Mean Reversion free

by srm_bcn in category Trend at 17/06/2020
Description

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Formula / Source Code
Language: C#
Trading Platform: cAlgocTrader
´╗┐using System;
using cAlgo.API;
using cAlgo.API.Internals;
using cAlgo.API.Indicators;
using cAlgo.Indicators;

namespace cAlgo
{
    [Indicator(IsOverlay = false, TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)]
    public class MeanReversion : Indicator
    {
        [Output("Result1", LineColor = "lightGreen")]
        public IndicatorDataSeries Result1 { get; set; }

        [Output("Result2", LineColor = "Red")]
        public IndicatorDataSeries Result2 { get; set; }

        [Output("Result3", LineColor = "Aqua")]
        public IndicatorDataSeries Result3 { get; set; }

        private Bars tf;

        private int idx;
        private int previousIdx;
        private int buyPeriod;
        private int sellPeriod;

        private double buySum;
        private double sellSum;
        private double buyAverage;
        private double sellAverage;
        private int savedbp;
        private int savedsp;

        private double maxbp;
        private double minbp;
        private double maxsp;
        private double minsp;
        private IndicatorDataSeries main;

        protected override void Initialize()
        {
            tf = MarketData.GetBars(Bars.TimeFrame);
            main = CreateDataSeries();
        }

        public override void Calculate(int index)
        {
            idx = tf.OpenTimes.GetIndexByTime(Bars.OpenTimes[index]);
            if (idx > previousIdx)
            {
                buyPeriod++;
                savedbp = buyPeriod;
                sellPeriod++;
                savedsp = sellPeriod;
            }

            if (buyPeriod == 0)
                buyPeriod = savedbp;

            buySum = 0;
            for (int i = index - buyPeriod + 1; i <= index; i++)
                buySum += Bars.OpenPrices[i];

            if (sellPeriod == 0)
                sellPeriod = savedsp;

            sellSum = 0;
            for (int i = index - sellPeriod + 1; i <= index; i++)
                sellSum += Bars.OpenPrices[i];

            buyAverage = buySum / buyPeriod;
            sellAverage = sellSum / sellPeriod;

            if (Bars.ClosePrices[index] > buyAverage)
            {
                buyAverage = Bars.ClosePrices[index];
                buyPeriod = 0;
            }

            if (Bars.ClosePrices[index] < sellAverage)
            {
                sellAverage = Bars.ClosePrices[index];
                sellPeriod = 0;
            }

            maxbp = Bars.OpenPrices.Maximum(buyPeriod + 1);
            minbp = Bars.OpenPrices.Minimum(buyPeriod + 1);
            maxsp = Bars.OpenPrices.Maximum(sellPeriod + 1);
            minsp = Bars.OpenPrices.Minimum(sellPeriod + 1);

            main[index] = (2 * buyAverage - maxbp - minsp) + (2 * sellAverage - maxbp - minsp);

            Result1[index] = main.Minimum(sellPeriod + 1);
            Result2[index] = main.Maximum(buyPeriod + 1);
            Result3[index] = main[index];

            previousIdx = idx;
        }
    }
}
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