public static void FindGaps(this HistoricalData data, out List <int> gapUp, out List <int> gapDown)
{
double stdDev = data.GetPriceRangeStdDev();
gapUp = new List <int>();
gapDown = new List <int>();
for (int j = 1; j < data.Count; j++)
{
if (data.Low[j] - data.High[j - 1] >= stdDev)
{
gapUp.Add(j);
}
if (data.Low[j - 1] - data.High[j] >= stdDev)
{
gapDown.Add(j);
}
}
}
public SupportAndResistance GetSupportAndResistance(double?currentPriceParam = null, double?percentRangeParam = null)
{
double percentRange = currentPriceParam ?? 0.4;
double currentPrice = percentRangeParam ?? _data.Close.Last();
Tuple <int, double> highMax = _data.High.MaximumAndIndex();
Tuple <int, double> lowMin = _data.Low.MinimumAndIndex();
double increment;
List <double> priceChainResult = GeneratePriceChain(highMax.Item2, lowMin.Item2, out increment);
List <double> volumeProfileResult = VolumeAddition(priceChainResult);
priceChainResult.RemoveAt(priceChainResult.Count - 1);
List <double> priceChain = priceChainResult.ToList(), volumeProfile = volumeProfileResult.ToList();
List <SupportAndResistanceValue> srValues = FindGaps(ref volumeProfile, ref priceChain);
PriceBounds bounds = UpAndDownPrice(highMax.Item2, lowMin.Item2, percentRange, currentPrice);
List <double> localPrices;
List <double> localVolume;
SRpoints(bounds.UpPrice, bounds.DownPrice, priceChain, volumeProfile, increment, SRPointsLocalization.TwoLocal,
out localPrices, out localVolume);
List <double> idenSR = IdenticalVolumeFilter(ref localPrices, ref localVolume);
double priceRangeStdDev = _data.GetPriceRangeStdDev();
////////////////////////////////////
// SRLocalHighFilter mat lab method
List <Tuple <int, double> > srPoints = ApplyLocalFilters(localPrices, idenSR, priceRangeStdDev);
//global max is always resistence, and global min is always support
if (srPoints.All(i => !i.Item2.Equals(highMax.Item2)))
{
srPoints.Add(highMax);
}
if (srPoints.All(i => !i.Item2.Equals(lowMin.Item2)))
{
srPoints.Add(lowMin);
}
////////////////////////////////////
CrossOverFilter(ref srPoints);
////////////////////////////////////
// TODO: consider move to FindGaps
IEnumerable <SupportAndResistanceValue> gaps = PartialGap(priceRangeStdDev);
srValues.AddRange(gaps);
////////////////////////////////////
srValues.AddRange(srPoints.Select((d, i) =>
{
DateTime date = _data.Date[d.Item1];
SupportAndResistanceValueType type = d.Item2 >= currentPrice
? SupportAndResistanceValueType.MajorResistance
: SupportAndResistanceValueType.MajorSupport;
SupportAndResistanceValue srVal = new SupportAndResistanceValue(d.Item2, date, type);
return(srVal);
}));
SupportAndResistance result = new SupportAndResistance(srValues);
return(result);
}