/// <summary>
/// Calculates indicator.
/// </summary>
/// <param name="price">Price series.</param>
/// <param name="period">Indicator period.</param>
/// <param name="timeSeries">Instrument <c>ohlc</c> time series.</param>
/// <returns>Calculated indicator series.</returns>
public static double[] Calculate(double[] price, int period, TimeSeries timeSeries)
{
Condition.Requires(price, "price")
.IsNotEmpty();
Condition.Requires(period, "period")
.IsGreaterThan(0)
.IsLessOrEqual(price.Length);
Condition.Requires(timeSeries, "timeSeries")
.IsNotNull();
var wpr = new double[price.Length];
for (var i = period; i < price.Length; i++)
{
var highest = double.MinValue;
var lowest = double.MaxValue;
for (int j = i - period + 1; j <= i; j++)
{
if (timeSeries.High[j] > highest)
{
highest = timeSeries.High[j];
}
if (timeSeries.Low[j] < lowest)
{
lowest = timeSeries.Low[j];
}
}
wpr[i] = -100 * (highest - timeSeries.Close[i]) / (highest - lowest);
}
return wpr;
}
/// <summary>
/// Calculates indicator.
/// </summary>
/// <param name="period">Indicator period.</param>
/// <param name="timeSeries">Instrument <c>ohlc</c> time series.</param>
/// <returns>Calculated indicator series.</returns>
public static double[] Calculate(int period, TimeSeries timeSeries)
{
Condition.Requires(timeSeries, "timeSeries")
.IsNotNull();
Condition.Requires(period, "period")
.IsGreaterThan(0)
.IsLessOrEqual(timeSeries.Close.Length);
var temp = new double[timeSeries.Close.Length];
temp[0] = 0;
for (var i = 1; i < timeSeries.Close.Length; i++)
{
var diff1 = Math.Abs(timeSeries.Close[i - 1] - timeSeries.High[i]);
var diff2 = Math.Abs(timeSeries.Close[i - 1] - timeSeries.Low[i]);
var diff3 = timeSeries.High[i] - timeSeries.Low[i];
var max = diff1 > diff2 ? diff1 : diff2;
temp[i] = max > diff3 ? max : diff3;
}
var atr = SMA.Calculate(temp, period);
return atr;
}
/// <summary>
/// Calculates indicator.
/// </summary>
/// <param name="price">Price series.</param>
/// <param name="period">Indicator period.</param>
/// <param name="timeSeries">Instrument <c>ohlc</c> time series.</param>
/// <returns>Calculated indicator series.</returns>
public static double[] Calculate(double[] price, int period, TimeSeries timeSeries)
{
Condition.Requires(price, "price")
.IsNotEmpty();
Condition.Requires(period, "period")
.IsGreaterThan(0)
.IsLessOrEqual(price.Length);
Condition.Requires(timeSeries, "timeSeries")
.IsNotNull();
var dx = new double[price.Length];
var pDi = DmiPlus.Calculate(price, period, timeSeries);
var mDi = DmiMinus.Calculate(price, period, timeSeries);
for (var i = 0; i < price.Length; ++i)
{
var diff = pDi[i] + mDi[i];
if (diff.IsAlmostZero())
{
dx[i] = 0;
}
else
{
dx[i] = 100 * (Math.Abs(pDi[i] - mDi[i]) / (pDi[i] + mDi[i]));
}
}
var adx = EMA.Calculate(dx, period);
return adx;
}
/// <summary>
/// Calculates indicator.
/// </summary>
/// <param name="price">Price series.</param>
/// <param name="period">Indicator period.</param>
/// <param name="timeSeries">Instrument <c>ohlc</c> time series.</param>
/// <returns>Calculated indicator series.</returns>
public static double[] Calculate(double[] price, int period, TimeSeries timeSeries)
{
Condition.Requires(price, "price")
.IsNotEmpty();
Condition.Requires(period, "period")
.IsGreaterThan(0)
.IsLessOrEqual(price.Length);
Condition.Requires(timeSeries, "timeSeries")
.IsNotNull();
var mdm = new double[price.Length];
mdm[0] = 0.0;
for (int i = 1; i < price.Length; ++i)
{
var plusDm = timeSeries.High[i] - timeSeries.High[i - 1];
var minusDm = timeSeries.Low[i - 1] - timeSeries.Low[i];
if (plusDm < 0)
{
plusDm = 0;
}
if (minusDm < 0)
{
minusDm = 0;
}
if (plusDm.AlmostEqual(minusDm))
{
minusDm = 0;
}
else if (plusDm >= minusDm)
{
minusDm = 0;
}
var trueHigh = timeSeries.High[i] > price[i - 1] ? timeSeries.High[i] : price[i - 1];
var trueLow = timeSeries.Low[i] < price[i - 1] ? timeSeries.Low[i] : price[i - 1];
var tr = trueHigh - trueLow;
if (tr.IsAlmostZero())
{
mdm[i] = 0;
}
else
{
mdm[i] = 100 * minusDm / tr;
}
}
var dmi = EMA.Calculate(mdm, period);
return dmi;
}
/// <summary>
/// Calculates indicator.
/// </summary>
/// <param name="period">Indicator period.</param>
/// <param name="timeSeries">Instrument <c>ohlc</c> time series.</param>
/// <returns>Calculated indicator series.</returns>
public static double[] Calculate(int period, TimeSeries timeSeries)
{
Condition.Requires(timeSeries, "timeSeries")
.IsNotNull();
Condition.Requires(period, "period")
.IsGreaterThan(0)
.IsLessOrEqual(timeSeries.Close.Length);
var atr = ATR.Calculate(period, timeSeries);
var atrp = new double[atr.Length];
for (var i = period; i < timeSeries.Close.Length; i++)
{
atrp[i] = atr[i] * 100.0 / timeSeries.Close[i];
}
return atrp;
}
/// <summary>
/// Calculates indicator.
/// </summary>
/// <param name="price">Price series.</param>
/// <param name="period">Indicator period.</param>
/// <param name="timeSeries">Instrument <c>ohlc</c> time series.</param>
/// <returns>Calculated indicator series.</returns>
public static double[] Calculate(double[] price, int period, TimeSeries timeSeries)
{
Condition.Requires(price, "price")
.IsNotEmpty();
Condition.Requires(period, "period")
.IsGreaterThan(0)
.IsLessOrEqual(price.Length);
Condition.Requires(timeSeries, "timeSeries")
.IsNotNull();
var bears = new double[price.Length];
var ema = EMA.Calculate(price, period);
for (var i = 0; i < price.Length; i++)
{
bears[i] = timeSeries.Low[i] - ema[i];
}
return bears;
}
/// <summary>
/// Calculates indicator.
/// </summary>
/// <param name="timeSeries">Instrument <c>ohlc</c> time series.</param>
/// <returns>Calculated indicator series.</returns>
public static double[] Calculate(TimeSeries timeSeries)
{
Condition.Requires(timeSeries, "timeSeries")
.IsNotNull();
var bop = new double[timeSeries.Open.Length];
for (var i = 0; i < timeSeries.Open.Length; i++)
{
if (timeSeries.High[i].AlmostEqual(timeSeries.Low[i]))
{
bop[i] = 0;
}
else
{
bop[i] = (timeSeries.Close[i] - timeSeries.Open[i]) / (timeSeries.High[i] - timeSeries.Low[i]);
}
}
return bop;
}
