Custom Indicators
This article aims to demonstrate how to create indicators that use custom built-in formulas. The first indicator to be set up is Disparity Index indicator and second is a two-line Moving Average Envelopes indicator.
Disparity Index (DI)
Disparity Index (DI) indicator is described by its creator Steve Nison as "a percentage display of the latest close to a chosen moving average". A generalized formula of the DI can be defined as follows:
DI = ((CurrentClose – MA) / MA) * 100
The MA notation in the above formula stands for any Moving Average indicator. This example will use Exponential Moving Average, so the formula will be rather:
DI = ((CurrentClose - EMA) / EMA) * 100
The formula suggests that DI needs to use the calculations of the EMA indicator and the closing price value coming from the data source. To achieve the desired outcome we will need to (1) create a class that inherits EMA, and (2) override the GetProcessedValue method to return the modified value. The CurrentClose value in the formula can be drawn from the BaseValue property of the current indicator’s data point. All Moving Average indicators use data points of type IdicatorValueDataPoint. Specifically designed to work with indicators, these data points contain a field called BaseValue which is indeed the unprocessed value fetched from the data source.
Now that we have all variables from the formula above, let us start constructing our indicator. First, create a class DisparityIndexIndicator that inherits ExponantialMovingAverage and override the GetProcessedValue method. The method has a parameter currentIndex, which allows you to extract the reach the current data point and extract its BaseValue. To get the EMA calculated value, use the base GetProcessedValue method. The only step left is to calculate and return the modified value. Here is how your code should look like:
DI Indicator
public class DisparityIndexIndicator: ExponentialMovingAverageIndicator
{
public override double GetProcessedValue(int currentIndex)
{
double close = (this.DataPoints[currentIndex] as IndicatorValueDataPoint).BaseValue;
double ema = base.GetProcessedValue(currentIndex);
double result = ((close - ema) / ema) * 100;
return result;
}
}
Public Class DisparityIndexIndicator
Inherits ExponentialMovingAverageIndicator
Public Overrides Function GetProcessedValue(currentIndex As Integer) As Double
Dim close As Double = TryCast(Me.DataPoints(currentIndex), IndicatorValueDataPoint).BaseValue
Dim ema As Double = MyBase.GetProcessedValue(currentIndex)
Dim result As Double = ((close - ema) / ema) * 100
Return result
End Function
End Class
Now let’s create a new DI indicator instance and add it to our RadChartView. In order to do that, however, we will need some sample data. The snippet below creates a BindingList of ClosingPriceObjects. Each ClosingPriceObject is a simple structure that holds the closing price and date it was registered. The class implements INotifyPropertyChanged in order to make sure that any changes in the object's data will be reflected in the indicator’s values.
Figure 1: DI Indicator
Custom Object
public class ClosingPriceObject : INotifyPropertyChanged
{
private double close;
private DateTime date;
public ClosingPriceObject(double close, DateTime date)
{
this.close = close;
this.date = date;
}
public double Close
{
get
{
return this.close;
}
set
{
this.close = value;
OnNotifyPropertyChanged("Close");
}
}
public DateTime Date
{
get
{
return this.date;
}
set
{
this.date = value;
OnNotifyPropertyChanged("Date");
}
}
public event PropertyChangedEventHandler PropertyChanged;
public void OnNotifyPropertyChanged(string propertyName)
{
PropertyChangedEventHandler handler = PropertyChanged;
if (handler != null)
{
this.PropertyChanged(this, new PropertyChangedEventArgs(propertyName));
}
}
}
Public Class ClosingPriceObject
Implements INotifyPropertyChanged
Private m_close As Double
Private m_date As DateTime
Public Property Close() As Double
Get
Return Me.m_close
End Get
Set(value As Double)
Me.m_close = value
OnNotifyPropertyChanged("Close")
End Set
End Property
Public Property [Date]() As DateTime
Get
Return Me.m_date
End Get
Set(value As DateTime)
Me.m_date = value
OnNotifyPropertyChanged("Date")
End Set
End Property
Public Sub New(close As Double, [date] As DateTime)
Me.Close = close
Me.[Date] = [date]
End Sub
Public Event PropertyChanged As PropertyChangedEventHandler Implements INotifyPropertyChanged.PropertyChanged
Public Sub OnNotifyPropertyChanged(propertyName As String)
RaiseEvent PropertyChanged(Me, New PropertyChangedEventArgs(propertyName))
End Sub
End Class
Create Data
BindingList<ClosingPriceObject> dataSource = new BindingList<ClosingPriceObject>();
dataSource.Add(new ClosingPriceObject(4, DateTime.Now));
dataSource.Add(new ClosingPriceObject(7, DateTime.Now.AddDays(1)));
dataSource.Add(new ClosingPriceObject(4, DateTime.Now.AddDays(2)));
dataSource.Add(new ClosingPriceObject(2, DateTime.Now.AddDays(3)));
dataSource.Add(new ClosingPriceObject(6, DateTime.Now.AddDays(4)));
dataSource.Add(new ClosingPriceObject(7, DateTime.Now.AddDays(5)));
dataSource.Add(new ClosingPriceObject(4, DateTime.Now.AddDays(6)));
dataSource.Add(new ClosingPriceObject(3, DateTime.Now.AddDays(7)));
dataSource.Add(new ClosingPriceObject(7, DateTime.Now.AddDays(8)));
Dim dataSource As New BindingList(Of ClosingPriceObject)()
dataSource.Add(New ClosingPriceObject(4, DateTime.Now))
dataSource.Add(New ClosingPriceObject(7, DateTime.Now.AddDays(1)))
dataSource.Add(New ClosingPriceObject(4, DateTime.Now.AddDays(2)))
dataSource.Add(New ClosingPriceObject(2, DateTime.Now.AddDays(3)))
dataSource.Add(New ClosingPriceObject(6, DateTime.Now.AddDays(4)))
dataSource.Add(New ClosingPriceObject(7, DateTime.Now.AddDays(5)))
dataSource.Add(New ClosingPriceObject(4, DateTime.Now.AddDays(6)))
dataSource.Add(New ClosingPriceObject(3, DateTime.Now.AddDays(7)))
dataSource.Add(New ClosingPriceObject(7, DateTime.Now.AddDays(8)))
{{endregion}}
SetupDIIndicator
{{source=..\SamplesCS\ChartView\Series\Indicators\CustomIndicatorsDIForm.cs region=SetupDIIndicator}} {{source=..\SamplesVB\ChartView\Series\Indicators\CustomIndicatorsDIForm.vb region=SetupDIIndicator}}
DisparityIndexIndicator indicator = new DisparityIndexIndicator();
indicator.ValueMember = "Close";
indicator.CategoryMember = "Date";
indicator.DataSource = dataSource;
indicator.Period = 5;
indicator.BorderColor = Color.Red;
indicator.PointSize = SizeF.Empty;
this.radChartView1.Series.Add(indicator);
Dim indicator As New DisparityIndexIndicator
indicator.Period = 5
indicator.ValueMember = "Close"
indicator.CategoryMember = "Date"
indicator.DataSource = dataSource
indicator.BorderColor = Color.Red
indicator.PointSize = SizeF.Empty
Me.RadChartView1.Series.Add(indicator)
Moving Average Envelopes (MAE)
Moving Average Envelopes (MAE) is a slightly more complex indicator as it contains two bands, frequently referred to as Envelopes. The indicator uses Simple Moving Average as a starting point and shifts its two bands upwards and downwards to form the envelopes above and below the moving average. The percentage formula used to calculate the envelopes is:
UpperEnvelope = MA + (U% * MA)
LowerEnvelope = MA + (L% * MA)
Where U% is the Upper Percentage and L% is the lower percentage
All two-line indicators in RadChartView follow a specific pattern – the main indicator implements the IParentIndicator interface and the nested indicator implements the IChildIndicator interface. Once you have implemented these two interfaces, RadChartView will be in charge of attaching and rendering the two lines correctly.
Figure 2: Moving Average indicator
Because Moving Average Envelopes requires a property that sets the bands percent (assuming that both bands will use the same percent), we will create a MAE base that inherits the Moving Average indicator__and adds a __Percent property. Here is a sample snippet:
Base Class
public class MovingAverageEnvelopeBase : MovingAverageIndicator
{
public static readonly RadProperty PercentProperty = RadProperty.Register("Percent", typeof(double), typeof(MovingAverageEnvelopeBase), new RadPropertyMetadata(0d));
public double Percent
{
get
{
return (double)GetValue(PercentProperty);
}
set
{
SetValue(PercentProperty, value);
}
}
}
Public Class MovingAverageEnvelopeBase
Inherits MovingAverageIndicator
Public Shared ReadOnly PercentProperty As RadProperty = RadProperty.Register("Percent", GetType(Double), GetType(MovingAverageEnvelopeBase), New RadPropertyMetadata(0.0))
Public Property Percent() As Double
Get
Return CDbl(GetValue(PercentProperty))
End Get
Set(value As Double)
SetValue(PercentProperty, value)
End Set
End Property
End Class
Let’s now create two classes: MovingAverageEnvelopeChild, containing the lower band’s logic and MovingAverageEnvelopeIndicator, holding the upper band’s formula. They should both inherit MovingAverageEnvelopeBase class. Here are the steps that set up the MovingAverageEnvelopeChild class, first, make sure the MovingAverageEnvelopeChild class implements the IChildIndicator interface. Further, add a field that holds the parent indicator and use it when implementing the OwnerIndicator property. Also, override the GetProcessedValue method and use the Percent property to calculate the correct lower envelope value. Here is a sample snippet of the MovingAverageEnvelopeChild:
Child Class
public class MovingAverageEnvelopeChild : MovingAverageEnvelopeBase, IChildIndicator
{
MovingAverageEnvelopeIndicator owner;
public MovingAverageEnvelopeChild(MovingAverageEnvelopeIndicator owner)
{
this.owner = owner;
}
public IndicatorBase OwnerIndicator
{
get { return this.owner; }
}
public override double GetProcessedValue(int currentIndex)
{
double movingAverage = base.GetProcessedValue(currentIndex);
double result = movingAverage - (movingAverage * this.Percent);
return result;
}
}
Public Class MovingAverageEnvelopeChild
Inherits MovingAverageEnvelopeBase
Implements IChildIndicator
Private owner As MovingAverageEnvelopeIndicator
Public Sub New(owner As MovingAverageEnvelopeIndicator)
Me.owner = owner
End Sub
Public ReadOnly Property OwnerIndicator() As IndicatorBase Implements IChildIndicator.OwnerIndicator
Get
Return Me.owner
End Get
End Property
Public Overrides Function GetProcessedValue(currentIndex As Integer) As Double
Dim movingAverage As Double = MyBase.GetProcessedValue(currentIndex)
Dim result As Double = movingAverage - (movingAverage * Me.Percent)
Return result
End Function
End Class
The MovingAverageEnvelopeIndicator class requires a bit more steps that the indicator child. First, make the class implement the IParentIndicator interface. Create a field of type MovingAverageEnvelopeChild, initialize it in the indicator’s constructor, and return it when implementing the ChildIndicator property. To make sure the inner indicator will be attached and detached, override both OnAttached and OnDettached methods and manually attach and detach the ChildIndicator. To ensure the inner indicator will be bound properly, override the OnNotifyPropertyChanged method and pass any important property values to the child indicator. Here is a sample snippet:
MAE Indicator
public class MovingAverageEnvelopeIndicator : MovingAverageEnvelopeBase, IParentIndicator
{
MovingAverageEnvelopeChild childIndicator;
public MovingAverageEnvelopeIndicator()
{
childIndicator = new MovingAverageEnvelopeChild(this);
}
public IndicatorBase ChildIndicator
{
get { return this.childIndicator; }
}
public override double GetProcessedValue(int currentIndex)
{
double movingAverage = base.GetProcessedValue(currentIndex);
double result = movingAverage + (movingAverage * this.Percent);
return result;
}
protected override void OnAttached(UIChartElement parent)
{
base.OnAttached(parent);
this.ChildIndicator.Attach(parent);
}
protected override void OnDettached()
{
base.OnDettached();
this.ChildIndicator.Dettach();
}
protected override void OnNotifyPropertyChanged(System.ComponentModel.PropertyChangedEventArgs e)
{
base.OnNotifyPropertyChanged(e);
if (e.PropertyName == "DataSource")
{
this.childIndicator.DataSource = this.DataSource;
}
if (e.PropertyName == "CategoryMember")
{
this.childIndicator.CategoryMember = this.CategoryMember;
}
if (e.PropertyName == "ValueMember")
{
this.childIndicator.ValueMember = this.ValueMember;
}
if (e.PropertyName == "Period")
{
this.childIndicator.Period = this.Period;
}
if (e.PropertyName == "Percent")
{
this.childIndicator.Percent = this.Percent;
}
}
}
Public Class MovingAverageEnvelopeIndicator
Inherits MovingAverageEnvelopeBase
Implements IParentIndicator
Private m_childIndicator As MovingAverageEnvelopeChild
Public Sub New()
m_childIndicator = New MovingAverageEnvelopeChild(Me)
End Sub
Public ReadOnly Property ChildIndicator() As IndicatorBase Implements IParentIndicator.ChildIndicator
Get
Return Me.m_childIndicator
End Get
End Property
Public Overrides Function GetProcessedValue(currentIndex As Integer) As Double
Dim movingAverage As Double = MyBase.GetProcessedValue(currentIndex)
Dim result As Double = movingAverage + (movingAverage * Me.Percent)
Return result
End Function
Protected Overrides Sub OnAttached(parent As UIChartElement)
MyBase.OnAttached(parent)
Me.ChildIndicator.Attach(parent)
End Sub
Protected Overrides Sub OnDettached()
MyBase.OnDettached()
Me.ChildIndicator.Dettach()
End Sub
Protected Overrides Sub OnNotifyPropertyChanged(e As System.ComponentModel.PropertyChangedEventArgs)
MyBase.OnNotifyPropertyChanged(e)
If e.PropertyName = "DataSource" Then
Me.m_childIndicator.DataSource = Me.DataSource
End If
If e.PropertyName = "CategoryMember" Then
Me.m_childIndicator.CategoryMember = Me.CategoryMember
End If
If e.PropertyName = "ValueMember" Then
Me.m_childIndicator.ValueMember = Me.ValueMember
End If
If e.PropertyName = "Period" Then
Me.m_childIndicator.Period = Me.Period
End If
If e.PropertyName = "Percent" Then
Me.m_childIndicator.Percent = Me.Percent
End If
End Sub
End Class
Now that we have the MovingAverageEnvelopeIndicator ready, let us set up some sample data and see how it looks like. The following snippet uses BindingList of custom OhlcObjects. For the sake of presentation, this example adds OhlcSeries and a simple Moving Average indicator next to the MovingAverageEnvelopeIndicator.
Create and Setup Indicator
BindingList<OhlcObject> dataSource = new BindingList<OhlcObject>();
dataSource.Add(new OhlcObject(17, 18, 12, 14, DateTime.Now));
dataSource.Add(new OhlcObject(16, 17, 11, 17, DateTime.Now.AddDays(1)));
dataSource.Add(new OhlcObject(18, 19, 12, 14, DateTime.Now.AddDays(2)));
dataSource.Add(new OhlcObject(15, 15, 12, 12, DateTime.Now.AddDays(3)));
dataSource.Add(new OhlcObject(15, 18, 15, 16, DateTime.Now.AddDays(4)));
dataSource.Add(new OhlcObject(15, 17, 11, 17, DateTime.Now.AddDays(5)));
dataSource.Add(new OhlcObject(12, 15, 12, 14, DateTime.Now.AddDays(6)));
dataSource.Add(new OhlcObject(15, 15, 12, 13, DateTime.Now.AddDays(7)));
dataSource.Add(new OhlcObject(15, 18, 15, 17, DateTime.Now.AddDays(8)));
dataSource.Add(new OhlcObject(15, 17, 11, 17, DateTime.Now.AddDays(9)));
dataSource.Add(new OhlcObject(12, 15, 12, 14, DateTime.Now.AddDays(10)));
dataSource.Add(new OhlcObject(17, 18, 12, 14, DateTime.Now.AddDays(11)));
dataSource.Add(new OhlcObject(15, 18, 15, 17, DateTime.Now.AddDays(12)));
dataSource.Add(new OhlcObject(15, 18, 15, 16, DateTime.Now.AddDays(13)));
dataSource.Add(new OhlcObject(17, 18, 12, 14, DateTime.Now.AddDays(14)));
MovingAverageIndicator maIndicator = new MovingAverageIndicator();
maIndicator.ValueMember = "Close";
maIndicator.CategoryMember = "Date";
maIndicator.DataSource = dataSource;
maIndicator.Period = 5;
maIndicator.BorderColor = Color.Red;
maIndicator.PointSize = SizeF.Empty;
this.radChartView1.Series.Add(maIndicator);
MovingAverageEnvelopeIndicator envelopeIndicator = new MovingAverageEnvelopeIndicator();
envelopeIndicator.ValueMember = "Close";
envelopeIndicator.CategoryMember = "Date";
envelopeIndicator.DataSource = dataSource;
envelopeIndicator.Period = 5;
envelopeIndicator.BorderColor = Color.Green;
envelopeIndicator.ChildIndicator.BorderColor = Color.Black;
envelopeIndicator.PointSize = SizeF.Empty;
envelopeIndicator.Percent = 0.25;
this.radChartView1.Series.Add(envelopeIndicator);
CandlestickSeries series = new CandlestickSeries();
series.OpenValueMember = "Open";
series.CloseValueMember = "Close";
series.HighValueMember = "High";
series.LowValueMember = "Low";
series.CategoryMember = "Date";
series.DataSource = dataSource;
this.radChartView1.Series.Add(series);
this.radChartView1.Axes[0].LabelFormat = "{0:dd}";
(this.radChartView1.Axes[1] as LinearAxis).Minimum = 5;
Dim dataSource As New BindingList(Of OhlcObject)()
dataSource.Add(New OhlcObject(17, 18, 12, 14, DateTime.Now))
dataSource.Add(New OhlcObject(16, 17, 11, 17, DateTime.Now.AddDays(1)))
dataSource.Add(New OhlcObject(18, 19, 12, 14, DateTime.Now.AddDays(2)))
dataSource.Add(New OhlcObject(15, 15, 12, 12, DateTime.Now.AddDays(3)))
dataSource.Add(New OhlcObject(15, 18, 15, 16, DateTime.Now.AddDays(4)))
dataSource.Add(New OhlcObject(15, 17, 11, 17, DateTime.Now.AddDays(5)))
dataSource.Add(New OhlcObject(12, 15, 12, 14, DateTime.Now.AddDays(6)))
dataSource.Add(New OhlcObject(15, 15, 12, 13, DateTime.Now.AddDays(7)))
dataSource.Add(New OhlcObject(15, 18, 15, 17, DateTime.Now.AddDays(8)))
dataSource.Add(New OhlcObject(15, 17, 11, 17, DateTime.Now.AddDays(9)))
dataSource.Add(New OhlcObject(12, 15, 12, 14, DateTime.Now.AddDays(10)))
dataSource.Add(New OhlcObject(17, 18, 12, 14, DateTime.Now.AddDays(11)))
dataSource.Add(New OhlcObject(15, 18, 15, 17, DateTime.Now.AddDays(12)))
dataSource.Add(New OhlcObject(15, 18, 15, 16, DateTime.Now.AddDays(13)))
dataSource.Add(New OhlcObject(17, 18, 12, 14, DateTime.Now.AddDays(14)))
Dim maIndicator As New MovingAverageIndicator()
maIndicator.ValueMember = "Close"
maIndicator.CategoryMember = "Date"
maIndicator.DataSource = dataSource
maIndicator.Period = 5
maIndicator.BorderColor = Color.Red
maIndicator.PointSize = SizeF.Empty
Me.RadChartView1.Series.Add(maIndicator)
Dim envelopeIndicator As New MovingAverageEnvelopeIndicator()
envelopeIndicator.ValueMember = "Close"
envelopeIndicator.CategoryMember = "Date"
envelopeIndicator.DataSource = dataSource
envelopeIndicator.Period = 5
envelopeIndicator.BorderColor = Color.Green
envelopeIndicator.ChildIndicator.BorderColor = Color.Black
envelopeIndicator.PointSize = SizeF.Empty
envelopeIndicator.Percent = 0.25
Me.RadChartView1.Series.Add(envelopeIndicator)
Dim series As New CandlestickSeries()
series.OpenValueMember = "Open"
series.CloseValueMember = "Close"
series.HighValueMember = "High"
series.LowValueMember = "Low"
series.CategoryMember = "Date"
series.DataSource = dataSource
Me.RadChartView1.Series.Add(series)
Me.RadChartView1.Axes(0).LabelFormat = "{0:dd}"
TryCast(Me.RadChartView1.Axes(1), LinearAxis).Minimum = 5