CDNpatriot1
Registered: Oct 2008
Posts: 40 |
08-14-12 01:36 AM
Thunderblotter you have been a great help! I tried the market hours suggestion and the Stochastic sequence change and although it's not exactly the same it looks much more similar. Trying to figure out how the MACD formula is calculated and see if it's the same as my next step.
I think NT has the same formula that stockchart uses:
//
// Copyright (C) 2006, NinjaTrader LLC <www.ninjatrader.com>.
// NinjaTrader reserves the right to modify or overwrite this NinjaScript component with each release.
//
#region Using declarations
using System;
using System.Diagnostics;
using System.Drawing;
using System.Drawing.Drawing2D;
using System.ComponentModel;
using System.Xml.Serialization;
using NinjaTrader.Data;
using NinjaTrader.Gui.Chart;
#endregion
// This namespace holds all indicators and is required. Do not change it.
namespace NinjaTrader.Indicator
{
///
/// The MACD (Moving Average Convergence/Divergence) is a trend following momentum indicator that shows the relationship between two moving averages of prices.
///
[Description("The MACD (Moving Average Convergence/Divergence) is a trend following momentum indicator that shows the relationship between two moving averages of prices.")]
public class MACD : Indicator
{
#region Variables
private int fast = 12;
private int slow = 26;
private int smooth = 9;
private DataSeries fastEma;
private DataSeries slowEma;
#endregion
///
/// This method is used to configure the indicator and is called once before any bar data is loaded.
///
protected override void Initialize()
{
Add(new Plot(Color.Green, "Macd"));
Add(new Plot(Color.DarkViolet, "Avg"));
Add(new Plot(new Pen(Color.Navy, 2), PlotStyle.Bar, "Diff"));
Add(new Line(Color.DarkGray, 0, "Zero line"));
fastEma = new DataSeries(this);
slowEma = new DataSeries(this);
}
///
/// Calculates the indicator value(s) at the current index.
///
protected override void OnBarUpdate()
{
if (CurrentBar == 0)
{
fastEma.Set(Input[0]);
slowEma.Set(Input[0]);
Value.Set(0);
Avg.Set(0);
Diff.Set(0);
}
else
{
fastEma.Set((2.0 / (1 + Fast)) * Input[0] + (1 - (2.0 / (1 + Fast))) * fastEma[1]);
slowEma.Set((2.0 / (1 + Slow)) * Input[0] + (1 - (2.0 / (1 + Slow))) * slowEma[1]);
double macd = fastEma[0] - slowEma[0];
double macdAvg = (2.0 / (1 + Smooth)) * macd + (1 - (2.0 / (1 + Smooth))) * Avg[1];
Value.Set(macd);
Avg.Set(macdAvg);
Diff.Set(macd - macdAvg);
}
}
#region Properties
///
///
[Browsable(false)]
[XmlIgnore()]
public DataSeries Avg
{
get { return Values[1]; }
}
///
///
[Browsable(false)]
[XmlIgnore()]
public DataSeries Default
{
get { return Values[0]; }
}
///
///
[Browsable(false)]
[XmlIgnore()]
public DataSeries Diff
{
get { return Values[2]; }
}
///
///
[Description("Number of bars for fast EMA")]
[GridCategory("Parameters")]
public int Fast
{
get { return fast; }
set { fast = Math.Max(1, value); }
}
///
///
[Description("Number of bars for slow EMA")]
[GridCategory("Parameters")]
public int Slow
{
get { return slow; }
set { slow = Math.Max(1, value); }
}
///
///
[Description("Number of bars for smoothing")]
[GridCategory("Parameters")]
public int Smooth
{
get { return smooth; }
set { smooth = Math.Max(1, value); }
}
#endregion
}
}
#region NinjaScript generated code. Neither change nor remove.
// This namespace holds all indicators and is required. Do not change it.
namespace NinjaTrader.Indicator
{
public partial class Indicator : IndicatorBase
{
private MACD[] cacheMACD = null;
private static MACD checkMACD = new MACD();
///
/// The MACD (Moving Average Convergence/Divergence) is a trend following momentum indicator that shows the relationship between two moving averages of prices.
///
///
public MACD MACD(int fast, int slow, int smooth)
{
return MACD(Input, fast, slow, smooth);
}
///
/// The MACD (Moving Average Convergence/Divergence) is a trend following momentum indicator that shows the relationship between two moving averages of prices.
///
///
public MACD MACD(Data.IDataSeries input, int fast, int slow, int smooth)
{
if (cacheMACD != null)
for (int idx = 0; idx < cacheMACD.Length; idx++)
if (cacheMACD[idx].Fast == fast && cacheMACD[idx].Slow == slow && cacheMACD[idx].Smooth == smooth && cacheMACD[idx].EqualsInput(input))
return cacheMACD[idx];
lock (checkMACD)
{
checkMACD.Fast = fast;
fast = checkMACD.Fast;
checkMACD.Slow = slow;
slow = checkMACD.Slow;
checkMACD.Smooth = smooth;
smooth = checkMACD.Smooth;
if (cacheMACD != null)
for (int idx = 0; idx < cacheMACD.Length; idx++)
if (cacheMACD[idx].Fast == fast && cacheMACD[idx].Slow == slow && cacheMACD[idx].Smooth == smooth && cacheMACD[idx].EqualsInput(input))
return cacheMACD[idx];
MACD indicator = new MACD();
indicator.BarsRequired = BarsRequired;
indicator.CalculateOnBarClose = CalculateOnBarClose;
#if NT7
indicator.ForceMaximumBarsLookBack256 = ForceMaximumBarsLookBack256;
indicator.MaximumBarsLookBack = MaximumBarsLookBack;
#endif
indicator.Input = input;
indicator.Fast = fast;
indicator.Slow = slow;
indicator.Smooth = smooth;
Indicators.Add(indicator);
indicator.SetUp();
MACD[] tmp = new MACD[cacheMACD == null ? 1 : cacheMACD.Length + 1];
if (cacheMACD != null)
cacheMACD.CopyTo(tmp, 0);
tmp[tmp.Length - 1] = indicator;
cacheMACD = tmp;
return indicator;
}
}
}
}
// This namespace holds all market analyzer column definitions and is required. Do not change it.
namespace NinjaTrader.MarketAnalyzer
{
public partial class Column : ColumnBase
{
///
/// The MACD (Moving Average Convergence/Divergence) is a trend following momentum indicator that shows the relationship between two moving averages of prices.
///
///
[Gui.Design.WizardCondition("Indicator")]
public Indicator.MACD MACD(int fast, int slow, int smooth)
{
return _indicator.MACD(Input, fast, slow, smooth);
}
///
/// The MACD (Moving Average Convergence/Divergence) is a trend following momentum indicator that shows the relationship between two moving averages of prices.
///
///
public Indicator.MACD MACD(Data.IDataSeries input, int fast, int slow, int smooth)
{
return _indicator.MACD(input, fast, slow, smooth);
}
}
}
// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
public partial class Strategy : StrategyBase
{
///
/// The MACD (Moving Average Convergence/Divergence) is a trend following momentum indicator that shows the relationship between two moving averages of prices.
///
///
[Gui.Design.WizardCondition("Indicator")]
public Indicator.MACD MACD(int fast, int slow, int smooth)
{
return _indicator.MACD(Input, fast, slow, smooth);
}
///
/// The MACD (Moving Average Convergence/Divergence) is a trend following momentum indicator that shows the relationship between two moving averages of prices.
///
///
public Indicator.MACD MACD(Data.IDataSeries input, int fast, int slow, int smooth)
{
if (InInitialize && input == null)
throw new ArgumentException("You only can access an indicator with the default input/bar series from within the 'Initialize()' method");
return _indicator.MACD(input, fast, slow, smooth);
}
}
}
#endregion
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