forex-scalping.com

Code: Select all

using cAlgo.API;
using cAlgo.API.Internals;
using System;

namespace cAlgo
{
    [Indicator(IsOverlay = false, TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)]
    public class CommodityMood : Indicator
    {
        // --- Inputs ---
        [Parameter("Compare Asset (e.g. XAUUSD)", DefaultValue = "XAUUSD")]
        public string CompareAsset { get; set; }

        [Parameter("Correlation Length", DefaultValue = 20, MinValue = 5)]
        public int CorrLen { get; set; }

        [Parameter("Momentum Length (ROC)", DefaultValue = 10, MinValue = 2)]
        public int MomLen { get; set; }

        // --- Outputs ---
        // Render order matters: put histograms first so the line draws on top of them
        [Output("Bullish Theme", LineColor = "MediumSeaGreen", PlotType = PlotType.Histogram, Thickness = 3)]
        public IndicatorDataSeries BullTheme { get; set; }

        [Output("Bearish Theme", LineColor = "Crimson", PlotType = PlotType.Histogram, Thickness = 3)]
        public IndicatorDataSeries BearTheme { get; set; }

        [Output("Divergent Theme", LineColor = "Gray", PlotType = PlotType.Histogram, Thickness = 3)]
        public IndicatorDataSeries DivTheme { get; set; }

        [Output("Correlation", LineColor = "DodgerBlue", PlotType = PlotType.Line, Thickness = 2)]
        public IndicatorDataSeries Correlation { get; set; }

        // Variables
        private Bars _compareBars;

        protected override void Initialize()
        {
            // Load secondary symbol bars for the current timeframe
            _compareBars = MarketData.GetBars(TimeFrame, CompareAsset);
            
            // Draw static reference levels across the subwindow
            Chart.DrawHorizontalLine("hline_70", 0.7, Color.FromArgb(80, Color.Green), 1, LineStyle.Lines);
            Chart.DrawHorizontalLine("hline_minus70", -0.7, Color.FromArgb(80, Color.Red), 1, LineStyle.Lines);
            Chart.DrawHorizontalLine("hline_zero", 0.0, Color.FromArgb(80, Color.Gray), 1, LineStyle.Lines);
        }

        public override void Calculate(int index)
        {
            // Ensure we have enough data to look back on the primary chart
            if (index < Math.Max(CorrLen, MomLen)) return;

            // Align secondary asset's index to current time on primary asset
            int compareIndex = _compareBars.OpenTimes.GetIndexByTime(Bars.OpenTimes[index]);
            
            // If the time doesn't exist on the secondary asset (or lacks history), abort this tick
            if (compareIndex < Math.Max(CorrLen, MomLen)) return;

            // 1. Momentum (Rate of Change) to determine directional agreement
            double roc1 = (Bars.ClosePrices[index] - Bars.ClosePrices[index - MomLen]) / Bars.ClosePrices[index - MomLen] * 100.0;
            double roc2 = (_compareBars.ClosePrices[compareIndex] - _compareBars.ClosePrices[compareIndex - MomLen]) / _compareBars.ClosePrices[compareIndex - MomLen] * 100.0;

            // 2. Pearson Correlation Calculation
            double sumX = 0, sumY = 0;
            for (int k = 0; k < CorrLen; k++)
            {
                sumX += Bars.ClosePrices[index - k];
                sumY += _compareBars.ClosePrices[compareIndex - k];
            }
            double meanX = sumX / CorrLen;
            double meanY = sumY / CorrLen;

            double cov = 0, varX = 0, varY = 0;
            for (int k = 0; k < CorrLen; k++)
            {
                double dx = Bars.ClosePrices[index - k] - meanX;
                double dy = _compareBars.ClosePrices[compareIndex - k] - meanY;
                cov += dx * dy;
                varX += dx * dx;
                varY += dy * dy;
            }

            double r = 0;
            if (varX > 0 && varY > 0)
                r = cov / Math.Sqrt(varX * varY);

            Correlation[index] = r;

            // 3. Directional Agreement
            int agreement = 0;
            if (roc1 > 0 && roc2 > 0) agreement = 1;
            else if (roc1 < 0 && roc2 < 0) agreement = -1;

            // 4. Regime Tagging
            // Using NaN clears the histogram bars when conditions aren't met
            BullTheme[index] = double.NaN;
            BearTheme[index] = double.NaN;
            DivTheme[index] = double.NaN;

            if (r > 0.6 && agreement == 1)       BullTheme[index] = r;
            else if (r > 0.6 && agreement == -1) BearTheme[index] = r;
            else if (r < 0.3 && agreement == 0)  DivTheme[index] = r;
        }
    }
}

Code: Select all

using cAlgo.API;
using cAlgo.API.Internals;
using cAlgo.API.Indicators;
using System;

namespace cAlgo
{
    [Indicator(IsOverlay = false, TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)]
    public class CommodityMoodPro : Indicator
    {
        private enum MarketRegime
        {
            BullishAgreement,
            BearishAgreement,
            Divergence,
            Neutral
        }

        // --- Parameters: Symbols ---
        [Parameter("Compare Asset", DefaultValue = "XAUUSD", Group = "Data Sources")]
        public string CompareAsset { get; set; }

        // --- Parameters: Periods ---
        [Parameter("Correlation Length", DefaultValue = 20, MinValue = 5, Group = "Calculations")]
        public int CorrLen { get; set; }

        [Parameter("Momentum Length (ROC)", DefaultValue = 10, MinValue = 2, Group = "Calculations")]
        public int MomLen { get; set; }

        [Parameter("Smooth Correlation (EMA)", DefaultValue = 3, MinValue = 1, Group = "Calculations")]
        public int SmoothLen { get; set; }

        // --- Parameters: Thresholds ---
        [Parameter("High Correlation Level", DefaultValue = 0.6, Step = 0.1, Group = "Thresholds")]
        public double HighCorrLevel { get; set; }

        [Parameter("Low Correlation Level", DefaultValue = 0.3, Step = 0.1, Group = "Thresholds")]
        public double LowCorrLevel { get; set; }

        // --- Outputs ---
        [Output("Bullish Theme", LineColor = "MediumSeaGreen", PlotType = PlotType.Histogram, Thickness = 4)]
        public IndicatorDataSeries BullTheme { get; set; }

        [Output("Bearish Theme", LineColor = "Crimson", PlotType = PlotType.Histogram, Thickness = 4)]
        public IndicatorDataSeries BearTheme { get; set; }

        [Output("Divergent Theme", LineColor = "DimGray", PlotType = PlotType.Histogram, Thickness = 4)]
        public IndicatorDataSeries DivTheme { get; set; }

        [Output("Raw Correlation", LineColor = "FromArgb(80, 30, 144, 255)", PlotType = PlotType.Line, Thickness = 1)]
        public IndicatorDataSeries RawCorrelation { get; set; }

        [Output("Smoothed Correlation", LineColor = "DodgerBlue", PlotType = PlotType.Line, Thickness = 2)]
        public IndicatorDataSeries SmoothedCorrelation { get; set; }

        // --- Internal State ---
        private Bars _compareBars;
        private ExponentialMovingAverage _emaSmoothing;
        private string _errorMessage;

        protected override void Initialize()
        {
            try
            {
                _compareBars = MarketData.GetBars(TimeFrame, CompareAsset);
            }
            catch (Exception)
            {
                _errorMessage = $"ERROR: Cannot load symbol '{CompareAsset}'. Check naming convention.";
                PrintError(_errorMessage);
                return;
            }

            _emaSmoothing = Indicators.ExponentialMovingAverage(RawCorrelation, SmoothLen);

            // Subwindow structural lines
            Chart.DrawHorizontalLine("hline_upper", HighCorrLevel, Color.FromArgb(60, Color.Green), 1, LineStyle.Dots);
            Chart.DrawHorizontalLine("hline_lower", -HighCorrLevel, Color.FromArgb(60, Color.Red), 1, LineStyle.Dots);
            Chart.DrawHorizontalLine("hline_zero", 0.0, Color.FromArgb(100, Color.Gray), 1, LineStyle.Lines);
        }

        public override void Calculate(int index)
        {
            if (!string.IsNullOrEmpty(_errorMessage))
            {
                Chart.DrawText("ErrorMsg", _errorMessage, index, 0, Color.Red);
                return;
            }

            if (index < Math.Max(CorrLen, MomLen)) return;

            int compareIndex = _compareBars.OpenTimes.GetIndexByTime(Bars.OpenTimes[index]);
            if (compareIndex < Math.Max(CorrLen, MomLen)) return;

            // 1. Momentum 
            double primaryPast = Bars.ClosePrices[index - MomLen];
            double comparePast = _compareBars.ClosePrices[compareIndex - MomLen];

            if (primaryPast == 0 || comparePast == 0) return; // Prevent division by zero

            double rocPrimary = (Bars.ClosePrices[index] - primaryPast) / primaryPast * 100.0;
            double rocCompare = (_compareBars.ClosePrices[compareIndex] - comparePast) / comparePast * 100.0;

            // 2. Pearson Correlation
            double r = CalculatePearsonCorrelation(index, compareIndex, CorrLen);
            RawCorrelation[index] = r;

            // Wait for EMA to seed properly
            if (index < Math.Max(CorrLen, MomLen) + SmoothLen) return;
            double smoothedR = _emaSmoothing.Result[index];
            SmoothedCorrelation[index] = smoothedR;

            // 3. Determine Regime
            MarketRegime regime = DetermineRegime(smoothedR, rocPrimary, rocCompare);

            // 4. Render Histograms
            BullTheme[index] = regime == MarketRegime.BullishAgreement ? smoothedR : double.NaN;
            BearTheme[index] = regime == MarketRegime.BearishAgreement ? smoothedR : double.NaN;
            DivTheme[index] = regime == MarketRegime.Divergence ? smoothedR : double.NaN;

            // 5. Update HUD on the last tick
            if (IsLastBar)
            {
                UpdateHUD(regime, smoothedR, rocPrimary, rocCompare);
            }
        }

        private double CalculatePearsonCorrelation(int primaryIndex, int compareIndex, int length)
        {
            double sumX = 0, sumY = 0;
            for (int k = 0; k < length; k++)
            {
                sumX += Bars.ClosePrices[primaryIndex - k];
                sumY += _compareBars.ClosePrices[compareIndex - k];
            }
            
            double meanX = sumX / length;
            double meanY = sumY / length;

            double cov = 0, varX = 0, varY = 0;
            for (int k = 0; k < length; k++)
            {
                double dx = Bars.ClosePrices[primaryIndex - k] - meanX;
                double dy = _compareBars.ClosePrices[compareIndex - k] - meanY;
                cov += dx * dy;
                varX += dx * dx;
                varY += dy * dy;
            }

            return (varX > 0 && varY > 0) ? cov / Math.Sqrt(varX * varY) : 0;
        }

        private MarketRegime DetermineRegime(double correlation, double rocPrimary, double rocCompare)
        {
            bool bullishAgreed = rocPrimary > 0 && rocCompare > 0;
            bool bearishAgreed = rocPrimary < 0 && rocCompare < 0;

            if (correlation > HighCorrLevel && bullishAgreed)
                return MarketRegime.BullishAgreement;
            
            if (correlation > HighCorrLevel && bearishAgreed)
                return MarketRegime.BearishAgreement;
            
            if (correlation < LowCorrLevel && (!bullishAgreed && !bearishAgreed))
                return MarketRegime.Divergence;

            return MarketRegime.Neutral;
        }

        private void UpdateHUD(MarketRegime regime, double correlation, double rocPrimary, double rocCompare)
        {
            string hudText = $"Regime: {regime}\n" +
                             $"Corr: {Math.Round(correlation, 2)}\n" +
                             $"{SymbolName} ROC: {Math.Round(rocPrimary, 3)}%\n" +
                             $"{CompareAsset} ROC: {Math.Round(rocCompare, 3)}%";

            Color hudColor = regime switch
            {
                MarketRegime.BullishAgreement => Color.MediumSeaGreen,
                MarketRegime.BearishAgreement => Color.Crimson,
                MarketRegime.Divergence => Color.DimGray,
                _ => Color.DarkGray
            };

            Chart.DrawText("MoodHUD", hudText, Chart.FirstVisibleBarIndex, Chart.TopY, hudColor);
        }
    }
}