public static (double[] StochasticLine, double[] SmoothedLine) FSTOC(SymbolInformation symbol, int periodK, int periodD)
{
// n = integer("%%K period", 5)
// n2 = integer("%%D period", 3)
// # calculation
// hh = highest(high, n)
// ll = lowest(low, n)
// fstoc = skip((hh == ll) ? 0 : (close - ll) / (hh - ll) * 100, n)
// smoothed = sma(fstoc, n2)
var close = symbol.Close;
var hh = HH(symbol.High, periodK);
var ll = LL(symbol.Low, periodK);
var fstoc = Create(close.Length);
for (var index = close.Length - 1; index >= 0; index--)
{
fstoc[index] = hh[index] == ll[index] ? 0 : (close[index] - ll[index]) / (hh[index] - ll[index]) * 100;
}
var smoothed = SMA(fstoc, periodD);
return(fstoc, smoothed);
}
public static double[] CCI(SymbolInformation symbol, int period)
{
// n = integer("Period", 20)
// # calculation
// tp = (high + low + close) / 3
// avg = sum(tp, n) / n
// sAvg = loop((i, res) { res + abs(tp[i] - avg) }, n) / n
// cci = (sAvg == 0 ? 0 : ((tp - avg) / (0.015 * sAvg)))
var close = symbol.Close;
var tp = TP(symbol);
var cci = Create(close.Length);
for (var index = close.Length - 1; index >= 0; index--)
{
var avg = Sum(tp, index, period) / period;
var res = 0.0;
for (var i = 0; i < period; i++)
{
res += Math.Abs(tp.At(index + i) - avg);
}
var sAvg = res / period;
cci[index] = (tp[index] - avg) / (0.015 * sAvg);
}
return(cci);
}
public static (double[] pK, double[] pD, double[] pJ, double[] pKema) KDJ(SymbolInformation symbol, int lenL, int lenS, int lenK)
{
// lenL = integer("Period 1",5)
// lenS = integer("Period 2", 3)
// lenK = integer("%%K Smoothing", 3)
// # calculation
// pK = 100 * ((close - lowest(close, lenL)) / (highest(high, lenL) - lowest(low, lenL)))
// pD = 100 * (highest(high, lenS) / lowest(low, lenS))
// pJ = (3 * pD) - (2 * pK)
// pKema = ema(pK, lenK)
var close = symbol.Close;
var hhL = HH(symbol.High, lenL);
var llL = LL(symbol.Low, lenL);
var lcL = LL(symbol.Close, lenL);
var hhS = HH(symbol.High, lenS);
var llS = LL(symbol.Low, lenS);
var pK = Create(close.Length);
var pD = Create(close.Length);
var pJ = Create(close.Length);
for (var index = close.Length - 1; index >= 0; index--)
{
pK[index] = 100 * ((close[index] - lcL[index]) / (hhL[index] - llL[index]));
pD[index] = 100 * (hhS[index] / llS[index]);
pJ[index] = 3 * pD[index] - 2 * pK[index];
}
var pKema = EMA(pK, lenK);
return(pK, pD, pJ, pKema);
}
public IList <TimeSeries> GetTimeSeries(
SymbolInformation symbol,
Const_TIME_SERIES_DAILY.TIME_SERIES_DAILY_outputsize size = Const_TIME_SERIES_DAILY.TIME_SERIES_DAILY_outputsize.full)
{
Trace.TraceInformation(
$"Download {(size == Const_TIME_SERIES_DAILY.TIME_SERIES_DAILY_outputsize.compact ? "compact" : "full")} data for {symbol.ISIN}");
var list = new List <TimeSeries>();
IAvapiResponse_TIME_SERIES_DAILY_Content seriesDaily = null;
var retry = 0;
while (seriesDaily == null)
{
try
{
var response = this.connection.GetQueryObject_TIME_SERIES_DAILY().Query(symbol.Symbol, size);
if (response.Data != null)
{
seriesDaily = response.Data;
}
}
catch
{
if (retry == 10)
{
throw;
}
Thread.Sleep(2000);
retry++;
}
}
foreach (var series in seriesDaily.TimeSeries)
{
var close = double.Parse(series.close);
var open = double.Parse(series.open);
var high = double.Parse(series.high);
var low = double.Parse(series.low);
var volume = int.Parse(series.volume);
var day = DateTime.Parse(series.DateTime);
// ignore missing days or days with same value but no volume (holidays?)
if (((open == 0.0) && (close == 0.0) && (high == 0.0) && (low == 0.0)) ||
((open == close) && (high == close) && (low == close) && (volume == 0.0)))
{
continue;
}
var timeSeries = new TimeSeries {
Close = close, High = high, Open = open, Low = low, Volume = volume, Day = day
};
list.Add(timeSeries);
}
return(list);
}
public static void SaveEquityCurve(
SymbolInformation symbol,
EvaluationResult result,
string folderName)
{
var pane = new GraphPane();
pane.Title.Text = $"Equity Curve";
pane.Title.FontSpec.Size = 8;
pane.Chart.Fill.IsScaled = false;
pane.Chart.Fill.Brush = new SolidBrush(Color.DimGray);
pane.Fill.Brush = new SolidBrush(Color.DimGray);
pane.Legend.Fill.Brush = new SolidBrush(Color.DimGray);
pane.Legend.FontSpec.Size = 6;
var curve = pane.AddCurve("% Gain", new double[] { }, new double[] { }, LineColors[0], SymbolType.None);
curve.Line.Width = 2;
curve.Line.IsVisible = true;
curve.Line.IsAntiAlias = true;
foreach (var(day, equity) in result.EquityCurve)
{
curve.AddPoint(new XDate(day), equity);
}
pane.XAxis.Type = AxisType.Date;
pane.XAxis.Scale.FontSpec.Size = 6;
pane.XAxis.MinorGrid.IsVisible = true;
pane.XAxis.MajorGrid.IsVisible = true;
pane.YAxis.Scale.FontSpec.Size = 6;
pane.YAxis.MinorGrid.IsVisible = true;
pane.YAxis.MajorGrid.IsVisible = true;
// force an axischange to plot all data and recalculate all axis
// this is normally done by the control, but this is not possible in mvc3
var bm = new Bitmap(1, 1);
using (var g = Graphics.FromImage(bm))
{
pane.ReSize(g, new RectangleF(0, 0, 1280 * 5, 960 * 5));
pane.AxisChange(g);
}
// create a stream to store a PNG-format image
var actualFolder = Path.Combine(folderName, symbol.ISIN);
Directory.CreateDirectory(actualFolder);
var image = pane.GetImage(true);
image.Save(
Path.Combine(
actualFolder,
$"EquityCurve.png"),
ImageFormat.Png);
}
public static (double[] MACD, double[] Signal) RelativeMACD(
SymbolInformation symbol,
SourceType sourceType,
int fastPeriod,
int slowPeriod,
int signalPeriod,
MovingAverage movingAverage = MovingAverage.EMA)
{
return(RelativeMACD(symbol.Data(sourceType), fastPeriod, slowPeriod, signalPeriod, movingAverage));
}
public static double[] DayOfWeek(SymbolInformation symbol)
{
var day = symbol.Day;
var dayOfWeek = Create(day.Length);
for (var index = day.Length - 1; index >= 0; index--)
{
dayOfWeek[index] = Convert.ToInt32(day[index].DayOfWeek);
}
return(dayOfWeek);
}
public static double[] Month(SymbolInformation symbol)
{
var day = symbol.Day;
var month = Create(day.Length);
for (var index = day.Length - 1; index >= 0; index--)
{
month[index] = day[index].Month;
}
return(month);
}
public static double[] HiLoDiff(SymbolInformation symbol)
{
var high = symbol.High;
var low = symbol.Low;
var hiLoDiff = Create(high.Length);
for (var index = high.Length - 1; index >= 0; index--)
{
hiLoDiff[index] = high[index] - low[index];
}
return(hiLoDiff);
}
public static (double[] StochasticLine, double[] TriggerLine) DSSBR(
SymbolInformation symbol,
int stochasticPeriod,
int smoothingPeriod,
int triggerPeriod)
{
// # input
// n = integer("Stochastic Period", 21)
// m = integer("Smoothing Period", 3)
// tr = integer("Trigger Period", 8)
// # calculation
// hh = highest(high, n)
// ll = lowest(low, n)
// v1 = skip((hh == ll) ? 0 : (close - ll) / (hh - ll) * 100, n - 1)
// smoothedV1 = ema(v1, m)
// hh = highest(smoothedV1, n)
// ll = lowest(smoothedV1, n)
// v2 = skip((hh == ll) ? 0 : (smoothedV1 - ll) / (hh - ll) * 100, n - 1)
// sV2 = ema(v2, m)
// ssV2 = ema(sV2, tr)
var close = symbol.Close;
var hh = HH(symbol.High, stochasticPeriod);
var ll = LL(symbol.Low, stochasticPeriod);
var v = Create(close.Length);
for (var index = close.Length - 1; index >= 0; index--)
{
v[index] = hh[index] == ll[index] ? 0 : (close[index] - ll[index]) / (hh[index] - ll[index]) * 100;
}
var smoothedV1 = EMA(v, smoothingPeriod);
hh = HH(smoothedV1, stochasticPeriod);
ll = LL(smoothedV1, stochasticPeriod);
for (var index = close.Length - 1; index >= 0; index--)
{
v[index] = hh[index] == ll[index] ? 0 : (smoothedV1[index] - ll[index]) / (hh[index] - ll[index]) * 100;
}
var sV2 = EMA(v, smoothingPeriod);
var ssV2 = EMA(sV2, triggerPeriod);
return(sV2, ssV2);
}
public static double[] ADX(SymbolInformation symbol, int period)
{
// n = integer("Period", 14)
// # calculation
// tr = sum(max(high - low, high - close[1], low - close[1]), n)
// diPlus = sum(max(high - high[1], 0), n) / tr
// diMinus = sum(max(high <= high[1] ? low[1] - low : 0, 0), n) / tr
// dmi = abs((diPlus - diMinus) / (diPlus + diMinus)) * 100
// adx = sma(dmi, n)
var(dmi, _, _) = DMI(symbol, period);
return(SMA(dmi, period));
}
public static double[] AOS(SymbolInformation symbol, int period)
{
// aos = aroonUp - aroonDown
var close = symbol.Close;
var aroonUp = AROUp(symbol.High, period);
var aroonDown = ARODown(symbol.Low, period);
var aos = Create(close.Length);
for (var index = close.Length - 1; index >= 0; index--)
{
aos[index] = aroonUp[index] - aroonDown[index];
}
return(aos);
}
public static double[] TP(SymbolInformation symbol)
{
// tp = (close + high + low) / 3
var high = symbol.High;
var low = symbol.Low;
var close = symbol.Close;
var tp = Create(close.Length);
for (var index = close.Length - 1; index >= 0; index--)
{
tp[index] = (close[index] + low[index] + high[index]) / 3;
}
return(tp);
}
public static (double[] Smi, double[] signal) SMI(SymbolInformation symbol, int periodK, int periodD)
{
// a = integer("K", 5)
// b = integer("D", 3)
// # calculation
// ll = lowest(low, a)
// hh = highest(high, a)
// diff = hh - ll
// rdiff = close - (hh + ll) / 2
// avgrel = ema(ema(rdiff, b), b)
// avgdiff = ema(ema(diff, b), b)
// SMI = avgdiff != 0 ? (avgrel / (avgdiff / 2) * 100) : 0
// SMIsignal = ema(SMI, b)
var close = symbol.Close;
var hh = HH(symbol, periodK);
var ll = LL(symbol, periodK);
var diff = Create(close.Length);
var rdiff = Create(close.Length);
for (var index = close.Length - 1; index >= 0; index--)
{
diff[index] = hh[index] - ll[index];
rdiff[index] = close[index] - (hh[index] + ll[index]) / 2;
}
var avgrel = EMA(EMA(rdiff, periodD), periodD);
var avgdiff = EMA(EMA(diff, periodD), periodD);
var smi = Create(close.Length);
for (var index = close.Length - 1; index >= 0; index--)
{
smi[index] = avgdiff[index] != 0 ? avgrel[index] / (avgdiff[index] / 2) * 100 : 0;
}
var signal = EMA(smi, periodD);
return(smi, signal);
}
public static (double[] StochasticLine, double[] SmoothedLine) SSTOC(SymbolInformation symbol, int KPeriod, int DPeriod, int DPeriod2)
{
// n = integer("%%K period", 5)
// n2 = integer("%%D period", 5)
// n3 = integer("2th %%D period", 3)
// # calculation
// hh = highest(high, n)
// ll = lowest(low, n)
// fstoc = (hh == ll) ? 0 : ((close - ll) / (hh - ll) * 100)
// sstoc = sma(fstoc, n2)
// smoothed = sma(sstoc, n3)
var(_, sstoc) = FSTOC(symbol, KPeriod, DPeriod);
var smoothed = SMA(sstoc, DPeriod2);
return(sstoc, smoothed);
}
public static double[] ST(SymbolInformation symbol, int period, double factor)
{
// p = integer("Period", 10)
// f = integer("Factor", 3)
// # calculation
// atr = sum(max(high - low, high - close[1], close[1] - low), p) / p
// up = (high + low) / 2 - f * atr
// down = (high + low) / 2 + f * atr
// trendUp = close[1] > trendUp[1] ? max(up, trendUp[1]) : up
// trendDown = close[1] < trendDown[1] ? min(down, trendDown[1]) : down
// trend = close > trendDown[1] ? 1 : (close < trendUp[1] ? -1 : nn(trend[1], 1))
// st = skip(trend == 1 ? trendUp : trendDown, p)
var high = symbol.High;
var low = symbol.Low;
var close = symbol.Close;
var atr = ATR(symbol, period);
var trendUp = Create(close.Length);
var trendDown = Create(close.Length);
var trend = new int[close.Length];
var st = Create(close.Length);
for (var index = close.Length - 1; index >= 0; index--)
{
var up = (high[index] + low[index]) / 2 - factor * atr[index];
var down = (high[index] + low[index]) / 2 + factor * atr[index];
trendUp[index] = close.At(index + 1) > trendUp.At(index + 1) ? Math.Max(up, trendUp.At(index + 1)) : up;
trendDown[index] = close.At(index + 1) < trendDown.At(index + 1) ? Math.Min(down, trendDown.At(index + 1)) : down;
trend[index] = close[index] > trendDown.At(index + 1) ? 1 : (close[index] < trendUp.At(index + 1) ? -1 : trend.At(index + 1, 1));
st[index] = nn(trend[index] == 1 ? trendUp[index] : trendDown[index], close[index]);
}
return(st);
}
public static (double[] Bullish, double[] Bearish) ELR(SymbolInformation symbol, int length)
{
// x = ema(close, length)
// bullish = high-x
// bearish = low-x
var high = symbol.High;
var low = symbol.Low;
var close = symbol.Close;
var x = EMA(close, length);
var bullish = Create(close.Length);
var bearish = Create(close.Length);
for (var index = close.Length - 1; index >= 0; index--)
{
bullish[index] = high[index] - x[index];
bearish[index] = low[index] - x[index];
}
return(bullish, bearish);
}
public static double[] OBOS(SymbolInformation symbol, int period)
{
// n = integer("Period", 14)
// # calculation
// denom = highest(high, n) - lowest(low, n)
// obos = denom == 0 ? 0 : (close - lowest(low, n)) / denom * 100
var highest = HH(symbol, period);
var lowest = LL(symbol, period);
var close = symbol.Close;
var obos = Create(close.Length);
for (var index = close.Length - 1; index >= 0; index--)
{
var denom = highest[index] - lowest[index];
obos[index] = nn((close[index] - lowest[index]) / denom * 100);
}
return(obos);
}
public static double[] PCR(SymbolInformation symbol, int period)
{
// n = integer("%%R period", 14)
// # calculation
// hhlld = highest(high, n) - lowest(low, n)
// pcr = skip(hhlld ? 100 - ((highest(high, n) - close) / hhlld) * 100 : 0, n - 1)
var close = symbol.Close;
var hh = HH(symbol, period);
var ll = LL(symbol, period);
var pcr = Create(close.Length);
for (var index = close.Length - 1; index >= 0; index--)
{
var hhlld = hh[index] - ll[index];
pcr[index] = hhlld != 0 ? 100 - (hh[index] - close[index]) / hhlld * 100 : 0;
}
return(pcr);
}
public static double[] ATR(SymbolInformation symbol, int period)
{
// atr = sum(max(high - low, high - close[1], close[1] - low), n) / n
var close = symbol.Close;
var high = symbol.High;
var low = symbol.Low;
var max = Create(close.Length);
for (var index = close.Length - 1; index >= 0; index--)
{
max[index] = Math.Max(Math.Max(high[index] - low[index], high[index] - close.At(index + 1)), close.At(index + 1) - low[index]);
}
var atr = Create(close.Length);
for (var index = close.Length - 1; index >= 0; index--)
{
atr[index] = Sum(max, index, period) / period;
}
return(atr);
}
public static (double[] DMI, double[] DIPlus, double[] DIMinus) DMI(SymbolInformation symbol, int period)
{
// n = integer("Period", 14)
// # calculation
// tr = sum(max(high - low, high - close[1], low - close[1]), n)
// diPlus = sum(max(high - high[1], 0), n) / tr
// diMinus = sum(max(high <= high[1] ? low[1] - low : 0, 0), n) / tr
// dmi = abs((diPlus - diMinus) / (diPlus + diMinus)) * 100
var high = symbol.High;
var low = symbol.Low;
var close = symbol.Close;
var tr = TR(symbol, period);
var dmi = Create(close.Length);
var diPlus = Create(close.Length);
var diMinus = Create(close.Length);
for (var index = close.Length - 1; index >= 0; index--)
{
var diP = 0.0;
var diM = 0.0;
for (var i = 0; i < period; i++)
{
diP += Math.Max(high.At(index + i) - high.At(index + i + 1), 0);
diM += Math.Max(high.At(index + i) <= high.At(index + i + 1) ? low.At(index + i + 1) - low.At(index + i) : 0, 0);
}
diPlus[index] = nn(diP / tr[index] * 100);
diMinus[index] = nn(diM / tr[index] * 100);
dmi[index] = nn(Math.Abs((diPlus[index] - diMinus[index]) / (diPlus[index] + diMinus[index])) * 100);
}
return(dmi, diPlus, diMinus);
}
public static double[] OBV(SymbolInformation symbol, SourceType sourceType)
{
return(OBV(symbol.Data(sourceType), symbol.Volume));
}
public static double[] DIX(SymbolInformation symbol, SourceType sourceType, int period)
{
return(DIX(symbol.Data(sourceType), period));
}
public static double[] KAMA(SymbolInformation symbol, SourceType sourceType, int length)
{
return(KAMA(symbol.Data(sourceType), length));
}
public static (double[] Upper, double[] Lower, double[] Middle) BB(SymbolInformation symbol, SourceType sourceType, int period, double factor)
{
return(BB(symbol.Data(sourceType), period, factor));
}
public static (double[] ShortStop, double[] LongStop) ELSZ(SymbolInformation symbol, int period, double coeffienct)
{
// # input
// coeff = float("CoEff", 2.5)
// lookbackLength = integer("LookBackLength", 15)
// # calculation
// countShort = high > high[1] ? 1 : 0
// diffShort = high > high[1] ? high - high[1] : 0
// totalCountShort = sum(countShort, lookbackLength)
// totalSumShort = sum(diffShort, lookbackLength)
// penAvgShort = (totalSumShort / totalCountShort)
// safetyShort = high[1] + (penAvgShort[1] * coeff)
// finalSafetyShort = min(min(safetyShort, safetyShort[1]), safetyShort[2])
// count = low < low[1] ? 1 : 0
// diff = low < low[1] ? low[1] - low : 0
// totalCount = sum(count, lookbackLength)
// totalSum = sum(diff, lookbackLength)
// penAvg = (totalSum / totalCount)
// safety = low[1] - (penAvg[1] * coeff)
// finalSafetyLong = max(max(safety, safety[1]), safety[2])
var close = symbol.Close;
var high = symbol.High;
var low = symbol.Low;
var finalSafetyShort = Create(close.Length);
var finalSafetyLong = Create(close.Length);
var penAvgShort = Create(close.Length);
var safetyShort = Create(close.Length);
var penAvgLong = Create(close.Length);
var safetyLong = Create(close.Length);
for (var index = finalSafetyShort.Length - 1; index >= 0; index--)
{
var totalCountShort = 0;
var totalSumShort = 0.0;
var totalCountLong = 0;
var totalSumLong = 0.0;
for (var i = 0; i < period; i++)
{
var high1 = high.At(index + i + 1);
var high0 = high.At(index + i);
if (high0 > high1)
{
totalCountShort++;
totalSumShort += high0 - high1;
}
var low1 = low.At(index + i + 1);
var low0 = low.At(index + i);
if (low0 < low1)
{
totalCountLong++;
totalSumLong += low1 - low0;
}
}
penAvgShort[index] = totalSumShort / totalCountShort;
safetyShort[index] = high.At(index + 1) + penAvgShort.At(index + 1) * coeffienct;
finalSafetyShort[index] = Math.Min(Math.Min(safetyShort[index], safetyShort.At(index + 1)), safetyShort.At(index + 2));
penAvgLong[index] = totalSumLong / totalCountLong;
safetyLong[index] = low.At(index + 1) - penAvgLong.At(index + 1) * coeffienct;
finalSafetyLong[index] = Math.Max(Math.Max(safetyLong[index], safetyLong.At(index + 1)), safetyLong.At(index + 2));
}
return(finalSafetyShort, finalSafetyLong);
}
public static double[] VWMA(SymbolInformation symbol, SourceType sourceType, int period)
{
return(VWMA(symbol.Data(sourceType), symbol.Volume, period));
}
public static double[] PSAR(SymbolInformation symbol, double factor, double increment, double factorMax)
{
// Difference of High and Low
var hiLoDiff = HiLoDiff(symbol);
// STDEV of differences
var stDev = hiLoDiff.StandardDeviation();
var high = symbol.High;
var low = symbol.Low;
var sarArr = Create(high.Length);
/* Find first non-NA value */
var beg = high.Length - 2;
for (var i = high.Length - 1; i >= 0; i++)
{
if ((high[i] == 0) || (low[i] == 0))
{
sarArr[i] = 0;
beg--;
}
else
{
break;
}
}
/* Initialize values needed by the routine */
var sig0 = 1;
var xpt0 = high[beg + 1];
var af0 = factor;
sarArr[beg + 1] = low[beg + 1] - stDev;
for (var idx = beg; idx >= 0; idx--)
{
/* Increment signal, extreme point, and acceleration factor */
var sig1 = sig0;
var xpt1 = xpt0;
var af1 = af0;
/* Local extrema */
var lmin = low[idx + 1] > low[idx] ? low[idx] : low[idx + 1];
var lmax = high[idx + 1] > high[idx] ? high[idx + 1] : high[idx];
/* Create signal and extreme price vectors */
if (sig1 == 1)
{
/* Previous buy signal */
sig0 = low[idx] > sarArr[idx + 1] ? 1 : -1; /* New signal */
xpt0 = lmax > xpt1 ? lmax : xpt1; /* New extreme price */
}
else
{
/* Previous sell signal */
sig0 = high[idx] < sarArr[idx + 1] ? -1 : 1; /* New signal */
xpt0 = lmin > xpt1 ? xpt1 : lmin; /* New extreme price */
}
/*
* Calculate acceleration factor (af)
* and stop-and-reverse (sar) vector
*/
/* No signal change */
if (sig0 == sig1)
{
/* Initial calculations */
sarArr[idx] = sarArr[idx + 1] + (xpt1 - sarArr[idx + 1]) * af1;
af0 = af1 >= factorMax ? factorMax : factor + increment;
/* Current buy signal */
if (sig0 == 1)
{
af0 = xpt0 > xpt1 ? af0 : af1; /* Update acceleration factor */
sarArr[idx] = sarArr[idx] > lmin ? lmin : sarArr[idx]; /* Determine sar value */
}
/* Current sell signal */
else
{
af0 = xpt0 < xpt1 ? af0 : af1; /* Update acceleration factor */
sarArr[idx] = sarArr[idx] > lmax ? sarArr[idx] : lmax; /* Determine sar value */
}
}
else /* New signal */
{
af0 = factor; /* reset acceleration factor */
sarArr[idx] = xpt0; /* set sar value */
}
}
return(sarArr);
}
public static void Save(
SymbolInformation symbol,
EvaluationResult result,
IList <(string Name, double[] Values, bool IsLine, bool IsDot)> curveData,
public static double[] LL(SymbolInformation symbol, int period)
{
return(LL(symbol.Low, period));
}
