public ModifiedMovingAverage(IEnumerable <TInput> inputs, Func <TInput, decimal?> inputMapper, int periodCount) : base(inputs, inputMapper)
{
_gma = new GenericMovingAverage(
i => inputs.Select(inputMapper).ElementAt(i),
1.0m / periodCount,
inputs.Count());
PeriodCount = periodCount;
}
public ExponentialMovingAverage(IEnumerable <TInput> inputs, Func <TInput, decimal?> inputMapper, int periodCount) : base(inputs, inputMapper)
{
_ema = new GenericMovingAverage(
i => inputs.Select(inputMapper).ElementAt(i),
Smoothing.Ema(periodCount),
inputs.Count());
PeriodCount = periodCount;
}
public KaufmanAdaptiveMovingAverage(IEnumerable <TInput> inputs, Func <TInput, decimal> inputMapper, int periodCount, int emaFastPeriodCount, int emaSlowPeriodCount) : base(inputs, inputMapper)
{
_er = new EfficiencyRatioByTuple(inputs.Select(inputMapper), periodCount);
Func <int, decimal> sc = i =>
{
double erValue = Convert.ToDouble(_er[i]);
return(Convert.ToDecimal(Math.Pow(erValue * (2.0 / (emaFastPeriodCount + 1) - 2.0 / (emaSlowPeriodCount + 1)) + 2.0 / (emaSlowPeriodCount + 1), 2)));
};
_gema = new GenericMovingAverage(
periodCount - 1,
i => inputs.Select(inputMapper).ElementAt(i),
i => inputs.Select(inputMapper).ElementAt(i),
sc,
inputs.Count());
PeriodCount = periodCount;
EmaFastPeriodCount = emaFastPeriodCount;
EmaSlowPeriodCount = emaSlowPeriodCount;
}
public RelativeStrength(IEnumerable <TInput> inputs, Func <TInput, decimal?> inputMapper, int periodCount) : base(inputs, inputMapper)
{
PeriodCount = periodCount;
_u = new PositiveDifferenceByTuple(inputs.Select(inputMapper), 1);
_d = new NegativeDifferenceByTuple(inputs.Select(inputMapper), 1);
_uEma = new GenericMovingAverage(
periodCount,
i => Enumerable.Range(i - PeriodCount + 1, PeriodCount).Average(j => _u[j]),
i => _u[i],
Smoothing.Mma(periodCount),
inputs.Count());
_dEma = new GenericMovingAverage(
periodCount,
i => Enumerable.Range(i - PeriodCount + 1, PeriodCount).Average(j => _d[j]),
i => _d[i],
Smoothing.Mma(periodCount),
inputs.Count());
}
public KaufmanAdaptiveMovingAverage(IEnumerable <TInput> inputs, Func <TInput, decimal> inputMapper, int periodCount, int emaFastPeriodCount, int emaSlowPeriodCount) : base(inputs, inputMapper)
{
_er = new EfficiencyRatioByTuple(inputs.Select(inputMapper), periodCount);
Func <int, decimal> smoothingFactor = i =>
{
var s = Smoothing.Ema(emaSlowPeriodCount)(i) + _er[i].Value * (Smoothing.Ema(emaFastPeriodCount)(i) - Smoothing.Ema(emaSlowPeriodCount)(i));
return(s * s);
};
_gma = new GenericMovingAverage(
periodCount - 1,
i => inputs.Select(inputMapper).ElementAt(i),
i => inputs.Select(inputMapper).ElementAt(i),
smoothingFactor,
inputs.Count());
PeriodCount = periodCount;
EmaFastPeriodCount = emaFastPeriodCount;
EmaSlowPeriodCount = emaSlowPeriodCount;
}
public RelativeMomentum(IEnumerable <TInput> inputs, Func <TInput, decimal?> inputMapper, int rmiPeriod, int mtmPeriod) : base(inputs, inputMapper)
{
_u = new PositiveDifferenceByTuple(inputs.Select(inputMapper), mtmPeriod);
_d = new NegativeDifferenceByTuple(inputs.Select(inputMapper), mtmPeriod);
_uEma = new GenericMovingAverage(
rmiPeriod + mtmPeriod - 1,
i => Enumerable.Range(i - rmiPeriod + 1, rmiPeriod).Average(j => _u[j]),
i => _u[i],
i => 2.0m / (rmiPeriod + 1),
inputs.Count());
_dEma = new GenericMovingAverage(
rmiPeriod + mtmPeriod - 1,
i => Enumerable.Range(i - rmiPeriod + 1, rmiPeriod).Average(j => _d[j]),
i => _d[i],
i => 2.0m / (rmiPeriod + 1),
inputs.Count());
MtmPeriod = mtmPeriod;
RmiPeriod = rmiPeriod;
}
public RelativeStrength(IEnumerable <TInput> inputs, Func <TInput, decimal> inputMapper, int periodCount) : base(inputs, inputMapper)
{
_closePriceChange = new DifferenceByTuple(inputs.Select(inputMapper));
Func <int, decimal?> u = i => i > 0 ? Math.Max(_closePriceChange[i].Value, 0) : (decimal?)null;
Func <int, decimal?> l = i => i > 0 ? Math.Abs(Math.Min(_closePriceChange[i].Value, 0)) : (decimal?)null;
_uEma = new GenericMovingAverage(
periodCount,
i => i > 0 ? Enumerable.Range(i - PeriodCount + 1, PeriodCount).Average(u) : null,
u,
i => 1.0m / periodCount,
inputs.Count());
_dEma = new GenericMovingAverage(
periodCount,
i => i > 0 ? Enumerable.Range(i - PeriodCount + 1, PeriodCount).Average(l) : null,
l,
i => 1.0m / periodCount,
inputs.Count());
PeriodCount = periodCount;
}
