.NET7 & RSIBands more accurate calculation

pcortellezzi · Jul 5, 2023 · 9b982d1 · 9b982d1
1 parent 514e41f
commit 9b982d1
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Showing 4 changed files with 45 additions and 55 deletions.
diff --git a/Indicators/AverageTrueRangeNT8/AverageTrueRangeNT8.csproj b/Indicators/AverageTrueRangeNT8/AverageTrueRangeNT8.csproj
@@ -1,7 +1,7 @@
 <?xml version="1.0" encoding="utf-8"?>
 <Project Sdk="Microsoft.NET.Sdk">
   <PropertyGroup>
-    <TargetFramework>net6.0</TargetFramework>
+    <TargetFramework>net7.0</TargetFramework>
     <LangVersion>latest</LangVersion>
     <AppendTargetFrameworkToOutputPath>false</AppendTargetFrameworkToOutputPath>
     <Platforms>AnyCPU</Platforms>
@@ -10,14 +10,14 @@
     <RootNamespace>AverageTrueRangeNT8</RootNamespace>
   </PropertyGroup>
   <PropertyGroup Condition="'$(Configuration)|$(Platform)'=='Release|AnyCPU'">
-    <OutputPath>C:\Users\phili\Apps\Quantower\TradingPlatform\v1.130.11\..\..\Settings\Scripts\Indicators\AverageTrueRangeNT8</OutputPath>
+    <OutputPath>C:\Users\phili\Apps\Quantower\TradingPlatform\v1.133.7\..\..\Settings\Scripts\Indicators\AverageTrueRangeNT8</OutputPath>
   </PropertyGroup>
   <PropertyGroup Condition="'$(Configuration)|$(Platform)'=='Debug|AnyCPU'">
-    <OutputPath>C:\Users\phili\Apps\Quantower\TradingPlatform\v1.130.11\..\..\Settings\Scripts\Indicators\AverageTrueRangeNT8</OutputPath>
+    <OutputPath>C:\Users\phili\Apps\Quantower\TradingPlatform\v1.133.7\..\..\Settings\Scripts\Indicators\AverageTrueRangeNT8</OutputPath>
   </PropertyGroup>
   <ItemGroup>
     <Reference Include="TradingPlatform.BusinessLayer">
-      <HintPath>C:\Users\phili\Apps\Quantower\TradingPlatform\v1.130.11\bin\TradingPlatform.BusinessLayer.dll</HintPath>
+      <HintPath>C:\Users\phili\Apps\Quantower\TradingPlatform\v1.133.7\bin\TradingPlatform.BusinessLayer.dll</HintPath>
       <Private>False</Private>
     </Reference>
   </ItemGroup>

diff --git a/Indicators/RSIBands/RSIBands.cs b/Indicators/RSIBands/RSIBands.cs
@@ -5,14 +5,9 @@
 
 namespace RSIBands {
 	public class RSIBands : Indicator {
-        private double PUp = 0;
-        private double NUp = 0;
-        private double PLow = 0;
-        private double NLow = 0;
-        private double PUpOld = 0;
-        private double NUpOld = 0;
-        private double PLowOld = 0;
-        private double NLowOld = 0;
+        private HistoricalDataCustom hdc = null;
+        private Indicator EMAu = null;
+        private Indicator EMAd = null;
 
         private HistoricalData mtfData = null;
         private Indicator mtfIndicator = null;
@@ -56,6 +51,12 @@ protected override void OnInit() {
                 this.mtfData = this.Symbol.GetHistory(MTFPeriod, this.HistoricalData.HistoryType, this.HistoricalData.FromTime);
                 this.mtfIndicator = new RSIBands(this.MTFPeriod, this.rsiPeriod, this.RSIUpperLevel, this.RSILowerLevel);
                 this.mtfData.AddIndicator(this.mtfIndicator);
+            } else {
+                this.EMAu = Core.Indicators.BuiltIn.EMA(2 * this.rsiPeriod - 1, PriceType.Open);
+                this.EMAd = Core.Indicators.BuiltIn.EMA(2 * this.rsiPeriod - 1, PriceType.Close);
+                this.hdc = new HistoricalDataCustom(this);
+                this.hdc.AddIndicator(this.EMAu);
+                this.hdc.AddIndicator(this.EMAd);
             }
         }
 
@@ -65,17 +66,14 @@ protected override void OnUpdate(UpdateArgs args) {
                 return;
 
             if (this.mtfData == null) {
-                //indicator calculation
-                if (args.Reason != UpdateReason.NewTick) {
-                    this.PUpOld = this.PUp;
-                    this.NUpOld = this.NUp;
-                    this.PLowOld = this.PLow;
-                    this.NLowOld = this.NLow;
-                }
-
-                SetValue(BuiltInRSIequivalent(this.RSIUpperLevel, this.PUpOld, this.NUpOld, GetValue(1), this.Close(0), this.Close(1)));
-                SetValue(BuiltInRSIequivalent(this.RSILowerLevel, this.PLowOld, this.NLowOld, GetValue(1, 1), this.Close(0), this.Close(1)), 1);
-            } else {
+                this.hdc[PriceType.Open, 0] = Math.Max(Close() - Close(1), 0);
+                this.hdc[PriceType.Close, 0] = Math.Max(Close(1) - Close(), 0);
+                double xu = (this.rsiPeriod - 1) * (this.EMAd.GetValue() * this.RSIUpperLevel / (100 - this.RSIUpperLevel) - this.EMAu.GetValue());
+                double xl = (this.rsiPeriod - 1) * (this.EMAd.GetValue() * this.RSILowerLevel / (100 - this.RSILowerLevel) - this.EMAu.GetValue());
+                SetValue(xu >= 0 ? Close() + xu : Close() + xu * (100 - this.RSIUpperLevel) / this.RSIUpperLevel);
+                SetValue(xl >= 0 ? Close() + xl : Close() + xl * (100 - this.RSILowerLevel) / this.RSILowerLevel, 1);
+            }
+            else {
                 //generic MTF calculation
                 int mtfOffset = (int)this.mtfData.GetIndexByTime(this.Time().Ticks);
                 if ((this.mtfData[mtfOffset] as HistoryItemBar).TimeLeft == this.Time()) {
@@ -97,33 +95,6 @@ protected override void OnUpdate(UpdateArgs args) {
 
         }
 
-        private double BuiltInRSIequivalent(int TargetRSILevel, double P, double N, double PrevRSIBand, double Close, double PrevClose) {
-            double W = 0;
-            double S = 0;
-            double diff = Close - PrevClose;
-            double HypotheticalCloseToMatchRSITarget = 0;
-
-            if (diff > 0)
-                W = diff;
-            else if (diff < 0)
-                S = -diff;
-
-            if (PrevRSIBand > PrevClose)
-                HypotheticalCloseToMatchRSITarget = PrevClose + P - P * this.rsiPeriod - ((N * this.rsiPeriod) - N) * TargetRSILevel / (TargetRSILevel - 100);
-            else
-                HypotheticalCloseToMatchRSITarget = PrevClose - N - P + N * this.rsiPeriod + P * this.rsiPeriod + (100 * P) / TargetRSILevel - (100 * P * this.rsiPeriod) / TargetRSILevel;
-
-            if (PrevRSIBand == GetValue(1)) {
-                this.PUp = ((this.rsiPeriod - 1) * P + W) / this.rsiPeriod;
-                this.NUp = ((this.rsiPeriod - 1) * N + S) / this.rsiPeriod;
-            } else if (PrevRSIBand == GetValue(1, 1)) {
-                this.PLow = ((this.rsiPeriod - 1) * P + W) / this.rsiPeriod;
-                this.NLow = ((this.rsiPeriod - 1) * N + S) / this.rsiPeriod;
-            }
-
-            return HypotheticalCloseToMatchRSITarget;
-        }
-
         protected override void OnClear() {
             this.mtfData?.Dispose();
             this.mtfData = null;

diff --git a/Indicators/RSIBands/RSIBands.csproj b/Indicators/RSIBands/RSIBands.csproj
@@ -1,26 +1,27 @@
 <?xml version="1.0" encoding="utf-8"?>
 <Project Sdk="Microsoft.NET.Sdk">
   <PropertyGroup>
-    <TargetFramework>net6.0</TargetFramework>
+    <TargetFramework>net7.0</TargetFramework>
     <LangVersion>latest</LangVersion>
     <AppendTargetFrameworkToOutputPath>false</AppendTargetFrameworkToOutputPath>
     <Platforms>AnyCPU</Platforms>
     <AlgoType>Indicator</AlgoType>
     <AssemblyName>RSIBands</AssemblyName>
     <RootNamespace>RSIBands</RootNamespace>
+    <PlatformTarget>AnyCPU</PlatformTarget>
   </PropertyGroup>
   <PropertyGroup Condition="'$(Configuration)|$(Platform)'=='Release|AnyCPU'">
-    <OutputPath>C:\Users\phili\Apps\AMP Quantower\TradingPlatform\v1.130.6\..\..\Settings\Scripts\Indicators\RSIBands</OutputPath>
+    <OutputPath>C:\Users\phili\Apps\Quantower\TradingPlatform\v1.133.7\..\..\Settings\Scripts\Indicators\RSIBands</OutputPath>
   </PropertyGroup>
   <PropertyGroup Condition="'$(Configuration)|$(Platform)'=='Debug|AnyCPU'">
-    <OutputPath>C:\Users\phili\Apps\AMP Quantower\TradingPlatform\v1.130.6\..\..\Settings\Scripts\Indicators\RSIBands</OutputPath>
+    <OutputPath>C:\Users\phili\Apps\Quantower\TradingPlatform\v1.133.7\..\..\Settings\Scripts\Indicators\RSIBands</OutputPath>
   </PropertyGroup>
   <ItemGroup>
     <PackageReference Include="System.Drawing.Common" Version="7.0.0" />
   </ItemGroup>
   <ItemGroup>
     <Reference Include="TradingPlatform.BusinessLayer">
-      <HintPath>C:\Users\phili\Apps\AMP Quantower\TradingPlatform\v1.130.6\bin\TradingPlatform.BusinessLayer.dll</HintPath>
+      <HintPath>C:\Users\phili\Apps\Quantower\TradingPlatform\v1.133.7\bin\TradingPlatform.BusinessLayer.dll</HintPath>
       <Private>False</Private>
     </Reference>
   </ItemGroup>

diff --git a/Indicators/RSIBands/RSIBands.sln b/Indicators/RSIBands/RSIBands.sln
@@ -3,7 +3,13 @@ Microsoft Visual Studio Solution File, Format Version 12.00
 # Visual Studio Version 17
 VisualStudioVersion = 17.5.33516.290
 MinimumVisualStudioVersion = 10.0.40219.1
-Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "RSIBands", "RSIBands.csproj", "{3830F46E-54B3-404D-B716-E983109CF7A7}"
+Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "RSIBands", "RSIBands.csproj", "{3830F46E-54B3-404D-B716-E983109CF7A7}"
+EndProject
+Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "AverageTrueRangeNT8", "..\AverageTrueRangeNT8\AverageTrueRangeNT8.csproj", "{AAB730F2-B408-45CF-94B3-1576C213F0A2}"
+EndProject
+Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "GFTColorBar", "..\GFTColorBar\GFTColorBar.csproj", "{FED22036-305B-45AC-907D-962E5CEFF0C9}"
+EndProject
+Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "ScalpingGFT", "..\..\PlaceOrderStrategies\ScalpingGFT\ScalpingGFT.csproj", "{1906C269-F690-488A-926F-A4CA7076403A}"
 EndProject
 Global
 	GlobalSection(SolutionConfigurationPlatforms) = preSolution
@@ -15,6 +21,18 @@ Global
 		{3830F46E-54B3-404D-B716-E983109CF7A7}.Debug|Any CPU.Build.0 = Debug|Any CPU
 		{3830F46E-54B3-404D-B716-E983109CF7A7}.Release|Any CPU.ActiveCfg = Release|Any CPU
 		{3830F46E-54B3-404D-B716-E983109CF7A7}.Release|Any CPU.Build.0 = Release|Any CPU
+		{AAB730F2-B408-45CF-94B3-1576C213F0A2}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
+		{AAB730F2-B408-45CF-94B3-1576C213F0A2}.Debug|Any CPU.Build.0 = Debug|Any CPU
+		{AAB730F2-B408-45CF-94B3-1576C213F0A2}.Release|Any CPU.ActiveCfg = Release|Any CPU
+		{AAB730F2-B408-45CF-94B3-1576C213F0A2}.Release|Any CPU.Build.0 = Release|Any CPU
+		{FED22036-305B-45AC-907D-962E5CEFF0C9}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
+		{FED22036-305B-45AC-907D-962E5CEFF0C9}.Debug|Any CPU.Build.0 = Debug|Any CPU
+		{FED22036-305B-45AC-907D-962E5CEFF0C9}.Release|Any CPU.ActiveCfg = Release|Any CPU
+		{FED22036-305B-45AC-907D-962E5CEFF0C9}.Release|Any CPU.Build.0 = Release|Any CPU
+		{1906C269-F690-488A-926F-A4CA7076403A}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
+		{1906C269-F690-488A-926F-A4CA7076403A}.Debug|Any CPU.Build.0 = Debug|Any CPU
+		{1906C269-F690-488A-926F-A4CA7076403A}.Release|Any CPU.ActiveCfg = Release|Any CPU
+		{1906C269-F690-488A-926F-A4CA7076403A}.Release|Any CPU.Build.0 = Release|Any CPU
 	EndGlobalSection
 	GlobalSection(SolutionProperties) = preSolution
 		HideSolutionNode = FALSE