// DOUBLE EXPONENTIAL MOVING AVERAGE
public static IEnumerable <EmaResult> GetDoubleEma(IEnumerable <Quote> history, int lookbackPeriod)
{
// convert history to basic format
IEnumerable <BasicData> bd = Cleaners.ConvertHistoryToBasic(history, "C");
// initialize
List <EmaResult> results = new List <EmaResult>();
IEnumerable <EmaResult> emaN = CalcEma(bd, lookbackPeriod);
List <BasicData> bd2 = emaN
.Where(x => x.Ema != null)
.Select(x => new BasicData {
Index = null, Date = x.Date, Value = (decimal)x.Ema
})
.ToList(); // note: ToList seems to be required when changing data
IEnumerable <EmaResult> emaN2 = CalcEma(bd2, lookbackPeriod);
// compose final results
foreach (EmaResult h in emaN)
{
EmaResult result = new EmaResult
{
Index = h.Index,
Date = h.Date
};
if (h.Index >= 2 * lookbackPeriod)
{
EmaResult emaEma = emaN2.Where(x => x.Index == h.Index - lookbackPeriod + 1).FirstOrDefault();
result.Ema = 2 * h.Ema - emaEma.Ema;
}
results.Add(result);
}
return(results);
}
// MOVING AVERAGE CONVERGENCE/DIVERGENCE (MACD) OSCILLATOR
public static IEnumerable <MacdResult> GetMacd(IEnumerable <Quote> history, int fastPeriod = 12, int slowPeriod = 26, int signalPeriod = 9)
{
// initialize
IEnumerable <EmaResult> emaFast = GetEma(history, fastPeriod);
IEnumerable <EmaResult> emaSlow = GetEma(history, slowPeriod);
List <BasicData> emaDiff = new List <BasicData>();
List <MacdResult> results = new List <MacdResult>();
foreach (Quote h in history)
{
EmaResult df = emaFast.Where(x => x.Date == h.Date).FirstOrDefault();
EmaResult ds = emaSlow.Where(x => x.Date == h.Date).FirstOrDefault();
MacdResult result = new MacdResult
{
Index = (int)h.Index,
Date = h.Date
};
if (df?.Ema != null && ds?.Ema != null)
{
decimal macd = (decimal)df.Ema - (decimal)ds.Ema;
result.Macd = macd;
// temp data for interim EMA of macd
BasicData diff = new BasicData
{
Date = h.Date,
Index = h.Index - slowPeriod,
Value = macd
};
emaDiff.Add(diff);
}
results.Add(result);
}
IEnumerable <EmaResult> emaSignal = CalcEma(emaDiff, signalPeriod);
decimal?prevMacd = null;
decimal?prevSignal = null;
// add signal, histogram to result
foreach (MacdResult r in results)
{
EmaResult ds = emaSignal.Where(x => x.Date == r.Date).FirstOrDefault();
if (ds?.Ema == null)
{
continue;
}
r.Signal = ds.Ema;
r.Histogram = r.Macd - r.Signal;
// trend and divergence
if (prevMacd != null && prevSignal != null)
{
r.IsBullish = (r.Macd > r.Signal);
r.IsDiverging = (Math.Abs((decimal)r.Macd - (decimal)r.Signal)
> Math.Abs((decimal)prevMacd - (decimal)prevSignal));
}
// store for next iteration
prevMacd = r.Macd;
prevSignal = r.Signal;
}
return(results);
}
