protected override void onNewBar()
{
//Remove this code later
if (parabolicStop != null)
{
if (parabolicStop.positionClosed())
{
parabolicStop = null;
}
else
{
stopIndicator.set(parabolicStop);
}
}
if (parabolicStop == null)
{
stopIndicator.set(bars[0].close);
}
//*****************************************************************
//Setup from prior bar, now in confirm
if (inConfirm)
{
confirmBarCount++;
if (confirmBarCount <= entryBarWindow)
{
placeEntryOrders();
}
else
{
inConfirm = false;
}
}
if (inConfirm)
{
return;
}
//Not in confirm from prior bar, so check for setup
setup = tradeSetup();
if (!hasPosition() && (setup != null))
{
tradeSize = (long)Math.Max(Math.Round(riskDollars / ((nATRStopStart * atr) * bigPointValue()), 0), 1);
atrAtEntry = atr;
longEntryPrice = entryLowestLow[1] + atr * nATREntry;
shortEntryPrice = entryHighestHigh[1] - atr * nATREntry;
placeEntryOrders();
inConfirm = true;
confirmBarCount = 1;
}
//Currently in position, submit exit orders
if (hasPosition())
{
placeExitOrders();
}
}
protected override void onClose(Dictionary <Symbol, Bar> current)
{
var leftClose = current[pair.left].close;
var leftCarry = (leftPrior[0].close - leftClose) / 3.0;
var rightClose = current[pair.right].close;
var rightCarry = (rightPrior[0].close - rightClose) / 3.0;
payoutRatio.set((leftCarry - rightCarry) / (vol * Math.Sqrt(22)));
var wantOut = Math.Abs(payoutRatio) <= cutoff;
var wantLong = payoutRatio > 0;
if (wantOut)
{
placeExits(leftClose, rightClose);
return;
}
if (hasPosition() && wantLong == position(pair.left).direction().isLong())
{
return;
}
placeExits(leftClose, rightClose);
if (wantLong)
{
placeOrders(pair.buy("long payout achieved", limit(leftClose), limit(rightClose), 1000, oneBar()));
}
else
{
placeOrders(pair.sell("short payout achieved", limit(leftClose), limit(rightClose), 1000, oneBar()));
}
}
protected override double exitLevel()
{
Bomb.when(position.isClosed(), () => "position closed without cleaning up parabolic stop!");
if (numBars == 0)
{
return(initialStopPrice);
}
if (maxExtreme.changed())
{
af.set(Math.Min(af[1] + afStep, afMax));
}
return(capped(this[1] + af * (extreme - this[1])));
}
protected override double calculate()
{
if (values.count() > 1)
{
noise.set(Math.Abs(values[0] - values[1]));
}
if (values.count() <= calcBars)
{
return(values[0]);
}
var signal = Math.Abs(values[0] - values[calcBars]);
var efficiencyRatio = signal / noiseSum;
var smoothingCoefficient = Math.Pow(efficiencyRatio * (decayFast - decaySlow) + decaySlow, 2);
return(this[1] + smoothingCoefficient * (values[0] - this[1]));
}
public ParabolicStop(
Position position, BarSpud bars, double initialStopPrice, double afStep,
double afMax, int lookbackBars, string name
) : base(position, name, PROTECTIVE_STOP, bars.manager)
{
this.initialStopPrice = initialStopPrice;
this.afStep = afStep;
this.afMax = afMax;
this.bars = bars;
af = dependsOn(new RootSpud <double>(manager));
af.set(afStep);
extreme = dependsOn(position.longShort(bars.high, bars.low));
var extremeSide = position.longShort(MinMax <double> .MAX, MinMax <double> .MIN);
maxExtreme = dependsOn(extreme.minMax(extremeSide));
opposite = position.direction().isLong() ? bars.low : bars.high;
recentOppositeExtreme = dependsOn(position.direction().isLong() ? opposite.lowest(lookbackBars) : opposite.highest(lookbackBars));
numBars = dependsOn(new BarCounter(bars));
}
protected override double calculate()
{
if (values.count() == 1)
{
return(double.NaN);
}
var changes = values[0] - values[1];
upChanges.set(Math.Max(0.0, changes));
dnChanges.set(-Math.Min(0.0, changes));
double rs;
if (dnAverage == 0)
{
rs = 1000000.0;
}
else
{
rs = upAverage / dnAverage;
}
return(100.0 - (100.0 / (1.0 + rs)));
}
protected void addPoint(SOURCE newInput)
{
manager.newBar();
values.set(newInput);
}
protected void addPoint(double newY, double newX, double newSlope)
{
addPoint(newY, newX); slope.set(newSlope);
}
protected void addPoint(double newY, double newX)
{
addPoint(newY); x.set(newX);
}