protected override void OnStrategyStart()
{
Portfolio.Account.Deposit(AllocationPerInstrument, CurrencyId.USD, "Initial allocation");
bbu = new BBU(Bars, Length, K);
bbl = new BBL(Bars, Length, K);
sma = new SMA(Bars, Length);
AddGroups();
}
public static double Value(ISeries input, int index, int length, double k, BarData barData = BarData.Close)
{
if (index >= length - 1)
{
var bbl = BBL.Value(input, index, length, k, barData);
var bbu = BBU.Value(input, index, length, k, barData);
return((input[index, barData] - bbl) / (bbu - bbl));
}
return(double.NaN);
}