public ModifiedExponentialMovingAverage(Equity equity, int periodCount) : base(equity, periodCount)
{
_gemaIndicator = new GenericExponentialMovingAverage(
equity,
0,
i => Equity[i].Close,
i => Equity[i].Close,
i => 1.0m / periodCount);
}
public ExponentialMovingAverage(Equity equity, int periodCount) : base(equity, periodCount)
{
_ema = new GenericExponentialMovingAverage(
equity,
0,
i => Equity[i].Close,
i => Equity[i].Close,
i => 2.0m / (periodCount + 1));
}
public ExponentialMovingAverage(IList <decimal> closes, int periodCount) : base(closes)
{
_ema = new GenericExponentialMovingAverage <decimal>(
closes,
0,
i => Inputs[i],
i => Inputs[i],
i => 2.0m / (periodCount + 1));
PeriodCount = periodCount;
}
public ModifiedExponentialMovingAverage(IEnumerable <TInput> inputs, Func <TInput, decimal> inputMapper, Func <TInput, decimal?, TOutput> outputMapper, int periodCount) : base(inputs, inputMapper, outputMapper)
{
_gema = new GenericExponentialMovingAverage(
0,
i => inputs.Select(inputMapper).ElementAt(i),
i => inputs.Select(inputMapper).ElementAt(i),
i => 1.0m / periodCount,
inputs.Count());
PeriodCount = periodCount;
}
public ModifiedExponentialMovingAverage(IList <decimal> closes, int periodCount) : base(closes)
{
_gema = new GenericExponentialMovingAverage <decimal>(
closes,
0,
i => Inputs[i],
i => Inputs[i],
i => 1.0m / periodCount);
PeriodCount = periodCount;
}
public MovingAverageConvergenceDivergence(Equity equity, int emaPeriodCount1, int emaPeriodCount2, int demPeriodCount)
: base(equity, emaPeriodCount1, emaPeriodCount2, demPeriodCount)
{
_emaIndicator1 = new ExponentialMovingAverage(equity, emaPeriodCount1);
_emaIndicator2 = new ExponentialMovingAverage(equity, emaPeriodCount2);
_diff = i => _emaIndicator1.ComputeByIndex(i).Ema - _emaIndicator2.ComputeByIndex(i).Ema;
_dem = new GenericExponentialMovingAverage(
equity,
0,
i => _diff(i),
i => _diff(i),
i => 2.0m / (demPeriodCount + 1));
}
public AverageTrueRange(Equity equity, int periodCount) : base(equity, periodCount)
{
_tr = i => i > 0 ? new List <decimal?> {
Math.Abs(Equity[i].High - Equity[i].Low),
Math.Abs(Equity[i].High - Equity[i - 1].Close),
Math.Abs(Equity[i].Low - Equity[i - 1].Close)
}.Max() :
null;
_trEma = new GenericExponentialMovingAverage(
equity,
periodCount,
i => Enumerable.Range(i - periodCount + 1, periodCount).Average(j => _tr(j)),
i => _tr(i),
i => 1.0m / periodCount);
}
public KaufmanAdaptiveMovingAverage(Equity equity, int periodCount, int emaFastPeriodCount, int emaSlowPeriodCount)
: base(equity, periodCount, emaFastPeriodCount, emaSlowPeriodCount)
{
_erIndicator = new EfficiencyRatio(equity, periodCount);
Func <int, decimal> sc = i =>
{
double erValue = Convert.ToDouble(_erIndicator.ComputeByIndex(i).Er);
return(Convert.ToDecimal(Math.Pow(erValue * (2.0 / (emaFastPeriodCount + 1) - 2.0 / (emaSlowPeriodCount + 1)) + 2.0 / (emaSlowPeriodCount + 1), 2)));
};
_gemaIndicator = new GenericExponentialMovingAverage(
equity,
periodCount - 1,
i => Equity[i].Close,
i => Equity[i].Close,
i => sc(i));
}
public KaufmanAdaptiveMovingAverage(IEnumerable <TInput> inputs, Func <TInput, decimal> inputMapper, Func <TInput, decimal?, TOutput> outputMapper, int periodCount, int emaFastPeriodCount, int emaSlowPeriodCount) : base(inputs, inputMapper, outputMapper)
{
_er = new EfficiencyRatioByTuple(inputs.Select(inputMapper), periodCount);
Func <int, decimal> sc = i =>
{
double erValue = Convert.ToDouble(_er[i]);
return(Convert.ToDecimal(Math.Pow(erValue * (2.0 / (emaFastPeriodCount + 1) - 2.0 / (emaSlowPeriodCount + 1)) + 2.0 / (emaSlowPeriodCount + 1), 2)));
};
_gema = new GenericExponentialMovingAverage(
periodCount - 1,
i => inputs.Select(inputMapper).ElementAt(i),
i => inputs.Select(inputMapper).ElementAt(i),
i => sc(i),
inputs.Count());
PeriodCount = periodCount;
EmaFastPeriodCount = emaFastPeriodCount;
EmaSlowPeriodCount = emaSlowPeriodCount;
}
public RelativeStrength(Equity equity, int periodCount) : base(equity, periodCount)
{
_closePriceChangeIndicator = new ClosePriceChange(equity);
Func <int, decimal> u = i => Math.Max(_closePriceChangeIndicator.ComputeByIndex(i).Change.Value, 0);
Func <int, decimal> l = i => Math.Abs(Math.Min(_closePriceChangeIndicator.ComputeByIndex(i).Change.Value, 0));
_uEma = new GenericExponentialMovingAverage(
equity,
periodCount,
i => i > 0 ? Enumerable.Range(i - PeriodCount + 1, PeriodCount).Average(j => u(j)) : (decimal?)null,
i => u(i),
i => 1.0m / periodCount);
_dEma = new GenericExponentialMovingAverage(
equity,
periodCount,
i => i > 0 ? Enumerable.Range(i - PeriodCount + 1, PeriodCount).Average(j => l(j)) : (decimal?)null,
i => l(i),
i => 1.0m / periodCount);
}
public DirectionalMovementIndex(Equity equity, int periodCount) : base(equity, periodCount)
{
_atrIndicator = new AverageTrueRange(equity, periodCount);
Func <int, decimal?> pdm = i => i > 0 ? Equity[i].High - Equity[i - 1].High : (decimal?)null;
Func <int, decimal?> mdm = i => i > 0 ? Equity[i - 1].Low - Equity[i].Low : (decimal?)null;
Func <int, decimal?> tpdm = i => pdm(i) > 0 && pdm(i) > mdm(i) ? pdm(i) : 0;
Func <int, decimal?> tmdm = i => mdm(i) > 0 && pdm(i) < mdm(i) ? mdm(i) : 0;
var tpdmEma = new GenericExponentialMovingAverage(
equity,
periodCount,
i => Enumerable.Range(i - periodCount + 1, periodCount).Select(j => tpdm(j)).Average(),
i => tpdm(i),
i => 1.0m / periodCount);
var tmdmEma = new GenericExponentialMovingAverage(
equity,
periodCount,
i => Enumerable.Range(i - periodCount + 1, periodCount).Select(j => tmdm(j)).Average(),
i => tmdm(i),
i => 1.0m / periodCount);
_pdi = i => tpdmEma.ComputeByIndex(i).Ema / _atrIndicator.ComputeByIndex(i).Atr * 100;
_mdi = i => tmdmEma.ComputeByIndex(i).Ema / _atrIndicator.ComputeByIndex(i).Atr * 100;
_dx = i =>
{
var value = (_pdi(i) - _mdi(i)) / (_pdi(i) + _mdi(i));
return(value.HasValue ? Math.Abs(value.Value) * 100 : (decimal?)null);
};
_adx = new GenericExponentialMovingAverage(
equity,
periodCount,
i => Enumerable.Range(i - periodCount + 1, periodCount).Select(j => _dx(j)).Average(),
i => _dx(i),
i => 1.0m / periodCount);
}
public KaufmanAdaptiveMovingAverage(IList <decimal> closes, int periodCount, int emaFastPeriodCount, int emaSlowPeriodCount)
: base(closes)
{
_er = new EfficiencyRatio(closes, periodCount);
Func <int, decimal> sc = i =>
{
double erValue = Convert.ToDouble(_er[i]);
return(Convert.ToDecimal(Math.Pow(erValue * (2.0 / (emaFastPeriodCount + 1) - 2.0 / (emaSlowPeriodCount + 1)) + 2.0 / (emaSlowPeriodCount + 1), 2)));
};
_gema = new GenericExponentialMovingAverage <decimal>(
closes,
periodCount - 1,
i => Inputs[i],
i => Inputs[i],
i => sc(i));
PeriodCount = periodCount;
EmaFastPeriodCount = emaFastPeriodCount;
EmaSlowPeriodCount = emaSlowPeriodCount;
}
public RelativeStrength(IList <decimal> closes, int periodCount) : base(closes)
{
_closePriceChange = new ClosePriceChange(closes);
Func <int, decimal?> u = i => i > 0 ? Math.Max(_closePriceChange[i].Value, 0) : (decimal?)null;
Func <int, decimal?> l = i => i > 0 ? Math.Abs(Math.Min(_closePriceChange[i].Value, 0)) : (decimal?)null;
_uEma = new GenericExponentialMovingAverage <decimal>(
closes,
periodCount,
i => i > 0 ? Enumerable.Range(i - PeriodCount + 1, PeriodCount).Average(j => u(j)) : null,
i => u(i),
i => 1.0m / periodCount);
_dEma = new GenericExponentialMovingAverage <decimal>(
closes,
periodCount,
i => i > 0 ? Enumerable.Range(i - PeriodCount + 1, PeriodCount).Average(j => l(j)) : null,
i => l(i),
i => 1.0m / periodCount);
PeriodCount = periodCount;
}
public RelativeStrength(IEnumerable <TInput> inputs, Func <TInput, decimal> inputMapper, Func <TInput, decimal?, TOutput> outputMapper, int periodCount) : base(inputs, inputMapper, outputMapper)
{
_closePriceChange = new ClosePriceChangeByTuple(inputs.Select(inputMapper));
Func <int, decimal?> u = i => i > 0 ? Math.Max(_closePriceChange[i].Value, 0) : (decimal?)null;
Func <int, decimal?> l = i => i > 0 ? Math.Abs(Math.Min(_closePriceChange[i].Value, 0)) : (decimal?)null;
_uEma = new GenericExponentialMovingAverage(
periodCount,
i => i > 0 ? Enumerable.Range(i - PeriodCount + 1, PeriodCount).Average(j => u(j)) : null,
i => u(i),
i => 1.0m / periodCount,
inputs.Count());
_dEma = new GenericExponentialMovingAverage(
periodCount,
i => i > 0 ? Enumerable.Range(i - PeriodCount + 1, PeriodCount).Average(j => l(j)) : null,
i => l(i),
i => 1.0m / periodCount,
inputs.Count());
PeriodCount = periodCount;
}
