentialMovingAverage(Price, FastPeriods);
_adx = Indicators.GetIndicator <ADXR>(Source, interval);
_cci = Indicators.GetIndicator <CCI>(CCI_period);
_heiken = Indicators.GetIndicator <HeikenAshi2>(1);
_emasignal = Indicators.GetIndicator <ExponentialSignal>(EMAPeriod);
}
protected override void Initialize()
{
ema1 = Indicators.ExponentialMovingAverage(Source, Period);
ema2 = Indicators.ExponentialMovingAverage(ema1.Result, Period);
ema3 = Indicators.ExponentialMovingAverage(ema2.Result, Period);
ema4 = Indicators.ExponentialMovingAverage(ema3.Result, Period);
ema5 = Indicators.ExponentialMovingAverage(ema4.Result, Period);
ema6 = Indicators.ExponentialMovingAverage(ema5.Result, Period);
}
/// <summary>
/// Initializes a new instance of the <see cref="Trix"/> class using the specified name and period.
/// </summary>
/// <param name="name">The name of this indicator</param>
/// <param name="period">The period of the indicator</param>
public Trix(string name, int period)
: base(name)
{
_period = period;
_ema1 = new ExponentialMovingAverage(name + "_1", period);
_ema2 = new ExponentialMovingAverage(name + "_2", period);
_ema3 = new ExponentialMovingAverage(name + "_3", period);
_roc = new RateOfChangePercent(name + "_ROCP1", 1);
}
public async Task TestEmaAsync()
{
var candles = await ImportCandlesAsync();
var indicator = new ExponentialMovingAverage(candles, 30);
var result = indicator[candles.Count - 1];
Assert.IsTrue(136.09m.IsApproximatelyEquals(result.Value));
}
public void NoCountOutOfRange()
{
Assert.Throws <ArgumentOutOfRangeException>(delegate {
var stats = new ExponentialMovingAverage(0);
});
Assert.Throws <ArgumentOutOfRangeException>(delegate {
var stats = new ExponentialMovingAverage(0, new double[] { 0 });
});
}
public void TestInitial()
{
var ema = new ExponentialMovingAverage(10);
ema.Add(3);
Assert.That(ema.Value, Is.EqualTo(3));
Assert.That(ema.Var, Is.EqualTo(0));
}
public void TestMovingAverage()
{
var ema = new ExponentialMovingAverage(10);
ema.Add(5);
ema.Add(6);
Assert.That(ema.Value, Is.EqualTo(5.1818).Within(0.0001f));
Assert.That(ema.Var, Is.EqualTo(0.1487).Within(0.0001f));
}
protected override void Initialize()
{
series1 = MarketData.GetSeries(EMATimeframe1);
series2 = MarketData.GetSeries(EMATimeframe2);
series3 = MarketData.GetSeries(EMATimeframe3);
Ema1 = Indicators.ExponentialMovingAverage(series1.Close, Periods);
Ema2 = Indicators.ExponentialMovingAverage(series2.Close, Periods);
Ema3 = Indicators.ExponentialMovingAverage(series3.Close, Periods);
}
protected override void OnStart()
{
dc1 = Indicators.DonchianChannel(dcPeriod1);
dc2 = Indicators.DonchianChannel(dcPeriod2);
ema1 = Indicators.ExponentialMovingAverage(MarketSeries.Close, emaPeriod1);
ema2 = Indicators.ExponentialMovingAverage(MarketSeries.Close, emaPeriod2);
atr = Indicators.AverageTrueRange(atrPeriod, MovingAverageType.Exponential);
}
static void Main()
{
TechnicalIndicator _indicator = new ExponentialMovingAverage();
InititalizeParameters(_indicator.GetType().ToString());
RabbitCalculateIndicator rabbitEMAExtended = new RabbitCalculateIndicator(_exchange, _queueReceiveFrom, _queueSendTo, _indicator);
rabbitEMAExtended.ConsumeData();
}
protected override void OnStart()
{
i_MACD_main = Indicators.MacdHistogram(MarketSeries.Close, (int)_Period_SlowEMA, (int)_Period_FastEMA, (int)_Period_MACD_SMA);
i_MCAD_signal = Indicators.MacdHistogram(MarketSeries.Close, (int)_Period_SlowEMA, (int)_Period_FastEMA, (int)_Period_MACD_SMA);
i_MA_Close = Indicators.SimpleMovingAverage(MarketSeries.Close, 1);
i_Parabolic_SAR = Indicators.ParabolicSAR(_Step_PrbSAR, 0.1);
i_MA_Open = Indicators.SimpleMovingAverage(MarketSeries.Open, 1);
i_EMAf = Indicators.ExponentialMovingAverage(MarketSeries.Close, (int)_Period_FastEMA);
}
public void TestVar()
{
var ema = new ExponentialMovingAverage(10);
ema.Add(5);
ema.Add(6);
ema.Add(7);
Assert.That(ema.Var, Is.EqualTo(0.6134).Within(0.0001f));
}
protected override void Initialize()
{
ema1 = Indicators.ExponentialMovingAverage(Source, Period);
ema2 = Indicators.ExponentialMovingAverage(ema1.Result, Period);
ema3 = Indicators.ExponentialMovingAverage(ema2.Result, Period);
ema4 = Indicators.ExponentialMovingAverage(ema3.Result, Period);
ema5 = Indicators.ExponentialMovingAverage(ema4.Result, Period);
ema6 = Indicators.ExponentialMovingAverage(ema5.Result, Period);
}
public void Example1()
{
var stats = new ExponentialMovingAverage();
stats.Add(4);
stats.Add(7);
stats.Add(13);
stats.Add(16);
Assert.Equal(4, stats.Count);
Assert.Equal(7.885800150262959, stats.Average, 15);
}
protected override void Initialize()
{
CO_Series = CreateDataSeries();
HL_Series = CreateDataSeries();
EMA_CO = Indicators.ExponentialMovingAverage(CO_Series, Interval_1);
EMA_CO_S = Indicators.ExponentialMovingAverage(EMA_CO.Result, Interval_2);
EMA_HL = Indicators.ExponentialMovingAverage(HL_Series, Interval_1);
EMA_HL_S = Indicators.ExponentialMovingAverage(EMA_HL.Result, Interval_2);
}
public void Calculate_YesterdayEma10AndTodayPrice10And9Days_10()
{
var calc = new ExponentialMovingAverage();
var yesterdayEma = 10;
var today = 10;
var numberOfDays = 9;
var result = calc.Calculate(yesterdayEma, today, numberOfDays);
Assert.AreEqual(10, result);
}
/// <summary>
/// Initializes a new instance of the <see cref="MovingAverageConvergenceDivergence"/>.
/// </summary>
/// <param name="longMa">Long moving average.</param>
/// <param name="shortMa">Short moving average.</param>
public MovingAverageConvergenceDivergence(ExponentialMovingAverage longMa, ExponentialMovingAverage shortMa)
{
if (longMa == null)
throw new ArgumentNullException("longMa");
if (shortMa == null)
throw new ArgumentNullException("shortMa");
ShortMa = shortMa;
LongMa = longMa;
}
public void Example4()
{
var stats = new ExponentialMovingAverage();
stats.Add(6);
stats.Add(2);
stats.Add(3);
stats.Add(1);
Assert.Equal(4, stats.Count);
Assert.Equal(4.157776108189332, stats.Average, 15);
}
[Test] public void Example()
{
var ema = new ExponentialMovingAverage();
var sum = 0;
for (var i = 1; i <= 20; i++)
{
float sma = (float)(sum += i) / i;
Debug.Log($"{i,2}: sma={sma:n2}\tema={ema.Average(i):n2}");
}
}
/// <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()
{
SetStartDate(2000, 07, 01); //Set Start Date
SetEndDate(2015, 10, 05); //Set End Date
SetCash(5200); //Set Strategy Cash
// Find more symbols here: http://quantconnect.com/data
AddSecurity(SecurityType.Equity, Symbol, Resolution.Daily);
//AddSecurity(SecurityType.Equity, Symbol2, Resolution.Daily);
ema = EMA(Symbol, 10, Resolution.Daily);
SetBrokerageModel(QuantConnect.Brokerages.BrokerageName.InteractiveBrokersBrokerage);
}
public void Example33()
{
var stats = new ExponentialMovingAverage(0.9);
stats.Add(1000000004);
stats.Add(1000000007);
stats.Add(1000000013);
stats.Add(1000000016);
Assert.Equal(4, stats.Count);
Assert.Equal(1000000015.637, stats.Average, 15);
}
protected override void Initialize()
{
series1 = MarketData.GetSeries(EMATimeframe1);
series2 = MarketData.GetSeries(EMATimeframe2);
series3 = MarketData.GetSeries(EMATimeframe3);
Ema1 = Indicators.ExponentialMovingAverage(series1.Close, Periods);
Ema2 = Indicators.ExponentialMovingAverage(series2.Close, Periods);
Ema3 = Indicators.ExponentialMovingAverage(series3.Close, Periods);
}
public override void Initialize()
{
SetStartDate(2020, 1, 1);
SetEndDate(2020, 1, 30);
SetCash(100000);
SetWarmup(100);
_spy = AddEquity("SPY", Resolution.Minute).Symbol;
_fast = EMA(_spy, 20);
_slow = EMA(_spy, 40);
}
public void Example22()
{
var stats = new ExponentialMovingAverage(0.1);
stats.Add(100000004);
stats.Add(100000007);
stats.Add(100000013);
stats.Add(100000016);
Assert.Equal(4, stats.Count);
Assert.Equal(100000006.253, stats.Average, 15);
}
public void Example34()
{
var stats = new ExponentialMovingAverage(0.9);
stats.Add(6);
stats.Add(2);
stats.Add(3);
stats.Add(1);
Assert.Equal(4, stats.Count);
Assert.Equal(1.194, stats.Average, 15);
}
public override void Initialize()
{
SetStartDate(2013, 10, 07);
SetEndDate(2013, 10, 11);
SetCash(100 * 1000);
AddSecurity(SecurityType.Equity, "SPY");
Fast = EMA("SPY", FastPeriod);
Slow = EMA("SPY", SlowPeriod);
}
protected override void Initialize()
{
_dixPowerDigits = Math.Pow(10, Robot.Symbol.Digits);
i_MACD_main = Robot.Indicators.MacdHistogram(Robot.MarketSeries.Close, Period_SlowEMA, Period_FastEMA, Period_MACD_SMA);
i_MCAD_signal = Robot.Indicators.MacdHistogram(Robot.MarketSeries.Close, Period_SlowEMA, Period_FastEMA, Period_MACD_SMA);
//i_MA_Close = Robot.Indicators.SimpleMovingAverage(Robot.MarketSeries.Close, 1);
i_Parabolic_SAR = Robot.Indicators.ParabolicSAR(Step_PrbSAR, 0.1);
i_MA_Open = Robot.Indicators.SimpleMovingAverage(Robot.MarketSeries.Open, 1);
i_EMAf = Robot.Indicators.ExponentialMovingAverage(Robot.MarketSeries.Close, Period_FastEMA);
}
public override void Initialize()
{
SetStartDate(2021, 1, 1);
SetEndDate(2021, 1, 30);
SetCash(100000);
SetWarmup(100);
_gbpjpy = AddForex("GBPJPY", Resolution.Minute, Market.Oanda).Symbol;
_fast = EMA(_gbpjpy, 20);
_slow = EMA(_gbpjpy, 40);
}
protected override void Initialize()
{
// Initialize and create nested indicators
accDist = CreateDataSeries();
ema3 = Indicators.ExponentialMovingAverage(accDist, 3);
ema10 = Indicators.ExponentialMovingAverage(accDist, 10);
marketSeriesDaily = MarketData.GetSeries(TimeFrame.Daily);
}
protected override void Initialize()
{
_zeroLagEmaShort = CreateDataSeries();
_zeroLagEmaLong = CreateDataSeries();
_emaLong = Indicators.ExponentialMovingAverage(MarketSeries.Close, LongCycle);
_emaLong2 = Indicators.ExponentialMovingAverage(_emaLong.Result, LongCycle);
_emaShort = Indicators.ExponentialMovingAverage(MarketSeries.Close, ShortCycle);
_emaShort2 = Indicators.ExponentialMovingAverage(_emaShort.Result, ShortCycle);
_emaSignal = Indicators.ExponentialMovingAverage(MACD, SignalPeriods);
}
protected override void Initialize()
{
ema1 = Indicators.ExponentialMovingAverage(MarketSeries.Close, Period1);
ema2 = Indicators.ExponentialMovingAverage(MarketSeries.Close, Period2);
ema3 = Indicators.ExponentialMovingAverage(MarketSeries.Close, Period3);
ema4 = Indicators.ExponentialMovingAverage(MarketSeries.Close, Period4);
ema5 = Indicators.ExponentialMovingAverage(MarketSeries.Close, Period5);
ema6 = Indicators.ExponentialMovingAverage(MarketSeries.Close, Period6);
ema7 = Indicators.ExponentialMovingAverage(MarketSeries.Close, Period7);
ema8 = Indicators.ExponentialMovingAverage(MarketSeries.Close, Period8);
ema9 = Indicators.ExponentialMovingAverage(MarketSeries.Close, Period9);
ema10 = Indicators.ExponentialMovingAverage(MarketSeries.Close, Period10);
}
protected override void Initialize()
{
_iDataSeries = CreateDataSeries();
_emaDiffCenter = Indicators.ExponentialMovingAverage(_iDataSeries, 3);
_emaSmoothed = Indicators.ExponentialMovingAverage(_emaDiffCenter.Result, 3);
_iDataSeriesHighLow = CreateDataSeries();
_emaDiffHighLow = Indicators.ExponentialMovingAverage(_iDataSeriesHighLow, 3);
_emaDiffHighLow2 = Indicators.ExponentialMovingAverage(_emaDiffHighLow.Result, 3);
_smi = CreateDataSeries();
_maSmi = Indicators.MovingAverage(_smi, Period, MaType);
}
//Initialize the data and resolution you require for your strategy:
public override void Initialize()
{
SetStartDate(2000, 01, 01);
SetEndDate(2004,01,01);
SetCash(25000);
AddSecurity(SecurityType.Equity, symbol, Resolution.Daily);
var shortval = Config.GetInt ("EMA_VAR1",10);
emaShort = EMA(symbol, shortval, Resolution.Daily);
emaLong = EMA(symbol, 50, Resolution.Daily);
for (int i = 0; i < MAXRETURNS; i++) {
_tradeReturns.Add(0);
}
}
protected override void Initialize()
{
_atrRsi = CreateDataSeries();
CreateDataSeries();
_wildersPeriod = Period * 2 - 1;
_startBar = _wildersPeriod < SF ? SF : _wildersPeriod;
_rsi = Indicators.RelativeStrengthIndex(MarketSeries.Close, Period);
_emaRsi = Indicators.ExponentialMovingAverage(_rsi.Result, SF);
_emaAtr = Indicators.ExponentialMovingAverage(_atrRsi, _wildersPeriod);
_ema = Indicators.ExponentialMovingAverage(_emaAtr.Result, _wildersPeriod);
}
protected override void Initialize()
{
_priceRoc1 = Indicators.PriceROC(Source, X1);
_priceRoc2 = Indicators.PriceROC(Source, X2);
_priceRoc3 = Indicators.PriceROC(Source, X3);
_priceRoc4 = Indicators.PriceROC(Source, X4);
_movingAverage1 = Indicators.MovingAverage(_priceRoc1.Result, AVG1, MAType);
_movingAverage2 = Indicators.MovingAverage(_priceRoc2.Result, AVG2, MAType);
_movingAverage3 = Indicators.MovingAverage(_priceRoc3.Result, AVG3, MAType);
_movingAverage4 = Indicators.MovingAverage(_priceRoc4.Result, AVG4, MAType);
ema = Indicators.ExponentialMovingAverage(Result, 9);
}
protected override void Initialize()
{
unsmBuffer = new double[1];
unsmoothed = CreateDataSeries();
_wma = Indicators.WeightedMovingAverage(unsmoothed, SmoothingPeriod);
_ema = Indicators.ExponentialMovingAverage(_wma.Result, TriggerPeriod);
ol = new double[4];
pol = new double[4];
hl = new double[4];
phl = new double[4];
ll = new double[4];
pll = new double[4];
cl = new double[4];
pcl = new double[4];
}
protected override void Initialize()
{
m_shortEma1 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 3);
m_shortEma2 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 5);
m_shortEma3 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 8);
m_shortEma4 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 10);
m_shortEma5 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 12);
m_shortEma6 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 15);
m_longEma1 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 30);
m_longEma2 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 35);
m_longEma3 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 40);
m_longEma4 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 45);
m_longEma5 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 50);
m_longEma6 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 60);
}
public override void Initialize()
{
SetStartDate(2015, 6, 26);
SetEndDate(2015, 7, 2);
SetCash(25000);
AddSecurity(SecurityType.Equity, "SPY", Resolution.Minute);
// define our 15 minute consolidator
var fifteenMinuteConsolidator = new TradeBarConsolidator(TimeSpan.FromMinutes(15));
// if we want to make decisions every 15 minutes as well, we can add an event handler
// to the DataConsolidated event
fifteenMinuteConsolidator.DataConsolidated += OnFiftenMinuteSPY;
int fast = 15;
int slow = 30;
// define our EMA, we'll manually register this, so we aren't using the helper function 'EMA(...)'
var fastEmaOnFifteenMinuteBars = new ExponentialMovingAverage("SPY_EMA15", fast);
var slowEmaOnFifteenMinuteBars = new ExponentialMovingAverage("SPY_EMA30", slow);
// we can define complex indicator's using various extension methods.
// here I use the 'Over' extension method which performs division
// so this will be fast/slow. This returns a new indicator that represents
// the division operation between the two
var ratio = fastEmaOnFifteenMinuteBars.Over(slowEmaOnFifteenMinuteBars, "SPY_Ratio_EMA");
// now we can use the 'Of' extension method to define the ROC on the ratio
// The 'Of' extension method allows combining multiple indicators together such
// that the data from one gets sent into the other
var rocpOfRatio = new RateOfChangePercent("SPY_ROCP_Ratio", fast).Of(ratio);
// we an even define a smoothed version of this indicator
var smoothedRocpOfRatio = new ExponentialMovingAverage("SPY_Smoothed_ROCP_Ratio", 5).Of(rocpOfRatio);
// register our indicator and consolidator together. this will wire the consolidator up to receive
// data for the specified symbol, and also set up the indicator to receive its data from the consolidator
RegisterIndicator("SPY", fastEmaOnFifteenMinuteBars, fifteenMinuteConsolidator, Field.Close);
RegisterIndicator("SPY", slowEmaOnFifteenMinuteBars, fifteenMinuteConsolidator, Field.Close);
// register the indicator to be plotted along
PlotIndicator("SPY", fastEmaOnFifteenMinuteBars);
PlotIndicator("SPY", slowEmaOnFifteenMinuteBars);
PlotIndicator("SPY_ROCP_Ratio", rocpOfRatio, smoothedRocpOfRatio);
PlotIndicator("SPY_Ratio_EMA", ratio);
}
public EMAEventModelStrategy(CandleSeries series,
ExponentialMovingAverage filterMA, ExponentialMovingAverage longMA, ExponentialMovingAverage shortMA,
Unit takeProfitUnit, Unit stopLossUnit)
{
this.FilterMA = filterMA;
this.LongMA = longMA;
this.ShortMA = shortMA;
this.CandleSeries = series;
this.TakeProfitUnit = takeProfitUnit;
this.StopLossUnit = stopLossUnit;
this.StopTradingUnit = this.StopLossUnit * 3;
this.UseQuoting = true;
this.BestPriceOffset = 5;
}
public override void Initialize()
{
SetStartDate(2013, 10, 7);
SetEndDate(2013, 10, 11);
SetCash(250000);
foreach (var symbol in Symbols)
{
AddSecurity(SecurityType.Equity, symbol, Resolution.Second);
// Define an Identity Indicator with the close price.
Identity priceIdentityIndicator = new Identity(symbol + "PriceIdentityIndicator");
RegisterIndicator(symbol, priceIdentityIndicator, Resolution.Second, Field.Close);
// Define an EMA.
ExponentialMovingAverage EMA = new ExponentialMovingAverage("EMA_" + symbol, 100);
RegisterIndicator(symbol, EMA, Resolution.Minute, Field.Close);
// Inject the Price Identity indicator and the EMA in the Strategy object.
StrategyDict.Add(symbol, new NoStrategy(symbol, priceIdentityIndicator, EMA));
stockLogging.Add(symbol, new StringBuilder());
}
}
protected override void Initialize()
{
Buffer = CreateDataSeries();
// Moving Average Type according to input MA_Type
switch (MAType)
{
case 1:
// Simple Moving Average
_sma = Indicators.SimpleMovingAverage(MAApplied, MAPeriod);
break;
case 2:
// Exponential Moving Average
_ema = Indicators.ExponentialMovingAverage(MAApplied, MAPeriod);
break;
case 3:
// Smoothed Moving Average
_wsma = Indicators.GetIndicator<Wsma>(MAApplied, MAPeriod);
break;
case 4:
// Linear Weighted Moving Average
_lwma = Indicators.GetIndicator<Lwma>(MAApplied, MAPeriod);
break;
case 5:
// Double Exponential Moving Average
_dema = Indicators.GetIndicator<Dema>(MAApplied, MAPeriod);
break;
case 6:
// Triple Exponential Moving Average
_tema = Indicators.GetIndicator<Tema>(MAApplied, MAPeriod);
break;
case 7:
// T3 Moving Average
_t3MA = Indicators.GetIndicator<T3MA>(MAApplied, MAPeriod, T3MAVolumeFactor);
break;
}
}
protected override void Initialize()
{
_trend = new bool[1];
_ema = Indicators.ExponentialMovingAverage(Source, Period);
_averageTrueRange = Indicators.GetIndicator<AverageTrueRange>(Period);
}
public override void OnStrategyStart()
{
decisionUnit = new DecisionUnit();
//so_180_a Stochastic Variables
int so_180_a_tickPeriod = 10;
int so_180_a_bulkPeriod = 180;
double so_180_a_highThres = 80;
double so_180_a_lowThres = 20;
int so_180_a_nPeriod = 14;
double so_180_a_smooth = 3;
int so_180_a_mPeriod = 3;
//so_180_b Stochastic Variables
int so_180_b_tickPeriod = 10;
int so_180_b_bulkPeriod = 180;
double so_180_b_highThres = 80;
double so_180_b_lowThres = 20;
int so_180_b_nPeriod = 21;
double so_180_b_smooth = 4;
int so_180_b_mPeriod = 5;
//so_45_a Stochastic Variables
int so_45_a_tickPeriod = 10;
int so_45_a_bulkPeriod = 45;
double so_45_a_highThres = 80;
double so_45_a_lowThres = 20;
int so_45_a_nPeriod = 14;
double so_45_a_smooth = 3;
int so_45_a_mPeriod = 3;
//so_45_b Stochastic Variables
int so_45_b_tickPeriod = 10;
int so_45_b_bulkPeriod = 45;
double so_45_b_highThres = 80;
double so_45_b_lowThres = 20;
int so_45_b_nPeriod = 21;
double so_45_b_smooth = 4;
int so_45_b_mPeriod = 5;
//ema_45 Exponential Moving Avg. Variables
int ema_45_period = 10;
int ema_45_bulkPeriod = 45;
//ema_180 Exponential Moving Avg. Variables
int ema_180_period = 10;
int ema_180_bulkPeriod = 180;
System.Console.WriteLine("On strategy start");
so_180_a = new StochasticOscillator("so_180_a",
so_180_a_tickPeriod,
so_180_a_bulkPeriod,
so_180_a_highThres,
so_180_a_lowThres,
so_180_a_nPeriod,
so_180_a_smooth,
so_180_a_mPeriod);
so_180_b = new StochasticOscillator("so_180_b",
so_180_b_tickPeriod,
so_180_b_bulkPeriod,
so_180_b_highThres,
so_180_b_lowThres,
so_180_b_nPeriod,
so_180_b_smooth,
so_180_b_mPeriod);
so_45_a = new StochasticOscillator("so_45_a",
so_45_a_tickPeriod,
so_45_a_bulkPeriod,
so_45_a_highThres,
so_45_a_lowThres,
so_45_a_nPeriod,
so_45_a_smooth,
so_45_a_mPeriod);
so_45_b = new StochasticOscillator("so_45_b",
so_45_b_tickPeriod,
so_45_b_bulkPeriod,
so_45_b_highThres,
so_45_b_lowThres,
so_45_b_nPeriod,
so_45_b_smooth,
so_45_b_mPeriod);
ema_180 = new ExponentialMovingAverage("ema_180", ema_180_period, ema_180_bulkPeriod);
ema_45 = new ExponentialMovingAverage("ema_45", ema_45_period, ema_45_bulkPeriod);
}
protected override void Initialize()
{
_averageTrueRange = Indicators.GetIndicator<AverageTrueRange>(PeriodAtr);
_exponentialMovingAverage = Indicators.ExponentialMovingAverage(MarketSeries.Close, PeriodEma);
}
protected override void Initialize()
{
_dixPowerDigits = Math.Pow(10, Symbol.Digits);
i_MACD_Histogram = Indicators.MacdHistogram(MarketSeries.Close, Period_SlowEMA, Period_FastEMA, Period_MACD_SMA);
i_MCAD_signal = Indicators.MacdHistogram(MarketSeries.Close, Period_SlowEMA, Period_FastEMA, Period_MACD_SMA);
// i_MA_Close = Indicators.SimpleMovingAverage(MarketSeries.Close, 1);
i_Parabolic_SAR = Indicators.ParabolicSAR(Step_PrbSAR, 0.1);
i_MA_Open = Indicators.SimpleMovingAverage(MarketSeries.Open, 1);
i_EMAf = Indicators.ExponentialMovingAverage(MarketSeries.Close, Period_FastEMA);
}
protected override void Initialize()
{
_tempBuffer = CreateDataSeries();
_ema = Indicators.ExponentialMovingAverage(_tempBuffer, Period);
}
protected override void Initialize()
{
_ema1 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 170);
_ema2 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 180);
_ema3 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 190);
_ema4 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 195);
_ema5 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 200);
_ema6 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 160);
_ema7 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 150);
_ema8 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 140);
_ema9 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 130);
_ema10 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 120);
_ema11 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 110);
_ema12 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 97);
_ema13 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 88);
_ema14 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 79);
_ema15 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 70);
_ema16 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 62);
_ema17 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 56);
_ema18 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 48);
_ema19 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 42);
_ema20 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 36);
_ema21 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 28);
_ema22 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 24);
_ema23 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 22);
_ema24 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 18);
_ema25 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 14);
_ema26 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 12);
_ema27 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 10);
_ema28 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 8);
_ema29 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 6);
_ema30 = Indicators.ExponentialMovingAverage(MarketSeries.Close, 4);
}
protected override void Initialize()
{
ema1 = Indicators.ExponentialMovingAverage(MarketSeries.Close, SlowPeriod);
ema2 = Indicators.ExponentialMovingAverage(MarketSeries.Close, FastPeriod);
}
