/// <summary>
/// The WMA (Weighted Moving Average) is a Moving Average indicator that shows the average value of a security's price over a period of time with special emphasis on the more recent portions of the time period under analysis as opposed to the earlier.
/// </summary>
/// <returns></returns>
public WMA WMA(Data.IDataSeries input, int period)
{
if (cacheWMA != null)
{
for (int idx = 0; idx < cacheWMA.Length; idx++)
{
if (cacheWMA[idx].Period == period && cacheWMA[idx].EqualsInput(input))
{
return(cacheWMA[idx]);
}
}
}
lock (checkWMA)
{
checkWMA.Period = period;
period = checkWMA.Period;
if (cacheWMA != null)
{
for (int idx = 0; idx < cacheWMA.Length; idx++)
{
if (cacheWMA[idx].Period == period && cacheWMA[idx].EqualsInput(input))
{
return(cacheWMA[idx]);
}
}
}
WMA indicator = new WMA();
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();
WMA[] tmp = new WMA[cacheWMA == null ? 1 : cacheWMA.Length + 1];
if (cacheWMA != null)
{
cacheWMA.CopyTo(tmp, 0);
}
tmp[tmp.Length - 1] = indicator;
cacheWMA = tmp;
return(indicator);
}
}
/// <summary>
/// This method is used to configure the indicator and is called once before any bar data is loaded.
/// </summary>
protected override void Initialize()
{
Add(new Plot(Color.FromKnownColor(KnownColor.Red), PlotStyle.Line, "ECO"));
Add(new Plot(Color.FromKnownColor(KnownColor.Gold), PlotStyle.Line, "Trigger"));
Add(new Plot(Color.FromKnownColor(KnownColor.Cyan), PlotStyle.Bar, "Histogram"));
Add(new Line(Color.FromKnownColor(KnownColor.Blue), 0, "Zero"));
Overlay = false;
PriceTypeSupported = false;
Plots[0].Pen.Width = 2;
Plots[1].Pen.Width = 2;
Plots[2].Pen.Width = 2;
weightma = null;
expma = null;
unsmoothed = new DataSeries(this);
}
/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
double value1 = 0.0;
double value2 = 0.0;
o.Update();
h.Update();
l.Update();
c.Update();
for (int i = 0; i < len; ++i)
{
value1 += (c.filtered(i) - o.filtered(i));
value2 += (h.filtered(i) - l.filtered(i));
}
if (value2 != 0.0)
{
unsmoothed.Set(100.0 * value1 / value2);
}
else
{
if ((CurrentBar > 1) && unsmoothed.ContainsValue(1))
{
unsmoothed.Set(unsmoothed[1]);
}
else
{
unsmoothed.Set(0);
}
}
if (weightma == null)
{
weightma = WMA(unsmoothed, smoothing);
expma = EMA(weightma.Value, trigger);
}
ECO.Set(weightma[0]);
TriggerLine.Set(expma[0]);
Histogram.Set(weightma[0] - expma[0]);
}
protected override void OnStartUp()
{
weightma = null;
expma = null;
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];
unsmoothed = new DataSeries(this);
lastSeenBar = -1;
extdat = Bars.BarsType as rwt.IExtendedData;
if (extdat == null)
{
throw new Exception("Only use this indicator on an Extended Data BarType!");
}
}
protected override void OnStartUp()
{
wma1 = WMA(Inputs[0], Period);
wma2 = WMA(wma1, Period);
wma3 = WMA(wma2, Period);
}
/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
var ed = extdat.getExtraData(0, Bars, CurrentBar);
if (ed == null)
{
return;
}
if (CurrentBar != lastSeenBar)
{
for (int i = 0; i < 4; ++i)
{
pol[i] = ol[i]; // remember previous bar value...
phl[i] = hl[i];
pll[i] = ll[i];
pcl[i] = cl[i];
}
lastSeenBar = CurrentBar;
}
// update all the Laguerre numbers....
ol[0] = (1 - gamma) * ed.dOpen + gamma * pol[0];
hl[0] = (1 - gamma) * ed.dHigh + gamma * phl[0];
ll[0] = (1 - gamma) * ed.dLow + gamma * pll[0];
cl[0] = (1 - gamma) * ed.dClose + gamma * pcl[0];
for (int i = 1; i < 4; ++i)
{
ol[i] = -gamma * ol[i - 1] + pol[i - 1] + gamma * pol[i];
hl[i] = -gamma * hl[i - 1] + phl[i - 1] + gamma * phl[i];
ll[i] = -gamma * ll[i - 1] + pll[i - 1] + gamma * pll[i];
cl[i] = -gamma * cl[i - 1] + pcl[i - 1] + gamma * pcl[i];
}
double value1 = 0.0;
double value2 = 0.0;
for (int i = 0; i < 4; ++i)
{
value1 += (cl[i] - ol[i]);
value2 += (hl[i] - ll[i]);
}
if (value2 != 0.0)
{
unsmoothed.Set(100.0 * value1 / value2);
}
else
{
if ((CurrentBar > 1) && unsmoothed.ContainsValue(1))
{
unsmoothed.Set(unsmoothed[1]);
}
else
{
unsmoothed.Set(0);
}
}
if (weightma == null)
{
weightma = WMA(unsmoothed, smoothing);
expma = EMA(weightma.Value, trigger);
}
ECO.Set(weightma[0]);
TriggerLine.Set(expma[0]);
Histogram.Set(weightma[0] - expma[0]);
}
/// <summary>
/// The WMA (Weighted Moving Average) is a Moving Average indicator that shows the average value of a security's price over a period of time with special emphasis on the more recent portions of the time period under analysis as opposed to the earlier.
/// </summary>
/// <returns></returns>
public WMA WMA(Data.IDataSeries input, int period)
{
if (cacheWMA != null)
for (int idx = 0; idx < cacheWMA.Length; idx++)
if (cacheWMA[idx].Period == period && cacheWMA[idx].EqualsInput(input))
return cacheWMA[idx];
lock (checkWMA)
{
checkWMA.Period = period;
period = checkWMA.Period;
if (cacheWMA != null)
for (int idx = 0; idx < cacheWMA.Length; idx++)
if (cacheWMA[idx].Period == period && cacheWMA[idx].EqualsInput(input))
return cacheWMA[idx];
WMA indicator = new WMA();
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();
WMA[] tmp = new WMA[cacheWMA == null ? 1 : cacheWMA.Length + 1];
if (cacheWMA != null)
cacheWMA.CopyTo(tmp, 0);
tmp[tmp.Length - 1] = indicator;
cacheWMA = tmp;
return indicator;
}
}