// AVERAGE TRUE RANGE
public static IEnumerable <AtrResult> GetAtr(IEnumerable <Quote> history, int lookbackPeriod = 14)
{
// clean quotes
history = Cleaners.PrepareHistory(history);
// initialize results
List <AtrResult> results = new List <AtrResult>();
decimal prevAtr = 0;
decimal prevClose = 0;
decimal highMinusPrevClose = 0;
decimal lowMinusPrevClose = 0;
decimal sumTr = 0;
// roll through history
foreach (Quote h in history)
{
AtrResult result = new AtrResult
{
Index = (int)h.Index,
Date = h.Date
};
if (h.Index > 1)
{
highMinusPrevClose = Math.Abs(h.High - prevClose);
lowMinusPrevClose = Math.Abs(h.Low - prevClose);
}
decimal tr = Math.Max((h.High - h.Low), Math.Max(highMinusPrevClose, lowMinusPrevClose));
result.Tr = tr;
if (h.Index > lookbackPeriod)
{
// calculate ATR
result.Atr = (prevAtr * (lookbackPeriod - 1) + tr) / lookbackPeriod;
prevAtr = (decimal)result.Atr;
}
else if (h.Index == lookbackPeriod)
{
// initialize ATR
sumTr += tr;
result.Atr = sumTr / lookbackPeriod;
prevAtr = (decimal)result.Atr;
}
else
{
// only used for periods before ATR initialization
sumTr += tr;
}
results.Add(result);
prevClose = h.Close;
}
return(results);
}
// DONCHIAN CHANNEL
public static IEnumerable <KeltnerResult> GetKeltner(
IEnumerable <Quote> history, int emaPeriod = 20, decimal multiplier = 2, int atrPeriod = 10)
{
// clean quotes
history = Cleaners.PrepareHistory(history);
// validate parameters
ValidateKeltner(history, emaPeriod, multiplier, atrPeriod);
// initialize
List <KeltnerResult> results = new List <KeltnerResult>();
IEnumerable <EmaResult> emaResults = GetEma(history, emaPeriod);
IEnumerable <AtrResult> atrResults = GetAtr(history, atrPeriod);
int lookbackPeriod = Math.Max(emaPeriod, atrPeriod);
decimal?prevWidth = null;
// roll through history
foreach (Quote h in history)
{
KeltnerResult result = new KeltnerResult
{
Index = (int)h.Index,
Date = h.Date
};
if (h.Index >= lookbackPeriod)
{
IEnumerable <Quote> period = history
.Where(x => x.Index > (h.Index - lookbackPeriod) && x.Index <= h.Index);
EmaResult ema = emaResults.Where(x => x.Index == h.Index).FirstOrDefault();
AtrResult atr = atrResults.Where(x => x.Index == h.Index).FirstOrDefault();
result.UpperBand = ema.Ema + multiplier * atr.Atr;
result.LowerBand = ema.Ema - multiplier * atr.Atr;
result.Centerline = ema.Ema;
result.Width = (result.Centerline == 0) ? null : (result.UpperBand - result.LowerBand) / result.Centerline;
// for next iteration
prevWidth = result.Width;
}
results.Add(result);
}
return(results);
}
// DONCHIAN CHANNEL
public static IEnumerable <KeltnerResult> GetKeltner <TQuote>(
IEnumerable <TQuote> history,
int emaPeriod = 20,
decimal multiplier = 2,
int atrPeriod = 10)
where TQuote : IQuote
{
// clean quotes
List <TQuote> historyList = history.Sort();
// validate parameters
ValidateKeltner(history, emaPeriod, multiplier, atrPeriod);
// initialize
List <KeltnerResult> results = new List <KeltnerResult>();
List <EmaResult> emaResults = GetEma(history, emaPeriod).ToList();
List <AtrResult> atrResults = GetAtr(history, atrPeriod).ToList();
int lookbackPeriod = Math.Max(emaPeriod, atrPeriod);
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
TQuote h = historyList[i];
int index = i + 1;
KeltnerResult result = new KeltnerResult
{
Date = h.Date
};
if (index >= lookbackPeriod)
{
EmaResult ema = emaResults[i];
AtrResult atr = atrResults[i];
result.UpperBand = ema.Ema + multiplier * atr.Atr;
result.LowerBand = ema.Ema - multiplier * atr.Atr;
result.Centerline = ema.Ema;
result.Width = (result.Centerline == 0) ? null
: (result.UpperBand - result.LowerBand) / result.Centerline;
}
results.Add(result);
}
return(results);
}
// STARC BANDS
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <StarcBandsResult> GetStarcBands <TQuote>(
IEnumerable <TQuote> history,
int smaPeriod = 20,
decimal multiplier = 2,
int atrPeriod = 10)
where TQuote : IQuote
{
// sort history
List <TQuote> historyList = history.Sort();
// check parameter arguments
ValidateStarcBands(history, smaPeriod, multiplier, atrPeriod);
// initialize
List <StarcBandsResult> results = new List <StarcBandsResult>(historyList.Count);
List <SmaResult> smaResults = GetSma(history, smaPeriod).ToList();
List <AtrResult> atrResults = GetAtr(history, atrPeriod).ToList();
int lookbackPeriod = Math.Max(smaPeriod, atrPeriod);
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
TQuote h = historyList[i];
int index = i + 1;
StarcBandsResult result = new StarcBandsResult
{
Date = h.Date
};
if (index >= lookbackPeriod)
{
SmaResult s = smaResults[i];
AtrResult a = atrResults[i];
result.Centerline = s.Sma;
result.UpperBand = s.Sma + multiplier * a.Atr;
result.LowerBand = s.Sma - multiplier * a.Atr;
}
results.Add(result);
}
return(results);
}
// AVERAGE TRUE RANGE
public static IEnumerable <AtrResult> GetAtr(IEnumerable <Quote> history, int lookbackPeriod = 14)
{
// clean quotes
List <Quote> historyList = history.Sort();
// validate parameters
ValidateAtr(history, lookbackPeriod);
// initialize results
List <AtrResult> results = new List <AtrResult>();
decimal prevAtr = 0;
decimal prevClose = 0;
decimal highMinusPrevClose = 0;
decimal lowMinusPrevClose = 0;
decimal sumTr = 0;
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
Quote h = historyList[i];
int index = i + 1;
AtrResult result = new AtrResult
{
Date = h.Date
};
if (index > 1)
{
highMinusPrevClose = Math.Abs(h.High - prevClose);
lowMinusPrevClose = Math.Abs(h.Low - prevClose);
}
decimal tr = Math.Max((h.High - h.Low), Math.Max(highMinusPrevClose, lowMinusPrevClose));
result.Tr = tr;
if (index > lookbackPeriod)
{
// calculate ATR
result.Atr = (prevAtr * (lookbackPeriod - 1) + tr) / lookbackPeriod;
result.Atrp = (h.Close == 0) ? null : (result.Atr / h.Close) * 100;
prevAtr = (decimal)result.Atr;
}
else if (index == lookbackPeriod)
{
// initialize ATR
sumTr += tr;
result.Atr = sumTr / lookbackPeriod;
result.Atrp = (h.Close == 0) ? null : (result.Atr / h.Close) * 100;
prevAtr = (decimal)result.Atr;
}
else
{
// only used for periods before ATR initialization
sumTr += tr;
}
results.Add(result);
prevClose = h.Close;
}
return(results);
}
// AVERAGE TRUE RANGE
public static IEnumerable <AtrResult> GetAtr(IEnumerable <Quote> history, int lookbackPeriod = 14)
{
// clean quotes
history = Cleaners.PrepareHistory(history);
// check exceptions
int qtyHistory = history.Count();
int minHistory = lookbackPeriod + 1;
if (qtyHistory < minHistory)
{
throw new BadHistoryException("Insufficient history provided for ATR. " +
string.Format("You provided {0} periods of history when {1} is required. "
, qtyHistory, minHistory));
}
// initialize results
List <AtrResult> results = new List <AtrResult>();
decimal prevAtr = 0;
decimal prevClose = 0;
decimal highMinusPrevClose = 0;
decimal lowMinusPrevClose = 0;
decimal sumTr = 0;
// roll through history
foreach (Quote h in history)
{
AtrResult result = new AtrResult
{
Index = (int)h.Index,
Date = h.Date
};
if (h.Index > 1)
{
highMinusPrevClose = Math.Abs(h.High - prevClose);
lowMinusPrevClose = Math.Abs(h.Low - prevClose);
}
decimal tr = Math.Max((h.High - h.Low), Math.Max(highMinusPrevClose, lowMinusPrevClose));
result.Tr = tr;
if (h.Index > lookbackPeriod)
{
// calculate ATR
result.Atr = (prevAtr * (lookbackPeriod - 1) + tr) / lookbackPeriod;
prevAtr = (decimal)result.Atr;
}
else if (h.Index == lookbackPeriod)
{
// initialize ATR
sumTr += tr;
result.Atr = sumTr / lookbackPeriod;
prevAtr = (decimal)result.Atr;
}
else
{
// only used for periods before ATR initialization
sumTr += tr;
}
results.Add(result);
prevClose = h.Close;
}
return(results);
}
