// SIMPLE MOVING AVERAGE
public static IEnumerable <SmaResult> GetSma(IEnumerable <Quote> history, int lookbackPeriod)
{
// clean quotes
history = Cleaners.PrepareHistory(history);
// initialize results
List <SmaResult> results = new List <SmaResult>();
// roll through history
foreach (Quote h in history)
{
SmaResult result = new SmaResult
{
Index = (int)h.Index,
Date = h.Date
};
if (h.Index >= lookbackPeriod)
{
IEnumerable <decimal> period = history
.Where(x => x.Index <= h.Index && x.Index > (h.Index - lookbackPeriod))
.Select(x => x.Close);
result.Sma = period.Average();
}
results.Add(result);
}
return(results);
}
// SIMPLE MOVING AVERAGE
public static IEnumerable <SmaResult> GetSma(IEnumerable <Quote> history, int lookbackPeriod)
{
// clean quotes
history = Cleaners.PrepareHistory(history);
// check parameters
ValidateSma(history, lookbackPeriod);
// initialize
List <SmaResult> results = new List <SmaResult>();
// roll through history
foreach (Quote h in history)
{
SmaResult result = new SmaResult
{
Index = (int)h.Index,
Date = h.Date
};
if (h.Index >= lookbackPeriod)
{
IEnumerable <Quote> period = history
.Where(x => x.Index <= h.Index && x.Index > (h.Index - lookbackPeriod));
// simple moving average
result.Sma = period
.Select(x => x.Close)
.Average();
// mean absolute deviation
result.Mad = period
.Select(x => Math.Abs(x.Close - (decimal)result.Sma))
.Average();
// mean squared error
result.Mse = period
.Select(x => (x.Close - (decimal)result.Sma) * (x.Close - (decimal)result.Sma))
.Average();
// mean absolute percent error
result.Mape = period
.Where(x => x.Close != 0)
.Select(x => Math.Abs(x.Close - (decimal)result.Sma) / x.Close)
.Average();
}
results.Add(result);
}
return(results);
}
// STARC BANDS
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <StarcBandsResult> GetStarcBands <TQuote>(
IEnumerable <TQuote> history,
int smaPeriod = 20,
decimal multiplier = 2,
int atrPeriod = 10)
where TQuote : IQuote
{
// sort history
List <TQuote> historyList = history.Sort();
// check parameter arguments
ValidateStarcBands(history, smaPeriod, multiplier, atrPeriod);
// initialize
List <StarcBandsResult> results = new List <StarcBandsResult>(historyList.Count);
List <SmaResult> smaResults = GetSma(history, smaPeriod).ToList();
List <AtrResult> atrResults = GetAtr(history, atrPeriod).ToList();
int lookbackPeriod = Math.Max(smaPeriod, atrPeriod);
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
TQuote h = historyList[i];
int index = i + 1;
StarcBandsResult result = new StarcBandsResult
{
Date = h.Date
};
if (index >= lookbackPeriod)
{
SmaResult s = smaResults[i];
AtrResult a = atrResults[i];
result.Centerline = s.Sma;
result.UpperBand = s.Sma + multiplier * a.Atr;
result.LowerBand = s.Sma - multiplier * a.Atr;
}
results.Add(result);
}
return(results);
}
// SIMPLE MOVING AVERAGE
/// <include file='./info.xml' path='indicators/type[@name="Main"]/*' />
///
public static IEnumerable <SmaResult> GetSma <TQuote>(
IEnumerable <TQuote> history,
int lookbackPeriod)
where TQuote : IQuote
{
// sort history
List <TQuote> historyList = history.Sort();
// check parameter arguments
ValidateSma(history, lookbackPeriod);
// initialize
List <SmaResult> results = new List <SmaResult>(historyList.Count);
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
TQuote h = historyList[i];
int index = i + 1;
SmaResult result = new SmaResult
{
Date = h.Date
};
if (index >= lookbackPeriod)
{
decimal sumSma = 0m;
for (int p = index - lookbackPeriod; p < index; p++)
{
TQuote d = historyList[p];
sumSma += d.Close;
}
result.Sma = sumSma / lookbackPeriod;
}
results.Add(result);
}
return(results);
}
// SIMPLE MOVING AVERAGE
public static IEnumerable <SmaResult> GetSma(IEnumerable <Quote> history, int lookbackPeriod)
{
// clean quotes
history = Cleaners.PrepareHistory(history);
// check exceptions
int qtyHistory = history.Count();
int minHistory = lookbackPeriod;
if (qtyHistory < minHistory)
{
throw new BadHistoryException("Insufficient history provided for SMA. " +
string.Format("You provided {0} periods of history when {1} is required.", qtyHistory, minHistory));
}
// initialize
List <SmaResult> results = new List <SmaResult>();
// roll through history
foreach (Quote h in history)
{
SmaResult result = new SmaResult
{
Index = (int)h.Index,
Date = h.Date
};
if (h.Index >= lookbackPeriod)
{
IEnumerable <decimal> period = history
.Where(x => x.Index <= h.Index && x.Index > (h.Index - lookbackPeriod))
.Select(x => x.Close);
result.Sma = period.Average();
}
results.Add(result);
}
return(results);
}
// SIMPLE MOVING AVERAGE
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <SmaResult> GetSma <TQuote>(
IEnumerable <TQuote> history,
int lookbackPeriod,
bool extended = false)
where TQuote : IQuote
{
// sort history
List <TQuote> historyList = history.Sort();
// check parameter arguments
ValidateSma(history, lookbackPeriod);
// initialize
List <SmaResult> results = new List <SmaResult>(historyList.Count);
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
TQuote h = historyList[i];
int index = i + 1;
SmaResult result = new SmaResult
{
Date = h.Date
};
if (index >= lookbackPeriod)
{
decimal sumSma = 0m;
for (int p = index - lookbackPeriod; p < index; p++)
{
TQuote d = historyList[p];
sumSma += d.Close;
}
result.Sma = sumSma / lookbackPeriod;
// add optional extended values
if (extended)
{
decimal sumMad = 0m;
decimal sumMse = 0m;
decimal?sumMape = 0m;
for (int p = index - lookbackPeriod; p < index; p++)
{
TQuote d = historyList[p];
sumMad += Math.Abs(d.Close - (decimal)result.Sma);
sumMse += (d.Close - (decimal)result.Sma) * (d.Close - (decimal)result.Sma);
sumMape += (d.Close == 0) ? null
: Math.Abs(d.Close - (decimal)result.Sma) / d.Close;
}
// mean absolute deviation
result.Mad = sumMad / lookbackPeriod;
// mean squared error
result.Mse = sumMse / lookbackPeriod;
// mean absolute percent error
result.Mape = sumMape / lookbackPeriod;
}
}
results.Add(result);
}
return(results);
}
// SIMPLE MOVING AVERAGE
public static IEnumerable <SmaResult> GetSma(
IEnumerable <Quote> history, int lookbackPeriod, bool extended = false)
{
// clean quotes
Cleaners.PrepareHistory(history);
// check parameters
ValidateSma(history, lookbackPeriod);
// initialize
List <Quote> historyList = history.ToList();
List <SmaResult> results = new List <SmaResult>();
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
Quote h = historyList[i];
SmaResult result = new SmaResult
{
Index = (int)h.Index,
Date = h.Date
};
if (h.Index >= lookbackPeriod)
{
List <Quote> period = historyList
.Where(x => x.Index > (h.Index - lookbackPeriod) && x.Index <= h.Index)
.ToList();
// simple moving average
result.Sma = period
.Select(x => x.Close)
.Average();
// add optional extended values
if (extended)
{
// mean absolute deviation
result.Mad = period
.Select(x => Math.Abs(x.Close - (decimal)result.Sma))
.Average();
// mean squared error
result.Mse = period
.Select(x => (x.Close - (decimal)result.Sma) * (x.Close - (decimal)result.Sma))
.Average();
// mean absolute percent error
result.Mape = period
.Where(x => x.Close != 0)
.Select(x => Math.Abs(x.Close - (decimal)result.Sma) / x.Close)
.Average();
}
}
results.Add(result);
}
return(results);
}
// SIMPLE MOVING AVERAGE
public static IEnumerable <SmaResult> GetSma(
IEnumerable <Quote> history, int lookbackPeriod, bool extended = false)
{
// clean quotes
List <Quote> historyList = Cleaners.PrepareHistory(history).ToList();
// check parameters
ValidateSma(history, lookbackPeriod);
// initialize
List <SmaResult> results = new List <SmaResult>();
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
Quote h = historyList[i];
SmaResult result = new SmaResult
{
Index = (int)h.Index,
Date = h.Date
};
if (h.Index >= lookbackPeriod)
{
decimal sumSma = 0m;
for (int p = (int)h.Index - lookbackPeriod; p < h.Index; p++)
{
Quote d = historyList[p];
sumSma += d.Close;
}
result.Sma = sumSma / lookbackPeriod;
// add optional extended values
if (extended)
{
decimal sumMad = 0m;
decimal sumMse = 0m;
decimal sumMape = 0m;
for (int p = (int)h.Index - lookbackPeriod; p < h.Index; p++)
{
Quote d = historyList[p];
sumMad += Math.Abs(d.Close - (decimal)result.Sma);
sumMse += (d.Close - (decimal)result.Sma) * (d.Close - (decimal)result.Sma);
sumMape += Math.Abs(d.Close - (decimal)result.Sma) / d.Close;
}
// mean absolute deviation
result.Mad = sumMad / lookbackPeriod;
// mean squared error
result.Mse = sumMse / lookbackPeriod;
// mean absolute percent error
result.Mape = sumMape / lookbackPeriod;
}
}
results.Add(result);
}
return(results);
}
