CommodityChannelIndex.cs

//==============================================================
// Forex Strategy Builder
// Copyright © Miroslav Popov. All rights reserved.
//==============================================================
// THIS CODE IS PROVIDED "AS IS" WITHOUT WARRANTY OF ANY KIND,
// EITHER EXPRESSED OR IMPLIED, INCLUDING BUT NOT LIMITED TO
// THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
// A PARTICULAR PURPOSE.
//==============================================================

using System;
using System.Drawing;
using ForexStrategyBuilder.Infrastructure.Entities;
using ForexStrategyBuilder.Infrastructure.Enums;
using ForexStrategyBuilder.Infrastructure.Interfaces;

namespace ForexStrategyBuilder.Indicators.Store
{
    public class CommodityChannelIndex : Indicator
    {
        public CommodityChannelIndex()
        {
            IndicatorName = "Commodity Channel Index";
            PossibleSlots = SlotTypes.OpenFilter | SlotTypes.CloseFilter;
            SeparatedChart = true;

            IndicatorAuthor = "Miroslav Popov";
            IndicatorVersion = "2.0";
            IndicatorDescription = "Bundled in FSB distribution.";
        }

        public override void Initialize(SlotTypes slotType)
        {
            SlotType = slotType;

            IndParam.IndicatorType = TypeOfIndicator.Additional;

            // The ComboBox parameters
            IndParam.ListParam[0].Caption = "Logic";
            IndParam.ListParam[0].ItemList = new[]
                {
                    "CCI rises",
                    "CCI falls",
                    "CCI is higher than the Level line",
                    "CCI is lower than the Level line",
                    "CCI crosses the Level line upward",
                    "CCI crosses the Level line downward",
                    "CCI changes its direction upward",
                    "CCI changes its direction downward"
                };
            IndParam.ListParam[0].Index = 0;
            IndParam.ListParam[0].Text = IndParam.ListParam[0].ItemList[IndParam.ListParam[0].Index];
            IndParam.ListParam[0].Enabled = true;
            IndParam.ListParam[0].ToolTip = "Logic of application of the indicator.";

            IndParam.ListParam[1].Caption = "Smoothing method";
            IndParam.ListParam[1].ItemList = Enum.GetNames(typeof (MAMethod));
            IndParam.ListParam[1].Index = (int) MAMethod.Simple;
            IndParam.ListParam[1].Text = IndParam.ListParam[1].ItemList[IndParam.ListParam[1].Index];
            IndParam.ListParam[1].Enabled = true;
            IndParam.ListParam[1].ToolTip = "The Moving Average method used for smoothing CCI value.";

            IndParam.ListParam[2].Caption = "Base price";
            IndParam.ListParam[2].ItemList = Enum.GetNames(typeof (BasePrice));
            IndParam.ListParam[2].Index = (int) BasePrice.Typical;
            IndParam.ListParam[2].Text = IndParam.ListParam[2].ItemList[IndParam.ListParam[2].Index];
            IndParam.ListParam[2].Enabled = true;
            IndParam.ListParam[2].ToolTip = "The price the indicator is based on.";

            // The NumericUpDown parameters
            IndParam.NumParam[0].Caption = "Smoothing period";
            IndParam.NumParam[0].Value = 14;
            IndParam.NumParam[0].Min = 1;
            IndParam.NumParam[0].Max = 200;
            IndParam.NumParam[0].Enabled = true;
            IndParam.NumParam[0].ToolTip = "The period of smoothing used in the calculations.";

            IndParam.NumParam[1].Caption = "Level";
            IndParam.NumParam[1].Value = 100;
            IndParam.NumParam[1].Min = -1000;
            IndParam.NumParam[1].Max = 1000;
            IndParam.NumParam[1].Enabled = true;
            IndParam.NumParam[1].ToolTip = "A critical level (for the appropriate logic).";

            IndParam.NumParam[2].Caption = "Multiplier";
            IndParam.NumParam[2].Value = 0.015;
            IndParam.NumParam[2].Min = 0;
            IndParam.NumParam[2].Max = 1;
            IndParam.NumParam[2].Point = 3;
            IndParam.NumParam[2].Enabled = true;
            IndParam.NumParam[2].ToolTip = "The multiplier value.";

            // The CheckBox parameters
            IndParam.CheckParam[0].Caption = "Use previous bar value";
            IndParam.CheckParam[0].Enabled = true;
            IndParam.CheckParam[0].ToolTip = "Use the indicator value from the previous bar.";
        }

        public override void Calculate(IDataSet dataSet)
        {
            DataSet = dataSet;

            // Reading the parameters
            var basePrice = (BasePrice) IndParam.ListParam[2].Index;
            var iPeriod = (int) IndParam.NumParam[0].Value;
            double dLevel = IndParam.NumParam[1].Value;
            double dMultiplier = IndParam.NumParam[2].Value;
            int iPrvs = IndParam.CheckParam[0].Checked ? 1 : 0;

            // Calculation
            int iFirstBar = iPeriod + 3;
            double[] adBasePrice = Price(basePrice);
            double[] adSmaBasePrice = MovingAverage(iPeriod, 0, MAMethod.Simple, adBasePrice);

            var adMeanDev = new double[Bars];
            for (int iBar = iPeriod; iBar < Bars; iBar++)
            {
                double sum = 0;
                for (int i = 0; i < iPeriod; i++)
                {
                    sum += Math.Abs(adBasePrice[iBar - i] - adSmaBasePrice[iBar]);
                }
                adMeanDev[iBar] = dMultiplier*sum/iPeriod;
            }

            var adCci = new double[Bars];

            for (int iBar = iFirstBar; iBar < Bars; iBar++)
            {
                if (Math.Abs(adMeanDev[iBar] - 0) > Epsilon)
                    adCci[iBar] = (adBasePrice[iBar] - adSmaBasePrice[iBar])/adMeanDev[iBar];
                else
                    adCci[iBar] = 0;
            }

            // Saving the components
            Component = new IndicatorComp[3];

            Component[0] = new IndicatorComp
                {
                    CompName = "CCI",
                    DataType = IndComponentType.IndicatorValue,
                    ChartType = IndChartType.Line,
                    ChartColor = Color.RoyalBlue,
                    FirstBar = iFirstBar,
                    Value = adCci
                };

            Component[1] = new IndicatorComp
                {
                    ChartType = IndChartType.NoChart,
                    FirstBar = iFirstBar,
                    Value = new double[Bars]
                };

            Component[2] = new IndicatorComp
                {
                    ChartType = IndChartType.NoChart,
                    FirstBar = iFirstBar,
                    Value = new double[Bars]
                };

            // Sets the Component's type.
            if (SlotType == SlotTypes.OpenFilter)
            {
                Component[1].DataType = IndComponentType.AllowOpenLong;
                Component[1].CompName = "Is long entry allowed";
                Component[2].DataType = IndComponentType.AllowOpenShort;
                Component[2].CompName = "Is short entry allowed";
            }
            else if (SlotType == SlotTypes.CloseFilter)
            {
                Component[1].DataType = IndComponentType.ForceCloseLong;
                Component[1].CompName = "Close out long position";
                Component[2].DataType = IndComponentType.ForceCloseShort;
                Component[2].CompName = "Close out short position";
            }

            // Calculation of the logic
            var indLogic = IndicatorLogic.It_does_not_act_as_a_filter;

            switch (IndParam.ListParam[0].Text)
            {
                case "CCI rises":
                    indLogic = IndicatorLogic.The_indicator_rises;
                    SpecialValues = new double[] {-100, 0, 100};
                    break;

                case "CCI falls":
                    indLogic = IndicatorLogic.The_indicator_falls;
                    SpecialValues = new double[] {-100, 0, 100};
                    break;

                case "CCI is higher than the Level line":
                    indLogic = IndicatorLogic.The_indicator_is_higher_than_the_level_line;
                    SpecialValues = new[] {dLevel, 0, - dLevel};
                    break;

                case "CCI is lower than the Level line":
                    indLogic = IndicatorLogic.The_indicator_is_lower_than_the_level_line;
                    SpecialValues = new[] {dLevel, 0, -dLevel};
                    break;

                case "CCI crosses the Level line upward":
                    indLogic = IndicatorLogic.The_indicator_crosses_the_level_line_upward;
                    SpecialValues = new[] {dLevel, 0, -dLevel};
                    break;

                case "CCI crosses the Level line downward":
                    indLogic = IndicatorLogic.The_indicator_crosses_the_level_line_downward;
                    SpecialValues = new[] {dLevel, 0, -dLevel};
                    break;

                case "CCI changes its direction upward":
                    indLogic = IndicatorLogic.The_indicator_changes_its_direction_upward;
                    SpecialValues = new double[] {-100, 0, 100};
                    break;

                case "CCI changes its direction downward":
                    indLogic = IndicatorLogic.The_indicator_changes_its_direction_downward;
                    SpecialValues = new double[] {-100, 0, 100};
                    break;
            }

            OscillatorLogic(iFirstBar, iPrvs, adCci, dLevel, - dLevel, ref Component[1], ref Component[2], indLogic);
        }

        public override void SetDescription()
        {
            string sLevelLong = (Math.Abs(IndParam.NumParam[1].Value - 0) < Epsilon
                                     ? "0"
                                     : IndParam.NumParam[1].ValueToString);
            string sLevelShort = (Math.Abs(IndParam.NumParam[1].Value - 0) < Epsilon
                                      ? "0"
                                      : "-" + IndParam.NumParam[1].ValueToString);

            EntryFilterLongDescription = ToString() + " ";
            EntryFilterShortDescription = ToString() + " ";
            ExitFilterLongDescription = ToString() + " ";
            ExitFilterShortDescription = ToString() + " ";

            switch (IndParam.ListParam[0].Text)
            {
                case "CCI rises":
                    EntryFilterLongDescription += "rises";
                    EntryFilterShortDescription += "falls";
                    ExitFilterLongDescription += "rises";
                    ExitFilterShortDescription += "falls";
                    break;

                case "CCI falls":
                    EntryFilterLongDescription += "falls";
                    EntryFilterShortDescription += "rises";
                    ExitFilterLongDescription += "falls";
                    ExitFilterShortDescription += "rises";
                    break;

                case "CCI is higher than the Level line":
                    EntryFilterLongDescription += "is higher than the Level " + sLevelLong;
                    EntryFilterShortDescription += "is lower than the Level " + sLevelShort;
                    ExitFilterLongDescription += "is higher than the Level " + sLevelLong;
                    ExitFilterShortDescription += "is lower than the Level " + sLevelShort;
                    break;

                case "CCI is lower than the Level line":
                    EntryFilterLongDescription += "is lower than the Level " + sLevelLong;
                    EntryFilterShortDescription += "is higher than the Level " + sLevelShort;
                    ExitFilterLongDescription += "is lower than the Level " + sLevelLong;
                    ExitFilterShortDescription += "is higher than the Level " + sLevelShort;
                    break;

                case "CCI crosses the Level line upward":
                    EntryFilterLongDescription += "crosses the Level " + sLevelLong + " upward";
                    EntryFilterShortDescription += "crosses the Level " + sLevelShort + " downward";
                    ExitFilterLongDescription += "crosses the Level " + sLevelLong + " upward";
                    ExitFilterShortDescription += "crosses the Level " + sLevelShort + " downward";
                    break;

                case "CCI crosses the Level line downward":
                    EntryFilterLongDescription += "crosses the Level " + sLevelLong + " downward";
                    EntryFilterShortDescription += "crosses the Level " + sLevelShort + " upward";
                    ExitFilterLongDescription += "crosses the Level " + sLevelLong + " downward";
                    ExitFilterShortDescription += "crosses the Level " + sLevelShort + " upward";
                    break;

                case "CCI changes its direction upward":
                    EntryFilterLongDescription += "changes its direction upward";
                    EntryFilterShortDescription += "changes its direction downward";
                    ExitFilterLongDescription += "changes its direction upward";
                    ExitFilterShortDescription += "changes its direction downward";
                    break;

                case "CCI changes its direction downward":
                    EntryFilterLongDescription += "changes its direction downward";
                    EntryFilterShortDescription += "changes its direction upward";
                    ExitFilterLongDescription += "changes its direction downward";
                    ExitFilterShortDescription += "changes its direction upward";
                    break;
            }
        }

        public override string ToString()
        {
            return IndicatorName +
                   (IndParam.CheckParam[0].Checked ? "* (" : " (") +
                   IndParam.ListParam[1].Text + ", " + // Method
                   IndParam.ListParam[2].Text + ", " + // Price
                   IndParam.NumParam[0].ValueToString + ", " + // Period
                   IndParam.NumParam[2].ValueToString + ")"; // Multiplier
        }
    }
}