public override List <Signal> GetSignals(List <Quote> q, Parameters p)
{
if (p.CalculatedIndicatorFirstDaysInterval == p.CalculatedIndicatorSecondDaysInterval)
{
throw new Exception("Both DaysIntervals parameters have the same value. The signals cannot be generated.");
}
q = q.OrderBy(z => z.Date).ToList();
int shortDayInterval = p.CalculatedIndicatorFirstDaysInterval;
int longDayInterval = p.CalculatedIndicatorSecondDaysInterval;
if (shortDayInterval > longDayInterval)
{
int tmp = shortDayInterval;
shortDayInterval = longDayInterval;
longDayInterval = tmp;
}
IndicatorCollectionOfValuesWithDaysInterval shortEAMDayInterval = new IndicatorCollectionOfValuesWithDaysInterval
{
IndicatorValues = CalculateExponentialMovingAverage(q, shortDayInterval),
DaysInterval = shortDayInterval
};
IndicatorCollectionOfValuesWithDaysInterval longEAMDayInterval = new IndicatorCollectionOfValuesWithDaysInterval
{
IndicatorValues = CalculateExponentialMovingAverage(q, longDayInterval),
DaysInterval = longDayInterval
};
List <Signal> obtainedSignals = DetermineSignalsFromIntersectionOfAverages(shortEAMDayInterval, longEAMDayInterval, q.Take(shortDayInterval - 1).ToList());
return(obtainedSignals);
}
private List <Signal> DetermineSignalsFromIntersectionOfAverages(
IndicatorCollectionOfValuesWithDaysInterval shortEAMDayInterval,
IndicatorCollectionOfValuesWithDaysInterval longEAMDayInterval,
List <Quote> quotesWithoutCalculatedIndicator)
{
List <Signal> calculatedSignals = new List <Signal>();
for (int i = 0; i < quotesWithoutCalculatedIndicator.Count; i++)
{
calculatedSignals.Add(new Signal
{
Date = quotesWithoutCalculatedIndicator[i].Date,
Value = NEUTRAL_SIGNAL
});
}
;
int daysDifferentialWithoutIntersection = shortEAMDayInterval.IndicatorValues.Count() - longEAMDayInterval.IndicatorValues.Count();
for (int i = 0; i <= daysDifferentialWithoutIntersection; i++)
{
calculatedSignals.Add(new Signal
{
Date = shortEAMDayInterval.IndicatorValues[i].Date,
Value = NEUTRAL_SIGNAL
});
}
;
int longEAMDayIntervalLength = longEAMDayInterval.IndicatorValues.Count;
for (int i = 1; i < longEAMDayIntervalLength; i++)
{
calculatedSignals.Add(new Signal
{
Date = longEAMDayInterval.IndicatorValues[i].Date
});
if (shortEAMDayInterval.IndicatorValues[daysDifferentialWithoutIntersection + i - 1].IndicatorValue > longEAMDayInterval.IndicatorValues[i - 1].IndicatorValue &&
shortEAMDayInterval.IndicatorValues[daysDifferentialWithoutIntersection + i].IndicatorValue < longEAMDayInterval.IndicatorValues[i].IndicatorValue)
{
calculatedSignals[daysDifferentialWithoutIntersection + i].Value = SELL_SIGNAL;
}
else if (shortEAMDayInterval.IndicatorValues[daysDifferentialWithoutIntersection + i - 1].IndicatorValue <longEAMDayInterval.IndicatorValues[i - 1].IndicatorValue &&
shortEAMDayInterval.IndicatorValues[daysDifferentialWithoutIntersection + i].IndicatorValue> longEAMDayInterval.IndicatorValues[i].IndicatorValue)
{
calculatedSignals[daysDifferentialWithoutIntersection + i].Value = BUY_SIGNAL;
}
else
{
calculatedSignals[daysDifferentialWithoutIntersection + i].Value = NEUTRAL_SIGNAL;
}
}
return(calculatedSignals);
}
