/// <summary> /// Computes the next value of this indicator from the given state /// </summary> /// <param name="input">The input given to the indicator</param> /// <returns>A new value for this indicator</returns> protected override decimal ComputeNextValue(IBaseDataBar input) { _adx.Update(input); _adxHistory.Add(_adx); return((_adx + _adxHistory[Math.Min(_adxHistory.Count - 1, _period - 1)]) / 2); }
/// <summary> /// Computes the next value of this indicator from the given state /// </summary> /// <param name="input">The input given to the indicator</param> /// <returns>A new value for this indicator</returns> protected override decimal ComputeNextValue(IBaseDataBar input) { _adx.Update(input); if (_adx.IsReady) { _adxHistory.Add(_adx); } return(IsReady ? (_adx + _adxHistory[_period - 1]) / 2 : 50m); }
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(); }
/// <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)); chart.AddSeries(new Series("Enter", SeriesType.Scatter)); chart.AddSeries(new Series("Exit", SeriesType.Scatter)); chart.AddSeries(new Series(PSARMin.Name, SeriesType.Scatter)); 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()); }