/// <summary>
/// Upper Envelope: 20-day SMA + (20-day SMA x .025)
/// Lower Envelope: 20-day SMA - (20-day SMA x .025)
/// </summary>
/// <see cref="http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:moving_average_envelopes"/>
/// <returns></returns>
public override EnvelopeSerie Calculate()
{
EnvelopeSerie envelopeSerie = new EnvelopeSerie();
SMA sma = new SMA(Period);
sma.Load(OhlcList);
List <double?> smaList = sma.Calculate().Values;
for (int i = 0; i < OhlcList.Count; i++)
{
if (smaList[i].HasValue)
{
envelopeSerie.Lower.Add(smaList[i].Value - (smaList[i].Value * Factor));
envelopeSerie.Upper.Add(smaList[i].Value + (smaList[i].Value * Factor));
}
else
{
envelopeSerie.Lower.Add(null);
envelopeSerie.Upper.Add(null);
}
}
return(envelopeSerie);
}
/// <summary>
/// Price {X/2 + 1} periods ago less the X-period simple moving average.
/// X refers to the number of periods used to calculate the Detrended Price
/// Oscillator. A 20-day DPO would use a 20-day SMA that is displaced by 11
/// periods {20/2 + 1 = 11}. This displacement shifts the 20-day SMA 11 days
/// to the left, which actually puts it in the middle of the look-back
/// period. The value of the 20-day SMA is then subtracted from the price
/// in the middle of this look-back period. In short, DPO(20) equals price
/// 11 days ago less the 20-day SMA.
/// </summary>
/// <see cref="http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:detrended_price_osci"/>
/// <returns></returns>
public override SingleDoubleSerie Calculate()
{
SingleDoubleSerie dpoSerie = new SingleDoubleSerie();
SMA sma = new SMA(Period);
sma.Load(OhlcList);
List <double?> smaList = sma.Calculate().Values;
// shift to left (n / 2) + 1
for (int i = 0; i < smaList.Count; i++)
{
if (i >= Period - 1)
{
smaList[i - ((Period / 2) + 1)] = smaList[i];
smaList[i] = null;
}
}
for (int i = 0; i < OhlcList.Count; i++)
{
if (smaList[i].HasValue)
{
double dpo = OhlcList[i].Close - smaList[i].Value;
dpoSerie.Values.Add(dpo);
}
else
{
dpoSerie.Values.Add(null);
}
}
return(dpoSerie);
}
/// <summary>
/// Commodity Channel Index (CCI)
/// tp = (high + low + close) / 3
/// cci = (tp - SMA(tp)) / (Factor * meanDeviation(tp))
/// </summary>
/// <see cref="http://www.fmlabs.com/reference/default.htm?url=CCI.htm"/>
/// <see cref="http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:commodity_channel_index_cci"/>
/// <returns></returns>
public override SingleDoubleSerie Calculate()
{
SingleDoubleSerie cciSerie = new SingleDoubleSerie();
for (int i = 0; i < OhlcList.Count; i++)
{
OhlcList[i].Close = (OhlcList[i].High + OhlcList[i].Low + OhlcList[i].Close) / 3;
}
SMA sma = new SMA(Period);
sma.Load(OhlcList);
List <double?> smaList = sma.Calculate().Values;
List <double?> meanDeviationList = new List <double?>();
for (int i = 0; i < OhlcList.Count; i++)
{
if (i >= Period - 1)
{
double total = 0.0;
for (int j = i; j >= i - (Period - 1); j--)
{
total += Math.Abs(smaList[i].Value - OhlcList[j].Close);
}
meanDeviationList.Add(total / (double)Period);
double cci = (OhlcList[i].Close - smaList[i].Value) / (Factor * meanDeviationList[i].Value);
cciSerie.Values.Add(cci);
}
else
{
meanDeviationList.Add(null);
cciSerie.Values.Add(null);
}
}
return(cciSerie);
}
