Different timeframes for macdcrossover

amusleh
19 May 2022, 09:29

Hi,

To use an indicator on a different time frame you have to first pass that time frame bars series as source to indicator and then use that time frame index values to access the indicator output values, here is an example for MACD:

using cAlgo.API;
using cAlgo.API.Indicators;
using cAlgo.API.Internals;

namespace cAlgo
{
    [Indicator(AccessRights = AccessRights.None)]
    public class MACDMTF : Indicator
    {
        private MacdCrossOver _macd;
        private Bars _bars;

        [Parameter("Selected Time Frame")]
        public TimeFrame SelectedTimeFrame { get; set; }

        [Parameter("Long Cycle", DefaultValue = 26)]
        public int LongCycle { get; set; }

        [Parameter("Short Cycle", DefaultValue = 12)]
        public int ShortCycle { get; set; }

        [Parameter("Signal Periods", DefaultValue = 9)]
        public int SignalPeriods { get; set; }

        [Output("Histogram", LineColor = "Yellow", IsHistogram = true, PlotType = PlotType.Histogram, Thickness = 2)]
        public IndicatorDataSeries Histogram { get; set; }

        [Output("MACD", LineColor = "Blue", PlotType = PlotType.Line, Thickness = 1)]
        public IndicatorDataSeries MACD { get; set; }

        [Output("Signal", LineColor = "Red", PlotType = PlotType.Line, Thickness = 1)]
        public IndicatorDataSeries Signal { get; set; }

        protected override void Initialize()
        {
            _bars = MarketData.GetBars(SelectedTimeFrame);

            _macd = Indicators.MacdCrossOver(_bars.ClosePrices, LongCycle, ShortCycle, SignalPeriods);
        }

        public override void Calculate(int index)
        {
            var timeFrameIndex = _bars.OpenTimes.GetIndexByTime(Bars.OpenTimes[index]);

            Histogram[index] = _macd.Histogram[timeFrameIndex];
            MACD[index] = _macd.MACD[timeFrameIndex];
            Signal[index] = _macd.Signal[timeFrameIndex];
        }
    }
}

jmmslagter
19 May 2022, 10:03

RE:

amusleh said:

Hi,

To use an indicator on a different time frame you have to first pass that time frame bars series as source to indicator and then use that time frame index values to access the indicator output values, here is an example for MACD:

using cAlgo.API;
using cAlgo.API.Indicators;
using cAlgo.API.Internals;

namespace cAlgo
{
    [Indicator(AccessRights = AccessRights.None)]
    public class MACDMTF : Indicator
    {
        private MacdCrossOver _macd;
        private Bars _bars;

        [Parameter("Selected Time Frame")]
        public TimeFrame SelectedTimeFrame { get; set; }

        [Parameter("Long Cycle", DefaultValue = 26)]
        public int LongCycle { get; set; }

        [Parameter("Short Cycle", DefaultValue = 12)]
        public int ShortCycle { get; set; }

        [Parameter("Signal Periods", DefaultValue = 9)]
        public int SignalPeriods { get; set; }

        [Output("Histogram", LineColor = "Yellow", IsHistogram = true, PlotType = PlotType.Histogram, Thickness = 2)]
        public IndicatorDataSeries Histogram { get; set; }

        [Output("MACD", LineColor = "Blue", PlotType = PlotType.Line, Thickness = 1)]
        public IndicatorDataSeries MACD { get; set; }

        [Output("Signal", LineColor = "Red", PlotType = PlotType.Line, Thickness = 1)]
        public IndicatorDataSeries Signal { get; set; }

        protected override void Initialize()
        {
            _bars = MarketData.GetBars(SelectedTimeFrame);

            _macd = Indicators.MacdCrossOver(_bars.ClosePrices, LongCycle, ShortCycle, SignalPeriods);
        }

        public override void Calculate(int index)
        {
            var timeFrameIndex = _bars.OpenTimes.GetIndexByTime(Bars.OpenTimes[index]);

            Histogram[index] = _macd.Histogram[timeFrameIndex];
            MACD[index] = _macd.MACD[timeFrameIndex];
            Signal[index] = _macd.Signal[timeFrameIndex];
        }
    }
}

 

I knew it was something like this, but could not get a solution. Thanks very much.