Support Board

{Function; ALAverage}
inputs:
Price (numericseries),
Window(numericsimple),
Sigma(numericsimple),
Offset(numericsimple);

variables: m(0),s(0),Wtd(0), WtdSum(0),CumWt(0), k(0);

m = Floor(Offset * (Window - 1));
s = Window/Sigma;

WtdSum = 0;
CumWt = 0;

for k = 0 to Window - 1 begin
Wtd = ExpValue(-((k-m)*(k-m))/(2*s*s));
WtdSum = WtdSum + Wtd * Price[Window - 1 - k] ;
CumWt = CumWt + Wtd;
end ;

ALAverage = WtdSum / CumWt ;

#region Using declarations
using System;
using System.ComponentModel;
using System.Diagnostics;
using System.Drawing;
using System.Drawing.Drawing2D;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.Gui.Chart;
#endregion

// Copyright 2010 Arnaud Legoux / Dimitris Kouzis-Loukas / Anthony Cascino

// This namespace holds all indicators and is required. Do not change it.
namespace NinjaTrader.Indicator
{
/// <summary>
/// ALMA (Arnaud Legoux MA)
/// </summary>
[Description("ALMA (contact@arnaudlegoux.com) by Arnaud Legoux / Dimitris Kouzis-Loukas / Anthony Cascino")]
public class ALMA : Indicator
{
  
private int iWindowSize = 9;
private double iM_Sigma = 6.0;
    private double iP_Sample = 0.5;

    private double[] aALMA;    
    
/// <summary>
/// This method is used to configure the indicator and is called once before any bar data is loaded.
/// </summary>
protected override void Initialize()
{
Add(new Plot(Color.FromKnownColor(KnownColor.LightSkyBlue), PlotStyle.Line, "ALMA_Plot"));
CalculateOnBarClose  = true;
Overlay        = true;
PriceTypeSupported  = false;
      BarsRequired = 3;
      
      aALMA = new double[iWindowSize];
      
      ResetWindow();
}

/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
      if (CurrentBar < iWindowSize)
        return;
        
              
      int pt = 0;
      
      double agr = 0;
      double norm = 0;
      
      for (int i = 0; i < iWindowSize; i++)
{
        if (i < iWindowSize - pt)
{
          agr += aALMA[i] * Close[iWindowSize - pt - 1 - i];
          norm += aALMA[i];
        }
      }
        
      // Normalize the result
      if (norm != 0) agr /= norm;
      
      // Set the approrpiate bar.
      ALMA_Plot.Set(agr);      
}
    
   #region helper
  
    private void ResetWindow()
{
      
      
      double m = (int)Math.Floor(iP_Sample * (double)(iWindowSize - 1));
      
      
      double s = iWindowSize;
      s /= iM_Sigma;
      
      for (int i = 0; i < iWindowSize; i++)
{
        aALMA[i] = Math.Exp(-((((double)i)-m)*(((double)i)-m))/(2*s*s));
      }
    }  
    
    #endregion
#region Properties
[Browsable(false)]  // this line prevents the data series from being displayed in the indicator properties dialog, do not remove
[XmlIgnore()]    // this line ensures that the indicator can be saved/recovered as part of a chart template, do not remove
public DataSeries ALMA_Plot
{
get { return Values[0]; }
}

[Description("Sample point. Where in terms of the window should we take the current value (0-1)")]
[Category("Parameters")]
public double SamplePoint
{
get { return iP_Sample; }
set { iP_Sample = Math.Min(Math.Max(0.0, value), 1.0); }
    }

[Description("ALMA period. Must be an odd number.")]
[Category("Parameters")]
public int WindowSize
{
get { return iWindowSize; }
set {
        iWindowSize = Math.Min(Math.Max(1, value), 50);
        // Only odd sizes
        if ((iWindowSize & 1) == 0)
        {
          iWindowSize++;
        }
        //ResetWindow();
  }
    }
    
[Description("Precision / Smoothing")]
[Category("Parameters")]
public double Sigma
{
get { return iM_Sigma; }
set {
         iM_Sigma = Math.Min(Math.Max(0.01, value), 50.0); //ResetWindow();
        }
    }
#endregion
}
}

#region NinjaScript generated code. Neither change nor remove.
// This namespace holds all indicators and is required. Do not change it.
namespace NinjaTrader.Indicator
{
public partial class Indicator : IndicatorBase
{
private ALMA[] cacheALMA = null;

private static ALMA checkALMA = new ALMA();

/// <summary>
/// ALMA (contact@arnaudlegoux.com) by Arnaud Legoux / Dimitris Kouzis-Loukas / Anthony Cascino
/// </summary>
/// <returns></returns>
public ALMA ALMA(double samplePoint, double sigma, int windowSize)
{
return ALMA(Input, samplePoint, sigma, windowSize);
}

/// <summary>
/// ALMA (contact@arnaudlegoux.com) by Arnaud Legoux / Dimitris Kouzis-Loukas / Anthony Cascino
/// </summary>
/// <returns></returns>
public ALMA ALMA(Data.IDataSeries input, double samplePoint, double sigma, int windowSize)
{
checkALMA.SamplePoint = samplePoint;
samplePoint = checkALMA.SamplePoint;
checkALMA.Sigma = sigma;
sigma = checkALMA.Sigma;
checkALMA.WindowSize = windowSize;
windowSize = checkALMA.WindowSize;

if (cacheALMA != null)
for (int idx = 0; idx < cacheALMA.Length; idx++)
if (Math.Abs(cacheALMA[idx].SamplePoint - samplePoint) <= double.Epsilon && Math.Abs(cacheALMA[idx].Sigma - sigma) <= double.Epsilon && cacheALMA[idx].WindowSize == windowSize && cacheALMA[idx].EqualsInput(input))
return cacheALMA[idx];

ALMA indicator = new ALMA();
indicator.BarsRequired = BarsRequired;
indicator.CalculateOnBarClose = CalculateOnBarClose;
indicator.Input = input;
indicator.SamplePoint = samplePoint;
indicator.Sigma = sigma;
indicator.WindowSize = windowSize;
indicator.SetUp();

ALMA[] tmp = new ALMA[cacheALMA == null ? 1 : cacheALMA.Length + 1];
if (cacheALMA != null)
cacheALMA.CopyTo(tmp, 0);
tmp[tmp.Length - 1] = indicator;
cacheALMA = tmp;
Indicators.Add(indicator);

return indicator;
}

}
}

// This namespace holds all market analyzer column definitions and is required. Do not change it.
namespace NinjaTrader.MarketAnalyzer
{
public partial class Column : ColumnBase
{
/// <summary>
/// ALMA (contact@arnaudlegoux.com) by Arnaud Legoux / Dimitris Kouzis-Loukas / Anthony Cascino
/// </summary>
/// <returns></returns>
[Gui.Design.WizardCondition("Indicator")]
public Indicator.ALMA ALMA(double samplePoint, double sigma, int windowSize)
{
return _indicator.ALMA(Input, samplePoint, sigma, windowSize);
}

/// <summary>
/// ALMA (contact@arnaudlegoux.com) by Arnaud Legoux / Dimitris Kouzis-Loukas / Anthony Cascino
/// </summary>
/// <returns></returns>
public Indicator.ALMA ALMA(Data.IDataSeries input, double samplePoint, double sigma, int windowSize)
{
return _indicator.ALMA(input, samplePoint, sigma, windowSize);
}

}
}

// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
public partial class Strategy : StrategyBase
{
/// <summary>
/// ALMA (contact@arnaudlegoux.com) by Arnaud Legoux / Dimitris Kouzis-Loukas / Anthony Cascino
/// </summary>
/// <returns></returns>
[Gui.Design.WizardCondition("Indicator")]
public Indicator.ALMA ALMA(double samplePoint, double sigma, int windowSize)
{
return _indicator.ALMA(Input, samplePoint, sigma, windowSize);
}

/// <summary>
/// ALMA (contact@arnaudlegoux.com) by Arnaud Legoux / Dimitris Kouzis-Loukas / Anthony Cascino
/// </summary>
/// <returns></returns>
public Indicator.ALMA ALMA(Data.IDataSeries input, double samplePoint, double sigma, int windowSize)
{
if (InInitialize && input == null)
throw new ArgumentException("You only can access an indicator with the default input/bar series from within the 'Initialize()' method");

return _indicator.ALMA(input, samplePoint, sigma, windowSize);
}

}
}
#endregion