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 Post subject: Question about indicator
PostPosted: Wed Sep 08, 2010 8:10 pm 
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Joined: Sat Jul 24, 2004 12:40 am
Posts: 77
Location: Odessa, Florida
Hello all,
I am trying to implement something simple, yet am not quite sure about how to go about it.
Here is my problem.
I am computing the average true range over a period N by using the following where bs is some BarSeries
Code:
OpenQuant.API.Indicators.ATR avgTR = new OpenQuant.API.Indicators.ATR(bs, N);

I now wish to take this indicator (avgTR) and multiply it by a factor F and compute a moving average of the product (avgTR * F) over some period P, where P < N
In other words I wish to have an indicator which will give me
Code:
OpenQuant.API.Indicators.SMA  avgOfavgTRF = new OpenQuant.API.Indicators.SMA(avgTR * F, P);

I know how to get avgTR as simply being:
Code:
 avgTR = Indicators.ATR(bs,N)

But I am stuck on figuring out how to make a Simple Moving Average (SMA) of an already existing indicator (avgTR) that needs to be multiplied by a number F.
If I had simply wanted the Simple Moving Average of avgTR over a period P, things would have been easy as I would simply had written
Code:
Indicators.SMA avgOfavgTR = new Indicators.SMA(avgTR,P);

But I want the moving average of another moving average that is multiplied by a factor and I know that
Code:
Indicators.SMA avgOfavgTRF = new Indicators.SMA(avgTR * F,P);

Would be a syntax error.
Does any one have a way to do this?

Thank you in advance


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 Post subject:
PostPosted: Thu Sep 09, 2010 12:55 pm 
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Joined: Tue Aug 05, 2003 3:43 pm
Posts: 6816
Hi,

one possibility is to write a simple custom indicator that multiplies input by a number. Then you can create indicator from indicator construction right in the OnStrategyStart.

Or alternatively you can create a time series in OnStrategyStart, use this series as SMA input and then add entries to this time series in OnBar

series.Add(bar.DateTime, atr * F)

Do you see what I mean?

Regards,
Anton


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