/// <summary>
/// The Average Directional Index measures the strength of a prevailing trend as well as whether movement exists in the market. The ADX is measured on a scale of 0 100. A low ADX value (generally less than 20) can indicate a non-trending market with low volumes whereas a cross above 20 may indicate the start of a trend (either up or down). If the ADX is over 40 and begins to fall, it can indicate the slowdown of a current trend.
/// </summary>
/// <returns></returns>
public ADX ADX(Data.IDataSeries input, int period)
{
if (cacheADX != null)
{
for (int idx = 0; idx < cacheADX.Length; idx++)
{
if (cacheADX[idx].Period == period && cacheADX[idx].EqualsInput(input))
{
return(cacheADX[idx]);
}
}
}
lock (checkADX)
{
checkADX.Period = period;
period = checkADX.Period;
if (cacheADX != null)
{
for (int idx = 0; idx < cacheADX.Length; idx++)
{
if (cacheADX[idx].Period == period && cacheADX[idx].EqualsInput(input))
{
return(cacheADX[idx]);
}
}
}
ADX indicator = new ADX();
indicator.BarsRequired = BarsRequired;
indicator.CalculateOnBarClose = CalculateOnBarClose;
#if NT7
indicator.ForceMaximumBarsLookBack256 = ForceMaximumBarsLookBack256;
indicator.MaximumBarsLookBack = MaximumBarsLookBack;
#endif
indicator.Input = input;
indicator.Period = period;
Indicators.Add(indicator);
indicator.SetUp();
ADX[] tmp = new ADX[cacheADX == null ? 1 : cacheADX.Length + 1];
if (cacheADX != null)
{
cacheADX.CopyTo(tmp, 0);
}
tmp[tmp.Length - 1] = indicator;
cacheADX = tmp;
return(indicator);
}
}
/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
if (CurrentBar == 0)
{
fastEma.Set(Input[0]);
macdAvg2.Set(Input[0]);
Value.Set(0);
Avg.Set(0);
Diff.Set(0);
}
else
{
fastEma.Set((ZeroLagEMA(Input, (int)(Fast / Acceleration))[0]) - (ZeroLagEMA(Input, (int)(Slow / Acceleration))[0]));
double macd = fastEma[0];
macdAvg2.Set(ZeroLagEMA(fastEma, Smooth)[0]);
double macdAvg = macdAvg2[0];
Value.Set(macd);
Avg.Set(macdAvg);
ADX.Set(ADXVMA(Value, (int)(Fast / Acceleration))[0]);
Diff.Set(macd - macdAvg);
//Print (Time[0] + ": Value = " + Value[0].ToString("0.00") + ", Avg = " + Avg[0].ToString("0.00") + ", ADX = " + ADX[0].ToString("0.00"));
if ((Value[0] > ADX[0]) && (Value[0] > Threshold))
{
MacdUp.Set(0);
MacdDn.Reset();
MacdNeutral.Reset();
signal.Set(1);
}
else
if ((Value[0] < ADX[0]) && (Value[0] < -Threshold))
{
MacdDn.Set(0);
MacdUp.Reset();
MacdNeutral.Reset();
signal.Set(-1);
}
else
{
MacdNeutral.Set(0);
MacdDn.Reset();
MacdUp.Reset();
signal.Set(0);
}
}
}
/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
var oldHigh = bars.High;
var oldClose = bars.Close;
var oldLow = bars.Low;
bars.update();
// true range...
var trval = truerange.next(Math.Max(bars.High - bars.Low,
Math.Max(bars.High - oldClose, oldClose - bars.Low)));
if (trval == 0.0)
{
trval = 0.000001;
}
// RWT try upmove/dnmove = Median[0] - Median[1];
// instead of High - Close[1] , Close[1] - Low[0];
var upmove = Math.Max(0, bars.High - oldHigh);
var dnmove = Math.Max(0, oldLow - bars.Low);
if (upmove > dnmove)
{
dnmove = 0;
}
else
{
upmove = 0;
}
var dplusval = dplus.next(upmove);
var dminval = dminus.next(dnmove);
var dmiplus = 100.0 * dplusval / trval;
var dmiminus = 100.0 * dminval / trval;
var dmisum = dmiplus + dmiminus;
var dmidiff = Math.Abs(dmiplus - dmiminus);
var adxval = 100.0 * adx.next((dmisum > 0)?(dmidiff / dmisum):0.5);
ADX.Set(adxval);
if (adxval < oldADX)
{
PlotColors[0][0] = Color.Gray;
}
DMPlus.Set(dmiplus);
DMMinus.Set(dmiminus);
oldADX = adxval;
}
/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
if (CurrentBar <= BarsRequired)
{
return;
}
if (_emaSlow == null)
{
_emaSlow = EMA(Open, slowEMAPeriod);
}
if (_emaFast == null)
{
_emaFast = EMA(fastEMAPeriod);
}
if (_adx == null)
{
_adx = ADX(_adxPeriod);
}
if (_adx[0] >= _adxMin)
{
PlotColors[0][0] = Color.Blue;
}
else
{
PlotColors[0][0] = Color.LightBlue;
}
FastEMAPlot.Set(_emaFast[0]);
SlowEMAPlot.Set(_emaSlow[0]);
if (CrossAbove(_emaFast, _emaSlow, 1) && _adx[0] >= _adxMin)
{
_signal = 1;
BackColor = Color.LightGreen;
}
else if (CrossBelow(_emaFast, _emaSlow, 1) && _adx[0] >= _adxMin)
{
_signal = -1;
BackColor = Color.Pink;
}
else
{
_signal = 0;
BackColor = Color.White;
}
}
protected override void OnStartUp()
{
var b1 = RWT_HA.OHLCFactory.createPrimary(barsType, Open, High, Low, Close, Input);
bars = RWT_HA.OHLCFactory.createSecondary(b1, barSmoothType, barSmoothArg);
truerange = RWT_MA.MAFactory.create(dMType, dMLength);
dplus = RWT_MA.MAFactory.create(dMType, dMLength);
dminus = RWT_MA.MAFactory.create(dMType, dMLength);
adx = RWT_MA.MAFactory.create(aDXType, aDXLength);
truerange.init(bars.High - bars.Low);
dplus.init(0);
dminus.init(0);
adx.init(.5);
ADX.Set(0);
oldADX = 0;
}
/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
if (CurrentBar <= BarsRequired) return;
if (_emaSlow == null)
_emaSlow = EMA(Open, slowEMAPeriod);
if (_emaFast == null)
_emaFast = EMA(fastEMAPeriod);
if (_adx == null)
_adx = ADX(_adxPeriod);
if (_adx[0] >= _adxMin)
{
PlotColors[0][0] = Color.Blue;
} else
{
PlotColors[0][0] = Color.LightBlue;
}
FastEMAPlot.Set(_emaFast[0]);
SlowEMAPlot.Set(_emaSlow[0]);
if (CrossAbove(_emaFast, _emaSlow, 1)&& _adx[0] >= _adxMin)
{
_signal = 1;
BackColor = Color.LightGreen;
}
else if (CrossBelow(_emaFast, _emaSlow, 1) && _adx[0] >= _adxMin)
{
_signal = -1;
BackColor = Color.Pink;
}
else
{
_signal = 0;
BackColor = Color.White;
}
}
public void SetupObjects()
{
if (_emaSlow == null)
{
_emaSlow = EMA(_emaSlowPeriod);
}
if (_emaFast == null)
{
_emaFast = EMA(_emaFastPeriod);
}
if (_rsi == null)
{
_rsi = RSI(Median, _rsiPeriod, 1);
}
if (_adx == null)
{
_adx = ADX(_adxPeriod);
}
if (_atr == null)
{
_atr = ATR(_atrPeriod);
}
}
/// <summary>
/// The Average Directional Index measures the strength of a prevailing trend as well as whether movement exists in the market. The ADX is measured on a scale of 0 100. A low ADX value (generally less than 20) can indicate a non-trending market with low volumes whereas a cross above 20 may indicate the start of a trend (either up or down). If the ADX is over 40 and begins to fall, it can indicate the slowdown of a current trend.
/// </summary>
/// <returns></returns>
public ADX ADX(Data.IDataSeries input, int period)
{
if (cacheADX != null)
for (int idx = 0; idx < cacheADX.Length; idx++)
if (cacheADX[idx].Period == period && cacheADX[idx].EqualsInput(input))
return cacheADX[idx];
lock (checkADX)
{
checkADX.Period = period;
period = checkADX.Period;
if (cacheADX != null)
for (int idx = 0; idx < cacheADX.Length; idx++)
if (cacheADX[idx].Period == period && cacheADX[idx].EqualsInput(input))
return cacheADX[idx];
ADX indicator = new ADX();
indicator.BarsRequired = BarsRequired;
indicator.CalculateOnBarClose = CalculateOnBarClose;
#if NT7
indicator.ForceMaximumBarsLookBack256 = ForceMaximumBarsLookBack256;
indicator.MaximumBarsLookBack = MaximumBarsLookBack;
#endif
indicator.Input = input;
indicator.Period = period;
Indicators.Add(indicator);
indicator.SetUp();
ADX[] tmp = new ADX[cacheADX == null ? 1 : cacheADX.Length + 1];
if (cacheADX != null)
cacheADX.CopyTo(tmp, 0);
tmp[tmp.Length - 1] = indicator;
cacheADX = tmp;
return indicator;
}
}
public void SetupObjects()
{
if (_emaSlow == null)
_emaSlow = EMA(_emaSlowPeriod);
if (_emaFast == null)
_emaFast = EMA(_emaFastPeriod);
if (_rsi == null)
_rsi = RSI(Median, _rsiPeriod, 1);
if (_adx == null)
_adx = ADX(_adxPeriod);
if (_atr == null)
_atr = ATR(_atrPeriod);
}