public MySqlFunctionManager(bool allowFuncDefChange)
{
this.allowFuncDefChange = allowFuncDefChange;
parsingStrateg["CAST"] = FunctionParsingStrategy.Cast;
parsingStrateg["POSITION"] = FunctionParsingStrategy.Position;
parsingStrateg["SUBSTR"] = FunctionParsingStrategy.Substring;
parsingStrateg["SUBSTRING"] = FunctionParsingStrategy.Substring;
parsingStrateg["TRIM"] = FunctionParsingStrategy.Trim;
parsingStrateg["AVG"] = FunctionParsingStrategy.Avg;
parsingStrateg["COUNT"] = FunctionParsingStrategy.Count;
parsingStrateg["GROUP_CONCAT"] = FunctionParsingStrategy.GroupConcat;
parsingStrateg["MAX"] = FunctionParsingStrategy.Max;
parsingStrateg["MIN"] = FunctionParsingStrategy.Min;
parsingStrateg["SUM"] = FunctionParsingStrategy.Sum;
parsingStrateg["ROW"] = FunctionParsingStrategy.Row;
parsingStrateg["CHAR"] = FunctionParsingStrategy.Char;
parsingStrateg["CONVERT"] = FunctionParsingStrategy.Convert;
parsingStrateg["EXTRACT"] = FunctionParsingStrategy.Extract;
parsingStrateg["TIMESTAMPADD"] = FunctionParsingStrategy.Timestampadd;
parsingStrateg["TIMESTAMPDIFF"] = FunctionParsingStrategy.Timestampdiff;
parsingStrateg["GET_FORMAT"] = FunctionParsingStrategy.GetFormat;
functionPrototype["ABS"] = new Abs(null);
functionPrototype["ACOS"] = new Acos(null);
functionPrototype["ADDDATE"] = new Adddate(null);
functionPrototype["ADDTIME"] = new Addtime(null);
functionPrototype["AES_DECRYPT"] = new AesDecrypt(null);
functionPrototype["AES_ENCRYPT"] = new AesEncrypt(null);
functionPrototype["ANALYSE"] = new Analyse(null);
functionPrototype["ASCII"] = new Ascii(null);
functionPrototype["ASIN"] = new Asin(null);
functionPrototype["ATAN2"] = new Atan2(null);
functionPrototype["ATAN"] = new Atan(null);
functionPrototype["BENCHMARK"] = new Benchmark(null);
functionPrototype["BIN"] = new Bin(null);
functionPrototype["BIT_AND"] = new BitAnd(null);
functionPrototype["BIT_COUNT"] = new BitCount(null);
functionPrototype["BIT_LENGTH"] = new BitLength(null);
functionPrototype["BIT_OR"] = new BitOR(null);
functionPrototype["BIT_XOR"] = new BitXor(null);
functionPrototype["CEIL"] = new Ceiling(null);
functionPrototype["CEILING"] = new Ceiling(null);
functionPrototype["CHAR_LENGTH"] = new CharLength(null);
functionPrototype["CHARACTER_LENGTH"] = new CharLength(null);
functionPrototype["CHARSET"] = new Charset(null);
functionPrototype["COALESCE"] = new Coalesce(null);
functionPrototype["COERCIBILITY"] = new Coercibility(null);
functionPrototype["COLLATION"] = new Collation(null);
functionPrototype["COMPRESS"] = new Compress(null);
functionPrototype["CONCAT_WS"] = new ConcatWs(null);
functionPrototype["CONCAT"] = new Concat(null);
functionPrototype["CONNECTION_ID"] = new ConnectionId(null);
functionPrototype["CONV"] = new Conv(null);
functionPrototype["CONVERT_TZ"] = new ConvertTz(null);
functionPrototype["COS"] = new Cos(null);
functionPrototype["COT"] = new Cot(null);
functionPrototype["CRC32"] = new Crc32(null);
functionPrototype["CURDATE"] = new Curdate();
functionPrototype["CURRENT_DATE"] = new Curdate();
functionPrototype["CURRENT_TIME"] = new Curtime();
functionPrototype["CURTIME"] = new Curtime();
functionPrototype["CURRENT_TIMESTAMP"] = new Now();
functionPrototype["CURRENT_USER"] = new CurrentUser();
functionPrototype["CURTIME"] = new Curtime();
functionPrototype["DATABASE"] = new Database(null);
functionPrototype["DATE_ADD"] = new DateAdd(null);
functionPrototype["DATE_FORMAT"] = new DateFormat(null);
functionPrototype["DATE_SUB"] = new DateSub(null);
functionPrototype["DATE"] = new Date(null);
functionPrototype["DATEDIFF"] = new Datediff(null);
functionPrototype["DAY"] = new Dayofmonth(null);
functionPrototype["DAYOFMONTH"] = new Dayofmonth(null);
functionPrototype["DAYNAME"] = new Dayname(null);
functionPrototype["DAYOFWEEK"] = new Dayofweek(null);
functionPrototype["DAYOFYEAR"] = new Dayofyear(null);
functionPrototype["DECODE"] = new Decode(null);
functionPrototype["DEFAULT"] = new Default(null);
functionPrototype["DEGREES"] = new Degrees(null);
functionPrototype["DES_DECRYPT"] = new DesDecrypt(null);
functionPrototype["DES_ENCRYPT"] = new DesEncrypt(null);
functionPrototype["ELT"] = new Elt(null);
functionPrototype["ENCODE"] = new Encode(null);
functionPrototype["ENCRYPT"] = new Encrypt(null);
functionPrototype["EXP"] = new Exp(null);
functionPrototype["EXPORT_SET"] = new ExportSet(null);
// functionPrototype.put("EXTRACT", new Extract(null));
functionPrototype["EXTRACTVALUE"] = new ExtractValue(null);
functionPrototype["FIELD"] = new Field(null);
functionPrototype["FIND_IN_SET"] = new FindInSet(null);
functionPrototype["FLOOR"] = new Floor(null);
functionPrototype["FORMAT"] = new Format(null);
functionPrototype["FOUND_ROWS"] = new FoundRows(null);
functionPrototype["FROM_DAYS"] = new FromDays(null);
functionPrototype["FROM_UNIXTIME"] = new FromUnixtime(null);
// functionPrototype.put("GET_FORMAT", new GetFormat(null));
functionPrototype["GET_LOCK"] = new GetLock(null);
functionPrototype["GREATEST"] = new Greatest(null);
functionPrototype["HEX"] = new Hex(null);
functionPrototype["HOUR"] = new Hour(null);
functionPrototype["IF"] = new IF(null);
functionPrototype["IFNULL"] = new IFNull(null);
functionPrototype["INET_ATON"] = new InetAton(null);
functionPrototype["INET_NTOA"] = new InetNtoa(null);
functionPrototype["INSERT"] = new Insert(null);
functionPrototype["INSTR"] = new Instr(null);
functionPrototype["INTERVAL"] = new Interval(null);
functionPrototype["IS_FREE_LOCK"] = new IsFreeLock(null);
functionPrototype["IS_USED_LOCK"] = new IsUsedLock(null);
functionPrototype["ISNULL"] = new IsNull(null);
functionPrototype["LAST_DAY"] = new LastDay(null);
functionPrototype["LAST_INSERT_ID"] = new LastInsertId(null);
functionPrototype["LCASE"] = new Lower(null);
functionPrototype["LEAST"] = new Least(null);
functionPrototype["LEFT"] = new Left(null);
functionPrototype["LENGTH"] = new Length(null);
functionPrototype["LN"] = new Log(null);
// Ln(X) equals Log(X)
functionPrototype["LOAD_FILE"] = new LoadFile(null);
functionPrototype["LOCALTIME"] = new Now();
functionPrototype["LOCALTIMESTAMP"] = new Now();
functionPrototype["LOCATE"] = new Locate(null);
functionPrototype["LOG10"] = new Log10(null);
functionPrototype["LOG2"] = new Log2(null);
functionPrototype["LOG"] = new Log(null);
functionPrototype["LOWER"] = new Lower(null);
functionPrototype["LPAD"] = new Lpad(null);
functionPrototype["LTRIM"] = new Ltrim(null);
functionPrototype["MAKE_SET"] = new MakeSet(null);
functionPrototype["MAKEDATE"] = new Makedate(null);
functionPrototype["MAKETIME"] = new Maketime(null);
functionPrototype["MASTER_POS_WAIT"] = new MasterPosWait(null);
functionPrototype["MD5"] = new Md5(null);
functionPrototype["MICROSECOND"] = new Microsecond(null);
functionPrototype["MID"] = new Substring(null);
functionPrototype["MINUTE"] = new Minute(null);
functionPrototype["MONTH"] = new Month(null);
functionPrototype["MONTHNAME"] = new Monthname(null);
functionPrototype["NAME_CONST"] = new NameConst(null);
functionPrototype["NOW"] = new Now();
functionPrototype["NULLIF"] = new NullIF(null);
functionPrototype["OCT"] = new Oct(null);
functionPrototype["OCTET_LENGTH"] = new Length(null);
functionPrototype["OLD_PASSWORD"] = new OldPassword(null);
functionPrototype["ORD"] = new Ord(null);
functionPrototype["PASSWORD"] = new Password(null);
functionPrototype["PERIOD_ADD"] = new PeriodAdd(null);
functionPrototype["PERIOD_DIFF"] = new PeriodDiff(null);
functionPrototype["PI"] = new PI(null);
functionPrototype["POW"] = new Pow(null);
functionPrototype["POWER"] = new Pow(null);
functionPrototype["QUARTER"] = new Quarter(null);
functionPrototype["QUOTE"] = new Quote(null);
functionPrototype["RADIANS"] = new Radians(null);
functionPrototype["RAND"] = new Rand(null);
functionPrototype["RELEASE_LOCK"] = new ReleaseLock(null);
functionPrototype["REPEAT"] = new Repeat(null);
functionPrototype["REPLACE"] = new Replace(null);
functionPrototype["REVERSE"] = new Reverse(null);
functionPrototype["RIGHT"] = new Right(null);
functionPrototype["ROUND"] = new Round(null);
functionPrototype["ROW_COUNT"] = new RowCount(null);
functionPrototype["RPAD"] = new Rpad(null);
functionPrototype["RTRIM"] = new Rtrim(null);
functionPrototype["SCHEMA"] = new Database(null);
functionPrototype["SEC_TO_TIME"] = new SecToTime(null);
functionPrototype["SECOND"] = new Second(null);
functionPrototype["SESSION_USER"] = new User(null);
functionPrototype["SHA1"] = new Sha1(null);
functionPrototype["SHA"] = new Sha1(null);
functionPrototype["SHA2"] = new Sha2(null);
functionPrototype["SIGN"] = new Sign(null);
functionPrototype["SIN"] = new Sin(null);
functionPrototype["SLEEP"] = new Sleep(null);
functionPrototype["SOUNDEX"] = new Soundex(null);
functionPrototype["SPACE"] = new Space(null);
functionPrototype["SQRT"] = new Sqrt(null);
functionPrototype["STD"] = new Std(null);
functionPrototype["STDDEV_POP"] = new StdDevPop(null);
functionPrototype["STDDEV_SAMP"] = new StdDevSamp(null);
functionPrototype["STDDEV"] = new StdDev(null);
functionPrototype["STR_TO_DATE"] = new StrToDate(null);
functionPrototype["STRCMP"] = new Strcmp(null);
functionPrototype["SUBDATE"] = new Subdate(null);
functionPrototype["SUBSTRING_INDEX"] = new SubstringIndex(null);
functionPrototype["SUBTIME"] = new Subtime(null);
functionPrototype["SYSDATE"] = new Sysdate(null);
functionPrototype["SYSTEM_USER"] = new User(null);
functionPrototype["TAN"] = new Tan(null);
functionPrototype["TIME_FORMAT"] = new TimeFormat(null);
functionPrototype["TIME_TO_SEC"] = new TimeToSec(null);
functionPrototype["TIME"] = new Time(null);
functionPrototype["TIMEDIFF"] = new Timediff(null);
functionPrototype["TIMESTAMP"] = new Timestamp(null);
// functionPrototype.put("TIMESTAMPADD", new Timestampadd(null));
// functionPrototype.put("TIMESTAMPDIFF", new Timestampdiff(null));
functionPrototype["TO_DAYS"] = new ToDays(null);
functionPrototype["TO_SECONDS"] = new ToSeconds(null);
functionPrototype["TRUNCATE"] = new Truncate(null);
functionPrototype["UCASE"] = new Upper(null);
functionPrototype["UNCOMPRESS"] = new Uncompress(null);
functionPrototype["UNCOMPRESSED_LENGTH"] = new UncompressedLength(null);
functionPrototype["UNHEX"] = new Unhex(null);
functionPrototype["UNIX_TIMESTAMP"] = new UnixTimestamp(null);
functionPrototype["UPDATEXML"] = new UpdateXml(null);
functionPrototype["UPPER"] = new Upper(null);
functionPrototype["USER"] = new User(null);
functionPrototype["UTC_DATE"] = new UtcDate(null);
functionPrototype["UTC_TIME"] = new UtcTime(null);
functionPrototype["UTC_TIMESTAMP"] = new UtcTimestamp(null);
functionPrototype["UUID_SHORT"] = new UuidShort(null);
functionPrototype["UUID"] = new Uuid(null);
functionPrototype["VALUES"] = new Values(null);
functionPrototype["VAR_POP"] = new VarPop(null);
functionPrototype["VAR_SAMP"] = new VarSamp(null);
functionPrototype["VARIANCE"] = new Variance(null);
functionPrototype["VERSION"] = new Version(null);
functionPrototype["WEEK"] = new Week(null);
functionPrototype["WEEKDAY"] = new Weekday(null);
functionPrototype["WEEKOFYEAR"] = new Weekofyear(null);
functionPrototype["YEAR"] = new Year(null);
functionPrototype["YEARWEEK"] = new Yearweek(null);
}
public SimulationOutput ComputeSimulation(SimulationInput input)
{
var securities = _repository.GetSecurities();
var underlying = securities.FirstOrDefault(x => x.SecurityType == SecurityType.Underlying);
var future = securities.FirstOrDefault(x => x.SecurityType == SecurityType.Future);
var call = securities.FirstOrDefault(x => x.SecurityType == SecurityType.Option);
ReturnCalculator.ComputeReturn(underlying.DataSeries);
var output = new SimulationOutput();
output.Type = SimulationType.FixedVol;
if (input != null && input.TimeWindow.HasValue)
{
output.TimeWindow = input.TimeWindow;
}
else
{
output.TimeWindow = 252;
}
if (input != null && input.Sigma.HasValue && input.Sigma.Value != 0)
{
output.Sigma = input.Sigma / 100;
}
else
{
output.Sigma = StdDev.ComputeStdDev(underlying.DataSeries, 252);
}
if (input != null && input.RiskFree.HasValue)
{
output.RiskFree = input.RiskFree / 100;
}
else
{
output.RiskFree = 4.5 / 100;
}
var minDate = call.DataSeries.Min(x => x.Date);
var initialVol = EWMA.ComputeInitalVol(underlying.DataSeries, input.Lambda.Value, minDate, input.TimeWindow.Value);
var count = 0;
double volYesterday = 0, returnYesterday = 0;
call.DataSeries
.OrderByDescending(x => x.Date)
.ToList()
.ForEach(x =>
{
var underPrice = future.DataSeries.Where(y => y.Date == x.Date).FirstOrDefault();
if (underPrice != null)
{
var simulationDataSerie = new SimulationDataSerie();
simulationDataSerie.Volatility = output.Sigma.Value;
simulationDataSerie.Date = x.Date;
simulationDataSerie.BlackAndScholesPrice =
BlackAndScholes.ComputePrice(underPrice.Price, call.Strike, output.RiskFree.Value, output.Sigma.Value, (x.TTM.Value / 252.0), 0);
simulationDataSerie.Black76Price =
Black76.ComputePrice(underPrice.Price, call.Strike, output.RiskFree.Value, output.Sigma.Value, (x.TTM.Value / 252.0), 0);
simulationDataSerie.UnderlyingPrice = underPrice.Price;
simulationDataSerie.MarketPrice = x.Price;
if (count == 0)
{
simulationDataSerie.EWMAVol = initialVol;
}
else
{
simulationDataSerie.EWMAVol = EWMA.ComputeVol(volYesterday, returnYesterday, input.Lambda.Value);
}
simulationDataSerie.BlackAndScholesPriceEWMA =
BlackAndScholes.ComputePrice(underPrice.Price, call.Strike, output.RiskFree.Value, simulationDataSerie.EWMAVol * 100, (x.TTM.Value / 252.0), 0);
simulationDataSerie.Black76PriceEWMA =
Black76.ComputePrice(underPrice.Price, call.Strike, output.RiskFree.Value, simulationDataSerie.EWMAVol, (x.TTM.Value / 252.0), 0);
returnYesterday = underlying.DataSeries.OrderByDescending(y => y.Date).First(y => y.Date < x.Date).Return;
volYesterday = simulationDataSerie.EWMAVol;
output.DataSeries.Add(simulationDataSerie);
count++;
}
});
output.DataSeries = output.DataSeries.OrderBy(x => x.Date).ToList();
return(output);
}
protected bool Equals(RatioValue other)
{
return(Ratio.Equals(other.Ratio) && StdDev.Equals(other.StdDev) && DotProduct.Equals(other.DotProduct));
}
//(BarHistory bars, BarHistory barsFirst, BarHistory barsSecond, int periodRegression, int periodRegressionMomentum,
public override void Populate()
{
BarHistory bars = Parameters[0].AsBarHistory;
Int32 period = Parameters[1].AsInt;
Int32 emaPeriod = Parameters[2].AsInt;
Double cutoffConst = Parameters[3].AsDouble;
Double curtailCoeff = Parameters[4].AsDouble;
DateTimes = bars.DateTimes;
var FirstValidValue = Math.Max(period, emaPeriod) * 3;
if (FirstValidValue > bars.Count || FirstValidValue < 0)
{
FirstValidValue = bars.Count;
}
if (FirstValidValue <= 0 || DateTimes.Count == 0)
{
return;
}
// Based on WL4 coding: http://wl4.wealth-lab.com/cgi-bin/WealthLab.DLL/libraryview?item=245
var dsInter = new TimeSeries(DateTimes);
dsInter[0] = 0d;
// 'Typical' is the AveragePriceC.Series in WLP
for (int bar = 1; bar < bars.Count; bar++)
{
dsInter[bar] = Math.Log(bars.AveragePriceHLC[bar]) - Math.Log(bars.AveragePriceHLC[bar - 1]);
}
// StdDev over 30-day time period (30 bars)
dsInter = new StdDev(dsInter, 30);
var dsCutoff = dsInter * cutoffConst * bars.Close;
// dsAve = Average volume with 1 bar delay
var dsAve = new FastSMA(bars.Volume, period) >> 1;
var dsMax = dsAve * curtailCoeff;
var dsMF = bars.AveragePriceHLC - (bars.AveragePriceHLC >> 1);
var dsSer = new TimeSeries(DateTimes);
var dsVFI = new TimeSeries(DateTimes);
// Optimized summation over period.
double PrevVfi = 0.0;
for (int bar = 0; bar < bars.Count; bar++)
{
double Old = 0.0;
if (bar > period)
{
Old = dsSer[bar - period - 1];
}
double Value = Math.Min(bars.Volume[bar], dsMax[bar]);
double New = 0.0;
if (dsMF[bar] > dsCutoff[bar])
{
New = Value;
}
else if (dsMF[bar] < (-1 * dsCutoff[bar]))
{
New = -1 * Value;
}
dsSer[bar] = New;
dsVFI[bar] = PrevVfi - Old + New;
PrevVfi = dsVFI[bar];
}
dsVFI /= dsAve;
// Smooth VFI and store in result series
var dsEma = new EMA(dsVFI, emaPeriod);
for (int bar = 0; bar < bars.Count; bar++)
{
Values[bar] = dsEma[bar];
}
}
//populate
public override void Populate()
{
BarHistory bars = Parameters[0].AsBarHistory;
Int32 period = Parameters[1].AsInt;
DateTimes = bars.DateTimes;
if (period <= 0 || bars.Count == 0)
{
return;
}
var FirstValidValue = period;
if (FirstValidValue > bars.Count || FirstValidValue < 0)
{
FirstValidValue = bars.Count;
}
var RelVol = new TimeSeries(DateTimes);
if (FirstValidValue > 1)
{
RelVol[FirstValidValue - 1] = 0d;
}
for (int bar = FirstValidValue; bar < bars.Count; bar++)
{
double av = FastSMA.Calculate(bar, bars.Volume, period);
double sd = new StdDev(bars.Volume, period)[bar];
double relVol = (bars.Volume[bar] - av) / sd;
RelVol[bar] = relVol;
}
var aMove = ((bars.Close - (bars.Close >> 1)) / bars.Close >> 1).Abs();
var theMin = new Lowest(aMove, period);
var theMax = new Highest(aMove, period);
var theMove = new TimeSeries(DateTimes);
var theVol = new TimeSeries(DateTimes);
for (int bar = FirstValidValue; bar < bars.Count; bar++)
{
if ((theMax[bar] - theMin[bar]) > 0)
{
theMove[bar] = 1.0 + ((aMove[bar] - theMin[bar]) * (10d - 1d)) / (theMax[bar] - theMin[bar]);
}
}
var theMinV = new Lowest(RelVol, period);
var theMaxV = new Highest(RelVol, period);
for (int bar = FirstValidValue; bar < bars.Count; bar++)
{
if ((theMaxV[bar] - theMinV[bar]) > 0)
{
theVol[bar] = 1.0 + ((RelVol[bar] - theMinV[bar]) * (10d - 1d)) / (theMaxV[bar] - theMinV[bar]);
}
}
var vByM = theVol / theMove;
var avF = new SMA(vByM, period);
var sdF = new StdDev(vByM, period);
var theFoM = (vByM - avF) / sdF;
for (int bar = 0; bar < bars.Count; bar++)
{
Values[bar] = theFoM[bar];
}
}
public InSyncIndex(Bars bars, string description)
: base(bars, description)
{
base.FirstValidValue = 20;
if (bars.Count < 20)
{
return;
}
DataSeries BOLInSLB = StdDev.Series(bars.Close, 20, StdDevCalculation.Sample) * 2;
BOLInSLB = Community.Indicators.FastSMA.Series(bars.Close, 20) - BOLInSLB;
DataSeries BOLInSUB = StdDev.Series(bars.Close, 20, StdDevCalculation.Sample) * 2;
BOLInSUB = Community.Indicators.FastSMA.Series(bars.Close, 20) + BOLInSUB;
DataSeries BOLInS2 = BOLInSUB - BOLInSLB;
BOLInS2 = (bars.Close - BOLInSLB) / BOLInS2;
EMV emv = EMV.Series(bars, 13);
DataSeries EMVSer = Community.Indicators.FastSMA.Series(emv, 10);
DataSeries EMVInS2 = EMVSer - Community.Indicators.FastSMA.Series(EMVSer, 10);
DataSeries MACDSer = Community.Indicators.FastSMA.Series(MACD.Series(bars.Close), 10);
DataSeries MACDInS2 = MACD.Series(bars.Close) - MACDSer;
int Period = 18;
DataSeries DPOSeries = bars.Close - (Community.Indicators.FastSMA.Series(bars.Close, Period) >> ((Period / 2) + 1));
DataSeries PDOSer = Community.Indicators.FastSMA.Series(DPOSeries, 10);
DataSeries PDOInS2 = DPOSeries - PDOSer;
DataSeries ROCSer = EMA.Series(ROC.Series(bars.Close, 10), 10, EMACalculation.Modern);
DataSeries ROCInS2 = ROC.Series(bars.Close, 10) - ROCSer;
DataSeries BOLInSLL = bars.Close * 0;
DataSeries CCInS = bars.Close * 0;
DataSeries EMVInSB = bars.Close * 0;
DataSeries EMVInSS = bars.Close * 0;
DataSeries MACDInSB = bars.Close * 0;
DataSeries MACDInSS = bars.Close * 0;
DataSeries MFIInS = bars.Close * 0;
DataSeries PDOInSB = bars.Close * 0;
DataSeries PDOInSS = bars.Close * 0;
DataSeries ROCInSB = bars.Close * 0;
DataSeries ROCInSS = bars.Close * 0;
DataSeries RSIInS = bars.Close * 0;
DataSeries STODInS = bars.Close * 0;
DataSeries STOKInS = bars.Close * 0;
for (int bar = base.FirstValidValue; bar < bars.Count; bar++)
{
if (BOLInS2[bar] < 0.05)
{
BOLInSLL[bar] = -5;
}
else
if (BOLInS2[bar] > 0.95)
{
BOLInSLL[bar] = +5;
}
if (CCI.Series(bars, 14)[bar] > +100)
{
CCInS[bar] = +5;
}
else
if (CCI.Series(bars, 14)[bar] < -100)
{
CCInS[bar] = -5;
}
if ((EMVInS2[bar] < 0) & (EMVSer[bar] < 0))
{
EMVInSB[bar] = -5;
}
if ((EMVInS2[bar] > 0) & (EMVSer[bar] > 0))
{
EMVInSS[bar] = +5;
}
if ((MACDInS2[bar] < 0) & (MACDSer[bar] < 0))
{
MACDInSB[bar] = -5;
}
if ((MACDInS2[bar] > 0) & (MACDSer[bar] > 0))
{
MACDInSS[bar] = +5;
}
if (MFI.Series(bars, 20)[bar] > 80)
{
MFIInS[bar] = +5;
}
else
if (MFI.Series(bars, 20)[bar] < 20)
{
MFIInS[bar] = -5;
}
if ((PDOInS2[bar] < 0) & (PDOSer[bar] < 0))
{
PDOInSB[bar] = -5;
}
if ((PDOInS2[bar] > 0) & (PDOSer[bar] > 0))
{
PDOInSS[bar] = +5;
}
if ((ROCInS2[bar] < 0) & (ROCSer[bar] < 0))
{
ROCInSB[bar] = -5;
}
if ((ROCInS2[bar] > 0) & (ROCSer[bar] > 0))
{
ROCInSS[bar] = +5;
}
if (RSI.Series(bars.Close, 14)[bar] > 70)
{
RSIInS[bar] = +5;
}
else
if (RSI.Series(bars.Close, 14)[bar] < 30)
{
RSIInS[bar] = -5;
}
if (StochD.Series(bars, 14, 3)[bar] > 80)
{
STODInS[bar] = +5;
}
else
if (StochD.Series(bars, 14, 3)[bar] < 20)
{
STODInS[bar] = -5;
}
if (StochK.Series(bars, 14)[bar] > 80)
{
STOKInS[bar] = +5;
}
else
if (StochK.Series(bars, 14)[bar] < 20)
{
STOKInS[bar] = -5;
}
base[bar] = 50 +
CCInS[bar] + BOLInSLL[bar] + RSIInS[bar]
+ STODInS[bar] + MFIInS[bar] + EMVInSB[bar]
+ EMVInSS[bar] + ROCInSS[bar] + ROCInSB[bar]
+ STOKInS[bar] + MACDInSS[bar] + MACDInSB[bar]
+ PDOInSS[bar - 10] + PDOInSB[bar - 10];
}
}
