Sine Weighted MA (SWMA)

[Sam7768]

/************************************************** ******************
Hello,

I could not locate Sine Weighted MA indicator for NT. I have used it in eSignal and it is normalized and is very smooth. Below is code in esignal. Can someone help code this in NT 6.5?
_______________________________________


Title: Sine Weighted MA for eSignal 7.x
By: Chris D. Kryza (Divergence Software, Inc.)
Email: [email protected]
Incept: 02/17/2004
Version: 1.0.0


================================================== ===================
Fix History:

02/17/2004 - Initial Release
1.0.0

================================================== ===================
Project Description:

Sine Weighted Moving Average plot.

Dislaimer: For educational purposes only! Obviously, no guarantees
whatsoever and use at your own risk.

************************************************** ********************/


//External Variables
var nBarCounter = 0;
var nFac = null;
var nVal2 = null;
var aFPArray = new Array();
var bInitialized = false;

//== PreMain function required by eSignal to set things up
function preMain() {
var x;

setPriceStudy(true);
setStudyTitle("Sine Weighted MA");
setCursorLabelName("SineMA", 0);
setDefaultBarFgColor( Color.blue, 0 );
setShowTitleParameters( false );


//initialize formula parameters
x=0;
aFPArray[x] = new FunctionParameter( "Period", FunctionParameter.NUMBER);
with( aFPArray[x] ) {
setLowerLimit( 2 );
setUpperLimit( 125 );
setDefault( 15 );
}
x++;
aFPArray[x] = new FunctionParameter( "Price", FunctionParameter.STRING);
with( aFPArray[x] ) {
addOption( "Close" );
addOption( "HL/2" );
addOption( "HLC/3" );
addOption( "OHLC/4" );
addOption( "High" );
addOption( "Low" );
setDefault( "Close" );
}
x++;
aFPArray[x] = new FunctionParameter( "Color", FunctionParameter.COLOR);
with( aFPArray[x] ) {
setDefault( Color.blue );
}
x++;
aFPArray[x] = new FunctionParameter( "Thickness", FunctionParameter.NUMBER);
with( aFPArray[x] ) {
setLowerLimit( 1 );
setUpperLimit( 10 );
setDefault( 2 );
}

}

//== Main processing function
function main( Period, Price, Color, Thickness ) {
var x;

//script is initializing
if ( getBarState() == BARSTATE_ALLBARS ) {
return null;
}

if ( bInitialized == false ) {

setDefaultBarFgColor( Color, 0 );
setDefaultBarThickness( Math.round( Thickness ), 0 );

nFac = Math.PI / ( Period+1 );

nVal2 = 0;
//calculate the denominator. This won't change
for ( x=0; x<Math.round(Period); x++ ) {
nVal2 += Math.sin( (x+1) * nFac );
}

bInitialized = true;
}

//called on each new bar
if ( getBarState() == BARSTATE_NEWBAR ) {
nBarCounter++;
}

nVal1 = 0;
nMax = Math.round( Period );
for ( x=0; x<nMax; x++ ) {
nVal1 += Math.sin( (x+1) * nFac ) * getPrice( Price, x );
}

nPlot = nVal1/nVal2;

return( nPlot );

}


/*************************************************
SUPPORT FUNCTIONS
**************************************************/

//== gID function assigns unique identifier to graphic/text routines
function gID() {
grID ++;
return( grID );
}


//== return price type selected by user
function getPrice( Price, nOffset ) {

if ( Price == "Close" ) {
return( close(-nOffset ) );
}
else if ( Price == "HL/2" ) {
return( (high(-nOffset)+low(-nOffset)) / 2 );
}
else if ( Price == "HLC/3" ) {
return( (high(-nOffset)+low(-nOffset)+close(-nOffset)) / 3 );
}
else if ( Price == "OHLC/4" ) {
return( (open(-nOffset)+high(-nOffset)+low(-nOffset)+close(-nOffset)) / 4 );
}
else if ( Price == "Low" ) {
return( low(-nOffset) );
}
else if ( Price == "High" ) {
return( high(-nOffset) );
}
}
__________________________

Thanks much

Sam

[hegh2000]

hi,

if (CurrentBar < Period+1) return;
double nFac = Math.PI / ( Period+1 );
double nVal2 = 0;
for ( int x=0; x<Period; x++ )
{
nVal2 += Math.Sin( (x+1) * nFac );
}
double nVal1 = 0;
for ( int x=0; x<Period; x++ )
{
nVal1 += Math.Sin( (x+1) * nFac ) * Close[x];
}
SWMA.Set(nVal1/nVal2);

[Sam7768]

Thank you Hegh2000. I am getting error...here is the code I am trying to..I am not sure what could be error. Any advice?



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

// This namespace holds all indicators and is required. Do not change it.
namespace NinjaTrader.Indicator
{
/// <summary>
/// The SWMA is an indicator
/// </summary>
[Description("The SWMA is an indicator that shows the average value of a security's price over a period of time.")]
public class SWMA : Indicator
{
#region Variables
private int period = 14;
#endregion

/// <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.Orange, "SWMA"));

Overlay = true;
PriceTypeSupported = true;
}

/// <summary>
/// Called on each bar update event (incoming tick).
/// </summary>
protected override void OnBarUpdate()
{
if (CurrentBar < Period+1) return;
double nFac = Math.PI / ( Period+1 );
double nVal2 = 0;
for ( int x=0; x<Period; x++ )
{
nVal2 += Math.Sin( (x+1) * nFac );
}
double nVal1 = 0;
for ( int x=0; x<Period; x++ )
{
nVal1 += Math.Sin( (x+1) * nFac ) * Close[x];
}
SWMA.Set(nVal1/nVal2);
}
#endregion

[NinjaTrader_Bertrand]

Please give the file attached a try, works well for me.

[Sam7768]

Please give the file attached a try, works well for me.

Thank you Bertrand.

Is it for NT 7? it says import failed. "Version required to extract....(45)"

I am using NT 6.5

Pl advice.

[Trader.Jon]

Thank you Bertrand.

Is it for NT 7? it says import failed. "Version required to extract....(45)"

I am using NT 6.5

Pl advice.

Some assist to help ...

http://www.bigmiketrading.com/ninjatrader-programming/967-importing-cs-file-indicator-strategy.html

BTW, SWMA tracks very closely with WMA

[Sam7768]

Thank You Trader Jon. I did as per the instructions, and when compiled, the error code says..

"type or namespace name 'GridCategory' could not be found (are you missing a using directive or an assembly reference?)"

Code CS0246, line 60, column 4

Also, in the zip file, under info file...

<NinjaTrader>
- <Export>
<Version>7.0.0.24</Version>
</Export>
</NinjaTrader>

So, I guess the code is correct, but not compatible with NT 6.5. And I am using NT 6.5.

So, How to convert this code to NT 6.5 compatibility?.

[Trader.Jon]

change the lines 'grid category ' in the code ..

[GridCategory("Parameters")]

. you might have to change them to '[category "parameters" ] ' sorry

[Category("Parameters")]

.. I havent used 6.5 for a while but that should get you to see what has to be done ..

Have a good night
Jon

[Sam7768]

Ok. Working now. Thank you very much...

Posting the code here for the benefit of others...

Sine Wave Moving Average (SWMA) for NT 6.5.
____________________________


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

// This namespace holds all indicators and is required. Do not change it.
namespace NinjaTrader.Indicator
{
/// <summary>
/// The SWMA is an indicator
/// </summary>
[Description("The SWMA is an indicator that shows the average value of a security's price over a period of time.")]
public class SWMA : Indicator
{
#region Variables
private int period = 14;
#endregion

/// <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.Orange, "SWMA"));

Overlay = true;
PriceTypeSupported = true;
}

/// <summary>
/// Called on each bar update event (incoming tick).
/// </summary>
protected override void OnBarUpdate()
{
if (CurrentBar < Period+1) return;
double nFac = Math.PI / ( Period+1 );
double nVal2 = 0;
for ( int x=0; x<Period; x++ )
{
nVal2 += Math.Sin( (x+1) * nFac );
}
double nVal1 = 0;
for ( int x=0; x<Period; x++ )
{
nVal1 += Math.Sin( (x+1) * nFac ) * Close[x];
}
Value.Set(nVal1/nVal2);
}

#region Properties
/// <summary>
/// </summary>
[Description("Numbers of bars used for calculations")]
[Category("Parameters")]
public int Period
{
get { return period; }
set { period = Math.Max(1, value); }
}
#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 SWMA[] cacheSWMA = null;

private static SWMA checkSWMA = new SWMA();

/// <summary>
/// The SWMA is an indicator that shows the average value of a security's price over a period of time.
/// </summary>
/// <returns></returns>
public SWMA SWMA(int period)
{
return SWMA(Input, period);
}

/// <summary>
/// The SWMA is an indicator that shows the average value of a security's price over a period of time.
/// </summary>
/// <returns></returns>
public SWMA SWMA(Data.IDataSeries input, int period)
{
checkSWMA.Period = period;
period = checkSWMA.Period;

if (cacheSWMA != null)
for (int idx = 0; idx < cacheSWMA.Length; idx++)
if (cacheSWMA[idx].Period == period && cacheSWMA[idx].EqualsInput(input))
return cacheSWMA[idx];

SWMA indicator = new SWMA();
indicator.BarsRequired = BarsRequired;
indicator.CalculateOnBarClose = CalculateOnBarClose;
indicator.Input = input;
indicator.Period = period;
indicator.SetUp();

SWMA[] tmp = new SWMA[cacheSWMA == null ? 1 : cacheSWMA.Length + 1];
if (cacheSWMA != null)
cacheSWMA.CopyTo(tmp, 0);
tmp[tmp.Length - 1] = indicator;
cacheSWMA = 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>
/// The SWMA is an indicator that shows the average value of a security's price over a period of time.
/// </summary>
/// <returns></returns>
[Gui.Design.WizardCondition("Indicator")]
public Indicator.SWMA SWMA(int period)
{
return _indicator.SWMA(Input, period);
}

/// <summary>
/// The SWMA is an indicator that shows the average value of a security's price over a period of time.
/// </summary>
/// <returns></returns>
public Indicator.SWMA SWMA(Data.IDataSeries input, int period)
{
return _indicator.SWMA(input, period);
}

}
}

// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
public partial class Strategy : StrategyBase
{
/// <summary>
/// The SWMA is an indicator that shows the average value of a security's price over a period of time.
/// </summary>
/// <returns></returns>
[Gui.Design.WizardCondition("Indicator")]
public Indicator.SWMA SWMA(int period)
{
return _indicator.SWMA(Input, period);
}

/// <summary>
/// The SWMA is an indicator that shows the average value of a security's price over a period of time.
/// </summary>
/// <returns></returns>
public Indicator.SWMA SWMA(Data.IDataSeries input, int period)
{
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.SWMA(input, period);
}

}
}
#endregion

[Sim22]

NT8 version

Here is a code-optimized NT8 version......

[Harry]

Just a little suggestion: I do not think that the indicator code is already optimized.

There is no point to perform the calculation below for every single bar.

_nVal2 = 0;

  for (int x = 1; x < Period; x++)
  {
     _nVal2 += Math.Sin((x + 1) * _nFac);
  }

The result is always the same and it is sufficient to do it once in State == State.Historical.

Furthermore the coefficients

Math.Sin((x + 1) * _nFac)

should also be calculated in State == State.HIstorical, where they can be written to an array. Again, no need to perform this calculation for every bar.

[pjsmith]

Hi - I stumbled across this whilst doing a little research on SWMA. I figured I'd re-code it with the improvements Harry suggested above. Seems to work ok. Figured I'd post it here in case it is of use to anyone else.

[Harry]

You may replace the SWMA with a simple TMA. They are mostly identical. The TMA is preferable over the SWMA, as it puts a lower toll on CPU, particularly when using it with Calculate.OnPriceChange.