public Example GenerateGraph(Stock Stck, Stock.Interval Period)
{
int length = 0;
double startPost = 0;
double endPOs = 0;
List <TradingPeriod> TradingList = new List <TradingPeriod>();
switch (Period)
{
case Stock.Interval.Hour:
length = Stck.HourlyHist.Count;
TradingList = Stck.HourlyHist;
startPost = length + 6;
endPOs = length - 50;
break;
case Stock.Interval.Day:
length = Stck.DailyHist.Count;
TradingList = Stck.DailyHist;
startPost = length + 6;
endPOs = length - 110;
break;
case Stock.Interval.Week:
length = Stck.WeeklyHist.Count;
TradingList = Stck.WeeklyHist;
startPost = length + 6;
endPOs = length - 80;
break;
case Stock.Interval.Month:
length = Stck.MonthlyHist.Count;
TradingList = Stck.MonthlyHist;
startPost = length + 3;
endPOs = length - 48;
break;
}
VolumeStyle style = VolumeStyle.Combined;
bool naturalY = false;
bool naturalV = false;
var pm = new PlotModel {
};
var series = new CandleStickAndVolumeSeries
{
PositiveColor = OxyColors.DarkGreen,
NegativeColor = OxyColors.Red,
PositiveHollow = false,
NegativeHollow = false,
SeparatorColor = OxyColors.Gray,
SeparatorLineStyle = LineStyle.Dash,
VolumeStyle = VolumeStyle.Combined
};
// create bars
foreach (var v in TradingList)
{
OhlcvItem Temp = new OhlcvItem();
Temp.BuyVolume = (v.Volume);
Temp.Close = v.Close;
Temp.High = v.High;
Temp.Low = v.Low;
Temp.Open = v.Open;
Temp.X = v.Index;
series.Append(Temp);
}
// create visible window
var Istart = length - 10;
var Iend = length - 1;
var Ymin = series.Items.Skip((int)endPOs).Take((int)startPost - (int)endPOs + 1).Select(x => x.Low).Min();
var Ymax = series.Items.Skip((int)endPOs).Take((int)startPost - (int)endPOs + 1).Select(x => x.High).Max();
// setup axes
var timeAxis = new OxyPlot.Axes.DateTimeAxis
{
Position = AxisPosition.Bottom,
Minimum = endPOs,
Maximum = startPost,
//StartPosition = Xmax - TimeSpan.FromDays(180).Ticks,
//EndPosition = Xmax,
};
var barAxis = new OxyPlot.Axes.LogarithmicAxis()
{
Position = AxisPosition.Left,
Key = series.BarAxisKey,
StartPosition = 0.15,
EndPosition = 1.0,
Minimum = naturalY ? double.NaN : Ymin,
Maximum = naturalY ? double.NaN : Ymax,
};
var volAxis = new OxyPlot.Axes.LinearAxis()
{
Position = AxisPosition.Left,
Key = series.VolumeAxisKey,
StartPosition = 0.0,
EndPosition = 0.15,
Minimum = naturalV ? double.NaN : 0,
Maximum = naturalV ? double.NaN : TradingList.Max(x => x.Volume)
};
switch (style)
{
case VolumeStyle.None:
barAxis.Key = null;
barAxis.StartPosition = 0.0;
pm.Axes.Add(timeAxis);
pm.Axes.Add(barAxis);
break;
case VolumeStyle.Combined:
case VolumeStyle.Stacked:
pm.Axes.Add(timeAxis);
pm.Axes.Add(barAxis);
pm.Axes.Add(volAxis);
break;
case VolumeStyle.PositiveNegative:
volAxis.Minimum = naturalV ? double.NaN : -5000;
pm.Axes.Add(timeAxis);
pm.Axes.Add(barAxis);
pm.Axes.Add(volAxis);
break;
}
pm.Series.Add(series);
if (naturalY == false)
{
timeAxis.AxisChanged += (sender, e) => AdjustYExtent(series, timeAxis, barAxis);
//timeAxis.AxisChanged += (sender, e) => AdjustYExtent(series, timeAxis, volAxis);
}
///Adding Pivot Annotation
///
Stck.GetPivots(Period);
var ResistanceLines = new List <OxyPlot.Annotations.LineAnnotation>();
var FirstOrderPivots = new List <OxyPlot.Annotations.PointAnnotation>();
var SecondOrderPivots = new List <OxyPlot.Annotations.PointAnnotation>();
var ThirdOrderPivots = new List <OxyPlot.Annotations.PointAnnotation>();
foreach (var f in TradingList)
{
if (f.IsPivotHigh[0])
{
FirstOrderPivots.Add(new OxyPlot.Annotations.PointAnnotation()
{
Fill = OxyColors.LawnGreen, X = f.Index, Y = f.High
});
}
if (f.IsPivotHigh[1])
{
SecondOrderPivots.Add(new OxyPlot.Annotations.PointAnnotation()
{
Fill = OxyColors.Green, X = f.Index, Y = f.High
});
}
if (f.IsPivotHigh[2])
{
ThirdOrderPivots.Add(new OxyPlot.Annotations.PointAnnotation()
{
Fill = OxyColors.DarkGreen, X = f.Index, Y = f.High
});
}
if (f.IsPivotLow[0])
{
FirstOrderPivots.Add(new OxyPlot.Annotations.PointAnnotation()
{
Fill = OxyColors.Pink, X = f.Index, Y = f.Low
});
}
if (f.IsPivotLow[1])
{
SecondOrderPivots.Add(new OxyPlot.Annotations.PointAnnotation()
{
Fill = OxyColors.Red, X = f.Index, Y = f.Low
});
}
if (f.IsPivotLow[2])
{
ThirdOrderPivots.Add(new OxyPlot.Annotations.PointAnnotation()
{
Fill = OxyColors.DarkRed, X = f.Index, Y = f.Low
});
}
}
ResistanceLines = MarketStructure.DefineSupportResistanceZonesPivots(Stck, Period);
GraphOverlays FOP = new GraphOverlays();
GraphOverlays SOP = new GraphOverlays();
GraphOverlays TOP = new GraphOverlays();
GraphOverlays Lines = new GraphOverlays();
FOP.Name = "First Order Pivot";
SOP.Name = "Second Order Pivot";
TOP.Name = "Third Order Pivot";
Lines.Name = "Resistance Lines";
FOP.Overlay = FirstOrderPivots;
SOP.Overlay = SecondOrderPivots;
TOP.Overlay = ThirdOrderPivots;
Lines.Overlay = ResistanceLines;
FOP.Period = Period;
SOP.Period = Period;
TOP.Period = Period;
Lines.Period = Period;
CurrentOverlays.Add(FOP);
CurrentOverlays.Add(SOP);
CurrentOverlays.Add(TOP);
CurrentOverlays.Add(Lines);
///Adding line annotation...
var la = new OxyPlot.Annotations.LineAnnotation {
Type = LineAnnotationType.Horizontal, Y = TradingList.Last().Close
};
la.MouseDown += (s, e) =>
{
if (e.ChangedButton != OxyMouseButton.Left)
{
return;
}
la.StrokeThickness *= 5;
pm.InvalidatePlot(false);
e.Handled = true;
};
// Handle mouse movements (note: this is only called when the mousedown event was handled)
la.MouseMove += (s, e) =>
{
la.Y = la.InverseTransform(e.Position).Y;
la.Text = string.Format("{0:0.###}", la.Y);
pm.InvalidatePlot(false);
e.Handled = true;
};
la.MouseUp += (s, e) =>
{
la.StrokeThickness /= 5;
pm.InvalidatePlot(false);
e.Handled = true;
};
pm.Annotations.Add(la);
OxyPlot.Annotations.ArrowAnnotation tmp = null;
pm.MouseDown += (s, e) =>
{
if (e.ChangedButton == OxyMouseButton.Left)
{
// Create a new arrow annotation
tmp = new OxyPlot.Annotations.ArrowAnnotation();
tmp.HeadLength = 0;
tmp.StartPoint = tmp.EndPoint = timeAxis.InverseTransform(e.Position.X, e.Position.Y, barAxis);
pm.Annotations.Add(tmp);
e.Handled = true;
}
if (e.ChangedButton == OxyMouseButton.Middle)
{
//delete old arrow annotation
if (e.HitTestResult != null)
{
if (e.HitTestResult.Element.GetType() == typeof(OxyPlot.Annotations.ArrowAnnotation))
{
tmp = (OxyPlot.Annotations.ArrowAnnotation)e.HitTestResult.Element;
pm.Annotations.Remove(tmp);
e.Handled = true;
}
}
}
};
// Handle mouse movements (note: this is only called when the mousedown event was handled)
pm.MouseMove += (s, e) =>
{
if (tmp != null)
{
// Modify the end point
tmp.EndPoint = timeAxis.InverseTransform(e.Position.X, e.Position.Y, barAxis);
tmp.FontWeight = FontWeights.Bold;
tmp.Text = string.Format("{0:0.##}%", ((tmp.StartPoint.Y - tmp.EndPoint.Y) * -100) / tmp.StartPoint.Y);
// Redraw the plot
pm.InvalidatePlot(false);
e.Handled = true;
}
};
pm.MouseUp += (s, e) =>
{
if (tmp != null)
{
tmp = null;
e.Handled = true;
}
};
pm.Title = Stck.StockName;
var controller = new PlotController();
//controller.UnbindAll();
//controller.BindMouseDown(OxyMouseButton.Middle, PlotCommands);
//controller.BindMouseDown(OxyMouseButton.Left, PlotCommands.PanAt);
//controller.BindMouseDown(OxyMouseButton.Middle, );
return(new Example(pm, controller));
}
public void GetPivots(Stock.Interval Period)
{
List <TradingPeriod> TempList = new List <TradingPeriod>();
List <TradingPeriod> Hist = new List <TradingPeriod>();
switch (Period)
{
case Interval.Hour:
Hist = HourlyHist;
break;
case Interval.Day:
Hist = DailyHist;
break;
case Interval.Week:
Hist = WeeklyHist;
break;
case Interval.Month:
Hist = MonthlyHist;
break;
}
for (int i = 1; i < Hist.Count - 1; i++)
{
if (Hist[i].High > Hist[i - 1].High && Hist[i].High > Hist[i + 1].High)
{
Hist[i].IsPivotHigh[0] = true;
}
if (Hist[i].Low < Hist[i - 1].Low && Hist[i].Low < Hist[i + 1].Low)
{
Hist[i].IsPivotLow[0] = true;
}
}
TempList = Hist.Where(x => x.IsPivotHigh[0]).ToList();
for (int i = 1; i < TempList.Count - 1; i++)
{
if (TempList[i].High > TempList[i - 1].High && TempList[i].High > TempList[i + 1].High)
{
Hist[Hist.IndexOf(TempList[i])].IsPivotHigh[1] = true;
//Hist[Hist.IndexOf(TempList[i])].IsPivotHigh[0] = false;
}
}
TempList = Hist.Where(x => x.IsPivotHigh[1]).ToList();
for (int i = 1; i < TempList.Count - 1; i++)
{
if (TempList[i].High > TempList[i - 1].High && TempList[i].High > TempList[i + 1].High)
{
Hist[Hist.IndexOf(TempList[i])].IsPivotHigh[2] = true;
//Hist[Hist.IndexOf(TempList[i])].IsPivotHigh[1] = false;
}
}
TempList = Hist.Where(x => x.IsPivotLow[0]).ToList();
for (int i = 1; i < TempList.Count - 1; i++)
{
if (TempList[i].Low < TempList[i - 1].Low && TempList[i].Low < TempList[i + 1].Low)
{
Hist[Hist.IndexOf(TempList[i])].IsPivotLow[1] = true;
//Hist[Hist.IndexOf(TempList[i])].IsPivotLow[0] = false;
}
}
TempList = Hist.Where(x => x.IsPivotLow[1]).ToList();
for (int i = 1; i < TempList.Count - 1; i++)
{
if (TempList[i].Low < TempList[i - 1].Low && TempList[i].Low < TempList[i + 1].Low)
{
Hist[Hist.IndexOf(TempList[i])].IsPivotLow[2] = true;
//Hist[Hist.IndexOf(TempList[i])].IsPivotLow[1] = false;
}
}
}
public async void BuildStockHist(StreamReader YahooData, string Ticker, Stock.Interval Period)
{
switch (Period)
{
case Interval.Hour:
StockName = Ticker;
HourlyHist = new List <TradingPeriod>();
string a = "";
while (!a.Contains("volume:"))
{
a = YahooData.ReadLine();
//YahooData.ReadLine();
}
YahooData.ReadLine();
if (!YahooData.EndOfStream)
{
DateTime origin = new DateTime(1970, 1, 1, 0, 0, 0, 0, DateTimeKind.Utc);
List <double> Opens = new List <double>();
List <double> Highs = new List <double>();
List <double> Lows = new List <double>();
List <double> Closes = new List <double>();
List <long> volumes = new List <long>();
int Currenthour = -1;
while (!YahooData.EndOfStream)
{
string Temp = YahooData.ReadLine();
string[] TmpArry = Temp.Split(',');
double open;
double high;
double low;
double close;
long volume;
long time;
long.TryParse(TmpArry[0], out time);
double.TryParse(TmpArry[1], out close);
double.TryParse(TmpArry[2], out high);
double.TryParse(TmpArry[3], out low);
double.TryParse(TmpArry[4], out open);
long.TryParse(TmpArry[5], out volume);
DateTime Temporig = origin;
Temporig = Temporig.AddSeconds(time);
if (Currenthour == -1)
{
Currenthour = Temporig.Hour;
}
if (Temporig.Hour == Currenthour)
{
Opens.Add(open);
Highs.Add(high);
Lows.Add(low);
Closes.Add(close);
volumes.Add(volume);
}
else
{
Currenthour = Temporig.Hour;
TradingPeriod TmpDay = new TradingPeriod()
{
Day = Convert.ToDateTime(Temporig).ToLocalTime(),
Open = Opens.First(),
High = Highs.Max(),
Low = Lows.Min(),
Close = Closes.Last(),
Volume = volumes.Sum(),
};
Opens = new List <double>();
Highs = new List <double>();
Lows = new List <double>();
Closes = new List <double>();
volumes = new List <long>();
Opens.Add(open);
Highs.Add(high);
Lows.Add(low);
Closes.Add(close);
volumes.Add(volume);
HourlyHist.Add(TmpDay);
}
}
HourlyHist = HourlyHist.OrderBy(x => x.Day.Ticks).ToList();
for (int i = 1; i < HourlyHist.Count; i++)
{
HourlyHist[i].ReturnSeries = HourlyHist[i].Close / HourlyHist[i - 1].Close - 1;
}
for (int i = 0; i < HourlyHist.Count; i++)
{
HourlyHist[i].Index = i + 1;
}
}
break;
case Interval.Day:
StockName = Ticker;
DailyHist = new List <TradingPeriod>();
YahooData.ReadLine();
while (!YahooData.EndOfStream)
{
string Temp = YahooData.ReadLine();
string[] TmpArry = Temp.Split(',');
double open;
double high;
double low;
double close;
double adjclose;
long volume;
double.TryParse(TmpArry[1], out open);
double.TryParse(TmpArry[2], out high);
double.TryParse(TmpArry[3], out low);
double.TryParse(TmpArry[4], out close);
long.TryParse(TmpArry[5], out volume);
double.TryParse(TmpArry[6], out adjclose);
TradingPeriod TmpDay = new TradingPeriod()
{
Day = Convert.ToDateTime(TmpArry[0]).ToLocalTime(),
Open = open,
High = high,
Low = low,
Close = close,
Volume = volume,
AdjClose = adjclose
};
DailyHist.Add(TmpDay);
}
DailyHist = DailyHist.OrderBy(x => x.Day.Ticks).ToList();
for (int i = 1; i < DailyHist.Count; i++)
{
DailyHist[i].ReturnSeries = DailyHist[i].AdjClose / DailyHist[i - 1].AdjClose - 1;
}
for (int i = 0; i < DailyHist.Count; i++)
{
DailyHist[i].Index = i + 1;
}
break;
case Interval.Week:
StockName = Ticker;
WeeklyHist = new List <TradingPeriod>();
YahooData.ReadLine();
while (!YahooData.EndOfStream)
{
string Temp = YahooData.ReadLine();
string[] TmpArry = Temp.Split(',');
double open;
double high;
double low;
double close;
double adjclose;
long volume;
double.TryParse(TmpArry[1], out open);
double.TryParse(TmpArry[2], out high);
double.TryParse(TmpArry[3], out low);
double.TryParse(TmpArry[4], out close);
long.TryParse(TmpArry[5], out volume);
double.TryParse(TmpArry[6], out adjclose);
TradingPeriod TmpWeek = new TradingPeriod()
{
Day = Convert.ToDateTime(TmpArry[0]).ToLocalTime(),
Open = open,
High = high,
Low = low,
Close = close,
Volume = volume,
AdjClose = adjclose
};
WeeklyHist.Add(TmpWeek);
}
WeeklyHist = WeeklyHist.OrderBy(x => x.Day.Ticks).ToList();
for (int i = 1; i < WeeklyHist.Count; i++)
{
WeeklyHist[i].ReturnSeries = WeeklyHist[i].AdjClose / WeeklyHist[i - 1].AdjClose - 1;
}
for (int i = 0; i < WeeklyHist.Count; i++)
{
WeeklyHist[i].Index = i + 1;
}
break;
case Interval.Month:
StockName = Ticker;
MonthlyHist = new List <TradingPeriod>();
YahooData.ReadLine();
while (!YahooData.EndOfStream)
{
string Temp = YahooData.ReadLine();
string[] TmpArry = Temp.Split(',');
double open;
double high;
double low;
double close;
double adjclose;
long volume;
double.TryParse(TmpArry[1], out open);
double.TryParse(TmpArry[2], out high);
double.TryParse(TmpArry[3], out low);
double.TryParse(TmpArry[4], out close);
long.TryParse(TmpArry[5], out volume);
double.TryParse(TmpArry[6], out adjclose);
TradingPeriod TmpWeek = new TradingPeriod()
{
Day = Convert.ToDateTime(TmpArry[0]).ToLocalTime(),
Open = open,
High = high,
Low = low,
Close = close,
Volume = volume,
AdjClose = adjclose
};
MonthlyHist.Add(TmpWeek);
}
MonthlyHist = MonthlyHist.OrderBy(x => x.Day.Ticks).ToList();
for (int i = 1; i < MonthlyHist.Count; i++)
{
MonthlyHist[i].ReturnSeries = MonthlyHist[i].AdjClose / MonthlyHist[i - 1].AdjClose - 1;
}
for (int i = 0; i < MonthlyHist.Count; i++)
{
MonthlyHist[i].Index = i + 1;
}
break;
}
}
public static List <OxyPlot.Annotations.LineAnnotation> DefineSupportResistanceZonesPivots(Stock T, Stock.Interval Period)
{
List <OxyPlot.Annotations.LineAnnotation> SAR = new List <OxyPlot.Annotations.LineAnnotation>();
List <TradingPeriod> TList = new List <TradingPeriod>();
int VolaTilityRange = 0;
int min = 0;
double AnnualisationFactor = 0;
switch (Period)
{
case Stock.Interval.Hour:
TList = T.HourlyHist;
VolaTilityRange = 120;
AnnualisationFactor = 252 * 6;
min = 10;
break;
case Stock.Interval.Day:
TList = T.DailyHist;
VolaTilityRange = 21;
AnnualisationFactor = 252;
min = 10;
break;
case Stock.Interval.Week:
TList = T.WeeklyHist;
VolaTilityRange = 4;
AnnualisationFactor = 52;
min = 3;
break;
case Stock.Interval.Month:
TList = T.MonthlyHist;
VolaTilityRange = 1;
AnnualisationFactor = 12;
min = 3;
break;
}
/// Get Support
/// Adam Grimes formula
List <TradingPeriod> LowPivots = new List <TradingPeriod>(TList.Where(x => x.IsPivotLow[0]));
for (int i = LowPivots.Count - 1; i >= 0; i--)
{
if (i < VolaTilityRange)
{
VolaTilityRange = i;
}
List <double> LogReturns = new List <double>();
List <double> Prices = TList.GetRange(TList.IndexOf(LowPivots[i]) - VolaTilityRange, VolaTilityRange).Select(x => x.AdjClose).ToList();
for (int MN = 1; MN < VolaTilityRange; MN++)
{
double Temp = Math.Log(Prices[MN] / Prices[MN - 1]);
LogReturns.Add(Temp);
}
double STDev = Accord.Statistics.Measures.StandardDeviation(LogReturns.ToArray()) * Math.Sqrt(AnnualisationFactor);
//double STDev = Accord.Statistics.Measures.StandardDeviation(TList.GetRange(TList.IndexOf(LowPivots[i]) - VolaTilityRange, VolaTilityRange).Select(x => x.ReturnSeries).ToArray()) * Math.Sqrt(AnnualisationFactor);
//double yOne = LowPivots[i].AdjClose + STDev;
//double yTwo = LowPivots[i].AdjClose - STDev;
double yOne = Math.Abs(LowPivots[i].Close * (1 + Math.Pow(STDev, 2)));
double yTwo = Math.Abs(LowPivots[i].Close * (1 - Math.Pow(STDev, 2)));
List <TradingPeriod> Temps = new List <TradingPeriod>();
for (int x = i; x >= 0; x--)
{
if (LowPivots[x].Close > yTwo && LowPivots[x].Close < yOne)
{
Temps.Add(LowPivots[x]);
}
else
{
break;
}
}
for (int x = i; x < LowPivots.Count - 1; x++)
{
if (LowPivots[x].Close > yTwo && LowPivots[x].Close < yOne)
{
Temps.Add(LowPivots[x]);
}
else
{
break;
}
}
if (Temps.Count > min)
{
OxyPlot.Annotations.LineAnnotation temp = new OxyPlot.Annotations.LineAnnotation();
OxyPlot.Annotations.LineAnnotation temp2 = new OxyPlot.Annotations.LineAnnotation();
temp.Type = LineAnnotationType.Horizontal;
temp.MinimumX = Temps.Min(x => x.Index);
temp.MaximumX = Temps.Max(x => x.Index);
//if (Period != Stock.Interval.Week) temp.Y = Temps.OrderBy(x => x.Close).Take(2).Last().Close;
//else temp.Y = Temps.Min(x => x.Close);
temp.Y = Temps.Min(x => x.Close);
temp.Color = OxyColors.Red;
temp2.Type = LineAnnotationType.Horizontal;
temp2.MinimumX = Temps.Min(x => x.Index);
temp2.MaximumX = Temps.Max(x => x.Index);
//if (Period != Stock.Interval.Week) temp2.Y = Temps.OrderByDescending(x => x.Close).Take(2).Last().Close;
//else temp2.Y = Temps.Max(x => x.Close);
temp2.Y = Temps.Max(x => x.Close);
temp2.Color = OxyColors.Red;
//double High1 = Math.Abs(temp.Y * (1 + Math.Pow(STDev, 2)));
//double Low1 = Math.Abs(temp.Y * (1 - Math.Pow(STDev, 2)));
//double High2 = Math.Abs(temp2.Y * (1 + Math.Pow(STDev, 2)));
//double Low2 = Math.Abs(temp2.Y * (1 - Math.Pow(STDev, 2)));
//List<OxyPlot.Annotations.LineAnnotation> MoreTemps1 = new List<LineAnnotation>();
//List<OxyPlot.Annotations.LineAnnotation> MoreTemps2 = new List<LineAnnotation>();
//MoreTemps1 = SAR.Where(x => x.Y < High1 && x.Y > Low1).ToList();
//MoreTemps2 = SAR.Where(x => x.Y < High2 && x.Y > Low2).ToList();
//if (MoreTemps1.Count > 0)
//{
// temp.MinimumX = MoreTemps1.Min(x => x.MinimumX);
// temp.MaximumX = MoreTemps1.Max(x => x.MaximumX);
// temp.Y = MoreTemps1.Average(x => x.Y);
// //foreach (var v in MoreTemps1)
// //{
// // SAR.Remove(v);
// //}
// SAR.Add(temp);
//}
//else SAR.Add(temp);
//if (MoreTemps2.Count > 0)
//{
// temp2.MinimumX = MoreTemps2.Min(x => x.MinimumX);
// temp2.MaximumX = MoreTemps2.Max(x => x.MaximumX);
// temp2.Y = MoreTemps2.Average(x => x.Y);
// //foreach (var c in MoreTemps2)
// //{
// // SAR.Remove(c);
// //}
// SAR.Add(temp2);
//}
//else SAR.Add(temp2);
SAR.Add(temp);
SAR.Add(temp2);
}
foreach (var t in Temps)
{
i--;
TList.Remove(TList.Last());
}
}
/// Get Resistance
///
switch (Period)
{
case Stock.Interval.Hour:
TList = T.HourlyHist;
VolaTilityRange = 120;
AnnualisationFactor = 252 * 6;
min = 10;
break;
case Stock.Interval.Day:
TList = T.DailyHist;
VolaTilityRange = 21;
AnnualisationFactor = 252;
min = 10;
break;
case Stock.Interval.Week:
TList = T.WeeklyHist;
VolaTilityRange = 4;
AnnualisationFactor = 52;
min = 2;
break;
case Stock.Interval.Month:
TList = T.MonthlyHist;
VolaTilityRange = 1;
AnnualisationFactor = 12;
min = 1;
break;
}
List <TradingPeriod> HighPivots = new List <TradingPeriod>(TList.Where(x => x.IsPivotHigh[0]));
for (int i = HighPivots.Count - 1; i >= 0; i--)
{
if (i < VolaTilityRange)
{
VolaTilityRange = i;
}
List <double> LogReturns = new List <double>();
List <double> Prices = TList.GetRange(TList.IndexOf(HighPivots[i]) - VolaTilityRange, VolaTilityRange).Select(x => x.AdjClose).ToList();
for (int MN = 1; MN < VolaTilityRange; MN++)
{
double Temp = Math.Log(Prices[MN] / Prices[MN - 1]);
LogReturns.Add(Temp);
}
double STDev = Accord.Statistics.Measures.StandardDeviation(LogReturns.ToArray()) * Math.Sqrt(AnnualisationFactor);
//double STDev = Accord.Statistics.Measures.StandardDeviation(TList.GetRange(TList.IndexOf( HighPivots[i]) - VolaTilityRange, VolaTilityRange).Select(x => x.ReturnSeries).ToArray()) * Math.Sqrt(AnnualisationFactor);
double yOne = Math.Abs(HighPivots[i].Close * (1 + Math.Pow(STDev, 2)));
double yTwo = Math.Abs(HighPivots[i].Close * (1 - Math.Pow(STDev, 2)));
//double yOne = HighPivots[i].AdjClose + STDev;
//double yTwo = HighPivots[i].AdjClose - STDev;
List <TradingPeriod> Temps = new List <TradingPeriod>();
for (int x = i; x >= 0; x--)
{
if (HighPivots[x].High > yTwo && HighPivots[x].High < yOne)
{
Temps.Add(HighPivots[x]);
}
else
{
break;
}
}
for (int x = i; x < HighPivots.Count - 1; x++)
{
if (HighPivots[x].High > yTwo && HighPivots[x].High < yOne)
{
Temps.Add(HighPivots[x]);
}
else
{
break;
}
}
if (Temps.Count > min)
{
OxyPlot.Annotations.LineAnnotation temp = new OxyPlot.Annotations.LineAnnotation();
OxyPlot.Annotations.LineAnnotation temp2 = new OxyPlot.Annotations.LineAnnotation();
temp.Type = LineAnnotationType.Horizontal;
temp.MinimumX = Temps.Min(x => x.Index);
temp.MaximumX = Temps.Max(x => x.Index);
//if (Period != Stock.Interval.Week) temp2.Y = Temps.OrderByDescending(x => x.Close).Take(2).Last().Close;
//else temp2.Y = Temps.Max(x => x.Close);
temp2.Y = Temps.Max(x => x.Close);
temp.Color = OxyColors.LawnGreen;
temp2.Type = LineAnnotationType.Horizontal;
temp2.MinimumX = Temps.Min(x => x.Index);
temp2.MaximumX = Temps.Max(x => x.Index);
//if (Period != Stock.Interval.Week) temp.Y = Temps.OrderBy(x => x.Close).Take(2).Last().Close;
//else temp.Y = Temps.Min(x => x.Close);
temp.Y = Temps.Min(x => x.Close);
temp2.Color = OxyColors.LawnGreen;
SAR.Add(temp);
SAR.Add(temp2);
}
foreach (var t in Temps)
{
i--;
TList.Remove(HighPivots.Last());
}
}
return(SAR);
}
