Mean Reversion Oscillator free

Description

Referencing price and averages to the mean

Notification Publishing copyrighted material is strictly prohibited. If you believe there is copyrighted material in this section you may use the Copyright Infringement Notification form to submit a claim.
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 MeanReversionOscillator : Indicator
    {
        [Output("sellAverage", LineColor = "lightGreen")]
        public IndicatorDataSeries Result1 { get; set; }

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

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

        private Bars tf;

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

        private double buyAverage;
        private double sellAverage;
        private int savedbp;
        private int savedsp;
        private double mean;

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

        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;

            if (sellPeriod == 0)
                sellPeriod = savedsp;

            buyAverage = Bars.OpenPrices.Sum(buyPeriod) / buyPeriod;
            sellAverage = Bars.OpenPrices.Sum(sellPeriod) / sellPeriod;

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

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

            mean = (buyAverage + sellAverage) / 2;

            Result1[index] = sellAverage - mean;
            Result2[index] = buyAverage - mean;
            Result3[index] = Bars.ClosePrices[index] - mean;

            previousIdx = idx;
        }
    }
}
Comments
5