T3 Dynamics (T3 Moving Average Dynamics)


// ------------------------------------------------------------------------------------
//                                   About T3
// ------------------------------------------------------------------------------------
//    T3 MA is a weighted sum of single EMA, double EMA, triple EMA etc
//    Original indicator Developed by Tim Tillson
//    Color & Min Threshold % features added by @Fibonacci2011 (Telegarm)
// ------------------------------------------------------------------------------------
//
//   The Triple Exponential Moving Average (T3) developed by Tim Tillson attempts to offers
//   a moving average with better smoothing then traditional exponential moving average.
//   It incorporates a smoothing technique which allows it to plot curves more gradual than
//   ordinary moving averages and with a smaller lag. 
//   Its smoothness is derived from the fact that it is a weighted sum of a single EMA, 
//   is formed, the price action will stay above or below the trend during most of its 
//   progression and will hardly be touched by any swings. Thus, a confirmed penetration of 
//   the T3 MA and the lack of a following reversal often indicates the end of a trend.
//
//   Added up & down colors and a Min Treshold % factor to filter out T3 “flat” periods. 
//   Min Treshold %  calculates the minimum accepter slope % change between start & stop bars.
//
// ------------------------------------------------------------------------------------
//                                 About T3 Dynamics
// ------------------------------------------------------------------------------------
// T3 Dynamics indicator attemps to measure T3 Acceleration and velocity within the lookback period
//
// References: 
//
// T3 Moving Average https://ctrader.com/algos/indicators/show/2044. 
// Dynamics calculation logic same as in MA Dynamics https://ctrader.com/algos/indicators/show/2008
//
// ------------------------------------------------------------------------------------
// ------------------------------------------------------------------------------------



using System;
using System.Linq;
using System.Text;
using System.Threading;
using System.Collections.Generic;
using System.Reflection;
using System.Globalization;
using cAlgo.API;
using cAlgo.API.Indicators;
using cAlgo.API.Internals;
using cAlgo.Indicators;

using System.IO;
namespace cAlgo.Indicators
{

    [Levels(0)]
    [Indicator(IsOverlay = false, ScalePrecision = 1, TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)]
    public class T3Dynamics : Indicator
    {

        [Parameter()]

        public DataSeries Source { get; set; }


        [Parameter("T3 Period ", DefaultValue = 14)]
        public int Period { get; set; }

        [Parameter("T3 Volume Factor ", DefaultValue = 0.7)]
        public double Volume_Factor { get; set; }


        [Parameter("T3 Min Threshold % ", DefaultValue = 0.0)]
        public double minthr { get; set; }


        [Parameter("T3 Start Bar ", DefaultValue = 1)]
        public int startbar { get; set; }

        [Parameter("T3 Stop Bar ", DefaultValue = 2)]
        public int stopbar { get; set; }


        // ============ VELOCITY & ACCELERATION ==============


        [Parameter("Vel. & Acc. LookBack", DefaultValue = 20)]
        public int Lookback { get; set; }

        [Parameter("Method", DefaultValue = MovingAverageType.Exponential)]
        public MovingAverageType MAType { get; set; }

        public DataSeries MASource { get; set; }

        [Output("Velocity", LineColor = "Cyan")]
        public IndicatorDataSeries Vel { get; set; }
        [Output("Acceleration", LineColor = "83FFFF01", PlotType = PlotType.Histogram)]
        public IndicatorDataSeries Acc { get; set; }

        // ================== LEVELS =========================
        [Parameter("TLevel 1 ", DefaultValue = 0)]
        public int Level1 { get; set; }


        [Output("Level 1", Color = Colors.Gold, Thickness = 1, PlotType = PlotType.Points)]
        public IndicatorDataSeries level1 { get; set; }

        [Output("Level -1", Color = Colors.Gold, Thickness = 1, PlotType = PlotType.Points)]
        public IndicatorDataSeries mlevel1 { get; set; }

        [Output("ZeroLine", Color = Colors.Honeydew)]
        public IndicatorDataSeries zero { get; set; }

        // =============================================
        private ExponentialMovingAverage ema1;
        private ExponentialMovingAverage ema2;
        private ExponentialMovingAverage ema3;
        private ExponentialMovingAverage ema4;
        private ExponentialMovingAverage ema5;
        private ExponentialMovingAverage ema6;

        private MovingAverage MA;

        int lastindex = 0;



        protected override void Initialize()
        {
            MA = Indicators.MovingAverage(Source, Period, MAType);
            if (RunningMode == RunningMode.RealTime)
                IndicatorArea.DrawHorizontalLine("0", 0, Color.FromHex("78FFFFFF"));

            ema1 = Indicators.ExponentialMovingAverage(Source, Period);
            ema2 = Indicators.ExponentialMovingAverage(ema1.Result, Period);
            ema3 = Indicators.ExponentialMovingAverage(ema2.Result, Period);
            ema4 = Indicators.ExponentialMovingAverage(ema3.Result, Period);
            ema5 = Indicators.ExponentialMovingAverage(ema4.Result, Period);
            ema6 = Indicators.ExponentialMovingAverage(ema5.Result, Period);


        }

        public override void Calculate(int index)
        {

            if (IsLastBar)
            {
                if (index != lastindex)
                    lastindex = index;
                else
                    return;
            }

            var val = maketema(index);

            var avg = averageslope(startbar, stopbar, index);

            Vel[index] = (maketema(index) - maketema(index - Lookback)) / Symbol.PipSize;
            Acc[index] = Vel[index] - Vel[index - Lookback];


            level1[index] = Level1;
            mlevel1[index] = -Level1;

        }


//===========================================================================================
//                                 FUNCTIONS CALCULATION
//===========================================================================================


        double maketema(int index)
        {
            double b, b2, b3, c1, c2, c3, c4;

            b = Volume_Factor;

            b2 = Math.Pow(b, 2);

            // Volume Factor Squared

            b3 = Math.Pow(b, 3);

            // Volume Factor Cubed

            c1 = -b3;

            c2 = 3 * b2 + 3 * b3;

            c3 = -6 * b2 - 3 * b - 3 * b3;

            c4 = 1 + 3 * b + b3 + 3 * b2;

            var result = c1 * ema6.Result[index] + c2 * ema5.Result[index] + c3 * ema4.Result[index] + c4 * ema3.Result[index];

            return result;
        }


        double averageslope(int start, int end, int index)
        {

            var sum = 0.0;
            var count = 0;


            for (var i = index - end; i < index - start; i++)
            {
                var p0 = maketema(i + 1);
                var p1 = maketema(i);
                var per = (p0 - p1) / p0 * 100;

                sum += per;
                count++;

            }

            return sum / count;
        }

    }
}