#region Namespaces
using System;
#endregion
namespace ScriptCode {
/// <summary>
/// Indicator scripts are used for calculating a series of numerical values.
///
/// This script can be used in several ways:
/// (1) It can be used on a chart.
/// (2) It can be used from another script.
/// (3) It can be used as a script column in a watchlist.
/// </summary>
public partial class MyIndicator : IndicatorScriptBase // NEVER CHANGE THE CLASS NAME
{
#region Variables
// The indicator of the first underlying indicator.
private Indicator _indicator1;
// The indicator of the second underlying indicator.
private Indicator _indicator2;
// The number of periods to include in the indicator script calculation.
private int _periods;
#endregion
#region OnInitialize
/// <summary>
/// This function accepts the user parameters for the script and is called when a new indicator instance is created.
/// One of the parameters accepted by it must be that of a symbol or another script that is
/// based on a symbol (drawing, indicator, pattern or signal). This symbol will be used as the underlying symbol for the indicator.
///
/// The parameter values can be specified from the user interface (UI) or from another script, depending on usage.
/// </summary>
/// --------------------------------------------------------------------------------------------------
/// PLEASE USE THE SCRIPT WIZARD (CTRL+W) TO ADD, EDIT AND REMOVE THE SCRIPT PARAMETERS
/// --------------------------------------------------------------------------------------------------
/// YOU MUST SET A PARAM TAG FOR EACH PARAMETER ACCEPTED BY THIS FUNCTION.
/// ALL PARAM TAGS SHOULD BE SET IN THE 'OnInitialize' REGION, RIGHT ABOVE THE 'OnInitialize' FUNCTION.
/// THE ORDER OF THE TAGS MUST MATCH THE ORDER OF THE ACTUAL PARAMETERS.
/// REQUIRED ATTRIBUTES:
/// (1) name: The exact parameter name.
/// (2) type: The type of data to collect from the user:
/// Set to "Integer" when the data type is 'int'
/// Set to "IntegerArray" when the data type is 'int[]'
/// Set to "DateTime" when the data type is 'long'
/// Set to "DateTimeArray" when the data type is 'long[]'
/// Set to "Boolean" when the data type is 'bool'
/// Set to "BooleanArray" when the data type is 'bool[]'
/// Set to "Double" when the data type is 'double'
/// Set to "DoubleArray" when the data type is 'double[]'
/// Set to "String" when the data type is 'string'
/// Set to "StringArray" when the data type is 'string[]'
/// Set to "Indicator" when the data type is 'Indicator'
/// Set to "Pattern" when the data type is 'Pattern'
/// Set to "Signal" when the data type is 'Signal'
/// Set to "Drawing" when the data type is 'Drawing'
/// Set to "Symbol" when the data type is 'int' representing a symbol index.
/// OPTIONAL ATTRIBUTES:
/// (3) default: The default parameter value is only valid when the type is Integer, Boolean, Double or String.
/// (4) min: The minimum parameter value is only valid when the type is Integer or Double.
/// (5) max: The maximum parameter value is only valid when the type is Integer or Double.
/// EXAMPLE: <param name="" type="" default="" min="" max="">Enter the parameter description here.</param>
/// --------------------------------------------------------------------------------------------------
/// <param name="indicator1" type="Indicator">The underlying indicator of the first indicator.</param>
/// <param name="indicator2" type="Indicator">The underlying indicator of the second indicator.</param>
/// <param name="periods" type="Integer" default="10" min="1">The number of periods to include in the Correlation Coefficient calculation. </param>
public void OnInitialize(Indicator indicator1, Indicator indicator2, int periods) {
// Set the first indicator.
_indicator1 = indicator1;
// Set the second indicator.
_indicator2 = indicator2;
// Set the number of periods.
_periods = periods;
}
#endregion
#region OnBarUpdate
/// <summary>
/// This function is used for calculating the indicator value for the latest bar (see the Indicator functions).
/// </summary>
/// <returns>The indicator value for the latest bar.</returns>
public override double OnBarUpdate() {
// Check whether the number of indicator values is lower than the number of values needed.
if (IndicatorValueCount() < _periods)
return 0;
// The indicators covariance, means and standard deviations.
double COV = 0;
double mean1 = 0;
double mean2 = 0;
double SD1 = 0;
double SD2 = 0;
// Calculate the indicator's means.
for (int i = _periods - 1; i >= 0; i--) {
mean1 += _indicator1[i];
mean2 += _indicator2[i];
}
// Set the mean for indicator 1.
mean1 = mean1 / _periods;
// Set the mean for indicator 2,
mean2 = mean2 / _periods;
// Iterate over the periods while calculating the STDev.
for (int i = _periods - 1; i >= 0; i--) {
COV += ((_indicator1[i] - mean1) * (_indicator2[i] - mean2)) / _periods;
SD1 += Math.Pow(_indicator1[i] - mean1, 2);
SD2 += Math.Pow(_indicator2[i] - mean2, 2);
}
// Set the STDEV for indicator 1.
SD1 = Math.Sqrt(SD1 / _periods);
// Set the STDEV for indicator 2.
SD2 = Math.Sqrt(SD2 / _periods);
return COV / (SD1 * SD2);
}
#endregion
#region OnChartSetup
/// <summary>
/// This function is used for setting up the indicator on the chart and registering its pens (see the IndicatorChartRegisterPenRGB function).
/// </summary>
public override void OnChartSetup() {
// Register a pen.
IndicatorChartRegisterPenRGB(0, "Pen", new int[] { 22 ,81, 238, 255 }, C_DashStyle.SOLID, 2);
// Set the indicator in a new chart panel.
IndicatorChartSetNewPanel(true);
// Set the indicator plot style.
IndicatorChartSetPlotStyle(C_PlotStyle.CROSS);
// Set the indicator range.
IndicatorChartSetRange(-1, 1);
// Set the negative range.
IndicatorChartSetColorZone(-1, 0, new int[] { 255, 75, 75, 50 }, new int[] { 255, 75, 75, 255 }, C_DashStyle.SOLID, 2);
// Set the positive range.
IndicatorChartSetColorZone(0, 1, new int[] { 0, 160, 120, 50 }, new int[] { 0, 160, 120, 255 }, C_DashStyle.SOLID, 2);
}
#endregion
#region OnSelectPen
/// <summary>
/// This function is used for selecting a registered indicator pen with which to color the latest indicator value.
/// Call the IndicatorChartRegisterPenRGB function from the OnChartSetup function in order to register an indicator pen.
/// </summary>
/// <returns>The indicator pen index to use for coloring the latest indicator value.</returns>
public override byte OnSelectPen() {
// Color the indicator value with the zero pen.
return 0;
}
#endregion
}
}
