//populate
public override void Populate()
{
TimeSeries ds = Parameters[0].AsTimeSeries;
Int32 period1 = Parameters[1].AsInt;
Int32 period2 = Parameters[2].AsInt;
Int32 m = Parameters[3].AsInt;
Int32 n = Parameters[4].AsInt;
Int32 c = Parameters[5].AsInt;
Boolean useRMSNoise = Parameters[6].AsBoolean;
DateTimes = ds.DateTimes;
var period = new List <int> {
period1, period2, m, n, c
}.Max();
if (period <= 0 || ds.Count == 0)
{
return;
}
//Assign first bar that contains indicator data
if (n == 0)
{
n = 1;
}
n = Math.Abs(n);
var FirstValidValue = n;
if (FirstValidValue > ds.Count)
{
FirstValidValue = ds.Count;
}
if (ds.Count < n || ds == null)
{
return;
}
/* CPC and CPCTrend*/
var lpf1 = new EMA(ds, period1);
var lpf2 = new EMA(ds, period2);
var hCPC = new TimeSeries(DateTimes);
var hTrend = new TimeSeries(DateTimes);
double expnt = 2d / (1 + m);
double cumSum = 0d;
int xBar = 0;
var mom = new Momentum(ds, 1);
hCPC[0] = hTrend[0] = 0d;
for (int bar = 0; bar < ds.Count; bar++)
{
hTrend[bar] = 0d;
}
for (int bar = 1; bar < ds.Count; bar++)
{
if (CrossOver(bar, lpf1, lpf2) || CrossUnder(bar, lpf1, lpf2))
{
cumSum = 0d;
xBar = bar;
}
else
{
cumSum += mom[bar];
}
hCPC[bar] = cumSum;
/* Calculate the Trend with a piecewise EMA */
if (bar - xBar > 0)
{
double diff = expnt * (hCPC[bar] - hTrend[bar - 1]);
hTrend[bar] = hTrend[bar - 1] + diff;
}
}
/* Trend Quality */
TimeSeries hDT = hCPC - hTrend;
TimeSeries hNoise;
if (useRMSNoise)
{
var hDTms = new SMA(hDT * hDT, n);
hNoise = new TimeSeries(DateTimes);
for (int bar = 0; bar < ds.Count; bar++)
{
hNoise[bar] = Math.Sqrt(hDTms[bar]);
}
}
else
{
hNoise = new FastSMA(hDT.Abs(), n);
}
hNoise *= c;
var hQ = hTrend / hNoise;
for (int bar = 0; bar < ds.Count; bar++)
{
Values[bar] = hQ[bar];
}
}
