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TimeSeriesMovingAverage

Summary

A Time Series Moving Average is moving average based on linear regression forecast.

Signature 

1
public abstract interface TimeSeriesMovingAverage

Namespace

cAlgo.API.Indicators

Examples

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 private TimeSeriesMovingAverage _timeSeriesMovingAverage;
 protected override void Initialize()
 {
     _timeSeriesMovingAverage = Indicators.TimeSeriesMovingAverage(MarketSeries.Close, 9);
 }
 public override void Calculate(int index)
 {
     //Print the current value of TimeSeries Moving Average to the log
     Print("The current TimeSeries Moving Average  is {0}", _timeSeriesMovingAverage.Result[index]);
 }

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 using cAlgo.API;
 using cAlgo.API.Indicators;
 namespace cAlgo.Robots
 {
     // This sample cBot shows how to use the Time Series Moving Average indicator
     [Robot(TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)]
     public class TimeSeriesMovingAverageSample : Robot
     {
         private double _volumeInUnits;
         private TimeSeriesMovingAverage _fastTimeSeriesMovingAverage;
         private TimeSeriesMovingAverage _slowTimeSeriesMovingAverage;
         [Parameter("Source", Group = "Fast MA")]
         public DataSeries FastMaSource { get; set; }
         [Parameter("Period", DefaultValue = 9, Group = "Fast MA")]
         public int FastMaPeriod { get; set; }
         [Parameter("Source", Group = "Slow MA")]
         public DataSeries SlowMaSource { get; set; }
         [Parameter("Period", DefaultValue = 20, Group = "Slow MA")]
         public int SlowMaPeriod { get; set; }
         [Parameter("Volume (Lots)", DefaultValue = 0.01, Group = "Trade")]
         public double VolumeInLots { get; set; }
         [Parameter("Stop Loss (Pips)", DefaultValue = 10, Group = "Trade")]
         public double StopLossInPips { get; set; }
         [Parameter("Take Profit (Pips)", DefaultValue = 10, Group = "Trade")]
         public double TakeProfitInPips { get; set; }
         [Parameter("Label", DefaultValue = "Sample", Group = "Trade")]
         public string Label { get; set; }
         public Position[] BotPositions
         {
             get
             {
                 return Positions.FindAll(Label);
             }
         }
         protected override void OnStart()
         {
             _volumeInUnits = Symbol.QuantityToVolumeInUnits(VolumeInLots);
             _fastTimeSeriesMovingAverage = Indicators.TimeSeriesMovingAverage(FastMaSource, FastMaPeriod);
             _slowTimeSeriesMovingAverage = Indicators.TimeSeriesMovingAverage(SlowMaSource, SlowMaPeriod);
         }
         protected override void OnBar()
         {
             if (_fastTimeSeriesMovingAverage.Result.HasCrossedAbove(_slowTimeSeriesMovingAverage.Result, 0))
             {
                 ClosePositions(TradeType.Sell);
                 ExecuteMarketOrder(TradeType.Buy, SymbolName, _volumeInUnits, Label, StopLossInPips, TakeProfitInPips);
             }
             else if (_fastTimeSeriesMovingAverage.Result.HasCrossedBelow(_slowTimeSeriesMovingAverage.Result, 0))
             {
                 ClosePositions(TradeType.Buy);
                 ExecuteMarketOrder(TradeType.Sell, SymbolName, _volumeInUnits, Label, StopLossInPips, TakeProfitInPips);
             }
         }
         private void ClosePositions(TradeType tradeType)
         {
             foreach (var position in BotPositions)
             {
                 if (position.TradeType != tradeType) continue;
                 ClosePosition(position);
             }
         }
     }
 }