//This static method allows ad-hoc calculation of FractDim (single calc mode)
public static double Calculate(int bar, TimeSeries ds, int period)
{
if (period < 2 || period > bar + 1)
{
return(0);
}
// Calculate length
double Range = Highest.Calculate(bar, ds, period) - Lowest.Calculate(bar, ds, period);
if (Range <= 0)
{
return(0);
}
double L = 0;
for (int j = bar - period + 2; j <= bar; j++)
{
// Transform Y
double dY = ds[j] - ds[j - 1];
// Calculate Length - X is transformed to bars
L += hypot(dY / Range, 1 / (period - 1));
}
// Calculate Fractal Dimension Approximation
return(1 + Math.Log(L) / Math.Log(2 * (period - 1)));
}
//This static method allows ad-hoc calculation of RSS (single calc mode)
public static double Calculate(int bar, BarHistory ds, int period)
{
//Avoid exception errors
if (period < 2)
{
return(Double.NaN);
}
double range = Highest.Calculate(bar, ds.High, period) - Lowest.Calculate(bar, ds.Low, period);
if (range <= 0)
{
return(Double.NaN);
}
return(Math.Log10(range) / Math.Log10(period));
}
//This static method allows ad-hoc calculation of TTF (single calc mode)
public static double Calculate(int bar, BarHistory ds, int period)
{
if (bar < 2 * period - 1)
{
return(0);
}
double BuyPwr = Highest.Calculate(bar, ds.High, period) - Lowest.Calculate(bar - period, ds.Low, period);
double SellPwr = Highest.Calculate(bar - period, ds.High, period) - Lowest.Calculate(bar, ds.Low, period);
if (BuyPwr + SellPwr == 0)
{
return(0);
}
return(200 * (BuyPwr - SellPwr) / (BuyPwr + SellPwr));
}
//populate
public override void Populate()
{
//get parameter values
BarHistory source = Parameters[0].AsBarHistory;
int period = Parameters[1].AsInt;
int fastEMA = Parameters[2].AsInt;
int slowEMA = Parameters[3].AsInt;
DateTimes = source.DateTimes;
if (source.Count < period + 1)
{
return;
}
//calculate AMA, populate
double fastSC = 2.0 / (fastEMA + 1.0);
double slowSC = 2.0 / (slowEMA + 1.0);
double priorAMA = source.Close[period];
for (int n = period + 1; n < source.Count; n++)
{
//MLTP
double mltp = 0.5;
double c = source.Close[n];
double hh = Highest.Calculate(n, source.High, period + 1);
double ll = Lowest.Calculate(n, source.Low, period + 1);
double diff = hh - ll;
if (diff != 0 && !Double.IsNaN(diff))
{
mltp = Math.Abs((c - ll) - (hh - c)) / diff;
}
//Smoothing constant
double ssc = mltp * (fastSC - slowSC) + slowSC;
double constant = Math.Pow(ssc, 2.0);
//current AMA
Values[n] = priorAMA + constant * (c - priorAMA);
priorAMA = Values[n];
}
}