Can someone translate this No Lag Moving Average code?

Author: rmandel00

Creation Date: 11/7/2010 9:14 PM

Wealth Lab » Technical Indicators » Can someone translate this No Lag Moving Average code?

rmandel00

11/7/2010 9:14 PM

CODE:
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/* This MA may have some advantages over other no lag MA's.  I don't really have the skill to adapt it 
   but others may find it useful as an indicator as well.  The code is attached here.  
   Thanks in advance Rich Man
[CODE]/***********************************************************************/
SCSFExport scsf_ALMA(SCStudyGraphRef sg)
{
	//
	// ALMA by Arnaud Legoux / Dimitris Kouzis-Loukas / Anthony Cascino
	// www.arnaudlegoux.com
	// Adapted and coded by kiwi / kiwi_trader for Sierra Chart
	// from MQ4 code by IgorAD,igorad2003@yahoo.co.uk
	//
	SCSubgraphRef 	ALMA = sc.Subgraph[0], Uptrend = sc.Subgraph[1], Dntrend = sc.Subgraph[2], trend = sc.Subgraph[3], 
					stdevALMA = sc.Subgraph[4], wALMA = sc.Subgraph[5], o6 = sc.Subgraph[6], o7 = sc.Subgraph[7], o8 = sc.Subgraph[8];
	if (sc.SetDefaults)
	{
	   	sc.GraphName="ALMA";
	    sc.StudyDescription="ALMA by Arnaud Legoux / Dimitris Kouzis-Loukas / Anthony Cascino";
		sc.Subgraph[0].Name="ALMA";					sc.Subgraph[0].DrawStyle=DRAWSTYLE_LINE;
		sc.Subgraph[1].Name="Uptrend";				sc.Subgraph[1].DrawStyle=DRAWSTYLE_LINE_SKIPZEROS;
		sc.Subgraph[2].Name="Dntrend";				sc.Subgraph[2].DrawStyle=DRAWSTYLE_LINE_SKIPZEROS;
		sc.Subgraph[3].Name="trend";				sc.Subgraph[3].DrawStyle=DRAWSTYLE_IGNORE;
		sc.Subgraph[4].Name="stdevALMA";
		sc.Subgraph[5].Name="wALMA";
		sc.Subgraph[6].Name="6";
		sc.Subgraph[7].Name="7";
		sc.Subgraph[8].Name="8";
		sc.Input[3].Name="Size";					sc.Input[3].SetFloat(9); 
		sc.Input[4].Name="Sigma";					sc.Input[4].SetFloat(6.0); 
		sc.Input[5].Name="Offset";					sc.Input[5].SetFloat(0.85); 
		sc.Input[6].Name="PctFilter";				sc.Input[6].SetInt(0); 
		sc.Input[7].Name="ColorMode";				sc.Input[7].SetYesNo(1); 
		sc.Input[8].Name="ColorBarBack";			sc.Input[8].SetInt(1); 
		sc.Input[9].Name="AlertMode";				sc.Input[9].SetYesNo(0); 
		sc.Input[10].Name="WarningMode";			sc.Input[10].SetYesNo(0); 
		
		sc.GraphRegion=0;
		sc.ScaleRangeType = SCALE_SAMEASREGION;
	    sc.FreeDLL=0; 
	    return;
	}

int i=0,j=0;
	bool UpTrendAlert=false, DownTrendAlert=false;
	double& Size=sc.PersistVars->d1;		double& Sigma=sc.PersistVars->d2;	double& Offset=sc.PersistVars->d3;
	double& PctFilter=sc.PersistVars->d4;	double& ColorMode=sc.PersistVars->d5;  int& ColorBarBack=sc.PersistVars->i1;
	
	if(sc.UpdateStartIndex==0)	{	
		Size = sc.Input[3].GetFloat(); 			Sigma = sc.Input[4].GetFloat(); 	Offset = sc.Input[5].GetFloat();
		PctFilter = sc.Input[6].GetFloat(); 	ColorMode = sc.Input[7].GetFloat(); ColorBarBack=sc.Input[8].GetInt();	
				
		double m = floor(Offset * (Size - 1)), s = Size/Sigma, wsum = 0;		
		for (j=0;j < Size;j++) 
		{
			wALMA[j] = exp(-((j-m)*(j-m))/(2*s*s));
			wsum += wALMA[j];
		}
		for (j=0;j < Size;j++) wALMA[j] = wALMA[j]/wsum; 
	}
	
		
	for(i = sc.UpdateStartIndex;  i < sc.ArraySize;  i++)
	{	
		double sum=0;
		for(j=0;j < Size;j++) { sum += wALMA[j] * sc.BaseDataIn[SC_LAST][i-(Size - 1 - j)]; }
		ALMA[i] = sum;
		
		double Filter=0;
		if(PctFilter>0)	{
			sc.StdDeviation(ALMA, stdevALMA, i, Size);
			Filter = PctFilter * stdevALMA[i];
			if( abs(ALMA[i]-ALMA[i-1]) < Filter ) ALMA[i]=ALMA[i-1];
		}
		   
		if (ColorMode>0){
			trend[i] = trend[i-1];
			if (ALMA[i] - ALMA[i-1] > Filter) trend[i] = 1;
			if (ALMA[i-1] - ALMA[i] > Filter) trend[i] =-1;

if (trend[i]>0)	{
				Uptrend[i] = ALMA[i]; 
				if (trend[i-ColorBarBack]<0) Uptrend[i-ColorBarBack]=ALMA[i-ColorBarBack];
				Dntrend[i] = 0;
			}
			else              
			if (trend[i]<0)	{ 
				Dntrend[i] = ALMA[i]; 
				if (trend[i-ColorBarBack]>0) Dntrend[i-ColorBarBack]=ALMA[i-ColorBarBack];
				Uptrend[i] = 0;
			}               
		}
	
		
	}
}
/***********************************************************************/
SCSFExport scsf_ALMA(SCStudyGraphRef sg)
{
	//
	// ALMA by Arnaud Legoux / Dimitris Kouzis-Loukas / Anthony Cascino
	// www.arnaudlegoux.com
	// Adapted and coded by kiwi / kiwi_trader for Sierra Chart
	// from MQ4 code by IgorAD,igorad2003@yahoo.co.uk
	//
	SCSubgraphRef 	ALMA = sc.Subgraph[0], Uptrend = sc.Subgraph[1], Dntrend = sc.Subgraph[2], trend = sc.Subgraph[3], 
					stdevALMA = sc.Subgraph[4], wALMA = sc.Subgraph[5], o6 = sc.Subgraph[6], o7 = sc.Subgraph[7], o8 = sc.Subgraph[8];
	if (sc.SetDefaults)
	{
	   	sc.GraphName="ALMA";
	    sc.StudyDescription="ALMA by Arnaud Legoux / Dimitris Kouzis-Loukas / Anthony Cascino";
		sc.Subgraph[0].Name="ALMA";					sc.Subgraph[0].DrawStyle=DRAWSTYLE_LINE;
		sc.Subgraph[1].Name="Uptrend";				sc.Subgraph[1].DrawStyle=DRAWSTYLE_LINE_SKIPZEROS;
		sc.Subgraph[2].Name="Dntrend";				sc.Subgraph[2].DrawStyle=DRAWSTYLE_LINE_SKIPZEROS;
		sc.Subgraph[3].Name="trend";				sc.Subgraph[3].DrawStyle=DRAWSTYLE_IGNORE;
		sc.Subgraph[4].Name="stdevALMA";
		sc.Subgraph[5].Name="wALMA";
		sc.Subgraph[6].Name="6";
		sc.Subgraph[7].Name="7";
		sc.Subgraph[8].Name="8";
		sc.Input[3].Name="Size";					sc.Input[3].SetFloat(9); 
		sc.Input[4].Name="Sigma";					sc.Input[4].SetFloat(6.0); 
		sc.Input[5].Name="Offset";					sc.Input[5].SetFloat(0.85); 
		sc.Input[6].Name="PctFilter";				sc.Input[6].SetInt(0); 
		sc.Input[7].Name="ColorMode";				sc.Input[7].SetYesNo(1); 
		sc.Input[8].Name="ColorBarBack";			sc.Input[8].SetInt(1); 
		sc.Input[9].Name="AlertMode";				sc.Input[9].SetYesNo(0); 
		sc.Input[10].Name="WarningMode";			sc.Input[10].SetYesNo(0); 
		
		sc.GraphRegion=0;
		sc.ScaleRangeType = SCALE_SAMEASREGION;
	    sc.FreeDLL=0; 
	    return;
	}

thodder

11/15/2010 5:12 PM

Rich, I was curious to see what this indicator looked like, so I gave a shot at porting it to WLP...

CODE:
Please log in to see this code.

I did not try to debug it. I tried to keep this code as close to the original as possible.

Size:

Color:

Rich,  I was curious to see what this indicator looked like, so I gave a shot at porting it to WLP...

[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	#region ALMA indicator
	public class ALMA : DataSeries
	{
		public ALMA(DataSeries ds, int windowSize, int sigma, double offset, double pctFilter, string description)
			: base(ds, description)
		{
			this.FirstValidValue = windowSize;
			
			double m = Math.Floor(offset * (windowSize - 1));
			double s = windowSize / sigma;
			
			double[] w = new double[windowSize];
			double wSum = 0.0;
			
			for(int i = 1; i < windowSize; i++)
			{
				w[i] = Math.Exp(-((i-m)*(i-m))/(2*s*s));
				wSum += w[i];
			}
			
			for(int i = 1; i < windowSize; i++)
			{
				w[i] /= wSum;
			}
			
			for(int j = Math.Max(2,windowSize); j < ds.Count; j++)
			{
				double alSum = 0.0;
				
				for(int i = 1; i < windowSize; i++)
				{
					alSum += ds[j - (windowSize - 1 - i)] * w[i];
				}
				
				this[j] = alSum;	//outalma
				
				if (pctFilter > 0.0)
				{
					// WARNING - WLP caches Series.  StdDev may change this dataseries; therefore, avoid cache and use Value method!!
					double Filter = StdDev.Value(j , this, windowSize, WealthLab.Indicators.StdDevCalculation.Sample);
					Filter *= pctFilter;
					
					if ( Math.Abs( this[j] - this[j - 1]) < Filter )
						this[j] = this[j - 1];
				}
			}
		}
		public static ALMA Series( DataSeries ds, int windowSize, int sigma, double offset, double pctFilter )
		{
			string Description = string.Concat("ALMA(", ds.Description, ", ", windowSize.ToString(), ", ", sigma.ToString(), ", ", offset.ToString("n2"), ", ", pctFilter.ToString("n2"), ")");
			ALMA _ALMA = new ALMA( ds, windowSize, sigma, offset, pctFilter, Description );
			return _ALMA ;
		}
	}
	#endregion

public class MyStrategy : WealthScript
	{
		StrategyParameter spWindowSize;
		StrategyParameter spSigma;
		StrategyParameter spOffset;
		StrategyParameter spPctFilter;
		StrategyParameter spColorMode;
		StrategyParameter spColorBarBack;
		
		public MyStrategy()
		{
			spWindowSize = CreateParameter("WindowSize", 9, 5, 201, 2);
			spSigma = CreateParameter("Sigma", 6, 1, 20, 1);
			spOffset = CreateParameter("Offset", 0.85, 0.05, 1.0, 0.05);
			spPctFilter = CreateParameter("PctFilter", 0, 0, 100, 1);	// guess on range  - not sure what range is supposed to be?!
			spColorMode = CreateParameter("ColorMode", 0, 0, 1, 1);	// Boolean: 1 - yes; 0 - no
			spColorBarBack = CreateParameter("ColorBarBack", 1, 0, 50, 1);	// guess on range
		}
		
		protected override void Execute()
		{
			int ColorMode = spColorMode.ValueInt;
			int ColorBarBack = spColorBarBack.ValueInt;
			double PctFilter = spPctFilter.Value / 100;
			
			DataSeries dsALMA = ALMA.Series(Close, spWindowSize.ValueInt, spSigma.ValueInt, spOffset.Value, PctFilter);
			PlotSeries(PricePane, dsALMA, Color.Blue, WealthLab.LineStyle.Solid, 2);
			
			DataSeries dsFilter = StdDev.Series(dsALMA, spWindowSize.ValueInt, WealthLab.Indicators.StdDevCalculation.Sample);
			dsFilter *= PctFilter;
			
			DataSeries dsTrend = new DataSeries(Bars, "trend");
			DataSeries dsUptrend = new DataSeries(Bars, "Uptrend");
			DataSeries dsDntrend = new DataSeries(Bars, "Dntrend");
			
			int StartIndex = spWindowSize.ValueInt;
			if ( ColorMode > 0 && StartIndex < ColorBarBack )
				StartIndex = ColorBarBack;
			
			for(int bar = StartIndex; bar < Bars.Count; bar++)
			{
				if (ColorMode > 0)
				{
					dsTrend[bar] = dsTrend[bar - 1];
					if ((dsALMA[bar] - dsALMA[bar - 1]) > dsFilter[bar]) dsTrend[bar] = 1.0;
					if ((dsALMA[bar - 1] - dsALMA[bar]) > dsFilter[bar]) dsTrend[bar] = -1.0;
					
					if (dsTrend[bar] > 0)
					{
						dsUptrend[bar] = dsALMA[bar];
						if ((dsTrend[bar - ColorBarBack]) < 0)
							dsUptrend[bar - ColorBarBack] = dsALMA[bar - ColorBarBack];
						dsDntrend[bar] = 0;
					}
					else if (dsTrend[bar] < 0)
					{
						dsDntrend[bar] = dsALMA[bar];
						if ((dsTrend[bar - ColorBarBack]) > 0)
							dsDntrend[bar - ColorBarBack] = dsALMA[bar - ColorBarBack];
						dsUptrend[bar] = 0;
					}
				}
				
				if (IsLastPositionActive)
				{
					//code your exit rules here
				}
				else
				{
					//code your entry rules here
				}
			}
			
			//PlotSeriesIgnoreZero(PricePane, dsUptrend, Color.Green, WealthLab.LineStyle.Dots, 3);	// Sierra sets DRAWSTYLE_LINE_SKIPZEROS
			//PlotSeriesIgnoreZero(PricePane, dsDntrend, Color.Red, WealthLab.LineStyle.Dots, 3);		// Sierra sets DRAWSTYLE_LINE_SKIPZEROS
		}
		
		private void PlotSeriesIgnoreZero(ChartPane pane, DataSeries ds, Color color, WealthLab.LineStyle lineStyle, int width)
		{
			// see link: http://www2.wealth-lab.com/WL5WIKI/kbPlotDiscontinuousIndicators.ashx
			
			PlotSeries(pane, ds, color, lineStyle, width);
			
			for(int bar = 0; bar < ds.Count; bar++)
			{
				if (ds[bar] == 0.0)
					SetSeriesBarColor(bar, ds, Color.Transparent);
			}
		}
	}
}[/CODE]

I did not try to debug it.  I tried to keep this code as close to the original as possible.