public override void Calculate(IDataSet dataSet)
{
DataSet = dataSet;
// Reading the parameters
var maMethod = (MAMethod)IndParam.ListParam[2].Index;
var periodCci = (int)IndParam.NumParam[0].Value;
var periodMa = (int)IndParam.NumParam[1].Value;
var level = (int)IndParam.NumParam[2].Value;
int previous = IndParam.CheckParam[0].Checked ? 1 : 0;
SpecialValues = new double[] { -level, level };
// Calculation
int firstBar = periodCci + periodMa + 2;
var cciIndicator = new CommodityChannelIndex();
cciIndicator.Initialize(SlotType);
cciIndicator.IndParam.ListParam[1].Index = IndParam.ListParam[1].Index;
cciIndicator.IndParam.ListParam[2].Index = IndParam.ListParam[3].Index;
cciIndicator.IndParam.NumParam[0].Value = IndParam.NumParam[0].Value;
cciIndicator.IndParam.CheckParam[0].Checked = IndParam.CheckParam[0].Checked;
cciIndicator.Calculate(DataSet);
double[] cci = cciIndicator.Component[0].Value;
double[] maCci = MovingAverage(periodMa, 0, maMethod, cci);
double[] buyZone = new double[Bars];
double[] sellZone = new double[Bars];
for (int bar = firstBar; bar < Bars; bar++)
{
if (buyZone[bar - 1] > Epsilon && maCci[bar] < -level)
{
// Continue Buy zone
buyZone[bar] = 1;
continue;
}
if (sellZone[bar - 1] > Epsilon && maCci[bar] > level)
{
// Continue Sell zone
sellZone[bar] = 1;
continue;
}
if (cci[bar] > maCci[bar] + Epsilon && cci[bar - 1] <= maCci[bar - 1] &&
maCci[bar] < -level)
{
// Start Buy zone
buyZone[bar] = 1;
continue;
}
if (cci[bar] < maCci[bar] - Epsilon && cci[bar - 1] >= maCci[bar - 1] &&
maCci[bar] > level)
{
// Start Sell zone
sellZone[bar] = 1;
}
}
// Shift signal if it is necessary
if (previous > 0)
{
for (int bar = Bars - 1; bar >= firstBar; bar--)
{
buyZone[bar] = buyZone[bar - 1];
sellZone[bar] = sellZone[bar - 1];
}
}
// Saving the components
Component = new IndicatorComp[4];
Component[0] = new IndicatorComp
{
CompName = "CCI",
DataType = IndComponentType.IndicatorValue,
ChartType = IndChartType.Line,
ChartColor = Color.RoyalBlue,
FirstBar = firstBar,
Value = cci
};
Component[1] = new IndicatorComp
{
CompName = "MA CCI",
DataType = IndComponentType.IndicatorValue,
ChartType = IndChartType.Line,
ChartColor = Color.Red,
FirstBar = firstBar,
Value = maCci
};
Component[2] = new IndicatorComp
{
ChartType = IndChartType.NoChart,
FirstBar = firstBar
};
Component[3] = new IndicatorComp
{
ChartType = IndChartType.NoChart,
FirstBar = firstBar
};
// Sets the Component's type
if (SlotType == SlotTypes.OpenFilter)
{
Component[2].DataType = IndComponentType.AllowOpenLong;
Component[2].CompName = "Is long entry allowed";
Component[2].Value = buyZone;
Component[3].DataType = IndComponentType.AllowOpenShort;
Component[3].CompName = "Is short entry allowed";
Component[3].Value = sellZone;
}
else if (SlotType == SlotTypes.CloseFilter)
{
Component[2].DataType = IndComponentType.ForceCloseLong;
Component[2].CompName = "Close out long position";
Component[2].Value = sellZone;
Component[3].DataType = IndComponentType.ForceCloseShort;
Component[3].CompName = "Close out short position";
Component[3].Value = buyZone;
}
}
public override void Calculate(IDataSet dataSet)
{
DataSet = dataSet;
// Reading the parameters
var basePrice = (BasePrice)IndParam.ListParam[2].Index;
var referencePeriod = (int)IndParam.NumParam[2].Value;
int previous = IndParam.CheckParam[0].Checked ? 1 : 0;
// Calculation
// ---------------------------------------------------------
var cci = new CommodityChannelIndex();
cci.Initialize(SlotType);
cci.IndParam.ListParam[1].Index = IndParam.ListParam[1].Index;
cci.IndParam.ListParam[2].Index = IndParam.ListParam[2].Index;
cci.IndParam.NumParam[0].Value = IndParam.NumParam[0].Value;
cci.IndParam.NumParam[2].Value = IndParam.NumParam[1].Value;
cci.IndParam.CheckParam[0].Checked = IndParam.CheckParam[0].Checked;
cci.Calculate(DataSet);
double[] indicatorMa = MovingAverage(referencePeriod, previous, MAMethod.Simple, cci.Component[0].Value);
double[] marketMa = MovingAverage(referencePeriod, previous, MAMethod.Simple, Price(basePrice));
// ----------------------------------------------------------
int firstBar = cci.Component[0].FirstBar + referencePeriod + 2;
var cd = new double[Bars];
if (IndParam.ListParam[0].Text == "Convergence")
{
for (int bar = firstBar; bar < Bars; bar++)
{
cd[bar] = IsConvergence(indicatorMa, marketMa, bar);
}
}
else if (IndParam.ListParam[0].Text == "Divergence")
{
for (int bar = firstBar; bar < Bars; bar++)
{
cd[bar] = IsDivergence(indicatorMa, marketMa, bar);
}
}
// Saving the components
Component = new IndicatorComp[4];
Component[0] = new IndicatorComp
{
CompName = "CCI",
DataType = IndComponentType.IndicatorValue,
ChartType = IndChartType.Line,
ChartColor = Color.RoyalBlue,
FirstBar = firstBar,
Value = cci.Component[0].Value
};
Component[1] = new IndicatorComp
{
CompName = "CCI MA",
DataType = IndComponentType.IndicatorValue,
ChartType = IndChartType.Line,
ChartColor = Color.Red,
FirstBar = firstBar,
Value = indicatorMa
};
Component[2] = new IndicatorComp
{
ChartType = IndChartType.NoChart,
FirstBar = firstBar,
Value = cd
};
Component[3] = new IndicatorComp
{
ChartType = IndChartType.NoChart,
FirstBar = firstBar,
Value = cd
};
// Sets the Component's type
if (SlotType == SlotTypes.OpenFilter)
{
Component[2].DataType = IndComponentType.AllowOpenLong;
Component[2].CompName = "Is long entry allowed";
Component[3].DataType = IndComponentType.AllowOpenShort;
Component[3].CompName = "Is short entry allowed";
}
else if (SlotType == SlotTypes.CloseFilter)
{
Component[2].DataType = IndComponentType.ForceCloseLong;
Component[2].CompName = "Close out long position";
Component[3].DataType = IndComponentType.ForceCloseShort;
Component[3].CompName = "Close out short position";
}
}