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[...] HI=GH*Ratio;
double IJ=HI*Ratio; double FH= Math.Sqrt(Math.Pow(FG,2)+Math.Pow(GH,2));
int x = 0; // bars since
SetBarColors ( Color.Silver,Color.Silver );
HideVolume (); int init = Math.Min( Bars .Count-1, paramStartBar.ValueInt);
for ( int bar = init; bar < Bars .Count; bar++)
{
x = bar - init;
// Marking Ermanometry bars
bool cond01 = (x==Math.Round(FH)); //Erman
bool cond02 = (x==Math.Round(GH)); //Erman
bool [...]
RSI — 8.5%
[...] based on the RSI oversold/overbought level
DataSeries rsi = RSI.Series( Close , 14 );
double x = 0; double col = 0;
// RSI is an "unstable" indicator; consult Language Guide [...]
Syntax
public static double Correlation( this double [] x, double [] y, int n) public double Correlation( double [] x, double [] y, int n) Parameter Description x Array of double values (first data series) y Array of double values (second data series) n Correlation lookback period Description Calculates Pearson Correlation. Uses code from ALGLIB project .
Example
The following example demonstrates how well correlated were CMO and RSI: Example using C# extension methods:
using [...]
[...] WealthLab.Strategies
{
public class MyStrategy : WealthScript
{
protected override void Execute()
{
double x = 0;
PlotSeries ( PricePane , Parabolic.Series( Bars , 0.02, 0.02, 0.2 ), Color.Red, WealthLab.LineStyle.Dots, 3 );
for ( int bar = 20; bar < Bars .Count; bar++)
{
x = Parabolic.Series( Bars , 0.02, 0.02, 0.2 )[bar]; if (! IsLastPositionActive )
{
if ( Low [bar] < x )
BuyAtStop ( bar+1, x ); else
ShortAtStop ( [...]
[...] goes in your favor vs. how much a trade goes against you. The number of bars since entry is on the X axis, the average E-Ratio is on axis Y. The higher the number the better your trading edge is supposed to be (if it's a positive value). E-Ratio is normalized for volatility to be applicable across different markets. E-Ratio chart Calculation
T = total trade count
ATR = 14-bar ATR value
For a Position on a given bar, E-Ratio = (current MFE as of bar / ATR) / (current MAE as of bar / ATR) 1. On each bar X (where X [...]
[...] bar++)
{
SetPaneBackgroundColor ( PricePane ,bar,Color.Black);
int AvgLength = 3, M = 0;
double X = 0, Y = 0, Sx = 0, Sy = 0, Sxx = 0, Syy = 0, Sxy = 0;
double [] Corr = new double [70];
double [] CosinePart = new double [70];
double [] SinePart = new double [70];
double [] SqSum = new double [70];
double [,] R = new double [70,2];
double [] Pwr = new double [70];
//Pearson correlation for each value of lag
for ( int Lag = 0; Lag <= 48; Lag++)
{
//Set the averaging length as M
M = AvgLength;
[...]
CMF — 3.5%
[...] confirming the break out direction.
Calculation CMF = n-day Sum of ( ( ( (C - L) - (H - C) ) / (H - L) ) x Vol ) / n-day Sum of Vol where, n = number of periods, typically 21
H = high
L = low
C = close
Vol = volume
Example using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators; namespace WealthLab.Strategies
{
public class MyStrategy : WealthScript
{
// Thank you fundtimer
public Color WS4ColorToNET( double WS4Color )
{
return Color.FromArgb(
( int )Math.Floor( [...]
[...] of the Extension. Version - Version of Extension. Enclose a usual numerical sequence in quotes - "x.x.x.x" (e.g. 1.3.4.0 ) Publisher - Your company name. Glyph16x16Name - Resource name containing the Extension's logo (16x16 pixels; see example). Specify Build Action for the glyph equal to "Embedded Resource" in Properties window. Licence - Extension's licence type enum. Possible options: Freeware Commercial Private DeleteFiles - String array containing file names [...]
Correlation: Indicator Documentation
Syntax
DataSeries CorrelationXL( DataSeries x, DataSeries y, int period )
DataSeries Correlation( DataSeries x, DataSeries y, int period ) public static double Value( int bar, DataSeries x, DataSeries y, int period )
Parameter Description x First DataSeries y Second DataSeries period Lookback [...]
[...] for n consecutive bars Indicator increases (decreases) a number of bars within period Indicator is X% above (below) its value a number of bars ago Smoothed Indicator crosses above (below) Value External Symbol
External Symbol Price is above (below) its Moving Average External Symbol Price crosses above (below) its Moving Average External Symbol Price increases (decreases) a consecutive number of bars External Symbol Moving Average increases (decreases) a consecutive number of bars External Symbol makes a new high (low) within period External Symbol Moving Average [...]
[...] double average = 0.0;
int period = lst.Count;
if ( period > 0 )
{
for ( int x [...]
[...] enum CalcEx.CallPutFlag { Call, Put };
public static double BlackScholes( this double S, double X, double D, double R, double V, CallPutFlag flag) public enum CallPutFlag { Call, Put };
public static double BlackScholes(CallPutFlag flag, double S, double X, double D, double R, double V)
Parameter Description flag Call or Put option - pass either CallPutFlag.Call [...]
[...] //Moving Avg of RS4r
var R5 = new DataSeries( Close , string .Format( "R5({0})" ,period));
var x = Open * 0;
for ( int bar = 1; bar < RS4.Count; bar++)
{
bool RS4up = (RS4[bar] >= 80 || RS4[bar] > mvRS4[bar]); //RS4r is above signal line
x[bar] = RS4[bar] >= 80 ? 1 : 0; //RS4r must be >= 80
} //Avg of >80 scores in period
for ( int bar = 1; bar < RS4.Count; [...]
[...] a IMenuAdder interface (the "adder" variable). You can call adder.AddMenuItem to add a menu to WL6.x: public override void AddMenuItems(IMenuItemAdder [...]
[...] Exits" tab. Step 2. From "Conditions" tab, expand "General indicators" group. Drag "Price crosses X% below indicator" and drop it on your entry rule created in Step 1. Do the same for "Price crosses X% [...]
[...] ShortAtClose (bar, "reverse" );
}
else if ( s1 || s2 || s3 )
SellAtClose (bar, p, "X:" + s1 + "," + s2 + "," + s3);
}
else if ( buy1 || buy2 || buy3 )
{
CoverAtClose (bar, p, "R:" + buy1 + "," + buy2 + "," + buy3 );
BuyAtClose (bar, "reverse" );
}
else if ( c1 || c2 )
CoverAtClose (bar, p, "X:" [...]
[...] trades on the same graph as green and red triangles respectively. A trade's PnL % is plotted on the X axis and its MAE % (or MFE % if selected in appropriate dropdown box) on the Y Axis. The MAE/MFE plot always uses the absolute values. MAE% vs PnL
The purpose of the MAE/PnL view is to set stops properly by figuring out how much unrealised loss must be incurred by a trade before it typically does not recover. Typically you should see more winning than losing trades on the left side of the graph because winning trades usually have lower drawdowns than losing trades. [...]
[...] identification idea of the same kind to go along with the volume confirmation rule: Bullish trend starts after X consecutive closes above the trailing close from Y days ago, Bearish trend starts after X [...]
DPO — 1.4%
[...] oscillators, the Detrended Price Oscillator can be used in different ways.
Calculation
DPO = Close – X-period Simple Moving Average [(X/2)+1 [...]
[...] StrategyParameter paramTrail;
public GoldenTriangleStrategy()
{
paramRiseBars = CreateParameter( "Rise: X bars" , 50, 10, 100, 10);
paramWhiteSpace = CreateParameter( "White space %" , 50, 10, 100, 10);
paramMinRise = CreateParameter( "Min. rise %" , 10, 5, 200, 5);
paramSMA = CreateParameter( "SMA period" , 50, 10, 200, 10);
paramMom = CreateParameter( "Momentum period" , 10, 2, 30, 2);
paramHi = CreateParameter( "Highest period" , 20, 10, 100, 10);
paramProximity = CreateParameter( "Within SMA %" , 2, 1, 5, 1);
paramPullback = CreateParameter( "Pullback [...]
[...] "SVE Rainbow" ;
//PlotSeries(PricePane, sve, Color.Blue, LineStyle.Solid, 2);
DataSeries x = 0.1 * (RSI.Series(sve, rsiPeriod) - 50);
DataSeries e1 = EMA.Series(x, [...]
[...] trades in the simulation, showing both winning and losing trades (accordingly, green and red bins). The X axis contains the risk/reward bins (equal to the number of trades or 10, whichever is less). These bins aggregate the simulated trade results expressed as risk/reward ratio. A bin contains all trades with a risk/reward value up to the bin value and less. For example, let's take the figure above. The "2" bin, preceded by the "1.5" bin, groups all trades with risk/reward ratio from 1.5:1 to 2:1. In this case, the "2" bin has 1 trade which risk/reward was 2:1. The Y axis [...]
[...] IncredibleCharts , the formula is: [((Today's Close - Yesterdays Close) / Yesterdays Close) x Volume] + Yesterdays PVT The PVT can [...]
[...] winning and losing trades a.k.a. streaks (green and red consequently). The position number is Axis X while Axis Y plots the streak magnitude (upper [...]
[...] manner. On Figure 1 we provide an example of setting it all up. Note that the condition "Price crosses X% above/below an indicator" is universal i.e. [...]
[...] date of the dt2 parameter is before the date of dt1 . (Note! For Community.Components prior to 2014.x, TradingDaysBetweenDates returned 0 for the [...]
[...] graph we plot the system's Net Profit on axis Z, and the RSI Length and Fixed Bars parameters on axes X and Y respectively (Figure 3). The best Net [...]
[...] ~Closeoutx ~PrintFilex ~NoPriorityx ~NoClosedx ~NoOpenx ~SplitFactorx:0.5
And remove the trailing x to use the option. Only proper spelling of [...]
[...] number, as shown. One approach to objectively evaluating the channel might be to identify the first X% swing points at the start of each trading [...]
[...] bin of the histogram corresponds to some trade hold period (e.g. 0-20 bars, 20-40 bars etc.) on the X-axis while the Y-axis represents the average [...]