Difference

Difference, Distance, Product, Ratio, Sum, WeightedSum - this group of indicators calculates the following functions of two series of values:

Chart Example

Implementation and Usage

To implement the described functions in your strategy you can use the following constructors:

WeightedSum- creates weighted sum indicator with default weights equal to 1 for each of two series

WeightedSum(Double, Double)- allows setting weight for each series

The value of the indicators is updated by two series type of method Add():

Add(Double, Double)

Add(Double, Double, DateTime)

Use Result property to get the current value.

Example

The strategy defines the base instrument to compute functions with other instruments on each BarClose event. The resulting charts are displayed for each instrument involved.

Copy

 1public partial class PortfolioExecutor : PortfolioExecutorBase
 2{
 3    public string baseSymbol;
 4    public double basePrice;
 5
 6    public override void OnInit()
 7    {
 8        //Call Instruments OnInit
 9        base.OnInit();
10
11        //define the base symbol for calculating functions with //others
12        baseSymbol = Slice[0].Symbol.ToString();
13        foreach(InstrumentExecutor instr in Slice)
14        {
15            instr.InitLines(baseSymbol);
16        }
17    }
18    public override void OnBarClose(Context context)
19    {
20        //get the base price to compute correlations with
21        basePrice = Slice[0].CurrentPrice;
22        //modify indicators
23        foreach(InstrumentExecutor instr in Slice)
24        {
25            instr.ModifyFunctionValues(basePrice);
26        }
27
28        //Call Instruments OnBarClose
29        base.OnBarClose(context);
30    }
31}
32
33public partial class InstrumentExecutor : InstrumentExecutorBase
34{
35+LocalVariables35-    #region LocalVariables
36     //indicators
37     Difference difference;
38     Distance distance;
39     Product product;
40     Ratio ratio;
41     Sum sum;
42     WeightedSum weightedSum;
43 
44     //chart lines
45     Line differenceLine, distanceLine, productLine, ratioLine, sumLine, weightedSumLine;
46 
47     #endregion
48
49+BuildingBlocks49-    #region BuildingBlocks
50     //init lines: symbol is the base symbol which is in pair with this //instrument
51     public void InitLines(string symbol)
52     {
53         //init chart lines
54         differenceLine = Charting.CreateLine(symbol+"Diff", "Instrument", Symbol, Pens.Black, LineStyle.Line, Charting.PriceChart, 2);
55 
56         distanceLine = Charting.CreateLine(symbol+"Dist", "Instrument", Symbol, Pens.Blue, LineStyle.Line, Charting.PriceChart, 3);
57 
58         productLine = Charting.CreateLine(symbol+"Prod", "Instrument", Symbol, Pens.Green, LineStyle.Line, Charting.PriceChart, 4);
59 
60         ratioLine = Charting.CreateLine(symbol+"Ratio", "Instrument", Symbol, Pens.Red, LineStyle.Line, Charting.PriceChart, 5);
61 
62         sumLine = Charting.CreateLine(symbol+"Sum", "Instrument", Symbol, Pens.Brown, LineStyle.Line, Charting.PriceChart, 6);
63 
64         weightedSumLine = Charting.CreateLine(symbol+"WSum", "Instrument", Symbol, Pens.DarkGreen, LineStyle.Line, Charting.PriceChart, 6);
65     }
66     public void ModifyFunctionValues(double price)
67     {
68         difference.Add(CurrentPrice, price);
69         distance.Add(CurrentPrice, price);
70         product.Add(CurrentPrice, price);
71         ratio.Add(CurrentPrice, price);
72         sum.Add(CurrentPrice, price);
73         weightedSum.Add(CurrentPrice, price);
74     }
75     #endregion
76
77+Events77-    #region Events
78     public override void OnInit()
79     {
80         //init indicators
81         difference = new Difference ();
82         distance = new Distance ();
83         product = new Product ();
84         ratio = new Ratio ();
85         sum = new Sum ();
86         weightedSum = new WeightedSum (1.2, 0.7);
87     }
88     public override void OnBarClose()
89     {
90         //chart
91         differenceLine.Draw(CurrentTime, difference.Result);
92         distanceLine.Draw(CurrentTime, distance.Result);
93         productLine.Draw(CurrentTime, product.Result);
94         ratioLine.Draw(CurrentTime, ratio.Result);
95         sumLine.Draw(CurrentTime, sum.Result);
96         weightedSumLine.Draw(CurrentTime, weightedSum.Result);
97     }
98     #endregion
99}