/// <summary>
/// DEMA = 2 * EMA - EMA of EMA
/// </summary>
/// <see cref="http://forex-indicators.net/trend-indicators/dema"/>
/// <returns></returns>
public override SingleDoubleSerie Calculate()
{
SingleDoubleSerie demaSerie = new SingleDoubleSerie();
EMA ema = new EMA(Period, false);
ema.Load(OhlcList);
List <double?> emaValues = ema.Calculate().Values;
// assign EMA values to Close price
for (int i = 0; i < OhlcList.Count; i++)
{
OhlcList[i].Close = emaValues[i].HasValue ? emaValues[i].Value : 0.0;
}
ema.Load(OhlcList.Skip(Period - 1).ToList());
// EMA(EMA(value))
List <double?> emaEmaValues = ema.Calculate().Values;
for (int i = 0; i < Period - 1; i++)
{
emaEmaValues.Insert(0, null);
}
// Calculate DEMA
for (int i = 0; i < OhlcList.Count; i++)
{
if (i >= 2 * Period - 2)
{
var dema = 2 * emaValues[i] - emaEmaValues[i];
demaSerie.Values.Add(dema);
}
else
{
demaSerie.Values.Add(null);
}
}
return(demaSerie);
}
/// <summary>
/// TrueHigh = Highest of high[0] or close[-1]
/// TrueLow = Highest of low[0] or close[-1]
/// TR = TrueHigh - TrueLow
/// ATR = EMA(TR)
/// </summary>
/// <see cref="http://www.fmlabs.com/reference/default.htm?url=TR.htm"/>
/// <see cref="http://www.fmlabs.com/reference/default.htm?url=ATR.htm"/>
/// <returns></returns>
public override ATRSerie Calculate()
{
ATRSerie atrSerie = new ATRSerie();
atrSerie.TrueHigh.Add(null);
atrSerie.TrueLow.Add(null);
atrSerie.TrueRange.Add(null);
atrSerie.ATR.Add(null);
for (int i = 1; i < OhlcList.Count; i++)
{
double trueHigh = OhlcList[i].High >= OhlcList[i - 1].Close ? OhlcList[i].High : OhlcList[i - 1].Close;
atrSerie.TrueHigh.Add(trueHigh);
double trueLow = OhlcList[i].Low <= OhlcList[i - 1].Close ? OhlcList[i].Low : OhlcList[i - 1].Close;
atrSerie.TrueLow.Add(trueLow);
double trueRange = trueHigh - trueLow;
atrSerie.TrueRange.Add(trueRange);
}
for (int i = 1; i < OhlcList.Count; i++)
{
OhlcList[i].Close = atrSerie.TrueRange[i].Value;
}
EMA ema = new EMA(Period, true);
ema.Load(OhlcList.Skip(1).ToList());
List <double?> atrList = ema.Calculate().Values;
foreach (var atr in atrList)
{
atrSerie.ATR.Add(atr);
}
return(atrSerie);
}
/// <summary>
/// 1 - EMA of Close prices [EMA(Close)]
/// 2 - Double smooth [EMA(EMA(Close))]
/// 3 - Triple smooth [EMA(EMA(EMA(Close)))]
/// 4 - a) Calculation with percentage: [ROC(EMA(EMA(EMA(Close))))]
/// 4 - b) Calculation with percentage: [Momentum(EMA(EMA(EMA(Close))))]
/// </summary>
/// <see cref="http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:trix"/>
/// <see cref="http://www.fmlabs.com/reference/default.htm?url=TRIX.htm"/>
/// <returns></returns>
public override SingleDoubleSerie Calculate()
{
// EMA calculation
EMA ema = new EMA(Period, false);
ema.Load(OhlcList);
List <double?> emaValues = ema.Calculate().Values;
for (int i = 0; i < OhlcList.Count; i++)
{
OhlcList[i].Close = emaValues[i].HasValue ? emaValues[i].Value : 0.0;
}
// Double smooth
ema.Load(OhlcList.Skip(Period - 1).ToList());
List <double?> doubleSmoothValues = ema.Calculate().Values;
for (int i = 0; i < Period - 1; i++)
{
doubleSmoothValues.Insert(0, null);
}
for (int i = 0; i < OhlcList.Count; i++)
{
OhlcList[i].Close = doubleSmoothValues[i].HasValue ? doubleSmoothValues[i].Value : 0.0;
}
// Triple smooth
ema.Load(OhlcList.Skip(2 * (Period - 1)).ToList());
List <double?> tripleSmoothValues = ema.Calculate().Values;
for (int i = 0; i < (2 * (Period - 1)); i++)
{
tripleSmoothValues.Insert(0, null);
}
for (int i = 0; i < OhlcList.Count; i++)
{
OhlcList[i].Close = tripleSmoothValues[i].HasValue ? tripleSmoothValues[i].Value : 0.0;
}
// Last step
SingleDoubleSerie trixSerie = new SingleDoubleSerie();
if (CalculatePercentage)
{
ROC roc = new ROC(1);
roc.Load(OhlcList.Skip(3 * (Period - 1)).ToList());
trixSerie = roc.Calculate();
}
else
{
Momentum momentum = new Momentum();
momentum.Load(OhlcList.Skip(3 * (Period - 1)).ToList());
trixSerie = momentum.Calculate();
}
for (int i = 0; i < (3 * (Period - 1)); i++)
{
trixSerie.Values.Insert(0, null);
}
return(trixSerie);
}
public override ADXSerie Calculate()
{
ADXSerie adxSerie = new ADXSerie();
List <Ohlc> tempOhlcList = new List <Ohlc>();
for (int i = 0; i < OhlcList.Count; i++)
{
Ohlc tempOhlc = new Ohlc()
{
Close = OhlcList[i].High
};
tempOhlcList.Add(tempOhlc);
}
Momentum momentum = new Momentum();
momentum.Load(tempOhlcList);
List <double?> highMomentums = momentum.Calculate().Values;
tempOhlcList = new List <Ohlc>();
for (int i = 0; i < OhlcList.Count; i++)
{
Ohlc tempOhlc = new Ohlc()
{
Close = OhlcList[i].Low
};
tempOhlcList.Add(tempOhlc);
}
momentum = new Momentum();
momentum.Load(tempOhlcList);
List <double?> lowMomentums = momentum.Calculate().Values;
for (int i = 0; i < lowMomentums.Count; i++)
{
if (lowMomentums[i].HasValue)
{
lowMomentums[i] *= -1;
}
}
//DMIp <- ifelse( dH==dL | (dH< 0 & dL< 0), 0, ifelse( dH >dL, dH, 0 ) )
List <double?> DMIPositives = new List <double?>()
{
null
};
// DMIn <- ifelse( dH==dL | (dH< 0 & dL< 0), 0, ifelse( dH <dL, dL, 0 ) )
List <double?> DMINegatives = new List <double?>()
{
null
};
for (int i = 1; i < OhlcList.Count; i++)
{
if (highMomentums[i] == lowMomentums[i] || (highMomentums[i] < 0 & lowMomentums[i] < 0))
{
DMIPositives.Add(0);
}
else
{
if (highMomentums[i] > lowMomentums[i])
{
DMIPositives.Add(highMomentums[i]);
}
else
{
DMIPositives.Add(0);
}
}
if (highMomentums[i] == lowMomentums[i] || (highMomentums[i] < 0 & lowMomentums[i] < 0))
{
DMINegatives.Add(0);
}
else
{
if (highMomentums[i] < lowMomentums[i])
{
DMINegatives.Add(lowMomentums[i]);
}
else
{
DMINegatives.Add(0);
}
}
}
ATR atr = new ATR();
atr.Load(OhlcList);
List <double?> trueRanges = atr.Calculate().TrueRange;
adxSerie.TrueRange = trueRanges;
List <double?> trSum = wilderSum(trueRanges);
// DIp <- 100 * wilderSum(DMIp, n=n) / TRsum
List <double?> DIPositives = new List <double?>();
List <double?> wilderSumOfDMIp = wilderSum(DMIPositives);
for (int i = 0; i < wilderSumOfDMIp.Count; i++)
{
if (wilderSumOfDMIp[i].HasValue)
{
DIPositives.Add(wilderSumOfDMIp[i].Value * 100 / trSum[i].Value);
}
else
{
DIPositives.Add(null);
}
}
adxSerie.DIPositive = DIPositives;
// DIn <- 100 * wilderSum(DMIn, n=n) / TRsum
List <double?> DINegatives = new List <double?>();
List <double?> wilderSumOfDMIn = wilderSum(DMINegatives);
for (int i = 0; i < wilderSumOfDMIn.Count; i++)
{
if (wilderSumOfDMIn[i].HasValue)
{
DINegatives.Add(wilderSumOfDMIn[i].Value * 100 / trSum[i].Value);
}
else
{
DINegatives.Add(null);
}
}
adxSerie.DINegative = DINegatives;
// DX <- 100 * ( abs(DIp - DIn) / (DIp + DIn) )
List <double?> DX = new List <double?>();
for (int i = 0; i < OhlcList.Count; i++)
{
if (DIPositives[i].HasValue)
{
double?dx = 100 * (Math.Abs(DIPositives[i].Value - DINegatives[i].Value) / (DIPositives[i].Value + DINegatives[i].Value));
DX.Add(dx);
}
else
{
DX.Add(null);
}
}
adxSerie.DX = DX;
for (int i = 0; i < OhlcList.Count; i++)
{
if (DX[i].HasValue)
{
OhlcList[i].Close = DX[i].Value;
}
else
{
OhlcList[i].Close = 0.0;
}
}
EMA ema = new EMA(Period, true);
ema.Load(OhlcList.Skip(Period).ToList());
List <double?> emaValues = ema.Calculate().Values;
for (int i = 0; i < Period; i++)
{
emaValues.Insert(0, null);
}
adxSerie.ADX = emaValues;
return(adxSerie);
}
/// <summary>
/// DEMA = 2 * EMA - EMA of EMA
/// </summary>
/// <see cref="http://forex-indicators.net/trend-indicators/dema"/>
/// <returns></returns>
public override SingleDoubleSerie Calculate()
{
SingleDoubleSerie demaSerie = new SingleDoubleSerie();
EMA ema = new EMA(Period, false, ColumnType);
ema.Load(OhlcList);
List <double?> emaValues = ema.Calculate().Values;
// assign EMA values to column
for (int i = 0; i < OhlcList.Count; i++)
{
switch (ColumnType)
{
case ColumnType.AdjClose:
OhlcList[i].AdjClose = emaValues[i] ?? 0.0;
break;
case ColumnType.Close:
OhlcList[i].Close = emaValues[i] ?? 0.0;
break;
case ColumnType.High:
OhlcList[i].High = emaValues[i] ?? 0.0;
break;
case ColumnType.Low:
OhlcList[i].Low = emaValues[i] ?? 0.0;
break;
case ColumnType.Open:
OhlcList[i].Open = emaValues[i] ?? 0.0;
break;
case ColumnType.Volume:
OhlcList[i].Volume = emaValues[i] ?? 0.0;
break;
default:
break;
}
}
ema.Load(OhlcList.Skip(Period - 1).ToList());
// EMA(EMA(value))
List <double?> emaEmaValues = ema.Calculate().Values;
for (int i = 0; i < Period - 1; i++)
{
emaEmaValues.Insert(0, null);
}
// Calculate DEMA
for (int i = 0; i < OhlcList.Count; i++)
{
if (i >= 2 * Period - 2)
{
var dema = 2 * emaValues[i] - emaEmaValues[i];
demaSerie.Values.Add(dema);
}
else
{
demaSerie.Values.Add(null);
}
}
return(demaSerie);
}
public override MACDSerie Calculate()
{
MACDSerie macdSerie = new MACDSerie();
EMA ema = new EMA(Fast, false);
ema.Load(OhlcList);
List <double?> fastEmaValues = ema.Calculate().Values;
ema = new EMA(Slow, false);
ema.Load(OhlcList);
List <double?> slowEmaValues = ema.Calculate().Values;
for (int i = 0; i < OhlcList.Count; i++)
{
// MACD Line
if (fastEmaValues[i].HasValue && slowEmaValues[i].HasValue)
{
if (!Percent)
{
macdSerie.MACDLine.Add(fastEmaValues[i].Value - slowEmaValues[i].Value);
}
else
{
// macd <- 100 * ( mavg.fast / mavg.slow - 1 )
macdSerie.MACDLine.Add(100 * ((fastEmaValues[i].Value / slowEmaValues[i].Value) - 1));
}
OhlcList[i].Close = macdSerie.MACDLine[i].Value;
}
else
{
macdSerie.MACDLine.Add(null);
OhlcList[i].Close = 0.0;
}
}
int zeroCount = macdSerie.MACDLine.Where(x => x == null).Count();
ema = new EMA(Signal, false);
ema.Load(OhlcList.Skip(zeroCount).ToList());
List <double?> signalEmaValues = ema.Calculate().Values;
for (int i = 0; i < zeroCount; i++)
{
signalEmaValues.Insert(0, null);
}
// Fill Signal and MACD Histogram lists
for (int i = 0; i < signalEmaValues.Count; i++)
{
macdSerie.Signal.Add(signalEmaValues[i]);
//macdSerie.MACDHistogram.Add(macdSerie.MACDLine[i] - macdSerie.Signal[i]);
macdSerie.MACDHistogramDataList.Add(new MACDHistogramData()
{
DataDate = OhlcList[i].Date, EmaLineDifference = macdSerie.MACDLine[i] - macdSerie.Signal[i], ClosingValue = OhlcList[i].AdjClose
});
}
/*
* 1. Difference between MACD and signal line - For plotting histogram
* 2. Distance between difference - To find the peak-through- slant pattens
* 3. For decreasing pattern we need to find the point when the decrease intensity reduces
*/
for (int i = 1; i < macdSerie.MACDHistogramDataList.Count; i++)
{
MACDHistogramData currentElement = macdSerie.MACDHistogramDataList.ElementAt(i);
MACDHistogramData previousElement = macdSerie.MACDHistogramDataList.ElementAt(i - 1);
if (
currentElement.EmaLineDifference != null &&
previousElement.EmaLineDifference != null)
{
SetConvergenceDivergence(previousElement, currentElement);
SetChangeInMomentum(previousElement, currentElement);
/* For ith Element
* (i-1) - (1) < (i-2)-(i-1)
*/
//macdSerie.MACDHistogramDataList.ElementAt(i).isDiffereneAmountDecreasing =
// (
// macdSerie.MACDHistogramDataList.ElementAt(i - 1).EmaLineDifference -
// macdSerie.MACDHistogramDataList.ElementAt(i).EmaLineDifference) <
// (
// macdSerie.MACDHistogramDataList.ElementAt(i - 2).EmaLineDifference -
// macdSerie.MACDHistogramDataList.ElementAt(i - 1).EmaLineDifference
// ) ? true : false;
if (currentElement.changeInDivergenceMomentum != null && previousElement.changeInDivergenceMomentum != null)
{
currentElement.isDiffereneAmountDecreasing =
currentElement.changeInDivergenceMomentum.Value <
previousElement.changeInDivergenceMomentum.Value;
}
//SetSignalType(macdSerie.MACDHistogramDataList.ElementAt(i));
}
}
return(macdSerie);
}