//unused for now
public static decimal GetOBVComposite(JArray resultSet, int daysToCalculate)
{
int daysCalulated = 0;
int numberOfResults = 0;
HashSet <string> dates = new HashSet <string>();
Stack <decimal> obvValueYList = new Stack <decimal>();
decimal obvSum = 0;
foreach (var result in resultSet)
{
if (daysCalulated < daysToCalculate)
{
decimal obvValue = decimal.Parse(result.Value <string>("obv"));
obvValueYList.Push(obvValue);
obvSum += obvValue;
numberOfResults++;
string resultDate = result.Value <string>("datetime");
string obvDate = DateTime.Parse(resultDate).ToString("yyyy-MM-dd");
if (!dates.Contains(obvDate))
{
dates.Add(obvDate);
daysCalulated++;
}
}
else
{
break;
}
}
List <decimal> obvXList = new List <decimal>();
for (int i = 1; i <= numberOfResults; i++)
{
obvXList.Add(i);
}
List <decimal> obvYList = obvValueYList.ToList();
decimal obvSlope = Indicators.GetSlope(obvXList, obvYList);
decimal obvSlopeMultiplier = Indicators.GetSlopeMultiplier(obvSlope);
List <decimal> zScores = Indicators.GetZScores(obvYList);
decimal zScoreSlope = Indicators.GetSlope(zScores, obvXList);
decimal zScoreSlopeMultiplier = Indicators.GetSlopeMultiplier(zScoreSlope);
List <decimal> normalizedScores = Indicators.GetNormalizedData(obvYList);
decimal normalizedSlope = Indicators.GetSlope(normalizedScores, obvXList);
decimal normalizedSlopeMultiplier = Indicators.GetSlopeMultiplier(normalizedSlope);
decimal obvAverage = obvSum / numberOfResults;
//look for buy and sell signals
bool obvHasBuySignal = false;
bool obvHasSellSignal = false;
decimal obvPrev = obvYList[0];
bool obvPrevIsNegative = obvPrev < 0;
for (int i = 1; i < obvYList.Count(); i++)
{
decimal current = obvYList[i];
bool currentIsNegative = current < 0;
if (!currentIsNegative && obvPrevIsNegative)
{
obvHasBuySignal = true;
if (obvHasSellSignal)
{
obvHasSellSignal = false; //cancel the previous sell signal if buy signal is most recent
}
}
else if (currentIsNegative && !obvPrevIsNegative)
{
obvHasSellSignal = true;
if (obvHasBuySignal)
{
obvHasBuySignal = false; //cancel the previous buy signal if sell signal is most recent
}
}
obvPrev = current;
obvPrevIsNegative = obvPrev < 0;
}
//Start with the average of the 2 most recent OBV Normalized Scores
//Only use the normalized scores if average OBV is greater than 0
decimal baseValue;
if (obvAverage > 0)
{
baseValue = ((normalizedScores[normalizedScores.Count - 1] + normalizedScores[normalizedScores.Count - 2]) / 2) * 100;
}
else
{
//ZScore bonus helps us score based on derivatives
//Only add ZScoreBonus if it is positive, divide by 4 instead of 2 (which would be classic mean)
decimal zScoreBonus = ((zScores[zScores.Count - 1] + zScores[zScores.Count - 2]) / 4) * 100;
if (zScoreBonus < 0)
{
zScoreBonus = 15; //pity points
}
baseValue = zScoreBonus;
}
//Add bonus if average OBV is greater than 0
decimal obvAverageBonus = obvAverage > 0 ? 15 : 0;
//Add bonus if OBV slope positive
decimal obvSlopeBonus = (obvSlope > 0) ? 10 : 0;
//calculate composite score based on the following values and weighted multipliers
decimal composite = 0;
composite += baseValue;
composite += obvAverageBonus;
composite += obvSlopeBonus;
composite += (zScoreSlope > 0) ? (zScoreSlope * zScoreSlopeMultiplier) : 0;
composite += (normalizedSlope > 0) ? (normalizedSlope * normalizedSlopeMultiplier) : 0;
composite += (obvHasBuySignal) ? 15 : 0;
composite += (obvHasSellSignal) ? -15 : 0;
return(Math.Min(composite, 100)); //cap OBV composite at 100, no extra weight
}
