// Updates this model using the new price information in the specified security instance
// Update is a mandatory method
public void Update(Security security, BaseData data)
{
var timeSinceLastUpdate = data.EndTime - _lastUpdate;
if (timeSinceLastUpdate >= _periodSpan && data.Price > 0m)
{
if (_lastPrice > 0)
{
_window.Add(data.Price / _lastPrice - 1.0m);
_needsUpdate = _window.IsReady;
}
_lastUpdate = data.EndTime;
_lastPrice = data.Price;
}
if (_window.Count() < 2)
{
Volatility = 0;
return;
}
if (_needsUpdate)
{
_needsUpdate = false;
var mean = _window.Average();
var std = Math.Sqrt((double)_window.Sum(x => (x - mean) * (x - mean)) / _window.Count());
Volatility = Convert.ToDecimal(std * Math.Sqrt(252d));
}
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="timeWindow"></param>
/// <param name="window"></param>
/// <param name="time"></param>
/// <param name="input">The input given to the indicator</param>
/// <returns>
/// A new value for this indicator
/// </returns>
protected override DoubleArray Forward(IReadOnlyWindow <long> timeWindow, IReadOnlyWindow <DoubleArray> window, long time, DoubleArray input)
{
if (window.Count >= 3)
{
_multipliedDiffWindow.Add((window[0].Value - window[1].Value) * (window[1].Value - window[2].Value));
}
// Estimate the indicator if less than 50% of observation are zero. Avoid division by
// zero and estimations with few real observations in case of forward filled data.
if (IsReady && _multipliedDiffWindow.Count(obs => Math.Abs(obs) < ZeroEpsilon) < 0.5 * _multipliedDiffWindow.Count)
{
var mc = _multipliedDiffWindow.Count(obs => obs > 0);
var mRc = _multipliedDiffWindow.Count(obs => obs < 0);
return(100.0d * mc / (mc + mRc));
}
return(50.0d);
}
double GetSuccessRatio()
{
return((pastPerf.Count() > 2) ? pastPerf.Where(x => x > 0).Count() * 1.0 / pastPerf.Count() : 0);
}