protected override void CalcBar()
{
slope_roc.Value = (current_regression[0] - past_regression[0]) - (current_regression[1] - past_regression[1]);
stdev.Call();
//Output.WriteLine("zscore={0}, slope_roc.Value={1}", stdev[0], slope_roc.Value);
bool close_long, close_short, open_long, open_short;
close_long = (slope_roc.Value > take_profit_zscore) || (slope_roc.Value < -bias_reset_zscore);
close_short = (slope_roc.Value < -take_profit_zscore) || (slope_roc.Value > bias_reset_zscore);
if (!trade_enabled && ((slope_roc[0] > 0.0 && slope_roc[1] < 0.0) || (slope_roc[0] < 0.0 && slope_roc[1] > 0.0)))
{
trade_enabled = true;
}
open_long = (slope_roc.Value > bias_reset_zscore) && trade_enabled;
open_short = (slope_roc.Value < -bias_reset_zscore) && trade_enabled;
if (StrategyInfo.MarketPosition == 0)
{
if (open_long)
{
long_order.Send();
}
if (open_short)
{
short_order.Send();
}
}
else if (StrategyInfo.MarketPosition < 0)
{
if (close_short)
{
close_short_order.Send();
trade_enabled = false;
}
}
else if (StrategyInfo.MarketPosition > 0)
{
if (close_long)
{
close_long_order.Send();
trade_enabled = false;
}
}
}