// PRICE RELATIVE STRENGTH
public static IEnumerable <PrsResult> GetPrs(
IEnumerable <Quote> historyBase, IEnumerable <Quote> historyEval, int?smaPeriod = null)
{
// clean quotes
List <Quote> historyBaseList = Cleaners.PrepareHistory(historyBase).ToList();
List <Quote> historyEvalList = Cleaners.PrepareHistory(historyEval).ToList();
// validate parameters
ValidatePriceRelative(historyBase, historyEval, smaPeriod);
// initialize
List <PrsResult> results = new List <PrsResult>();
// roll through history for interim data
for (int i = 0; i < historyEvalList.Count; i++)
{
Quote b = historyBaseList[i];
Quote e = historyEvalList[i];
if (e.Date != b.Date)
{
throw new BadHistoryException(
"Date sequence does not match. Price Relative requires matching dates in provided histories.");
}
PrsResult r = new PrsResult
{
Index = (int)e.Index,
Date = e.Date,
Prs = e.Close / b.Close // relative strength
};
results.Add(r);
if (smaPeriod != null && r.Index >= smaPeriod)
{
// get average over lookback
decimal sumRs = 0m;
for (int p = r.Index - (int)smaPeriod; p < r.Index; p++)
{
PrsResult d = results[p];
sumRs += (decimal)d.Prs;
}
r.Sma = sumRs / smaPeriod;
}
}
return(results);
}
// PRICE RELATIVE STRENGTH
public static IEnumerable <PrsResult> GetPrs <TQuote>(
IEnumerable <TQuote> historyBase,
IEnumerable <TQuote> historyEval,
int?lookbackPeriod = null,
int?smaPeriod = null)
where TQuote : IQuote
{
// clean quotes
List <TQuote> historyBaseList = historyBase.Sort();
List <TQuote> historyEvalList = historyEval.Sort();
// validate parameters
ValidatePriceRelative(historyBase, historyEval, lookbackPeriod, smaPeriod);
// initialize
List <PrsResult> results = new List <PrsResult>(historyEvalList.Count);
// roll through history for interim data
for (int i = 0; i < historyEvalList.Count; i++)
{
TQuote bi = historyBaseList[i];
TQuote ei = historyEvalList[i];
int index = i + 1;
if (ei.Date != bi.Date)
{
throw new BadHistoryException(nameof(historyEval), ei.Date,
"Date sequence does not match. Price Relative requires matching dates in provided histories.");
}
PrsResult r = new PrsResult
{
Date = ei.Date,
Prs = (bi.Close == 0) ? null : ei.Close / bi.Close // relative strength ratio
};
results.Add(r);
if (lookbackPeriod != null && index > lookbackPeriod)
{
TQuote bo = historyBaseList[i - (int)lookbackPeriod];
TQuote eo = historyEvalList[i - (int)lookbackPeriod];
if (bo.Close != 0 && eo.Close != 0)
{
decimal pctB = (bi.Close - bo.Close) / bo.Close;
decimal pctE = (ei.Close - eo.Close) / eo.Close;
r.PrsPercent = pctE - pctB;
}
}
// optional moving average of PRS
if (smaPeriod != null && index >= smaPeriod)
{
decimal?sumRs = 0m;
for (int p = index - (int)smaPeriod; p < index; p++)
{
PrsResult d = results[p];
sumRs += d.Prs;
}
r.PrsSma = sumRs / smaPeriod;
}
}
return(results);
}
// PRICE RELATIVE STRENGTH
public static IEnumerable <PrsResult> GetPrs(
IEnumerable <Quote> historyBase, IEnumerable <Quote> historyEval, int?lookbackPeriod = null, int?smaPeriod = null)
{
// clean quotes
List <Quote> historyBaseList = Cleaners.PrepareHistory(historyBase).ToList();
List <Quote> historyEvalList = Cleaners.PrepareHistory(historyEval).ToList();
// validate parameters
ValidatePriceRelative(historyBase, historyEval, lookbackPeriod, smaPeriod);
// initialize
List <PrsResult> results = new List <PrsResult>();
// roll through history for interim data
for (int i = 0; i < historyEvalList.Count; i++)
{
Quote bi = historyBaseList[i];
Quote ei = historyEvalList[i];
if (ei.Date != bi.Date)
{
throw new BadHistoryException(
"Date sequence does not match. Price Relative requires matching dates in provided histories.");
}
PrsResult r = new PrsResult
{
Index = (int)ei.Index,
Date = ei.Date,
Prs = ei.Close / bi.Close // relative strength ratio
};
results.Add(r);
if (lookbackPeriod != null && r.Index > lookbackPeriod)
{
Quote bo = historyBaseList[i - (int)lookbackPeriod];
Quote eo = historyEvalList[i - (int)lookbackPeriod];
if (bo.Close != 0 && eo.Close != 0)
{
decimal pctB = (bi.Close - bo.Close) / bo.Close;
decimal pctE = (ei.Close - eo.Close) / eo.Close;
r.PrsPercent = pctE - pctB;
}
}
// optional moving average of PRS
if (smaPeriod != null && r.Index >= smaPeriod)
{
decimal sumRs = 0m;
for (int p = r.Index - (int)smaPeriod; p < r.Index; p++)
{
PrsResult d = results[p];
sumRs += (decimal)d.Prs;
}
r.Sma = sumRs / smaPeriod;
}
}
return(results);
}
