// TRIPLE EXPONENTIAL MOVING AVERAGE
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <TemaResult> GetTripleEma <TQuote>(
this IEnumerable <TQuote> quotes,
int lookbackPeriods)
where TQuote : IQuote
{
// convert quotes
List <BasicD> bdList = quotes.ConvertToBasic(CandlePart.Close);
// check parameter arguments
ValidateTema(lookbackPeriods);
// initialize
List <TemaResult> results = new(bdList.Count);
List <EmaResult> emaN1 = CalcEma(bdList, lookbackPeriods);
List <BasicD> bd2 = emaN1
.Where(x => x.Ema != null)
.Select(x => new BasicD {
Date = x.Date, Value = (double)x.Ema
})
.ToList();
List <EmaResult> emaN2 = CalcEma(bd2, lookbackPeriods);
List <BasicD> bd3 = emaN2
.Where(x => x.Ema != null)
.Select(x => new BasicD {
Date = x.Date, Value = (double)x.Ema
})
.ToList();
List <EmaResult> emaN3 = CalcEma(bd3, lookbackPeriods);
// compose final results
for (int i = 0; i < emaN1.Count; i++)
{
EmaResult e1 = emaN1[i];
int index = i + 1;
TemaResult result = new()
{
Date = e1.Date
};
if (index >= (3 * lookbackPeriods) - 2)
{
EmaResult e2 = emaN2[index - lookbackPeriods];
EmaResult e3 = emaN3[index - (2 * lookbackPeriods) + 1];
result.Tema = (3 * e1.Ema) - (3 * e2.Ema) + e3.Ema;
}
results.Add(result);
}
return(results);
}
public void Convergence()
{
foreach (int qty in convergeQuantities)
{
IEnumerable <Quote> h = HistoryTestData.GetLong(115 + qty);
IEnumerable <EmaResult> r = Indicator.GetEma(h, 15);
EmaResult l = r.LastOrDefault();
Console.WriteLine("EMA on {0:d} with {1,4} periods: {2:N8}",
l.Date, h.Count(), l.Ema);
}
}
public void Find()
{
IEnumerable <Quote> quotes = TestData.GetDefault();
IEnumerable <EmaResult> emaResults = Indicator.GetEma(quotes, 20);
// find specific date
DateTime findDate = DateTime.ParseExact("2018-12-31", "yyyy-MM-dd", EnglishCulture);
EmaResult r = emaResults.Find(findDate);
Assert.AreEqual(249.3519m, Math.Round((decimal)r.Ema, 4));
}
public void Ema()
{
foreach (int qty in QuotesQuantities)
{
IEnumerable <Quote> quotes = TestData.GetLongish(qty);
IEnumerable <EmaResult> r = quotes.GetEma(15);
EmaResult l = r.LastOrDefault();
Console.WriteLine(
"EMA(15) on {0:d} with {1,4} periods: {2:N8}",
l.Date, quotes.Count(), l.Ema);
}
}
public void Removed()
{
List <EmaResult> results = quotes.GetEma(20)
.RemoveWarmupPeriods()
.ToList();
// assertions
Assert.AreEqual(502 - (20 + 100), results.Count);
EmaResult last = results.LastOrDefault();
Assert.AreEqual(249.3519m, Math.Round((decimal)last.Ema, 4));
}
// KELTNER CHANNELS
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <KeltnerResult> GetKeltner <TQuote>(
this IEnumerable <TQuote> quotes,
int emaPeriods = 20,
decimal multiplier = 2,
int atrPeriods = 10)
where TQuote : IQuote
{
// sort quotes
List <TQuote> quotesList = quotes.SortToList();
// check parameter arguments
ValidateKeltner(emaPeriods, multiplier, atrPeriods);
// initialize
List <KeltnerResult> results = new(quotesList.Count);
List <EmaResult> emaResults = GetEma(quotes, emaPeriods).ToList();
List <AtrResult> atrResults = GetAtr(quotes, atrPeriods).ToList();
int lookbackPeriods = Math.Max(emaPeriods, atrPeriods);
// roll through quotes
for (int i = 0; i < quotesList.Count; i++)
{
TQuote q = quotesList[i];
int index = i + 1;
KeltnerResult result = new()
{
Date = q.Date
};
if (index >= lookbackPeriods)
{
EmaResult ema = emaResults[i];
AtrResult atr = atrResults[i];
result.UpperBand = ema.Ema + (multiplier * atr.Atr);
result.LowerBand = ema.Ema - (multiplier * atr.Atr);
result.Centerline = ema.Ema;
result.Width = (result.Centerline == 0) ? null
: (result.UpperBand - result.LowerBand) / result.Centerline;
}
results.Add(result);
}
return(results);
}
public void GetEmaTest()
{
int lookbackPeriod = 20;
IEnumerable <EmaResult> results = Indicator.GetEma(history, lookbackPeriod);
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count());
Assert.AreEqual(502 - lookbackPeriod + 1, results.Where(x => x.Ema != null).Count());
// sample value
EmaResult ema = results.Where(x => x.Date == DateTime.Parse("12/31/2018")).FirstOrDefault();
Assert.AreEqual((decimal)249.3519, Math.Round((decimal)ema.Ema, 4));
}
public void GetDoubleEmaTest()
{
int lookbackPeriod = 20;
IEnumerable <EmaResult> results = Indicator.GetDoubleEma(history, lookbackPeriod);
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count());
Assert.AreEqual(502 - 2 * lookbackPeriod + 1, results.Where(x => x.Ema != null).Count());
// sample value
EmaResult r = results.Where(x => x.Index == 502).FirstOrDefault();
Assert.AreEqual(241.1677m, Math.Round((decimal)r.Ema, 4));
}
// DOUBLE EXPONENTIAL MOVING AVERAGE
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <DemaResult> GetDoubleEma <TQuote>(
this IEnumerable <TQuote> quotes,
int lookbackPeriods)
where TQuote : IQuote
{
// convert quotes
List <BasicD> bdList = quotes.ConvertToBasic(CandlePart.Close);
// check parameter arguments
ValidateDema(lookbackPeriods);
// initialize
List <DemaResult> results = new(bdList.Count);
List <EmaResult> emaN = CalcEma(bdList, lookbackPeriods);
List <BasicD> bd2 = emaN
.Where(x => x.Ema != null)
.Select(x => new BasicD {
Date = x.Date, Value = (double)x.Ema
})
.ToList(); // note: ToList seems to be required when changing data
List <EmaResult> emaN2 = CalcEma(bd2, lookbackPeriods);
// compose final results
for (int i = 0; i < emaN.Count; i++)
{
EmaResult e1 = emaN[i];
int index = i + 1;
DemaResult result = new()
{
Date = e1.Date
};
if (index >= (2 * lookbackPeriods) - 1)
{
EmaResult e2 = emaN2[index - lookbackPeriods];
result.Dema = (2 * e1.Ema) - e2.Ema;
}
results.Add(result);
}
return(results);
}
// CHAIKIN OSCILLATOR
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <ChaikinOscResult> GetChaikinOsc <TQuote>(
this IEnumerable <TQuote> quotes,
int fastPeriods = 3,
int slowPeriods = 10)
where TQuote : IQuote
{
// check parameter arguments
ValidateChaikinOsc(fastPeriods, slowPeriods);
// money flow
List <ChaikinOscResult> results = GetAdl(quotes)
.Select(r => new ChaikinOscResult
{
Date = r.Date,
MoneyFlowMultiplier = r.MoneyFlowMultiplier,
MoneyFlowVolume = r.MoneyFlowVolume,
Adl = r.Adl
})
.ToList();
// EMA of ADL
List <BasicD> bdAdl = results
.Select(x => new BasicD {
Date = x.Date, Value = x.Adl
})
.ToList();
List <EmaResult> adlEmaSlow = CalcEma(bdAdl, slowPeriods);
List <EmaResult> adlEmaFast = CalcEma(bdAdl, fastPeriods);
// add Oscillator
for (int i = slowPeriods - 1; i < results.Count; i++)
{
ChaikinOscResult r = results[i];
EmaResult f = adlEmaFast[i];
EmaResult s = adlEmaSlow[i];
r.Oscillator = (double)(f.Ema - s.Ema);
}
return(results);
}
public void CustomQuoteClass()
{
List <MyGenericQuote> myGenericHistory = HistoryTestData.Get()
.Select(x => new MyGenericQuote
{
CloseDate = x.Date,
Open = x.Open,
High = x.High,
Low = x.Low,
CloseValue = x.Close,
Volume = x.Volume,
MyOtherProperty = 123456
})
.ToList();
List <EmaResult> results = Indicator.GetEma(myGenericHistory, 20)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count);
Assert.AreEqual(483, results.Where(x => x.Ema != null).Count());
// sample values
EmaResult r1 = results[501];
Assert.AreEqual(249.3519m, Math.Round((decimal)r1.Ema, 4));
EmaResult r2 = results[249];
Assert.AreEqual(255.3873m, Math.Round((decimal)r2.Ema, 4));
EmaResult r3 = results[29];
Assert.AreEqual(216.6228m, Math.Round((decimal)r3.Ema, 4));
}
// PRICE VOLUME OSCILLATOR (PVO)
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <PvoResult> GetPvo <TQuote>(
this IEnumerable <TQuote> quotes,
int fastPeriods = 12,
int slowPeriods = 26,
int signalPeriods = 9)
where TQuote : IQuote
{
// convert quotes
List <BasicD> bdList = quotes.ConvertToBasic(CandlePart.Volume);
// check parameter arguments
ValidatePvo(fastPeriods, slowPeriods, signalPeriods);
// initialize
List <EmaResult> emaFast = CalcEma(bdList, fastPeriods);
List <EmaResult> emaSlow = CalcEma(bdList, slowPeriods);
int length = bdList.Count;
List <BasicD> emaDiff = new();
List <PvoResult> results = new(length);
// roll through quotes
for (int i = 0; i < length; i++)
{
BasicD h = bdList[i];
EmaResult df = emaFast[i];
EmaResult ds = emaSlow[i];
PvoResult result = new()
{
Date = h.Date
};
if (df?.Ema != null && ds?.Ema != null)
{
double?pvo = (ds.Ema != 0) ?
100 * (double)((df.Ema - ds.Ema) / ds.Ema) : null;
result.Pvo = (decimal?)pvo;
// temp data for interim EMA of PVO
BasicD diff = new()
{
Date = h.Date,
Value = (double)pvo
};
emaDiff.Add(diff);
}
results.Add(result);
}
// add signal and histogram to result
List <EmaResult> emaSignal = CalcEma(emaDiff, signalPeriods);
for (int d = slowPeriods - 1; d < length; d++)
{
PvoResult r = results[d];
EmaResult ds = emaSignal[d + 1 - slowPeriods];
r.Signal = ds.Ema;
r.Histogram = r.Pvo - r.Signal;
}
return(results);
}
// TRIPLE EMA OSCILLATOR (TRIX)
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <TrixResult> GetTrix <TQuote>(
this IEnumerable <TQuote> quotes,
int lookbackPeriods,
int?signalPeriods = null)
where TQuote : IQuote
{
// convert quotes
List <BasicD> bdList = quotes.ConvertToBasic(CandlePart.Close);
// check parameter arguments
ValidateTrix(lookbackPeriods);
// initialize
List <TrixResult> results = new(bdList.Count);
decimal? lastEma = null;
List <EmaResult> emaN1 = CalcEma(bdList, lookbackPeriods);
List <BasicD> bd2 = emaN1
.Where(x => x.Ema != null)
.Select(x => new BasicD {
Date = x.Date, Value = (double)x.Ema
})
.ToList();
List <EmaResult> emaN2 = CalcEma(bd2, lookbackPeriods);
List <BasicD> bd3 = emaN2
.Where(x => x.Ema != null)
.Select(x => new BasicD {
Date = x.Date, Value = (double)x.Ema
})
.ToList();
List <EmaResult> emaN3 = CalcEma(bd3, lookbackPeriods);
// compose final results
for (int i = 0; i < emaN1.Count; i++)
{
EmaResult e1 = emaN1[i];
int index = i + 1;
TrixResult result = new()
{
Date = e1.Date
};
results.Add(result);
if (index >= (3 * lookbackPeriods) - 2)
{
EmaResult e2 = emaN2[index - lookbackPeriods];
EmaResult e3 = emaN3[index - (2 * lookbackPeriods) + 1];
result.Ema3 = e3.Ema;
if (lastEma is not null and not 0)
{
result.Trix = 100 * (e3.Ema - lastEma) / lastEma;
}
lastEma = e3.Ema;
// optional SMA signal
GetTrixSignal(signalPeriods, index, lookbackPeriods, results);
}
}
return(results);
}
// MOVING AVERAGE CONVERGENCE/DIVERGENCE (MACD) OSCILLATOR
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <MacdResult> GetMacd <TQuote>(
this IEnumerable <TQuote> quotes,
int fastPeriods = 12,
int slowPeriods = 26,
int signalPeriods = 9)
where TQuote : IQuote
{
// convert quotes
List <BasicD> bdList = quotes.ConvertToBasic(CandlePart.Close);
// check parameter arguments
ValidateMacd(fastPeriods, slowPeriods, signalPeriods);
// initialize
List <EmaResult> emaFast = CalcEma(bdList, fastPeriods);
List <EmaResult> emaSlow = CalcEma(bdList, slowPeriods);
int length = bdList.Count;
List <BasicD> emaDiff = new();
List <MacdResult> results = new(length);
// roll through quotes
for (int i = 0; i < length; i++)
{
BasicD h = bdList[i];
EmaResult df = emaFast[i];
EmaResult ds = emaSlow[i];
MacdResult result = new()
{
Date = h.Date,
FastEma = df.Ema,
SlowEma = ds.Ema
};
if (df?.Ema != null && ds?.Ema != null)
{
double macd = (double)(df.Ema - ds.Ema);
result.Macd = (decimal)macd;
// temp data for interim EMA of macd
BasicD diff = new()
{
Date = h.Date,
Value = macd
};
emaDiff.Add(diff);
}
results.Add(result);
}
// add signal and histogram to result
List <EmaResult> emaSignal = CalcEma(emaDiff, signalPeriods);
for (int d = slowPeriods - 1; d < length; d++)
{
MacdResult r = results[d];
EmaResult ds = emaSignal[d + 1 - slowPeriods];
r.Signal = ds.Ema;
r.Histogram = r.Macd - r.Signal;
}
return(results);
}
