/// <summary>
/// DEMA = 2 * EMA - EMA of EMA
/// </summary>
/// <see cref="http://forex-indicators.net/trend-indicators/dema"/>
/// <returns></returns>
public override SingleDoubleSerie Calculate()
{
var demaSerie = new SingleDoubleSerie();
EMA ema = new EMA(Period, false);
ema.Load(OhlcList);
var emaValues = ema.Calculate().Values;
// assign EMA values to Close price
for (var i = 0; i < OhlcList.Count; i++)
{
OhlcList[i].closePrice = emaValues[i].HasValue ? emaValues[i].Value : 0.0m;
}
ema.Load(OhlcList.Skip(Period - 1).ToList());
// EMA(EMA(value))
var emaEmaValues = ema.Calculate().Values;
for (var i = 0; i < Period - 1; i++)
{
emaEmaValues.Insert(0, null);
}
// Calculate DEMA
for (var i = 0; i < OhlcList.Count; i++)
{
if (i >= 2 * Period - 2)
{
var dema = 2 * emaValues[i] - emaEmaValues[i];
demaSerie.Values.Add(dema);
}
else
{
demaSerie.Values.Add(null);
}
}
return(demaSerie);
}
/// <summary>
/// TrueHigh = Highest of high[0] or close[-1]
/// TrueLow = Highest of low[0] or close[-1]
/// TR = TrueHigh - TrueLow
/// ATR = EMA(TR)
/// </summary>
/// <see cref="http://www.fmlabs.com/reference/default.htm?url=TR.htm"/>
/// <see cref="http://www.fmlabs.com/reference/default.htm?url=ATR.htm"/>
/// <returns></returns>
public override ATRSerie Calculate()
{
var _atr_serie = new ATRSerie();
_atr_serie.TrueHigh.Add(null);
_atr_serie.TrueLow.Add(null);
_atr_serie.TrueRange.Add(null);
_atr_serie.ATR.Add(null);
for (var i = 1; i < OhlcList.Count; i++)
{
var trueHigh = OhlcList[i].highPrice >= OhlcList[i - 1].closePrice ? OhlcList[i].highPrice : OhlcList[i - 1].closePrice;
_atr_serie.TrueHigh.Add(trueHigh);
var trueLow = OhlcList[i].lowPrice <= OhlcList[i - 1].closePrice ? OhlcList[i].lowPrice : OhlcList[i - 1].closePrice;
_atr_serie.TrueLow.Add(trueLow);
var trueRange = trueHigh - trueLow;
_atr_serie.TrueRange.Add(trueRange);
}
for (var i = 1; i < OhlcList.Count; i++)
{
OhlcList[i].closePrice = _atr_serie.TrueRange[i].Value;
}
var _ema = new EMA(Period, true);
_ema.Load(OhlcList.Skip(1).ToList());
var atrList = _ema.Calculate().Values;
foreach (var atr in atrList)
{
_atr_serie.ATR.Add(atr);
}
return(_atr_serie);
}
public override ADXSerie Calculate()
{
var adxSerie = new ADXSerie();
var tempOhlcList = new List <Ohlcv>();
for (var i = 0; i < OhlcList.Count; i++)
{
var tempOhlc = new Ohlcv()
{
closePrice = OhlcList[i].highPrice
};
tempOhlcList.Add(tempOhlc);
}
var momentum = new Momentum();
momentum.Load(tempOhlcList);
var highMomentums = momentum.Calculate().Values;
tempOhlcList = new List <Ohlcv>();
for (var i = 0; i < OhlcList.Count; i++)
{
var tempOhlc = new Ohlcv()
{
closePrice = OhlcList[i].lowPrice
};
tempOhlcList.Add(tempOhlc);
}
momentum = new Momentum();
momentum.Load(tempOhlcList);
var lowMomentums = momentum.Calculate().Values;
for (var i = 0; i < lowMomentums.Count; i++)
{
if (lowMomentums[i].HasValue)
{
lowMomentums[i] *= -1;
}
}
//DMIp <- ifelse( dH==dL | (dH< 0 & dL< 0), 0, ifelse( dH >dL, dH, 0 ) )
var DMIPositives = new List <decimal?>()
{
null
};
// DMIn <- ifelse( dH==dL | (dH< 0 & dL< 0), 0, ifelse( dH <dL, dL, 0 ) )
var DMINegatives = new List <decimal?>()
{
null
};
for (var i = 1; i < OhlcList.Count; i++)
{
if (highMomentums[i] == lowMomentums[i] || (highMomentums[i] < 0 & lowMomentums[i] < 0))
{
DMIPositives.Add(0);
}
else
{
if (highMomentums[i] > lowMomentums[i])
{
DMIPositives.Add(highMomentums[i]);
}
else
{
DMIPositives.Add(0);
}
}
if (highMomentums[i] == lowMomentums[i] || (highMomentums[i] < 0 & lowMomentums[i] < 0))
{
DMINegatives.Add(0);
}
else
{
if (highMomentums[i] < lowMomentums[i])
{
DMINegatives.Add(lowMomentums[i]);
}
else
{
DMINegatives.Add(0);
}
}
}
ATR atr = new ATR();
atr.Load(OhlcList);
var trueRanges = atr.Calculate().TrueRange;
adxSerie.TrueRange = trueRanges;
var trSum = wilderSum(trueRanges);
// DIp <- 100 * wilderSum(DMIp, n=n) / TRsum
var DIPositives = new List <decimal?>();
var wilderSumOfDMIp = wilderSum(DMIPositives);
for (var i = 0; i < wilderSumOfDMIp.Count; i++)
{
if (wilderSumOfDMIp[i].HasValue)
{
DIPositives.Add(wilderSumOfDMIp[i].Value * 100 / trSum[i].Value);
}
else
{
DIPositives.Add(null);
}
}
adxSerie.DIPositive = DIPositives;
// DIn <- 100 * wilderSum(DMIn, n=n) / TRsum
var DINegatives = new List <decimal?>();
var wilderSumOfDMIn = wilderSum(DMINegatives);
for (var i = 0; i < wilderSumOfDMIn.Count; i++)
{
if (wilderSumOfDMIn[i].HasValue)
{
DINegatives.Add(wilderSumOfDMIn[i].Value * 100 / trSum[i].Value);
}
else
{
DINegatives.Add(null);
}
}
adxSerie.DINegative = DINegatives;
// DX <- 100 * ( abs(DIp - DIn) / (DIp + DIn) )
var DX = new List <decimal?>();
for (var i = 0; i < OhlcList.Count; i++)
{
if (DIPositives[i].HasValue)
{
var dx = 100 * (Math.Abs(DIPositives[i].Value - DINegatives[i].Value) / (DIPositives[i].Value + DINegatives[i].Value));
DX.Add(dx);
}
else
{
DX.Add(null);
}
}
adxSerie.DX = DX;
for (var i = 0; i < OhlcList.Count; i++)
{
if (DX[i].HasValue)
{
OhlcList[i].closePrice = DX[i].Value;
}
else
{
OhlcList[i].closePrice = 0.0m;
}
}
EMA ema = new EMA(Period, true);
ema.Load(OhlcList.Skip(Period).ToList());
var emaValues = ema.Calculate().Values;
for (var i = 0; i < Period; i++)
{
emaValues.Insert(0, null);
}
adxSerie.ADX = emaValues;
return(adxSerie);
}
/// <summary>
/// 1 - EMA of Close prices [EMA(Close)]
/// 2 - Double smooth [EMA(EMA(Close))]
/// 3 - Triple smooth [EMA(EMA(EMA(Close)))]
/// 4 - a) Calculation with percentage: [ROC(EMA(EMA(EMA(Close))))]
/// 4 - b) Calculation with percentage: [Momentum(EMA(EMA(EMA(Close))))]
/// </summary>
/// <see cref="http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:trix"/>
/// <see cref="http://www.fmlabs.com/reference/default.htm?url=TRIX.htm"/>
/// <returns></returns>
public override SingleDoubleSerie Calculate()
{
// EMA calculation
var _ema = new EMA(Period, false);
_ema.Load(OhlcList);
var emaValues = _ema.Calculate().Values;
for (var i = 0; i < OhlcList.Count; i++)
{
OhlcList[i].closePrice = emaValues[i].HasValue ? emaValues[i].Value : 0.0m;
}
// Double smooth
_ema.Load(OhlcList.Skip(Period - 1).ToList());
var doubleSmoothValues = _ema.Calculate().Values;
for (var i = 0; i < Period - 1; i++)
{
doubleSmoothValues.Insert(0, null);
}
for (var i = 0; i < OhlcList.Count; i++)
{
OhlcList[i].closePrice = doubleSmoothValues[i].HasValue ? doubleSmoothValues[i].Value : 0.0m;
}
// Triple smooth
_ema.Load(OhlcList.Skip(2 * (Period - 1)).ToList());
var tripleSmoothValues = _ema.Calculate().Values;
for (var i = 0; i < (2 * (Period - 1)); i++)
{
tripleSmoothValues.Insert(0, null);
}
for (var i = 0; i < OhlcList.Count; i++)
{
OhlcList[i].closePrice = tripleSmoothValues[i].HasValue ? tripleSmoothValues[i].Value : 0.0m;
}
// Last step
var trixSerie = new SingleDoubleSerie();
if (CalculatePercentage)
{
ROC roc = new ROC(1);
roc.Load(OhlcList.Skip(3 * (Period - 1)).ToList());
trixSerie = roc.Calculate();
}
else
{
Momentum momentum = new Momentum();
momentum.Load(OhlcList.Skip(3 * (Period - 1)).ToList());
trixSerie = momentum.Calculate();
}
for (var i = 0; i < (3 * (Period - 1)); i++)
{
trixSerie.Values.Insert(0, null);
}
return(trixSerie);
}
