/// <summary>
/// Normalize time series over number of bars; 1.0 being the average.
/// </summary>
/// <param name="series">input time series</param>
/// <param name="n">normalizing period</param>
/// <param name="parentId">caller cache id, optional</param>
/// <param name="memberName">caller's member name, optional</param>
/// <param name="lineNumber">caller line number, optional</param>
/// <returns>normalized time series</returns>
public static ITimeSeries <double> Normalize(this ITimeSeries <double> series, int n,
CacheId parentId = null, [CallerMemberName] string memberName = "", [CallerLineNumber] int lineNumber = 0)
{
var cacheId = new CacheId(parentId, memberName, lineNumber,
series.GetHashCode(), n);
return(series.Divide(series.EMA(n, cacheId), cacheId));
}
/// <summary>
/// Return current drawdown in percent, as value between 0 and 1.
/// </summary>
/// <param name="series">input time series</param>
/// <param name="n">length of observation window</param>
/// <param name="parentId">caller cache id, optional</param>
/// <param name="memberName">caller's member name, optional</param>
/// <param name="lineNumber">caller line number, optional</param>
/// <returns>drawdown as time series</returns>
public static ITimeSeries <double> Drawdown(this ITimeSeries <double> series, int n,
CacheId parentId = null, [CallerMemberName] string memberName = "", [CallerLineNumber] int lineNumber = 0)
{
var cacheId = new CacheId(parentId, memberName, lineNumber,
series.GetHashCode(), n);
// TODO: rewrite this, using buffered lambda, see MaxDrawdown
return(IndicatorsBasic.Const(1.0, cacheId)
.Subtract(
series
.Divide(
series
.Highest(n, cacheId),
cacheId),
cacheId));
}
/// <summary>
/// Calculate logarithmic momentum: m = Ln(p[0] / p[n])
/// </summary>
/// <param name="series">input time series</param>
/// <param name="n">number of bars for regression</param>
/// <param name="parentId">caller cache id, optional</param>
/// <param name="memberName">caller's member name, optional</param>
/// <param name="lineNumber">caller line number, optional</param>
/// <returns>log momentum, as time series</returns>
public static ITimeSeries <double> LogMomentum(this ITimeSeries <double> series, int n = 21,
CacheId parentId = null, [CallerMemberName] string memberName = "", [CallerLineNumber] int lineNumber = 0)
{
var cacheId = new CacheId(parentId, memberName, lineNumber,
series.GetHashCode(), n.GetHashCode());
#if true
return(IndicatorsBasic.BufferedLambda(
prev => Math.Log(series[0] / series[n]),
0.0,
cacheId));
#else
// retired 04/02/2019
return(series
.Divide(series
.Delay(n, cacheId)
.Max(1e-10, cacheId),
cacheId)
.Log(cacheId)
.Divide(n, cacheId));
#endif
}
/// <summary>
/// Normalize time series over number of bars; 1.0 being the average.
/// </summary>
/// <param name="series">input time series</param>
/// <param name="n">normalizing period</param>
/// <returns>normalized time series</returns>
public static ITimeSeries <double> Normalize(this ITimeSeries <double> series, int n)
{
return(series.Divide(series.EMA(n)));
}
