public override double[] MultipleOutputUpdate(StockAnalysis.Share.Bar data)
{
if (_acceptBarInput)
{
if (_singleOutput)
{
return(new double[1] {
_sobiMetric.Update(data)
});
}
else
{
return(_mobiMetric.Update(data));
}
}
else
{
if (_singleOutput)
{
return(new double[1] {
_soriMetric.Update(data.ClosePrice)
});
}
else
{
return(_moriMetric.Update(data.ClosePrice));
}
}
}
public override double Update(StockAnalysis.Share.Bar bar)
{
return((_cma1.Update(bar) +
_cma2.Update(bar) +
_cma3.Update(bar) +
_cma4.Update(bar)) / 4);
}
public void Update(StockAnalysis.Share.Bar bar)
{
double price = BarPriceSelector.Select(bar, _priceSelector);
_highest.Update(price);
double newHighest = _highest.Value;
bool oldBreakout = Breakout;
Breakout = Math.Abs(newHighest - price) < 1e-6;
CurrentHighest = newHighest;
if (Breakout)
{
// rebreakout is always breakout
if (oldBreakout)
{
// continuous breakout is not rebreakout
Rebreakout = false;
_intervalSinceLastBreakout = 0;
}
else
{
// possible a rebreakout.
if (_intervalSinceLastBreakout > 0 &&
_intervalSinceLastBreakout <= _maxInterval &&
_intervalSinceLastBreakout >= _minInterval)
{
Rebreakout = true;
IntervalSinceLastBreakout = _intervalSinceLastBreakout;
_intervalSinceLastBreakout = 0;
}
else
{
Rebreakout = false;
_intervalSinceLastBreakout = 0;
}
}
}
else
{
// rebreakout is always breakout
Rebreakout = false;
if (oldBreakout)
{
_intervalSinceLastBreakout = 1;
}
else
{
if (_intervalSinceLastBreakout > 0)
{
_intervalSinceLastBreakout++;
}
}
}
}
public override double Update(StockAnalysis.Share.Bar bar)
{
double truePrice = (bar.HighestPrice + bar.LowestPrice + 2 * bar.ClosePrice) / 4;
double sumCost = _msCost.Update(bar.Volume * truePrice);
double sumVolume = _msVolume.Update(bar.Volume);
return(sumCost / sumVolume);
}
public override double Update(StockAnalysis.Share.Bar bar)
{
double cost = ((bar.ClosePrice - bar.LowestPrice)
- (bar.HighestPrice - bar.ClosePrice))
/ (bar.HighestPrice - bar.LowestPrice)
* bar.Volume;
return(_sumCost.Update(cost) / _sumVolume.Update(bar.Volume));
}
public override double Update(StockAnalysis.Share.Bar bar)
{
double highest = _highest.Update(bar.HighestPrice);
double lowest = _lowest.Update(bar.LowestPrice);
double rsv = (bar.ClosePrice - lowest) / (highest - lowest) * 100;
return(100.0 - rsv);
}
public override double[] Update(StockAnalysis.Share.Bar bar)
{
return(new double[FieldCount]
{
bar.ClosePrice,
bar.OpenPrice,
bar.HighestPrice,
bar.LowestPrice,
bar.Volume,
bar.Amount
});
}
public override double Update(StockAnalysis.Share.Bar bar)
{
double obv = _firstBar
? bar.Volume
: _prevObv + Math.Sign(bar.ClosePrice - _prevClosePrice) * bar.Volume;
// update status
_prevClosePrice = bar.ClosePrice;
_prevObv = obv;
_firstBar = false;
// return result;
return(obv);
}
public static double Select(StockAnalysis.Share.Bar bar, int selector)
{
switch (selector)
{
case 0: return(bar.HighestPrice);
case 1: return(bar.LowestPrice);
case 2: return(bar.ClosePrice);
case 3: return(bar.OpenPrice);
default:
throw new ArgumentOutOfRangeException("selector must be in [0..3]");
}
}
public override double[] MultipleOutputUpdate(StockAnalysis.Share.Bar data)
{
double calleeResult;
if (_callee.FieldNames.Length <= 1)
{
calleeResult = _callee.SingleOutputUpdate(data);
return(_caller.MultipleOutputUpdate(calleeResult));
}
else
{
throw new InvalidOperationException(
"callee has multiple outputs, and caller can't handle it");
}
}
public override double SingleOutputUpdate(StockAnalysis.Share.Bar data)
{
if (!_singleOutput)
{
throw new NotSupportedException(
string.Format("Metric {0} has multiple output", _metric.GetType().Name));
}
if (!_acceptBarInput)
{
return(_soriMetric.Update(data.ClosePrice));
}
else
{
return(_sobiMetric.Update(data));
}
}
public override double[] Update(StockAnalysis.Share.Bar bar)
{
double lowestPrice = _lowest.Update(bar.LowestPrice);
double highestPrice = _highest.Update(bar.HighestPrice);
double rsv = (bar.ClosePrice - lowestPrice) / (highestPrice - lowestPrice) * 100.0;
double k = rsv;
double d = ((_kDecay - 1) * _prevD + k) / _kDecay;
double j = _jCoeff * d - (_jCoeff - 1) * k;
// update status;
_prevD = d;
return(new double[3] {
k, d, j
});
}
public override double Update(StockAnalysis.Share.Bar bar)
{
double truePrice = (bar.HighestPrice + bar.LowestPrice + 2 * bar.ClosePrice) / 4;
_truePrices.Add(truePrice);
double maTruePrice = _maTruePrice.Update(truePrice);
double sum = 0.0;
for (int i = 0; i < _truePrices.Length; ++i)
{
sum += Math.Abs(_truePrices[i] - maTruePrice);
}
double d = sum / _truePrices.Length;
return(d == 0.0 ? 0.0 : (truePrice - maTruePrice) / d / Alpha);
}
public override double Update(StockAnalysis.Share.Bar bar)
{
const double SmallValue = 1e-10;
double pv, nv, zv;
if (_firstBar)
{
pv = nv = SmallValue;
zv = bar.Volume;
}
else
{
if (bar.ClosePrice > _prevClosePrice)
{
pv = bar.Volume;
nv = zv = 0.0;
}
else if (bar.ClosePrice < _prevClosePrice)
{
nv = bar.Volume;
pv = zv = 0.0;
}
else
{
zv = bar.Volume;
pv = nv = 0.0;
}
}
double msPv = _msPv.Update(pv) + SmallValue;
double msNv = _msNv.Update(nv) + SmallValue;
double msZv = _msZv.Update(zv) + SmallValue;
double result = (msPv + msZv / 2.0) / (msNv + msZv / 2.0) * 100.0;
// update status
_prevClosePrice = bar.ClosePrice;
_firstBar = false;
// return result;
return(result);
}
public override double Update(StockAnalysis.Share.Bar bar)
{
const double SmallValue = 1e-10;
double truePrice = (bar.HighestPrice + bar.LowestPrice + bar.ClosePrice) / 3;
double positiveMoneyFlow;
double negativeMoneyFlow;
if (_firstData)
{
positiveMoneyFlow = truePrice * bar.Volume;
negativeMoneyFlow = SmallValue;
}
else
{
if (truePrice > _prevTruePrice)
{
positiveMoneyFlow = truePrice * bar.Volume;
negativeMoneyFlow = 0.0;
}
else if (truePrice < _prevTruePrice)
{
positiveMoneyFlow = 0.0;
negativeMoneyFlow = truePrice * bar.Volume;
}
else
{
positiveMoneyFlow = negativeMoneyFlow = SmallValue;
}
}
double sumPmf = _msPmf.Update(positiveMoneyFlow);
double sumNmf = _msNmf.Update(negativeMoneyFlow);
// update status
_prevTruePrice = truePrice;
_firstData = false;
// return result
return(100.0 / (1.0 + sumPmf / sumNmf));
}
public override double Update(StockAnalysis.Share.Bar bar)
{
double bp = bar.ClosePrice - Math.Min(bar.LowestPrice, _prevClosePrice);
double tr = Math.Max(bar.HighestPrice, _prevClosePrice) - Math.Min(bar.LowestPrice, _prevClosePrice);
double[] average = new double[3];
for (int i = 0; i < 3; ++i)
{
average[i] = _msBp[i].Update(bp) / _msTr[i].Update(tr);
}
double sumWeight = (_weight[0] + _weight[1] + _weight[2]) / 100.0;
double result = (_weight[0] * average[0]
+ _weight[1] * average[1]
+ _weight[2] * average[2])
/ sumWeight;
// update status;
_prevClosePrice = bar.ClosePrice;
return(result);
}
public override double Update(StockAnalysis.Share.Bar bar)
{
double index = (bar.ClosePrice - bar.OpenPrice) * bar.Volume / (bar.HighestPrice - bar.LowestPrice);
return(_ms.Update(index));
}
public void Update(StockAnalysis.Share.Bar bar)
{
_expression.MultipleOutputUpdate(bar);
}
public override double[] MultipleOutputUpdate(StockAnalysis.Share.Bar data)
{
return(new double[1] {
Operand.MultipleOutputUpdate(data)[_fieldIndex]
});
}
public override double SingleOutputUpdate(StockAnalysis.Share.Bar data)
{
return(Operand.SingleOutputUpdate(data));
}
