/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="time"></param>
/// <param name="input">The input given to the indicator</param>
/// <returns>A new value for this indicator</returns>
protected override DoubleArray Forward(long time, DoubleArray input)
{
_adx.Update(time, input);
if (_adx.IsReady)
{
_adxHistory.Add(_adx);
}
return(IsReady ? (_adx + _adxHistory[_period - 1]) / 2 : 50.0d);
}
public void ResetsProperly()
{
var adxIndicator = new AverageDirectionalIndex("ADX", 14);
foreach (var data in TestHelper.GetTradeBarStream("spy_with_adx.txt", false))
{
adxIndicator.Update(data);
}
Assert.IsTrue(adxIndicator.IsReady);
adxIndicator.Reset();
}
public bool Update(TradeBar data, decimal holdings)
{
_data = data;
_holdings = holdings;
var isReady = _ich.Update(data) && _adx.Update(data) && _vwap.Update(data);
_consolidation.RollConsolidationWindow();
_consolidation.Consolidate(data, _ich);
//_volume.Add(data.Volume);
TrendDirection = IsBullishTrend()
? Direction.Bullish
: IsBearishTrend() ? Direction.Bearish : Direction.None;
return(isReady);
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
public override void Initialize()
{
// initialize algorithm level parameters
SetStartDate(2013, 10, 07);
SetEndDate(2013, 10, 11);
//SetStartDate(2014, 01, 01);
//SetEndDate(2014, 06, 01);
SetCash(100000);
// leverage tradier $1 traders
SetBrokerageModel(BrokerageName.TradierBrokerage);
// request high resolution equity data
AddSecurity(SecurityType.Equity, symbol, Resolution.Second);
// save off our security so we can reference it quickly later
Security = Securities[symbol];
// Set our max leverage
Security.SetLeverage(MaximumLeverage);
// define our longer term indicators
ADX14 = ADX(symbol, 28, Resolution.Hour);
STD14 = STD(symbol, 14, Resolution.Daily);
ATR14 = ATR(symbol, 14, resolution: Resolution.Daily);
PSARMin = new ParabolicStopAndReverse(symbol, afStart: 0.0001m, afIncrement: 0.0001m);
// smooth our ATR over a week, we'll use this to determine if recent volatilty warrants entrance
var oneWeekInMarketHours = (int)(5 * 6.5);
SmoothedATR14 = new ExponentialMovingAverage("Smoothed_" + ATR14.Name, oneWeekInMarketHours).Of(ATR14);
// smooth our STD over a week as well
SmoothedSTD14 = new ExponentialMovingAverage("Smoothed_" + STD14.Name, oneWeekInMarketHours).Of(STD14);
// initialize our charts
var chart = new Chart(symbol);
chart.AddSeries(new Series(ADX14.Name, SeriesType.Line, 0));
chart.AddSeries(new Series("Enter", SeriesType.Scatter, 0));
chart.AddSeries(new Series("Exit", SeriesType.Scatter, 0));
chart.AddSeries(new Series(PSARMin.Name, SeriesType.Scatter, 0));
AddChart(chart);
var history = History(symbol, 20, Resolution.Daily);
foreach (var bar in history)
{
ADX14.Update(bar);
ATR14.Update(bar);
STD14.Update(bar.EndTime, bar.Close);
}
// schedule an event to run every day at five minutes after our symbol's market open
Schedule.Event("MarketOpenSpan")
.EveryDay(symbol)
.AfterMarketOpen(symbol, minutesAfterOpen: OpeningSpanInMinutes)
.Run(MarketOpeningSpanHandler);
Schedule.Event("MarketOpen")
.EveryDay(symbol)
.AfterMarketOpen(symbol, minutesAfterOpen: -1)
.Run(() => PSARMin.Reset());
}