// COMMODITY CHANNEL INDEX
public static IEnumerable <CciResult> GetCci <TQuote>(
IEnumerable <TQuote> history,
int lookbackPeriod = 20)
where TQuote : IQuote
{
// clean quotes
List <TQuote> historyList = history.Sort();
// validate parameters
ValidateCci(history, lookbackPeriod);
// initialize
List <CciResult> results = new List <CciResult>();
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
TQuote h = historyList[i];
int index = i + 1;
CciResult result = new CciResult
{
Date = h.Date,
Tp = (h.High + h.Low + h.Close) / 3
};
results.Add(result);
if (index >= lookbackPeriod)
{
// average TP over lookback
decimal avgTp = 0;
for (int p = index - lookbackPeriod; p < index; p++)
{
CciResult d = results[p];
avgTp += (decimal)d.Tp;
}
avgTp /= lookbackPeriod;
// average Deviation over lookback
decimal avgDv = 0;
for (int p = index - lookbackPeriod; p < index; p++)
{
CciResult d = results[p];
avgDv += Math.Abs(avgTp - (decimal)d.Tp);
}
avgDv /= lookbackPeriod;
result.Cci = (avgDv == 0) ? null
: (result.Tp - avgTp) / ((decimal)0.015 * avgDv);
}
}
return(results);
}
// COMMODITY CHANNEL INDEX
public static IEnumerable <CciResult> GetCci(IEnumerable <Quote> history, int lookbackPeriod = 20)
{
// clean quotes
List <Quote> historyList = Cleaners.PrepareHistory(history).ToList();
// validate parameters
ValidateCci(history, lookbackPeriod);
// initialize
List <CciResult> results = new List <CciResult>();
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
Quote h = historyList[i];
CciResult result = new CciResult
{
Index = (int)h.Index,
Date = h.Date,
Tp = (h.High + h.Low + h.Close) / 3
};
results.Add(result);
if (h.Index >= lookbackPeriod)
{
// average TP over lookback
decimal avgTp = 0;
for (int p = (int)h.Index - lookbackPeriod; p < h.Index; p++)
{
CciResult d = results[p];
avgTp += (decimal)d.Tp;
}
avgTp /= lookbackPeriod;
// average Deviation over lookback
decimal avgDv = 0;
for (int p = (int)h.Index - lookbackPeriod; p < h.Index; p++)
{
CciResult d = results[p];
avgDv += Math.Abs(avgTp - (decimal)d.Tp);
}
avgDv /= lookbackPeriod;
result.Cci = (result.Tp - avgTp) / ((decimal)0.015 * avgDv);
}
}
return(results);
}
// COMMODITY CHANNEL INDEX
public static IEnumerable <CciResult> GetCci(IEnumerable <Quote> history, int lookbackPeriod = 20)
{
// 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 Commodity Channel Index. " +
string.Format("You provided {0} periods of history when {1} is required.", qtyHistory, minHistory));
}
// initialize
List <CciResult> results = new List <CciResult>();
// roll through history to get Typical Price
foreach (Quote h in history)
{
CciResult result = new CciResult
{
Index = (int)h.Index,
Date = h.Date,
Tp = (h.High + h.Low + h.Close) / 3
};
results.Add(result);
}
// roll through interim results to calculate CCI
foreach (CciResult result in results.Where(x => x.Index >= lookbackPeriod))
{
IEnumerable <CciResult> period = results.Where(x => x.Index <= result.Index && x.Index > (result.Index - lookbackPeriod));
decimal smaTp = (decimal)period.Select(x => x.Tp).Average();
decimal meanDv = 0;
foreach (CciResult p in period)
{
meanDv += Math.Abs(smaTp - (decimal)p.Tp);
}
meanDv /= lookbackPeriod;
result.Cci = (result.Tp - smaTp) / ((decimal)0.015 * meanDv);
}
return(results);
}
// COMMODITY CHANNEL INDEX
public static IEnumerable <CciResult> GetCci(IEnumerable <Quote> history, int lookbackPeriod = 20)
{
// clean quotes
Cleaners.PrepareHistory(history);
// validate parameters
ValidateCci(history, lookbackPeriod);
// initialize
List <CciResult> results = new List <CciResult>();
// roll through history to get Typical Price
foreach (Quote h in history)
{
CciResult result = new CciResult
{
Index = (int)h.Index,
Date = h.Date,
Tp = (h.High + h.Low + h.Close) / 3
};
results.Add(result);
}
// roll through interim results to calculate CCI
foreach (CciResult result in results.Where(x => x.Index >= lookbackPeriod))
{
List <CciResult> period = results
.Where(x => x.Index > (result.Index - lookbackPeriod) && x.Index <= result.Index)
.ToList();
decimal smaTp = (decimal)period.Select(x => x.Tp).Average();
decimal meanDv = 0;
foreach (CciResult p in period)
{
meanDv += Math.Abs(smaTp - (decimal)p.Tp);
}
meanDv /= lookbackPeriod;
result.Cci = (result.Tp - smaTp) / ((decimal)0.015 * meanDv);
}
return(results);
}
