private static IEnumerable <StdDevResult> CalcStdDev(
List <BasicData> bdList, int lookbackPeriod, int?smaPeriod = null)
{
// check parameter arguments
ValidateStdDev(bdList, lookbackPeriod, smaPeriod);
// initialize
List <StdDevResult> results = new List <StdDevResult>(bdList.Count);
// roll through history
for (int i = 0; i < bdList.Count; i++)
{
BasicData bd = bdList[i];
int index = i + 1;
StdDevResult result = new StdDevResult
{
Date = bd.Date,
};
if (index >= lookbackPeriod)
{
double[] periodValues = new double[lookbackPeriod];
decimal sum = 0m;
int n = 0;
for (int p = index - lookbackPeriod; p < index; p++)
{
BasicData d = bdList[p];
periodValues[n] = (double)d.Value;
sum += d.Value;
n++;
}
decimal periodAvg = sum / lookbackPeriod;
result.StdDev = (decimal)Functions.StdDev(periodValues);
result.Mean = periodAvg;
result.ZScore = (result.StdDev == 0) ? null
: (bd.Value - periodAvg) / result.StdDev;
}
results.Add(result);
// optional SMA
if (smaPeriod != null && index >= lookbackPeriod + smaPeriod - 1)
{
decimal sumSma = 0m;
for (int p = index - (int)smaPeriod; p < index; p++)
{
sumSma += (decimal)results[p].StdDev;
}
result.StdDevSma = sumSma / smaPeriod;
}
}
return(results);
}
// Standard Deviation
public static IEnumerable <StdDevResult> GetStdDev(IEnumerable <Quote> history, int lookbackPeriod)
{
// clean quotes
history = Cleaners.PrepareHistory(history);
// initialize results
List <StdDevResult> results = new List <StdDevResult>();
// roll through history and compute lookback standard deviation
foreach (Quote h in history)
{
StdDevResult result = new StdDevResult
{
Index = (int)h.Index,
Date = h.Date
};
if (h.Index >= lookbackPeriod)
{
IEnumerable <double> period = history
.Where(x => x.Index <= h.Index && x.Index > (h.Index - lookbackPeriod))
.Select(x => (double)x.Close);
result.StdDev = (decimal)Functions.StdDev(period);
}
results.Add(result);
}
return(results);
}
private static IEnumerable <StdDevResult> CalcStdDev(
IEnumerable <BasicData> basicData, int lookbackPeriod, int?smaPeriod = null)
{
// clean data
List <BasicData> basicDataList = Cleaners.PrepareBasicData(basicData).ToList();
// validate inputs
ValidateStdDev(basicData, lookbackPeriod, smaPeriod);
// initialize results
List <StdDevResult> results = new List <StdDevResult>();
// roll through history and compute lookback standard deviation
foreach (BasicData bd in basicDataList)
{
StdDevResult result = new StdDevResult
{
Index = (int)bd.Index,
Date = bd.Date,
};
if (bd.Index >= lookbackPeriod)
{
double[] periodValues = new double[lookbackPeriod];
decimal sum = 0m;
int n = 0;
for (int p = (int)bd.Index - lookbackPeriod; p < bd.Index; p++)
{
BasicData d = basicDataList[p];
periodValues[n] = (double)d.Value;
sum += d.Value;
n++;
}
decimal periodAvg = sum / lookbackPeriod;
result.StdDev = (decimal)Functions.StdDev(periodValues);
result.ZScore = (bd.Value - periodAvg) / result.StdDev;
}
results.Add(result);
// optional SMA
if (smaPeriod != null && bd.Index >= lookbackPeriod + smaPeriod - 1)
{
decimal sumSma = 0m;
for (int p = (int)bd.Index - (int)smaPeriod; p < bd.Index; p++)
{
sumSma += (decimal)results[p].StdDev;
}
result.Sma = sumSma / smaPeriod;
}
}
return(results);
}
// Standard Deviation
public static IEnumerable <StdDevResult> GetStdDev(IEnumerable <Quote> history, int lookbackPeriod)
{
// clean quotes
history = Cleaners.PrepareHistory(history);
// check exceptions
int qtyHistory = history.Count();
int minHistory = lookbackPeriod;
if (qtyHistory < minHistory)
{
throw new BadHistoryException("Insufficient history provided for Standard Deviation. " +
string.Format("You provided {0} periods of history when {1} is required.", qtyHistory, minHistory));
}
// initialize results
List <StdDevResult> results = new List <StdDevResult>();
// roll through history and compute lookback standard deviation
foreach (Quote h in history)
{
StdDevResult result = new StdDevResult
{
Index = (int)h.Index,
Date = h.Date
};
if (h.Index >= lookbackPeriod)
{
IEnumerable <double> period = history
.Where(x => x.Index <= h.Index && x.Index > (h.Index - lookbackPeriod))
.Select(x => (double)x.Close);
result.StdDev = (decimal)Functions.StdDev(period);
}
results.Add(result);
}
return(results);
}
private static IEnumerable <StdDevResult> CalcStdDev(IEnumerable <BasicData> basicData, int lookbackPeriod)
{
// clean data
basicData = Cleaners.PrepareBasicData(basicData);
// validate inputs
ValidateStdDev(basicData, lookbackPeriod);
// initialize results
List <StdDevResult> results = new List <StdDevResult>();
decimal? prevValue = null;
// roll through history and compute lookback standard deviation
foreach (BasicData h in basicData)
{
StdDevResult result = new StdDevResult
{
Index = (int)h.Index,
Date = h.Date,
};
if (h.Index >= lookbackPeriod)
{
// price based
double[] period = basicData
.Where(x => x.Index > (h.Index - lookbackPeriod) && x.Index <= h.Index)
.Select(x => (double)x.Value)
.ToArray();
result.StdDev = (decimal)Functions.StdDev(period);
result.ZScore = (h.Value - (decimal)period.Average()) / result.StdDev;
}
results.Add(result);
prevValue = h.Value;
}
return(results);
}
// STANDARD DEVIATION
public static IEnumerable <StdDevResult> GetStdDev(IEnumerable <Quote> history, int lookbackPeriod)
{
// clean quotes
history = Cleaners.PrepareHistory(history);
// validate inputs
ValidateStdDev(history, lookbackPeriod);
// initialize results
List <StdDevResult> results = new List <StdDevResult>();
decimal? prevClose = null;
// roll through history and compute lookback standard deviation
foreach (Quote h in history)
{
StdDevResult result = new StdDevResult
{
Index = (int)h.Index,
Date = h.Date,
};
if (h.Index >= lookbackPeriod)
{
// price based
IEnumerable <double> period = history
.Where(x => x.Index > (h.Index - lookbackPeriod) && x.Index <= h.Index)
.Select(x => (double)x.Close);
result.StdDev = (decimal)Functions.StdDev(period);
result.ZScore = (h.Close - (decimal)period.Average()) / result.StdDev;
}
results.Add(result);
prevClose = h.Close;
}
return(results);
}
