TimeSeriesMovingAverage


Summary

A Time Series Moving Average is moving average based on linear regression forecast.

Syntax

public interface TimeSeriesMovingAverage : MovingAverage, IIndicator

Members

NameTypeSummary

Example 1

private TimeSeriesMovingAverage _timeSeriesMovingAverage;
protected override void Initialize()
{
    _timeSeriesMovingAverage = Indicators.TimeSeriesMovingAverage(MarketSeries.Close, 9);
}
public override void Calculate(int index)
{
    //Print the current value of TimeSeries Moving Average to the log
    Print("The current TimeSeries Moving Average  is {0}", _timeSeriesMovingAverage.Result[index]);
}

Example 2

using cAlgo.API;
using cAlgo.API.Indicators;
namespace cAlgo.Robots
{
    // This sample cBot shows how to use the Time Series Moving Average indicator
    [Robot(TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)]
    public class TimeSeriesMovingAverageSample : Robot
    {
        private double _volumeInUnits;
        private TimeSeriesMovingAverage _fastTimeSeriesMovingAverage;
        private TimeSeriesMovingAverage _slowTimeSeriesMovingAverage;
        [Parameter("Source", Group = "Fast MA")]
        public DataSeries FastMaSource { get; set; }
        [Parameter("Period", DefaultValue = 9, Group = "Fast MA")]
        public int FastMaPeriod { get; set; }
        [Parameter("Source", Group = "Slow MA")]
        public DataSeries SlowMaSource { get; set; }
        [Parameter("Period", DefaultValue = 20, Group = "Slow MA")]
        public int SlowMaPeriod { get; set; }
        [Parameter("Volume (Lots)", DefaultValue = 0.01, Group = "Trade")]
        public double VolumeInLots { get; set; }
        [Parameter("Stop Loss (Pips)", DefaultValue = 10, Group = "Trade")]
        public double StopLossInPips { get; set; }
        [Parameter("Take Profit (Pips)", DefaultValue = 10, Group = "Trade")]
        public double TakeProfitInPips { get; set; }
        [Parameter("Label", DefaultValue = "Sample", Group = "Trade")]
        public string Label { get; set; }
        public Position[] BotPositions
        {
            get
            {
                return Positions.FindAll(Label);
            }
        }
        protected override void OnStart()
        {
            _volumeInUnits = Symbol.QuantityToVolumeInUnits(VolumeInLots);
            _fastTimeSeriesMovingAverage = Indicators.TimeSeriesMovingAverage(FastMaSource, FastMaPeriod);
            _slowTimeSeriesMovingAverage = Indicators.TimeSeriesMovingAverage(SlowMaSource, SlowMaPeriod);
        }
        protected override void OnBar()
        {
            if (_fastTimeSeriesMovingAverage.Result.HasCrossedAbove(_slowTimeSeriesMovingAverage.Result, 0))
            {
                ClosePositions(TradeType.Sell);
                ExecuteMarketOrder(TradeType.Buy, SymbolName, _volumeInUnits, Label, StopLossInPips, TakeProfitInPips);
            }
            else if (_fastTimeSeriesMovingAverage.Result.HasCrossedBelow(_slowTimeSeriesMovingAverage.Result, 0))
            {
                ClosePositions(TradeType.Buy);
                ExecuteMarketOrder(TradeType.Sell, SymbolName, _volumeInUnits, Label, StopLossInPips, TakeProfitInPips);
            }
        }
        private void ClosePositions(TradeType tradeType)
        {
            foreach (var position in BotPositions)
            {
                if (position.TradeType != tradeType) continue;
                ClosePosition(position);
            }
        }
    }
}
Reference