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TrueRange

Summary

The Average True Range is a measure of market volatility developed by Wilder.

Signature

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public abstract interface TrueRange

Namespace

cAlgo.API.Indicators

Properties

Name Description
Result { get; } Gets the resulting time series of the True Range indicator calculation.

Examples

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 private TrueRange tri;
 protected override void Initialize()
 {
      tri = Indicators.TrueRange();
 }
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 using cAlgo.API;
 using cAlgo.API.Indicators;
 using System;
 namespace cAlgo.Robots
 {
     // This sample cBot shows how to use the True Range indicator
     [Robot(TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)]
     public class TrueRangeSample : Robot
     {
         private double _volumeInUnits;
         private TrueRange _trueRange;
         [Parameter("Volume (Lots)", DefaultValue = 0.01)]
         public double VolumeInLots { get; set; }
         [Parameter("Label", DefaultValue = "Sample")]
         public string Label { get; set; }
         public Position[] BotPositions
         {
             get
             {
                 return Positions.FindAll(Label);
             }
         }
         protected override void OnStart()
         {
             _volumeInUnits = Symbol.QuantityToVolumeInUnits(VolumeInLots);
             _trueRange = Indicators.TrueRange();
         }
         protected override void OnBar()
         {
             if (Bars.ClosePrices.Last(1) > Bars.OpenPrices.Last(1) && Bars.ClosePrices.Last(2) < Bars.OpenPrices.Last(2))
             {
                 ClosePositions(TradeType.Sell);
                 ExecuteOrder(TradeType.Buy);
             }
             else if (Bars.ClosePrices.Last(1) < Bars.OpenPrices.Last(1) && Bars.ClosePrices.Last(2) > Bars.OpenPrices.Last(2))
             {
                 ClosePositions(TradeType.Buy);
                 ExecuteOrder(TradeType.Sell);
             }
         }
         private void ClosePositions(TradeType tradeType)
         {
             foreach (var position in BotPositions)
             {
                 if (position.TradeType != tradeType) continue;
                 ClosePosition(position);
             }
         }
         private void ExecuteOrder(TradeType tradeType)
         {
             var trueRangeInPips = _trueRange.Result.Last(1) * (Symbol.TickSize / Symbol.PipSize * Math.Pow(10, Symbol.Digits));
             var stopLossInPips = trueRangeInPips * 2;
             var takeProfitInPips = stopLossInPips * 2;
             ExecuteMarketOrder(tradeType, SymbolName, _volumeInUnits, Label, stopLossInPips, takeProfitInPips);
         }
     }
 }

Last update: July 1, 2022

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