/* Similar to AggM, the AggZ is a composite trend and mean-reversion indicator rolled into one.
* The concept of both is to anchor a long term trending measure to a short-term mean-reverting measure so that you can have an indicator
* that can be traded for both long and short-term intervals. The calculation is dead simple:
*
* AggZ= (-1x( 10-day z-score)+(200-day z-score))/2
* where z-score = (close-sma (closing prices over last n periods))/(standard deviation( closing prices over last n periods))
*
* buy above 0, sell below 0 as a basic strategy.
* Users may try different variations of z-lengths as well as entry/exits.
*/
public AggZ(DataSeries ds, int period1, int period2, StdDevCalculation sd, string description)
: base(ds, description)
{
base.FirstValidValue = Math.Max(period1, period2);
if (base.FirstValidValue < 2)
{
base.FirstValidValue = 2;
}
DataSeries sma10 = Community.Indicators.FastSMA.Series(ds, period1);
DataSeries sma200 = Community.Indicators.FastSMA.Series(ds, period2);
StdDev sd10 = StdDev.Series(ds, period1, sd);
StdDev sd200 = StdDev.Series(ds, period2, sd);
var rangePartitioner = Partitioner.Create(FirstValidValue, ds.Count);
Parallel.ForEach(rangePartitioner, (range, loopState) =>
{
for (int bar = range.Item1; bar < range.Item2; bar++)
{
double zscore10 = (ds[bar] - sma10[bar]) / sd10[bar];
double zscore200 = (ds[bar] - sma200[bar]) / sd200[bar];
double aggz = (-1 * zscore10 + zscore200) / 2.0d;
base[bar] = aggz;
}
});
}
public VarianceRatio(Bars bars, DataSeries ds, int lookback, int period, string description)
: base(bars, description)
{
LNRet lnr = LNRet.Series(bars, ds, lookback);
LNRet lnr1 = LNRet.Series(bars, ds, 1);
StdDevCalculation sample = StdDevCalculation.Sample;
for (int bar = Math.Max(lookback, period); bar < bars.Count; bar++)
{
base[bar] = StdDev.Series(lnr, period, sample)[bar] / (StdDev.Series(lnr1, period, sample)[bar] * Math.Sqrt(lookback));
}
}
public static BBandUpper2 Series(DataSeries ds, int period, double stdDevs, StdDevCalculation sd)
{
string description = string.Concat(new object[] { "Upper Bollinger Band(", ds.Description, ",", period, ",", stdDevs, ",", sd, ")" });
if (ds.Cache.ContainsKey(description))
{
return((BBandUpper2)ds.Cache[description]);
}
BBandUpper2 _BBandUpper2 = new BBandUpper2(ds, period, stdDevs, sd, description);
ds.Cache[description] = _BBandUpper2;
return(_BBandUpper2);
}
public static AggZ Series(DataSeries ds, int period1, int period2, StdDevCalculation sd)
{
string description = string.Concat(new object[] { "AggZ(", ds.Description, ",", period1, ",", period2, ",", sd, ")" });
if (ds.Cache.ContainsKey(description))
{
return((AggZ)ds.Cache[description]);
}
AggZ _AggZ = new AggZ(ds, period1, period2, sd, description);
ds.Cache[description] = _AggZ;
return(_AggZ);
}
public BBandLower2(DataSeries ds, int period, double stdDevs, StdDevCalculation sd, string description)
: base(ds, description)
{
base.FirstValidValue = period;
if (FirstValidValue > ds.Count || FirstValidValue < 0)
{
FirstValidValue = ds.Count;
}
if (ds.Count < period)
{
return;
}
StdDev sd_ = StdDev.Series(ds, period, sd);
DataSeries sma = Community.Indicators.FastSMA.Series(ds, period);
for (int bar = FirstValidValue; bar < ds.Count; bar++)
{
base[bar] = sma[bar] - (sd_[bar] * stdDevs);
}
}
public MACZ(DataSeries ds, int period1, int period2, double A, double B, StdDevCalculation sdc, string description)
: base(ds, description)
{
base.FirstValidValue = Math.Max(period1, period2);
if (base.FirstValidValue < 2)
{
base.FirstValidValue = 2;
}
FirstValidValue *= 3; // EMA, the component of MACD, is an unstable indicator
DataSeries sma = Community.Indicators.FastSMA.Series(ds, period2);
StdDev sd = StdDev.Series(ds, period2, sdc);
DataSeries ZScore = (ds - sma) / sd;
DataSeries macd = EMA.Series(ds, period1, EMACalculation.Modern) - EMA.Series(ds, period2, EMACalculation.Modern);
DataSeries MACZ = (ZScore * A) + (macd / sd * B);
for (int bar = FirstValidValue; bar < ds.Count; bar++)
{
base[bar] = MACZ[bar];
}
}
public static MACZ Series(DataSeries ds, int period1, int period2, double A, double B, StdDevCalculation sdc)
{
string description = string.Concat(new object[] { "MACZ(", ds.Description, ",", period1, ",", period2, ",",
A, ",", B, ",", sdc, ")" });
if (ds.Cache.ContainsKey(description))
{
return((MACZ)ds.Cache[description]);
}
MACZ _MACZ = new MACZ(ds, period1, period2, A, B, sdc, description);
ds.Cache[description] = _MACZ;
return(_MACZ);
}
